Edgar Filing: Eaton Vance Short Duration Diversified Income Fund

Eaton Vance Short Duration Diversified Income Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21563

Investment Company Act File Number

Eaton Vance Short Duration Diversified Income Fund

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

October 31

Date of Fiscal Year End

July 31, 2012

Date of Reporting Period

Item 1. Schedule of Investments

Eaton Vance

Short Duration Diversified Income Fund

July 31, 2012

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 47.1%⁽¹⁾


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.5%
Booz Allen Hamilton Inc.
Term Loan, Maturing July 31, 2019⁽²⁾		175	$	173,250
DAE Aviation Holdings, Inc.
Term Loan, 5.45%, Maturing July 31, 2014		109		109,247
Term Loan, 5.45%, Maturing July 31, 2014		115		114,894
Sequa Corporation
Term Loan, 3.72%, Maturing December 3, 2014		397		391,968
TASC, Inc.
Term Loan, 4.50%, Maturing December 18, 2015		296		293,324
Transdigm, Inc.
Term Loan, 4.00%, Maturing February 14, 2017		149		149,623
Term Loan, 4.00%, Maturing February 14, 2017		443		444,705

			$	1,677,011

Air Transport — 0.2%
Orbitz Worldwide Inc.
Term Loan, 3.25%, Maturing July 25, 2014		712	$	684,888

			$	684,888

Automotive — 2.4%
Allison Transmission, Inc.
Term Loan, 2.75%, Maturing August 7, 2014		705	$	703,604
Autoparts Holdings Limited
Term Loan, 6.50%, Maturing July 28, 2017		298		290,661
Chrysler Group LLC
Term Loan, 6.00%, Maturing May 24, 2017		1,387		1,411,297
Delphi Corporation
Term Loan, 3.50%, Maturing March 31, 2017		366		367,188
Federal-Mogul Corporation
Term Loan, 2.18%, Maturing December 29, 2014		932		888,344
Term Loan, 2.19%, Maturing December 28, 2015		550		524,532
Goodyear Tire & Rubber Company (The)
Term Loan - Second Lien, 4.75%, Maturing April 30, 2019		1,150		1,139,075
HHI Holdings LLC
Term Loan, 7.00%, Maturing March 21, 2017		499		501,232
Metaldyne Company LLC
Term Loan, 5.25%, Maturing May 18, 2017		791		791,742
SRAM, LLC
Term Loan, 4.78%, Maturing June 7, 2018		208		208,087
Tomkins LLC
Term Loan, 4.25%, Maturing September 29, 2016		403		404,395
Veyance Technologies, Inc.
Term Loan, 2.50%, Maturing July 31, 2014		84		80,966
Term Loan, 2.50%, Maturing July 31, 2014		583		565,279
Term Loan - Second Lien, 6.00%, Maturing July 31, 2015		200		187,000

			$	8,063,402


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Building and Development — 0.3%
Goodman Global Inc.
Term Loan, 5.75%, Maturing October 28, 2016		349	$	350,152
Panolam Industries International, Inc.
Term Loan, 8.25%, Maturing December 31, 2013		101		99,874
Preferred Proppants, LLC
Term Loan, 7.50%, Maturing December 15, 2016		124		117,534
RE/MAX International, Inc.
Term Loan, 5.50%, Maturing April 15, 2016		397		397,058

			$	964,618

Business Equipment and Services — 3.9%
ACCO Brands Corporation
Term Loan, 4.25%, Maturing April 30, 2019		100	$	99,873
Acosta, Inc.
Term Loan, 5.75%, Maturing March 1, 2018		125		125,311
Term Loan, 5.75%, Maturing March 1, 2018		245		245,546
Acxiom Corporation
Term Loan, 3.43%, Maturing March 15, 2015		255		257,769
Advantage Sales & Marketing, Inc.
Term Loan, 5.25%, Maturing December 18, 2017		369		368,636
Affinion Group, Inc.
Term Loan, 5.00%, Maturing July 15, 2015		1,028		903,677
Altegrity, Inc.
Term Loan, 3.00%, Maturing February 21, 2015		365		346,145
Brand Energy & Infrastructure Services, Inc.
Term Loan, 3.73%, Maturing February 7, 2014		183		173,332
Brickman Group Holdings Inc.
Term Loan, 5.50%, Maturing October 14, 2016		289		290,478
ClientLogic Corporation
Term Loan, 7.21%, Maturing January 30, 2017		165		152,931
Education Management LLC
Term Loan, 4.50%, Maturing June 1, 2016		249		212,392
Term Loan, 8.25%, Maturing March 29, 2018		374		358,558
EIG Investors Corp.
Term Loan, 7.75%, Maturing April 20, 2018		350		349,563
Expert Global Solutions, Inc.
Term Loan, 8.00%, Maturing April 3, 2018		349		350,725
Genesys Telecom Holdings, U.S., Inc.
Term Loan, 6.75%, Maturing January 31, 2019		125		125,623
Go Daddy Operating Company, LLC
Term Loan, 5.50%, Maturing December 17, 2018		522		517,086
KAR Auction Services, Inc.
Term Loan, 5.00%, Maturing May 19, 2017		569		572,766
Language Line, LLC
Term Loan, 6.25%, Maturing June 20, 2016		421		417,470
Mitchell International, Inc
Term Loan, 2.50%, Maturing March 28, 2014		178		175,476
Monitronics International Inc
Term Loan, 5.50%, Maturing March 16, 2018		150		150,934
Quintiles Transnational Corp.
Term Loan, 5.00%, Maturing June 8, 2018		842		843,335
Sabre, Inc.
Term Loan, 2.25%, Maturing September 30, 2014		1,330		1,302,521
Sensus USA Inc.
Term Loan, 4.75%, Maturing May 9, 2017		123		123,515


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
SunGard Data Systems, Inc.
Term Loan, 3.93%, Maturing February 26, 2016		1,598	$	1,601,039
Term Loan, 4.00%, Maturing February 28, 2017		57		56,592
Trans Union, LLC
Term Loan, Maturing February 12, 2018⁽²⁾		1,000		1,008,750
Travelport LLC
Term Loan, 5.06%, Maturing August 21, 2015	EUR	370		410,497
West Corporation
Term Loan, 2.65%, Maturing October 24, 2013		139		139,393
Term Loan, 4.50%, Maturing July 15, 2016		337		336,871
Term Loan, 4.59%, Maturing July 15, 2016		960		958,417

			$	12,975,221

Cable and Satellite Television — 2.0%
Atlantic Broadband Finance, LLC
Term Loan, 5.25%, Maturing April 4, 2019		225	$	226,406
Term Loan - Second Lien, 9.75%, Maturing October 4, 2019		200		210,000
BBHI Acquisition LLC
Term Loan, 4.50%, Maturing December 14, 2017		222		222,826
Cequel Communications, LLC
Term Loan, 4.00%, Maturing February 14, 2019		798		791,080
Charter Communications Operating, LLC
Term Loan, 4.00%, Maturing May 15, 2019		499		498,909
CSC Holdings, Inc.
Term Loan, 2.00%, Maturing March 29, 2016		1,436		1,429,145
Lavena Holdings 4 GmbH
Term Loan, 2.95%, Maturing March 6, 2015	EUR	56		59,310
Term Loan, 3.32%, Maturing March 4, 2016	EUR	56		59,310
MCC Iowa LLC
Term Loan, 1.95%, Maturing January 30, 2015		1,417		1,388,225
UPC Broadband Holding B.V.
Term Loan, 4.13%, Maturing December 31, 2016	EUR	1,394		1,696,866

			$	6,582,077

Chemicals and Plastics — 1.8%
Ashland, Inc.
Term Loan, 3.75%, Maturing August 23, 2018		397	$	399,058
AZ Chem US Inc.
Term Loan, 7.25%, Maturing December 22, 2017		216		217,528
Celanese U.S. Holdings LLC
Term Loan, 3.21%, Maturing October 31, 2016		401		403,030
Huntsman International, LLC
Term Loan, 2.84%, Maturing April 19, 2017		1,532		1,522,464
Ineos US Finance LLC
Term Loan, 6.50%, Maturing May 4, 2018		1,197		1,175,411
MacDermid, Inc.
Term Loan, 2.36%, Maturing April 11, 2014	EUR	303		369,718
Momentive Performance Materials Inc.
Term Loan, 3.75%, Maturing May 29, 2015		125		118,713
Momentive Performance Materials USA Inc.
Term Loan, 3.75%, Maturing May 5, 2015		218		209,156
Momentive Specialty Chemicals Inc.
Term Loan, 4.00%, Maturing May 5, 2015		349		340,669
Term Loan, 4.25%, Maturing May 5, 2015		149		145,899
Styron S.A.R.L, LLC
Term Loan, 6.08%, Maturing August 2, 2017		394		367,898


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Tronox Pigments (Netherlands) B.V.
Term Loan, 4.25%, Maturing February 8, 2018		32	$	31,596
Term Loan, 4.25%, Maturing February 8, 2018		118		115,795
Univar Inc.
Term Loan, 5.00%, Maturing June 30, 2017		793		789,364

			$	6,206,299

Clothing/Textiles — 0.1%
Ascena Retail Group, Inc.
Term Loan, 4.75%, Maturing June 14, 2018		125	$	125,286
Wolverine Worldwide, Inc.
Term Loan, Maturing June 26, 2019⁽²⁾		100		100,563

			$	225,849

Conglomerates — 1.2%
Jarden Corporation
Term Loan, 3.25%, Maturing March 30, 2018		523	$	523,955
Rexnord Corporation
Term Loan, 5.00%, Maturing April 2, 2018		970		977,862
RGIS Services, LLC
Term Loan, 4.71%, Maturing October 18, 2016		754		734,996
Term Loan, 5.50%, Maturing October 18, 2017		274		272,941
Rocket Software, Inc.
Term Loan, 7.00%, Maturing February 8, 2018		299		297,381
Spectrum Brands, Inc.
Term Loan, 5.00%, Maturing June 17, 2016		498		500,780
Walter Energy, Inc.
Term Loan, 4.00%, Maturing April 2, 2018		887		877,973

			$	4,185,888

Containers and Glass Products — 1.0%
Berry Plastics Corporation
Term Loan, 2.25%, Maturing April 3, 2015		767	$	751,166
BWAY Corporation
Term Loan, 4.50%, Maturing February 23, 2018		52		51,979
Term Loan, 4.50%, Maturing February 23, 2018		516		515,765
Reynolds Group Holdings Inc.
Term Loan, 6.50%, Maturing February 9, 2018		967		977,933
Term Loan, 6.50%, Maturing August 9, 2018		540		546,908
TricorBraun, Inc.
Term Loan, 5.50%, Maturing May 3, 2018		425		426,062

			$	3,269,813

Cosmetics/Toiletries — 0.2%
Bausch & Lomb, Inc.
Term Loan, 5.25%, Maturing May 17, 2019		600	$	601,275

			$	601,275

Drugs — 0.4%
Aptalis Pharma, Inc.
Term Loan, 5.50%, Maturing February 10, 2017		249	$	243,970
Term Loan, 5.50%, Maturing February 10, 2017		249		245,946
Capsugel Holdings US, Inc.
Term Loan, 5.25%, Maturing August 1, 2018		237		238,857


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Endo Pharmaceuticals Holdings Inc.
Term Loan, 4.00%, Maturing June 18, 2018		79	$	78,989
Warner Chilcott Company, LLC
Term Loan, 4.25%, Maturing March 15, 2018		152		152,561
Warner Chilcott Corporation
Term Loan, 4.25%, Maturing March 15, 2018		305		305,121
WC Luxco S.a.r.l.
Term Loan, 4.25%, Maturing March 15, 2018		209		209,771

			$	1,475,215

Electronics/Electrical — 3.6%
Aeroflex Incorporated
Term Loan, Maturing May 9, 2018⁽²⁾		500	$	489,686
Aspect Software, Inc.
Term Loan, 6.25%, Maturing May 6, 2016		347		344,429
Attachmate Corporation
Term Loan, 7.25%, Maturing November 22, 2017		600		600,094
CommScope, Inc.
Term Loan, 4.25%, Maturing January 12, 2018		1,941		1,942,918
Dealer Computer Services, Inc.
Term Loan, 3.75%, Maturing April 20, 2018		344		343,436
DG FastChannel, Inc.
Term Loan, 5.75%, Maturing July 26, 2018		282		280,285
Eagle Parent, Inc.
Term Loan, 5.00%, Maturing May 16, 2018		520		517,411
Edwards (Cayman Islands II) Limited
Term Loan, 5.50%, Maturing May 31, 2016		193		193,216
Freescale Semiconductor, Inc.
Term Loan, 4.50%, Maturing December 1, 2016		933		879,107
Lawson Software Inc.
Term Loan, 6.25%, Maturing April 5, 2018		898		907,429
Magic Newco LLC
Term Loan, 7.25%, Maturing December 12, 2018		275		271,820
Microsemi Corporation
Term Loan, 4.00%, Maturing February 2, 2018		287		285,605
Nxp B.V.
Term Loan, 4.50%, Maturing March 3, 2017		543		537,694
Term Loan, 5.50%, Maturing March 3, 2017		199		199,079
Term Loan, 5.25%, Maturing March 19, 2019		299		298,876
Open Solutions, Inc.
Term Loan, 2.58%, Maturing January 23, 2014		308		294,712
Rovi Solutions Corporation
Term Loan, 4.00%, Maturing March 28, 2019		150		144,945
Sensata Technologies Finance Company, LLC
Term Loan, 4.00%, Maturing May 11, 2018		693		692,673
Serena Software, Inc.
Term Loan, 4.25%, Maturing March 10, 2016		1,185		1,158,337
Shield Finance Co S.A.R.L.
Term Loan, 6.50%, Maturing May 10, 2019		200		200,000
Sophia, L.P.
Term Loan, 6.25%, Maturing July 19, 2018		249		251,993
SS&C Technologies Inc.
Term Loan, 5.00%, Maturing June 7, 2019		26		25,733
Term Loan, 5.00%, Maturing June 7, 2019		249		248,909
VeriFone Inc.
Term Loan, 4.25%, Maturing December 28, 2018		498		499,055


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Web.com Group, Inc.
Term Loan, 7.00%, Maturing October 27, 2017		387	$	385,155

			$	11,992,597

Equipment Leasing — 0.2%
Delos Aircraft Inc.
Term Loan, 4.75%, Maturing April 12, 2016		225	$	226,969
Flying Fortress Inc.
Term Loan, 5.00%, Maturing June 30, 2017		600		604,500

			$	831,469

Financial Intermediaries — 1.8%
Asset Acceptance Capital Corp.
Term Loan, 8.75%, Maturing November 14, 2017		244	$	244,969
Citco III Limited
Term Loan, 5.50%, Maturing June 29, 2018		619		614,082
First Data Corporation
Term Loan, 3.00%, Maturing September 24, 2014		1,000		971,563
Harbourvest Partners, LLC
Term Loan, 6.25%, Maturing December 16, 2016		207		207,356
LPL Holdings, Inc.
Term Loan, 2.75%, Maturing March 29, 2017		148		143,990
Term Loan, 4.00%, Maturing March 29, 2019		1,471		1,465,795
Nuveen Investments, Inc.
Term Loan, 5.96%, Maturing May 12, 2017		1,019		1,015,051
Term Loan, 5.95%, Maturing May 13, 2017		231		230,101
Oz Management LP
Term Loan, 1.75%, Maturing November 15, 2016		224		194,041
RPI Finance Trust
Term Loan, 4.00%, Maturing May 9, 2018		667		668,011
Term Loan, 4.00%, Maturing November 9, 2018		299		299,500
Vantiv, LLC
Term Loan, 3.75%, Maturing March 27, 2019		75		74,968

			$	6,129,427

Food Products — 1.4%
Clearwater Seafoods Limited Partnership
Term Loan, 6.75%, Maturing June 6, 2018		200	$	199,875
Del Monte Foods Company
Term Loan, 4.50%, Maturing March 8, 2018		1,198		1,180,465
Dole Food Company Inc.
Term Loan, 5.04%, Maturing July 6, 2018		191		191,082
High Liner Foods Incorporated
Term Loan, 7.00%, Maturing December 19, 2017		249		249,997
JBS USA Holdings Inc.
Term Loan, 4.25%, Maturing May 25, 2018		995		985,025
NBTY, Inc.
Term Loan, 4.25%, Maturing October 2, 2017		388		388,249
Pierre Foods, Inc.
Term Loan, 7.00%, Maturing September 30, 2016		270		271,749
Pinnacle Foods Finance LLC
Term Loan, 2.75%, Maturing April 2, 2014		1,017		1,016,224
Solvest Ltd.
Term Loan, 5.02%, Maturing July 6, 2018		341		341,938

			$	4,824,604


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Food Service — 2.3%
Aramark Corporation
Term Loan, 3.50%, Maturing July 26, 2016		43	$	42,552
Term Loan, 3.50%, Maturing July 26, 2016		77		76,649
Term Loan, 3.50%, Maturing July 26, 2016		1,168		1,165,502
Term Loan, 3.65%, Maturing July 26, 2016		529		528,210
Term Loan, 4.27%, Maturing July 26, 2016	GBP	523		806,231
Burger King Corporation
Term Loan, 4.50%, Maturing October 19, 2016		1,158		1,161,517
DineEquity, Inc.
Term Loan, 4.27%, Maturing October 19, 2017		265		265,854
Dunkin’ Brands, Inc.
Term Loan, 4.00%, Maturing November 23, 2017		536		534,337
Landry’s, Inc.
Term Loan, 6.50%, Maturing April 24, 2018		249		250,517
OSI Restaurant Partners, LLC
Term Loan, 2.50%, Maturing June 14, 2013		63		62,267
Term Loan, 2.56%, Maturing June 14, 2014		622		616,098
US Foods, Inc.
Term Loan, 5.75%, Maturing March 31, 2017		494		472,684
Weight Watchers International, Inc.
Term Loan, 3.75%, Maturing March 15, 2019		1,267		1,265,896
Wendy’s International, Inc.
Term Loan, 4.75%, Maturing May 15, 2019		375		375,742

			$	7,624,056

Food/Drug Retailers — 1.7%
Alliance Boots Holdings Limited
Term Loan, 3.11%, Maturing July 9, 2015	EUR	1,000	$	1,178,792
Term Loan, 3.54%, Maturing July 9, 2015	GBP	300		444,420
General Nutrition Centers, Inc.
Term Loan, 4.25%, Maturing March 2, 2018		856		856,785
Rite Aid Corporation
Term Loan, 2.00%, Maturing June 4, 2014		950		932,991
Term Loan, 4.50%, Maturing March 2, 2018		1,409		1,395,401
Sprouts Farmers Markets Holdings, LLC
Term Loan, 6.00%, Maturing April 18, 2018		250		248,750
Supervalu Inc.
Term Loan, 5.00%, Maturing April 28, 2018		642		639,511

			$	5,696,650

Health Care — 5.5%
Alere, Inc.
Term Loan, 4.75%, Maturing June 30, 2017		771	$	770,443
Aveta, Inc.
Term Loan, 8.50%, Maturing April 4, 2017		245		245,517
Term Loan, 8.50%, Maturing April 4, 2017		245		245,517
Biomet Inc.
Term Loan, 3.37%, Maturing March 25, 2015		738		737,207
Catalent Pharma Solutions Inc.
Term Loan, 4.25%, Maturing September 15, 2016		404		403,750
Community Health Systems, Inc.
Term Loan, 2.58%, Maturing July 25, 2014		1,105		1,103,123
Term Loan, 3.97%, Maturing January 25, 2017		666		662,727


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
DaVita, Inc.
Term Loan, 4.50%, Maturing October 20, 2016		640	$	642,851
DJO Finance LLC
Term Loan, 5.25%, Maturing November 1, 2016		345		343,774
Term Loan, 6.25%, Maturing September 15, 2017		100		100,186
Drumm Investors, LLC
Term Loan, 5.00%, Maturing May 4, 2018		297		286,721
Emdeon, Inc.
Term Loan, 5.00%, Maturing November 2, 2018		150		150,233
Emergency Medical Services Corporation
Term Loan, 5.25%, Maturing May 25, 2018		444		444,740
Fenwal, Inc.
Term Loan, 2.72%, Maturing February 28, 2014		397		395,390
Term Loan, 2.72%, Maturing February 28, 2014		68		67,806
Grifols Inc.
Term Loan, 4.50%, Maturing June 1, 2017		594		594,377
HCA, Inc.
Term Loan, 3.71%, Maturing March 31, 2017		1,091		1,077,208
Term Loan, 3.50%, Maturing May 1, 2018		1,155		1,139,705
Health Management Associates, Inc.
Term Loan, 4.50%, Maturing November 16, 2018		673		674,016
Hologic Inc.
Term Loan, Maturing July 19, 2019⁽²⁾		375		377,735
Iasis Healthcare LLC
Term Loan, 5.00%, Maturing May 3, 2018		321		320,739
inVentiv Health, Inc.
Term Loan, 6.50%, Maturing August 4, 2016		989		928,537
Kindred Healthcare, Inc.
Term Loan, 5.25%, Maturing June 1, 2018		198		190,546
Kinetic Concepts, Inc.
Term Loan, 7.00%, Maturing May 4, 2018		846		859,282
Multiplan, Inc.
Term Loan, 4.75%, Maturing August 26, 2017		443		441,950
MX USA, Inc.
Term Loan, 6.50%, Maturing April 28, 2017		100		99,251
Onex Carestream Finance LP
Term Loan, 5.00%, Maturing February 25, 2017		247		239,232
Pharmaceutical Product Development, Inc.
Term Loan, 6.25%, Maturing December 5, 2018		373		378,178
Radnet Management, Inc.
Term Loan, 5.75%, Maturing April 6, 2016		244		243,153
Select Medical Corporation
Term Loan, 5.50%, Maturing June 1, 2018		594		584,905
Sheridan Holdings, Inc.
Term Loan, 6.00%, Maturing June 29, 2018		100		100,031
Thomson Reuters (Healthcare) Inc.
Term Loan, 6.75%, Maturing June 6, 2019		275		276,203
TriZetto Group, Inc. (The)
Term Loan, 4.75%, Maturing May 2, 2018		297		289,389
Universal Health Services, Inc.
Term Loan, 3.75%, Maturing November 15, 2016		1,000		1,001,569
Valeant Pharmaceuticals International, Inc.
Term Loan, 4.75%, Maturing February 13, 2019		150		150,638
Term Loan, 4.75%, Maturing February 13, 2019		250		250,938


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Vanguard Health Holding Co II, LLC
Term Loan, 5.00%, Maturing January 29, 2016		735	$	733,982
VWR Funding, Inc.
Term Loan, 2.75%, Maturing June 30, 2014		461		460,174
Term Loan, 4.50%, Maturing April 3, 2017		461		461,902

			$	18,473,625

Home Furnishings — 0.3%
National Bedding Company LLC
Term Loan, 4.00%, Maturing November 28, 2013		962	$	963,553
Oreck Corporation
Term Loan - Second Lien, 3.97%, Maturing March 19, 2016⁽³⁾		85		75,960

			$	1,039,513

Industrial Equipment — 1.2%
Colfax Corporation
Term Loan, 4.50%, Maturing January 11, 2019		1,246	$	1,249,697
Generac Power Systems, Inc.
Term Loan, 6.25%, Maturing May 30, 2018		300		302,250
Grede, LLC
Term Loan, 7.00%, Maturing April 3, 2017		325		325,406
Husky Injection Molding Systems Ltd
Term Loan, 6.50%, Maturing June 29, 2018		466		468,443
Kion Group GMBH
Term Loan, 4.24%, Maturing December 23, 2014	EUR	131		147,135
Term Loan, 3.65%, Maturing December 29, 2014	EUR	70		79,227
Term Loan, 4.15%, Maturing December 29, 2015	EUR	70		79,227
Term Loan, 4.15%, Maturing December 29, 2015	EUR	131		147,135
Tank Intermediate Holding Corp.
Term Loan, 7.75%, Maturing June 28, 2019		200		197,500
Terex Corporation
Term Loan, 5.50%, Maturing April 28, 2017		997		1,006,839

			$	4,002,859

Insurance — 1.7%
Alliant Holdings I, Inc.
Term Loan, 3.46%, Maturing August 21, 2014		467	$	467,231
AmWINS Group, Inc.
Term Loan, 5.75%, Maturing June 6, 2019		200		200,000
Term Loan - Second Lien, 9.25%, Maturing December 6, 2019		625		621,875
Applied Systems, Inc
Term Loan, 5.50%, Maturing December 8, 2016		285		284,917
Asurion LLC
Term Loan, 5.50%, Maturing May 24, 2018		2,138		2,135,906
Term Loan - Second Lien, 9.00%, Maturing May 24, 2019		100		104,080
CCC Information Services, Inc.
Term Loan, 5.50%, Maturing November 11, 2015		239		238,977
CNO Financial Group, Inc.
Term Loan, 6.25%, Maturing September 30, 2016		179		179,907
Hub International Limited
Term Loan, 4.75%, Maturing June 13, 2017		689		689,851
USI Holdings Corporation
Term Loan, 2.75%, Maturing May 5, 2014		696		688,802

			$	5,611,546


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Leisure Goods/Activities/Movies — 2.6%
Alpha D2 Limited
Term Loan, 5.75%, Maturing April 28, 2017		374	$	374,432
AMC Entertainment, Inc.
Term Loan, 3.50%, Maturing December 15, 2016		1,913		1,911,050
AMC Networks Inc.
Term Loan, 4.00%, Maturing December 31, 2018		272		271,513
Bombardier Recreational Products, Inc.
Term Loan, 4.60%, Maturing June 28, 2016		516		515,591
Cinemark USA, Inc.
Term Loan, 3.54%, Maturing April 29, 2016		965		966,835
Clubcorp Club Operations, Inc.
Term Loan, 6.00%, Maturing November 30, 2016		496		498,393
Live Nation Entertainment, Inc.
Term Loan, 4.50%, Maturing November 7, 2016		513		510,942
Regal Cinemas, Inc.
Term Loan, 3.29%, Maturing August 23, 2017		1,207		1,201,912
Revolution Studios Distribution Company, LLC
Term Loan, 4.00%, Maturing December 21, 2014⁽³⁾		222		177,766
Term Loan - Second Lien, 7.25%, Maturing June 21, 2015⁽³⁾		225		95,872
SeaWorld Parks & Entertainment, Inc.
Term Loan, 2.95%, Maturing February 17, 2016		240		238,615
Term Loan, 4.00%, Maturing August 17, 2017		352		351,217
Six Flags Theme Parks, Inc.
Term Loan, 4.25%, Maturing December 20, 2018		900		899,508
Town Sports International Inc.
Term Loan, 7.00%, Maturing May 11, 2018		180		182,526
Zuffa LLC
Term Loan, 2.25%, Maturing June 19, 2015		475		461,146

			$	8,657,318

Lodging and Casinos — 1.1%
Affinity Gaming, LLC
Term Loan, 5.50%, Maturing November 9, 2017		499	$	499,685
Ameristar Casinos, Inc.
Term Loan, 4.00%, Maturing April 16, 2018		990		994,462
Caesars Entertainment Operating Company
Term Loan, 5.50%, Maturing January 26, 2018		1,174		1,037,051
Las Vegas Sands LLC
Term Loan, 2.84%, Maturing November 23, 2016		163		158,291
Term Loan, 2.84%, Maturing November 23, 2016		806		794,293
Pinnacle Entertainment, Inc.
Term Loan, 4.00%, Maturing March 19, 2019		100		99,844

			$	3,583,626

Nonferrous Metals/Minerals — 0.5%
Arch Coal Inc
Term Loan, 5.75%, Maturing May 16, 2018		475	$	469,211
Fairmount Minerals LTD
Term Loan, 5.25%, Maturing March 15, 2017		535		532,477
Noranda Aluminum Acquisition Corporation
Term Loan, 5.75%, Maturing February 24, 2019		175		175,545
Novelis, Inc.
Term Loan, 4.00%, Maturing March 10, 2017		419		416,375

			$	1,593,608


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Oil and Gas — 1.2%
Citgo Petroleum Corporation
Term Loan, 9.00%, Maturing June 23, 2017		564	$	570,896
Crestwood Holdings LLC
Term Loan, 9.75%, Maturing March 26, 2018		200		202,667
Energy Transfer Equity, L.P.
Term Loan, 3.75%, Maturing March 24, 2017		475		469,063
Frac Tech International, LLC
Term Loan, 6.25%, Maturing May 6, 2016		404		350,783
Gibson Energy ULC
Term Loan, 4.75%, Maturing June 15, 2018		449		451,680
MEG Energy Corp.
Term Loan, 4.00%, Maturing March 16, 2018		248		248,931
Obsidian Natural Gas Trust
Term Loan, 7.00%, Maturing November 2, 2015		1,029		1,034,364
Sheridan Production Partners I, LLC
Term Loan, 6.50%, Maturing April 20, 2017		24		24,558
Term Loan, 6.50%, Maturing April 20, 2017		40		40,206
Term Loan, 6.50%, Maturing April 20, 2017		301		303,419
Tervita Corporation
Term Loan, 3.25%, Maturing November 14, 2014		21		20,652
Term Loan, 3.25%, Maturing November 14, 2014		478		469,004

			$	4,186,223

Publishing — 1.5%
Ascend Learning, Inc.
Term Loan, 5.75%, Maturing May 23, 2017		349	$	344,538
Aster Zweite Beteiligungs GmbH
Term Loan, 5.95%, Maturing December 31, 2014	EUR	705		823,917
Cengage Learning Acquisitions, Inc.
Term Loan, 2.50%, Maturing July 3, 2014		479		439,604
GateHouse Media Operating, Inc.
Term Loan, 2.25%, Maturing August 28, 2014		306		100,847
Term Loan, 2.25%, Maturing August 28, 2014		728		239,775
Getty Images, Inc.
Term Loan, 4.00%, Maturing November 2, 2015		95		95,381
Term Loan, 5.25%, Maturing November 7, 2016		1,154		1,159,697
Interactive Data Corp
Term Loan, 4.50%, Maturing February 12, 2018		431		431,769
Laureate Education, Inc.
Term Loan, 5.25%, Maturing August 15, 2018		1,184		1,139,502
Medianews Group
Term Loan, 8.50%, Maturing March 19, 2014		30		29,448
SGS International, Inc.
Term Loan, 3.75%, Maturing September 30, 2013		345		344,772

			$	5,149,250

Radio and Television — 1.0%
Cumulus Media, Inc.
Term Loan, 5.75%, Maturing September 17, 2018		821	$	826,185
Mission Broadcasting, Inc.
Term Loan, 5.00%, Maturing September 30, 2016		124		124,215
Nexstar Broadcasting, Inc.
Term Loan, 5.00%, Maturing September 30, 2016		194		194,294
Tyrol Acquisitions 2 SAS
Term Loan, 4.16%, Maturing January 29, 2016	EUR	252		267,296
Term Loan, 4.16%, Maturing January 29, 2016	EUR	252		267,296


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Univision Communications Inc.
Term Loan, 4.50%, Maturing March 31, 2017		1,456	$	1,398,945
Weather Channel
Term Loan, 4.25%, Maturing February 13, 2017		263		264,454

			$	3,342,685

Retailers (Except Food and Drug) — 1.6%
99 Cents Only Stores
Term Loan, 5.25%, Maturing January 11, 2019		247	$	247,987
Evergreen Acqco 1 LP
Term Loan, 6.25%, Maturing July 9, 2019		125		126,250
FTD, Inc.
Term Loan, 4.75%, Maturing June 11, 2018		186		184,737
Harbor Freight Tools USA, Inc.
Term Loan, 5.50%, Maturing November 14, 2017		200		200,750
J Crew Group, Inc.
Term Loan, 4.75%, Maturing March 7, 2018		346		342,438
Jo-Ann Stores, Inc.
Term Loan, 4.75%, Maturing March 16, 2018		338		336,192
Michaels Stores, Inc.
Term Loan, 5.00%, Maturing July 29, 2016		463		465,486
National Vision, Inc.
Term Loan, Maturing August 10, 2018⁽²⁾		150		147,750
Neiman Marcus Group, Inc. (The)
Term Loan, 4.75%, Maturing May 16, 2018		1,600		1,591,218
Petco Animal Supplies, Inc.
Term Loan, 4.50%, Maturing November 24, 2017		745		745,152
Pilot Travel Centers, LLC
Term Loan, 4.25%, Maturing March 30, 2018		340		339,552
ServiceMaster Company
Term Loan, 2.75%, Maturing July 24, 2014		44		44,213
Term Loan, 2.80%, Maturing July 24, 2014		446		443,991
Visant Holding Corp.
Term Loan, 5.25%, Maturing December 22, 2016		259		252,412

			$	5,468,128

Steel — 0.1%
JMC Steel Group, Inc.
Term Loan, 4.75%, Maturing April 3, 2017		148	$	148,496
Waupaca Foundry, Inc.
Term Loan, 8.50%, Maturing June 29, 2017		125		126,094
WireCo WorldGroup, Inc.
Term Loan, 6.00%, Maturing February 15, 2017		100		100,250

			$	374,840

Surface Transport — 0.7%
Hertz Corporation (The)
Term Loan, 3.75%, Maturing March 9, 2018		1,437	$	1,428,745
Swift Transportation Co. Inc.
Term Loan, 4.00%, Maturing December 21, 2016		438		439,141
Term Loan, 5.00%, Maturing December 21, 2017		344		346,852

			$	2,214,738

Telecommunications — 2.2%
Alaska Communications Systems Holdings, Inc.
Term Loan, 5.50%, Maturing October 21, 2016		369	$	337,055
Crown Castle International Corporation
Term Loan, 4.00%, Maturing January 31, 2019		348		348,032
Eircom Finco S.a.r.l.
Term Loan, 4.66%, Maturing September 30, 2017	EUR	617		561,111


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Intelsat Jackson Holdings S.A.
Term Loan, 5.25%, Maturing April 2, 2018		2,123	$	2,129,097
IPC Systems, Inc.
Term Loan, 3.15%, Maturing May 31, 2014	GBP	234		358,342
Macquarie UK Broadcast Limited
Term Loan, 3.06%, Maturing December 1, 2014	GBP	219		313,548
MetroPCS Wireless, Inc.
Term Loan, 4.00%, Maturing March 16, 2018		1,433		1,427,276
SBA Finance
Term Loan, 3.75%, Maturing June 29, 2018		173		173,142
Syniverse Holdings, Inc.
Term Loan, 5.00%, Maturing April 23, 2019		350		349,563
Telesat, LLC
Term Loan, 4.25%, Maturing March 28, 2019		675		673,554
Windstream Corporation
Term Loan, 3.15%, Maturing December 17, 2015		834		832,648

			$	7,503,368

Utilities — 0.9%
AES Corporation
Term Loan, 4.25%, Maturing June 1, 2018		494	$	495,381
Calpine Corporation
Term Loan, 4.50%, Maturing April 2, 2018		198		198,990
Term Loan, 4.50%, Maturing April 2, 2018		543		545,758
LS Power Funding Corp.
Term Loan, 5.50%, Maturing June 28, 2019		225		224,437
NRG Energy, Inc.
Term Loan, 4.00%, Maturing July 2, 2018		866		869,296
Texas Competitive Electric Holdings Company, LLC
Term Loan, 4.75%, Maturing October 10, 2017		851		543,605

			$	2,877,467


Total Senior Floating-Rate Interests (identified cost $158,814,608)			$	158,089,153


Collateralized Mortgage Obligations — 9.4%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 2113, Class QG, 6.00%, 1/15/29	$	2,806	$	3,068,352
Series 2167, Class BZ, 7.00%, 6/15/29		1,691		1,809,646
Series 2182, Class ZB, 8.00%, 9/15/29		2,518		2,908,963
Series 2770, (Interest Only), Class SH, 6.851%, 3/15/34⁽⁴⁾⁽⁵⁾		6,377		1,203,062
Series 3871, (Interest Only), Class MS, 6.951%, 6/15/41⁽⁴⁾⁽⁵⁾		4,660		876,136

			$	9,866,159

Federal National Mortgage Association:
Series 1989-89, Class H, 9.00%, 11/25/19	$	94	$	108,253
Series 1991-122, Class N, 7.50%, 9/25/21		340		387,278
Series 1993-84, Class M, 7.50%, 6/25/23		2,813		3,261,753
Series 1994-42, Class K, 6.50%, 4/25/24		909		1,029,838
Series 1997-28, Class ZA, 7.50%, 4/20/27		882		1,051,847
Series 1997-38, Class N, 8.00%, 5/20/27		779		936,690
Series 2006-42, (Interest Only), Class PI, 6.344%, 6/25/36⁽⁴⁾⁽⁵⁾		9,103		1,492,303
Series 2006-44, (Interest Only), Class IS, 6.354%, 6/25/36⁽⁴⁾⁽⁵⁾		7,758		1,221,417
Series 2006-72, (Interest Only), Class GI, 6.334%, 8/25/36⁽⁴⁾⁽⁵⁾		13,620		2,202,291



Security	Principal Amount (000’s omitted)		Value
Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35⁽⁵⁾	$	10,643	$	857,919
Series 2010-54, (Interest Only), Class EI, 6.00%, 6/25/40⁽⁵⁾		7,785		1,294,516
Series 2010-109, (Interest Only), Class PS, 6.354%, 10/25/40⁽⁴⁾⁽⁵⁾		17,999		2,501,385
Series 2010-147, (Interest Only), Class KS, 5.704%, 1/25/41⁽⁴⁾⁽⁵⁾		16,455		2,530,873
Series 2010-150, (Interest Only), Class GS, 6.504%, 1/25/21⁽⁴⁾⁽⁵⁾		12,895		1,779,401
Series G-33, Class PT, 7.00%, 10/25/21		986		1,092,521

			$	21,748,285


Total Collateralized Mortgage Obligations (identified cost $29,360,136)			$	31,614,444


Commercial Mortgage-Backed Securities — 2.7%

Security	Principal Amount (000’s omitted)		Value
CSFB, Series 2003-C3, Class D, 4.131%, 5/15/38	$	835	$	838,867
CSFB, Series 2004-C3, Class A5, 5.113%, 7/15/36⁽⁶⁾		595		636,823
GCCFC, Series 2003-C1, Class D, 4.29%, 7/5/35⁽⁷⁾		160		162,070
GECMC, Series 2004-C3, Class A4, 5.189%, 7/10/39⁽⁶⁾		1,250		1,332,681
GSMS, Series 2004-GG2, Class A6, 5.396%, 8/10/38⁽⁶⁾		1,250		1,342,773
JPMCC, Series 2010-C2, Class C, 5.528%, 11/15/43⁽⁶⁾⁽⁷⁾		500		532,516
MLMT, Series 2004-BPC1, Class A4, 4.724%, 10/12/41⁽⁶⁾		1,000		1,019,022
MSC, Series 2003-IQ6, Class A4, 4.97%, 12/15/41		500		522,472
RBSCF, Series 2010-MB1, Class C, 4.676%, 4/15/24⁽⁶⁾⁽⁷⁾		675		702,257
WBCMT, Series 2004-C12, Class A4, 5.311%, 7/15/41⁽⁶⁾		1,225		1,311,223
WFCM, Series 2010-C1, Class C, 5.587%, 11/15/43⁽⁶⁾⁽⁷⁾		500		538,182


Total Commercial Mortgage-Backed Securities (identified cost $8,092,591)			$	8,938,886


Mortgage Pass-Throughs — 37.8%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
2.904%, with maturity at 2035⁽⁸⁾	$	4,745	$	5,032,536
5.00%, with various maturities to 2023⁽⁹⁾		6,093		6,573,334
6.00%, with various maturities to 2029		4,605		5,264,579
6.15%, with maturity at 2027		1,371		1,617,307
6.50%, with various maturities to 2032		14,075		16,207,986
7.00%, with various maturities to 2035		7,551		9,077,032
7.50%, with various maturities to 2035		3,463		4,153,681
8.00%, with various maturities to 2032		3,609		4,463,640
8.50%, with various maturities to 2031		3,933		4,925,759
9.00%, with maturity at 2031		346		413,851
9.50%, with various maturities to 2022		242		281,245
11.50%, with maturity at 2019		246		264,061

			$	58,275,011

Federal National Mortgage Association:
5.50%, with various maturities to 2033	$	5,563	$	6,258,261
6.00%, with maturity at 2023		3,742		4,264,019
6.324%, with maturity at 2032⁽⁸⁾		2,079		2,269,520
6.50%, with various maturities to 2036		10,677		12,202,317
7.00%, with various maturities to 2033		12,786		15,184,571



Security	Principal Amount (000’s omitted)		Value
7.50%, with various maturities to 2031	$	8,371	$	10,169,339
8.00%, with various maturities to 2029		2,090		2,524,979
8.50%, with various maturities to 2027		501		604,157
9.00%, with various maturities to 2029		1,108		1,362,443
9.50%, with maturity at 2014		8		8,716
10.00%, with various maturities to 2031		821		960,223

			$	55,808,545

Government National Mortgage Association:
7.50%, with maturity at 2025	$	3,666	$	4,352,516
8.00%, with various maturities to 2027		4,206		5,286,306
9.00%, with various maturities to 2026		2,030		2,554,872
9.50%, with maturity at 2025		306		372,596
11.00%, with maturity at 2018		276		305,469

			$	12,871,759


Total Mortgage Pass-Throughs (identified cost $116,997,607)			$	126,955,315


Asset-Backed Securities — 0.1%

Security	Principal Amount (000’s omitted)		Value
Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.205%, 7/17/19⁽¹⁰⁾	$	500	$	400,206


Total Asset-Backed Securities (identified cost $500,000)			$	400,206


Corporate Bonds & Notes — 0.6%

Security	Principal Amount (000’s omitted)		Value
Chemicals and Plastics — 0.0%⁽¹¹⁾
Ineos Finance PLC, Sr. Notes
7.50%, 5/1/20⁽⁷⁾	$	150	$	153,000

			$	153,000

Home Furnishings — 0.1%
Libbey Glass, Inc., Sr. Notes
6.875%, 5/15/20⁽⁷⁾	$	150	$	159,000

			$	159,000

Lodging and Casinos — 0.1%
Caesars Entertainment Operating Co., Inc., Sr. Notes
8.50%, 2/15/20⁽⁷⁾	$	350	$	352,187

			$	352,187

Utilities — 0.4%
Calpine Corp., Sr. Notes
7.50%, 2/15/21⁽⁷⁾	$	575	$	642,563
7.875%, 1/15/23⁽⁷⁾		675		771,187

			$	1,413,750


Total Corporate Bonds & Notes (identified cost $1,900,000)			$	2,077,937



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⁽¹²⁾	$	2,518	$	2,652,257


Total Chile (identified cost $2,000,000)			$	2,652,257


Total Foreign Corporate Bonds & Notes (identified cost $2,000,000)			$	2,652,257


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	$	1,174,724

Total Albania			$	1,174,724

Bermuda — 0.2%
Government of Bermuda, 5.603%, 7/20/20⁽⁷⁾	USD	619	$	718,286

Total Bermuda			$	718,286

Brazil — 0.9%
Nota do Tesouro Nacional, 6.00%, 5/15/15⁽¹²⁾	BRL	6,049	$	3,185,985

Total Brazil			$	3,185,985

Congo — 0.1%
Republic of Congo, 3.00%, 6/30/29⁽¹³⁾	USD	403	$	321,233

Total Congo			$	321,233

Cyprus — 0.2%
Republic of Cyprus, 3.75%, 6/3/13	EUR	640	$	656,541

Total Cyprus			$	656,541

Dominican Republic — 1.0%
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank NA), 13.00%, 2/25/13⁽¹⁴⁾	DOP	31,000	$	795,888
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank NA), 16.00%, 7/10/20⁽¹⁴⁾	DOP	94,600		2,554,311

Total Dominican Republic			$	3,350,199

Georgia — 0.5%
Georgia Treasury Bond, 7.40%, 4/19/14	GEL	1,100	$	669,802
Georgia Treasury Bond, 9.10%, 12/8/13	GEL	200		124,603
Georgia Treasury Bond, 9.80%, 4/26/17	GEL	217		142,164
Georgia Treasury Bond, 11.30%, 1/26/17	GEL	900		618,604

Total Georgia			$	1,555,173

Germany — 0.9%
Bundesrepublik Deutschland, 4.75%, 7/4/34	EUR	1,700	$	3,108,888

Total Germany			$	3,108,888



Security	Principal Amount (000’s omitted)		Value
Hungary — 1.0%
National Bank of Hungary, 8.875%, 11/1/13	USD	370	$	382,384
Republic of Hungary, 3.50%, 7/18/16	EUR	437		486,766
Republic of Hungary, 4.375%, 7/4/17	EUR	1,532		1,701,942
Republic of Hungary, 4.50%, 1/29/14	EUR	537		658,808

Total Hungary			$	3,229,900

Mexico — 0.2%
Mexican Bonos, 7.00%, 6/19/14	MXN	9,645	$	759,507

Total Mexico			$	759,507

New Zealand — 1.5%
New Zealand Government Bond, 5.00%, 3/15/19	NZD	860	$	772,727
New Zealand Government Bond, 5.50%, 4/15/23	NZD	340		323,756
New Zealand Government Bond, 6.00%, 12/15/17	NZD	860		801,862
New Zealand Government Bond, 6.00%, 5/15/21	NZD	3,092		3,005,580

Total New Zealand			$	4,903,925

Philippines — 0.8%
Republic of the Philippines, 6.25%, 1/14/36	PHP	98,000	$	2,673,141

Total Philippines			$	2,673,141

Romania — 0.3%
Romania Government Bond, 6.75%, 2/7/22⁽⁷⁾	USD	980	$	1,040,025

Total Romania			$	1,040,025

Serbia — 2.9%
Serbia Treasury Bill, 0.00%, 8/9/12	RSD	115,840	$	1,206,745
Serbia Treasury Bill, 0.00%, 9/6/12	RSD	171,270		1,765,588
Serbia Treasury Bill, 0.00%, 9/6/12	RSD	194,870		2,008,875
Serbia Treasury Bill, 0.00%, 11/22/12	RSD	223,410		2,237,423
Serbia Treasury Bill, 0.00%, 1/17/13	RSD	1,030		10,112
Serbia Treasury Bill, 0.00%, 3/28/13	RSD	24,850		237,513
Serbia Treasury Bill, 0.00%, 4/4/13	RSD	25,400		242,074
Serbia Treasury Bill, 0.00%, 4/11/13	RSD	18,870		179,322
Serbia Treasury Bill, 0.00%, 4/25/13	RSD	30,290		286,685
Serbia Treasury Bill, 0.00%, 11/8/13	RSD	76,000		667,868
Serbia Treasury Bill, 0.00%, 12/12/13	RSD	18,200		158,229
Serbia Treasury Bill, 0.00%, 3/13/14	RSD	32,560		274,536
Serbia Treasury Bond, 10.00%, 4/27/15	RSD	60,770		573,780

Total Serbia			$	9,848,750

Sri Lanka — 0.6%
Republic of Sri Lanka, 5.875%, 7/25/22⁽⁷⁾	USD	970	$	983,860
Republic of Sri Lanka, 6.25%, 10/4/20⁽¹³⁾	USD	390		407,550
Sri Lanka Government Bond, 8.50%, 1/15/13	LKR	57,840		431,201
Sri Lanka Government Bond, 10.50%, 4/1/13	LKR	44,530		332,654

Total Sri Lanka			$	2,155,265

Turkey — 2.9%
Turkey Government Bond, 0.00%, 8/8/12	TRY	1,124	$	626,474
Turkey Government Bond, 0.00%, 11/7/12	TRY	9,145		4,993,599
Turkey Government Bond, 3.00%, 1/6/21⁽¹²⁾	TRY	7,376		4,144,267

Total Turkey			$	9,764,340



Security	Principal Amount (000’s omitted)		Value
Uruguay — 1.2%
Monetary Regulation Bill, 0.00%, 8/15/13	UYU	12,600	$	536,592
Republic of Uruguay, 4.375%, 12/15/28⁽¹²⁾	UYU	65,162		3,515,102

Total Uruguay			$	4,051,694

Venezuela — 1.4%
Bolivarian Republic of Venezuela, 7.00%, 3/31/38⁽¹³⁾	USD	3,383	$	2,273,376
Bolivarian Republic of Venezuela, 9.25%, 5/7/28⁽¹³⁾	USD	650		511,875
Bolivarian Republic of Venezuela, 11.75%, 10/21/26⁽¹³⁾	USD	1,919		1,772,676

Total Venezuela			$	4,557,927


Total Foreign Government Bonds (identified cost $58,678,986)			$	57,055,503


Common Stocks — 0.9%

Security	Shares		Value
Affinity Gaming, LLC^(15)(16)		23,498	$	266,311
Buffets Restaurants Holdings Inc.^(3)(15)(16)		11,690		106,262
Dayco Products, LLC^(15)(16)		8,898		302,532
Euramax International, Inc.^(3)(15)(16)		234		70,110
Ion Media Networks, Inc.^(3)(15)(16)		1,357		1,001,941
MediaNews Group, Inc.^(3)(15)(16)		3,023		64,904
Metro-Goldwyn-Mayer Holdings, Inc.^(3)(15)(16)		19,828		604,754
New Young Broadcasting Holding Co., Inc.^(15)(16)		126		382,725
Oreck Corp.^(3)(15)(16)		1,510		86,674
SuperMedia, Inc.^(15)(16)		1,346		3,095
United Subcontractors, Inc.^(3)(15)(16)		154		6,254


Total Common Stocks (identified cost $1,672,397)			$	2,895,562


Warrants — 0.0%

Security	Shares		Value
Luxembourg — 0.0%
ERC Luxembourg Holdings, Ltd., Expires 06/11/32^(3)(15)(16)		1,445	$	0


Total Warrants (identified cost $0)			$	0


Precious Metals — 2.0%

Description	Troy Ounces		Value
Gold⁽¹⁵⁾		1,983	$	3,199,659
Platinum⁽¹⁵⁾		2,364		3,347,434


Total Precious Metals (identified cost $6,775,524)			$	6,547,093


Currency Call Options Purchased — 0.0%⁽¹¹⁾

Description

Counterparty

Principal
Amount of
Contracts
(000’s omitted)

Strike
Price

Expiration
Date

Value

Indian Rupee

Bank of America

INR

104,383

INR

52.00

5/6/13

7,406

Indian Rupee

Bank of America

INR

95,413

INR

52.00

5/6/13

6,770

Indian Rupee

Bank of America

INR

104,500

INR

55.00

7/1/13

29,671

Indian Rupee

Barclays Bank PLC

INR

104,530

INR

52.00

5/6/13

7,417

Indian Rupee

Deutsche Bank

INR

82,700

INR

51.00

5/8/13

3,570

Indian Rupee

Goldman Sachs International

INR

95,900

INR

51.00

5/8/13

4,140

Indian Rupee

Goldman Sachs International

INR

82,500

INR

55.00

7/1/13

23,425

Indian Rupee

HSBC Bank USA

INR

100,700

INR

53.00

7/3/13

13,899

Indian Rupee

JPMorgan Chase Bank

INR

84,800

INR

53.00

7/3/13

11,704

Indian Rupee

Standard Chartered Bank

INR

86,600

INR

52.00

5/6/13

6,144

Indian Rupee

Standard Chartered Bank

INR

58,300

INR

53.00

7/3/13

8,047

Total Currency Call Options Purchased
(identified cost $215,821)

122,193

Currency Put Options Purchased — 0.0%⁽¹¹⁾

Description

Counterparty

Principal
Amount of
Contracts
(000’s omitted)

Strike
Price

Expiration
Date

Value

Australian Dollar

Citibank NA

AUD

580

AUD

1.00

8/8/12

Australian Dollar

Citibank NA

AUD

580

AUD

1.00

8/8/12

Australian Dollar

Deutsche Bank

AUD

1,840

AUD

1.00

8/8/12

193

Australian Dollar

Goldman Sachs International

AUD

2,580

AUD

1.00

8/8/12

271

Yuan Offshore Renminbi

Barclays Bank PLC

CNH

11,603

CNH

6.50

5/20/13

12,066

Yuan Offshore Renminbi

Citibank NA

CNH

10,979

CNH

6.50

5/20/13

11,418

Yuan Offshore Renminbi

HSBC Bank USA

CNH

12,409

CNH

6.50

5/20/13

12,905

Yuan Offshore Renminbi

Standard Chartered Bank

CNH

10,394

CNH

6.50

5/20/13

10,809

Total Currency Put Options Purchased
(identified cost $187,955)

47,784

Short-Term Investments — 14.8%

Foreign Government Securities — 6.2%


Security	Principal Amount (000’s omitted)		Value
Croatia — 0.5%
Croatia Treasury Bill, 0.00%, 11/15/12	EUR	260	$	316,743
Croatia Treasury Bill, 0.00%, 11/29/12	EUR	417		507,194
Croatia Treasury Bill, 0.00%, 2/28/13	EUR	233		280,709
Croatia Treasury Bill, 0.00%, 3/14/13	EUR	239		287,278
Croatia Treasury Bill, 0.00%, 4/4/13	EUR	350		421,418

Total Croatia			$	1,813,342


Security	Principal Amount (000’s omitted)		Value
Georgia — 0.1%
Georgia Treasury Bill, 0.00%, 9/6/12	GEL	137	$	82,457
Georgia Treasury Bill, 0.00%, 5/23/13	GEL	360		206,155

Total Georgia			$	288,612

Malaysia — 2.3%
Bank Negara Monetary Note, 0.00%, 8/2/12	MYR	4,907	$	1,567,863
Bank Negara Monetary Note, 0.00%, 8/9/12	MYR	1,565		499,760
Bank Negara Monetary Note, 0.00%, 8/14/12	MYR	4,755		1,517,822
Bank Negara Monetary Note, 0.00%, 8/23/12	MYR	2,900		925,021
Bank Negara Monetary Note, 0.00%, 8/28/12	MYR	3,227		1,028,895
Bank Negara Monetary Note, 0.00%, 9/4/12	MYR	1,383		440,729
Bank Negara Monetary Note, 0.00%, 9/13/12	MYR	1,636		520,969
Bank Negara Monetary Note, 0.00%, 9/27/12	MYR	1,203		382,638
Bank Negara Monetary Note, 0.00%, 10/18/12	MYR	2,097		665,840

Total Malaysia			$	7,549,537

Nigeria — 1.4%
Nigeria Treasury Bill, 0.00%, 2/7/13	NGN	69,400	$	400,456
Nigeria Treasury Bill, 0.00%, 2/21/13	NGN	150,288		862,188
Nigeria Treasury Bill, 0.00%, 3/7/13	NGN	107,000		604,850
Nigeria Treasury Bill, 0.00%, 3/28/13	NGN	71,400		403,518
Nigeria Treasury Bill, 0.00%, 4/4/13	NGN	233,700		1,316,693
Nigeria Treasury Bill, 0.00%, 4/11/13	NGN	60,000		337,071
Nigeria Treasury Bill, 0.00%, 4/25/13	NGN	52,700		294,342
Nigeria Treasury Bill, 0.00%, 5/9/13	NGN	113,600		630,824

Total Nigeria			$	4,849,942

Philippines — 0.3%
Philippine Treasury Bill, 0.00%, 8/22/12	PHP	35,920	$	859,382

Total Philippines			$	859,382

Serbia — 0.2%
Serbia Treasury Bill, 0.00%, 5/23/13	RSD	50,410	$	470,818
Serbia Treasury Bill, 0.00%, 6/13/13	RSD	36,000		333,310

Total Serbia			$	804,128

Sri Lanka — 1.4%
Sri Lanka Treasury Bill, 0.00%, 8/3/12	LKR	135,510	$	1,027,502
Sri Lanka Treasury Bill, 0.00%, 9/28/12	LKR	61,320		457,325
Sri Lanka Treasury Bill, 0.00%, 10/5/12	LKR	64,920		483,123
Sri Lanka Treasury Bill, 0.00%, 10/5/12	LKR	35,800		266,417
Sri Lanka Treasury Bill, 0.00%, 10/26/12	LKR	48,290		356,978
Sri Lanka Treasury Bill, 0.00%, 1/18/13	LKR	99,460		712,820
Sri Lanka Treasury Bill, 0.00%, 2/1/13	LKR	144,200		1,027,872
Sri Lanka Treasury Bill, 0.00%, 3/8/13	LKR	33,690		237,306

Total Sri Lanka			$	4,569,343

Uruguay — 0.0%⁽¹¹⁾
Monetary Regulation Bill, 0.00%, 8/24/12	UYU	3,025	$	140,894

Total Uruguay			$	140,894


Total Foreign Government Securities (identified cost $21,582,435)			$	20,875,180


U.S. Treasury Obligations — 2.0%

Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 11/15/12⁽⁹⁾	$	6,686	$	6,683,834


Total U.S. Treasury Obligations (identified cost $6,683,421)			$	6,683,834


Repurchase Agreements — 4.6%

Description	Principal Amount (000’s omitted)		Value
Bank of America:
Dated 7/5/12 with a maturity date of 8/9/12, an interest rate of 0.05% payable by the Fund and repurchase proceeds of EUR 1,365,526, collateralized by EUR 1,192,000 Government of France 3.75%, due 10/25/19 and a market value, including accrued interest, of $1,729,755.	EUR	1,366	$	1,680,215
Dated 7/24/12 with a maturity date of 9/26/12, an interest rate of 0.50% payable by the Fund and repurchase proceeds of EUR 603,855, collateralized by EUR 500,000 European Investment Bank 4.625%, due 4/15/20 and a market value, including accrued interest, of $746,248.	EUR	604		743,623
Dated 7/24/12 with a maturity date of 9/26/12, an interest rate of 0.55% payable by the Fund and repurchase proceeds of EUR 456,567, collateralized by EUR 400,000 European Investment Bank 3.625%, due 1/15/21 and a market value, including accrued interest, of $563,499.	EUR	457		562,293
Dated 7/24/12 with a maturity date of 9/26/12, an interest rate of 0.65% payable by the Fund and repurchase proceeds of EUR 599,853, collateralized by EUR 510,000 European Investment Bank 4.25%, due 4/15/19 and a market value, including accrued interest, of $744,584.	EUR	601		738,886
Dated 7/31/12 with a maturity date of 9/4/12, an interest rate of 0.09% payable by the Fund and repurchase proceeds of EUR 2,960,787, collateralized by EUR 2,580,000 Government of France 3.75%, due 4/25/17 and a market value, including accrued interest, of $3,639,274.	EUR	2,961		3,642,660
Barclay’s Bank PLC:
Dated 6/25/12 with a maturity date of 8/28/12, an interest rate of 0.15% and repurchase proceeds of EUR 1,627,306, collateralized by EUR 1,450,000 Government of France 4.00%, due 10/25/38 and a market value, including accrued interest, of $2,149,114.	EUR	1,627		2,001,727
Citibank NA:
Dated 7/20/12 with a maturity date of 8/27/12, an interest rate of 0.04% payable by the Fund and repurchase proceeds of EUR 2,261,407, collateralized by EUR 1,869,000 Government of France 4.00%, due 10/25/38 and a market value, including accrued interest, of $2,770,134.	EUR	2,261		2,782,537
Nomura International PLC:
Dated 7/25/12 with a maturity date of 8/29/12, an interest rate of 0.05% payable by the Fund and repurchase proceeds of EUR 1,743,061, collateralized by EUR 1,550,000 Belgium Kingdom Government Bond 3.75%, due 9/28/20 and a market value, including accrued interest, of $2,179,807.	EUR	1,743		2,144,751
Dated 7/25/12 with a maturity date of 8/29/12, an interest rate of 0.07% payable by the Fund and repurchase proceeds of EUR 806,922, collateralized by EUR 800,000 Bundesrepublik Deutschland 0.50%, due 4/7/17 and a market value, including accrued interest, of $994,290.	EUR	807		992,895


Total Repurchase Agreements (identified cost $15,223,519)			$	15,289,587


Other — 2.0%

Description	Interest/ Principal Amount (000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.11%⁽¹⁷⁾	$	5,306	$	5,306,290
State Street Bank and Trust Euro Time Deposit, 0.01%, 8/1/12		1,456		1,455,955


Total Other (identified cost $6,762,245)			$	6,762,245


Total Short-Term Investments (identified cost $50,251,620)			$	49,610,846


Total Investments — 133.2% (identified cost $435,447,245)			$	447,007,179


Currency Put Options Written — (0.0)%⁽¹¹⁾

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	$	(18,230	)
Indian Rupee	Goldman Sachs International	INR	48,750	INR	65.00		7/1/13		(14,392	)
Indian Rupee	HSBC Bank USA	INR	60,800	INR	64.00		7/3/13		(20,911	)
Indian Rupee	JPMorgan Chase Bank	INR	51,200	INR	64.00		7/3/13		(17,610	)
Indian Rupee	Standard Chartered Bank	INR	35,200	INR	64.00		7/3/13		(12,107	)


Total Currency Put Options Written (premiums received $106,770)								$	(83,250	)



Other Assets, Less Liabilities — (33.2)%	$	(111,346,910	)


Net Assets — 100.0%	$	335,577,019

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

AUD	-	Australian Dollar

BRL	-	Brazilian Real

CNH	-	Yuan Offshore Renminbi

DOP	-	Dominican Peso

EUR	-	Euro

GBP	-	British Pound Sterling

GEL	-	Georgian Lari

INR	-	Indian Rupee

LKR	-	Sri Lankan Rupee

MXN	-	Mexican Peso

MYR	-	Malaysian Ringgit

NGN	-	Nigerian Naira

NZD	-	New Zealand Dollar

PHP	-	Philippine Peso

RSD	-	Serbian Dinar

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)	This Senior Loan will settle after July 31, 2012, at which time the interest rate will be determined.

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

(4)	Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at July 31, 2012.

(5)	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.

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

(7)

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 July 31, 2012, the aggregate value of these securities is $6,755,133 or 2.0% of the Fund’s net assets.

(8)	Adjustable rate mortgage security. Rate shown is the rate at July 31, 2012.

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

(10)	Variable rate security. The stated interest rate represents the rate in effect at July 31, 2012.

(11)	Amount is less than 0.05%.

(12)	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.

(13)

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.

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

(15)	Non-income producing.

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

(17)

Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of July 31, 2012. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended July 31, 2012 was $4,664.

Securities Sold Short — (4.6)%

Foreign Government Bonds — (4.6)%


Security	Principal Amount (000’s omitted)			Value
Belgium — (0.7)%
Belgium Kingdom Government Bond, 3.75%, 9/28/20	EUR	(1,550	)	$	(2,119,458	)

Total Belgium				$	(2,119,458	)

France — (3.0)%
Government of France, 3.75%, 4/25/17	EUR	(2,580	)	$	(3,607,312	)
Government of France, 3.75%, 10/25/19	EUR	(1,192	)		(1,687,414	)
Government of France, 4.00%, 10/25/38	EUR	(3,319	)		(4,793,492	)

Total France				$	(10,088,218	)

Germany — (0.3)%
Bundesrepublik Deutschland, 0.50%, 4/7/17	EUR	(800	)	$	(992,726	)

Total Germany				$	(992,726	)

Supranational — (0.6)%
European Investment Bank, 3.625%, 1/15/21	EUR	(400	)	$	(553,772	)
European Investment Bank, 4.25%, 4/15/19	EUR	(510	)		(736,693	)
European Investment Bank, 4.625%, 4/15/20	EUR	(500	)		(737,830	)

Total Supranational				$	(2,028,295	)


Total Foreign Government Bonds (proceeds $15,396,313)				$	(15,228,697	)


Total Securities Sold Short (proceeds $15,396,313)				$	(15,228,697	)

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 July 31, 2012 were $11,749,436 or 3.5% 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 July 31, 2012 is as follows:

Forward Commodity Contracts⁽¹⁾


Settlement Date	Deliver	In Exchange For	Counterparty	Net Unrealized Depreciation
8/29/12	Gold 1,387 Troy Ounces	United States Dollar 2,181,172	Citibank NA	$	(58,368	)

				$	(58,368	)

⁽¹⁾	Non-deliverable contract that is settled with the counterparty in cash.

Forward Foreign Currency Exchange Contracts

Sales


Settlement Date	Deliver	In Exchange For	Counterparty	Net Unrealized Appreciation (Depreciation)
8/2/12	Serbian Dinar 26,440,000	Euro 224,883	Citibank NA	$	315
8/7/12	New Taiwan Dollar 30,195,000	United States Dollar 1,008,281	Australia and New Zealand Banking Group Limited		1,135
8/7/12	New Taiwan Dollar 33,376,000	United States Dollar 1,114,502	Barclays Bank PLC		1,255
8/8/12	Euro 2,697,672	United States Dollar 3,394,104	Deutsche Bank		74,667
8/8/12	New Turkish Lira 570,000	United States Dollar 309,134	JPMorgan Chase Bank		(8,086	)
8/8/12	South African Rand 4,000,000	United States Dollar 471,648	Deutsche Bank		(11,303	)
8/8/12	South African Rand 42,935,489	United States Dollar 5,133,982	Standard Bank		(49,953	)
8/9/12	Serbian Dinar 26,440,000	Euro 225,117	Barclays Bank PLC		1,082
8/9/12	Serbian Dinar 36,000,000	Euro 305,214	JPMorgan Chase Bank		(126	)
8/13/12	Euro 6,653,000	United States Dollar 8,182,990	Goldman Sachs International		(3,857	)
8/13/12	Euro 1,730,000	United States Dollar 2,122,243	Goldman Sachs International		(6,608	)
8/13/12	Japanese Yen 338,000,000	United States Dollar 4,270,642	Goldman Sachs International		(56,231	)
8/20/12	Euro 5,635,403	United States Dollar 6,891,760	Australia and New Zealand Banking Group Limited		(43,422	)
8/20/12	Euro 6,711,517	United States Dollar 8,211,139	Bank of America		(48,357	)
8/20/12	New Taiwan Dollar 23,559,000	United States Dollar 789,140	Australia and New Zealand Banking Group Limited		2,535


Settlement Date	Deliver	In Exchange For	Counterparty	Net Unrealized Appreciation (Depreciation)
8/20/12	New Taiwan Dollar 25,980,000	United States Dollar 870,235	Bank of America	$	2,796
8/20/12	New Taiwan Dollar 23,003,000	United States Dollar 770,517	Citibank NA		2,476
8/20/12	New Taiwan Dollar 20,585,000	United States Dollar 689,638	HSBC Bank USA		2,331
8/27/12	Chilean Peso 677,853,915	United States Dollar 1,370,371	Credit Suisse International		(28,512	)
8/29/12	South African Rand 12,263,951	United States Dollar 1,501,790	JPMorgan Chase Bank		25,350
8/31/12	British Pound Sterling 145,313	United States Dollar 227,108	JPMorgan Chase Bank		(718	)
8/31/12	Euro 5,564,838	United States Dollar 6,950,260	Citibank NA		101,084
9/4/12	New Taiwan Dollar 23,621,000	United States Dollar 792,396	Barclays Bank PLC		2,792
9/4/12	New Taiwan Dollar 28,869,000	United States Dollar 968,563	Deutsche Bank		3,529
9/5/12	Chilean Peso 669,782,794	United States Dollar 1,379,573	State Street Bank and Trust Co.		(794	)
9/7/12	Euro 2,940,000	United States Dollar 3,651,171	Bank of America		32,328
9/25/12	New Taiwan Dollar 29,957,000	United States Dollar 1,006,045	Australia and New Zealand Banking Group Limited		4,139
9/25/12	New Taiwan Dollar 30,696,000	United States Dollar 1,030,690	HSBC Bank USA		4,068
9/25/12	New Taiwan Dollar 32,311,000	United States Dollar 1,084,917	Nomura International PLC		4,282
9/28/12	British Pound Sterling 398,006	United States Dollar 618,967	Goldman Sachs International		(5,028	)
10/3/12	New Zealand Dollar 6,121,240	United States Dollar 4,931,638	Goldman Sachs International		(5,043	)
10/23/12	Croatian Kuna 2,415,000	Euro 311,131	Barclays Bank PLC		(11,240	)
10/29/12	Russian Ruble 11,310,000	United States Dollar 353,189	Deutsche Bank		7,323
10/29/12	Russian Ruble 13,033,000	United States Dollar 406,900	HSBC Bank USA		8,344
10/29/12	Russian Ruble 5,657,000	United States Dollar 176,616	Standard Chartered Bank		3,622
10/31/12	British Pound Sterling 682,847	United States Dollar 1,073,589	HSBC Bank USA		3,009
11/5/12	Brazilian Real 3,419,000	United States Dollar 1,655,049	Barclays Bank PLC		13,075
11/5/12	Brazilian Real 3,221,600	United States Dollar 1,558,889	State Street Bank and Trust Co.		11,717
11/15/12	Euro 260,000	United States Dollar 352,867	Goldman Sachs International		32,527
11/29/12	Euro 417,000	United States Dollar 559,531	Standard Chartered Bank		45,649
1/17/13	Croatian Kuna 2,303,668	Euro 296,025	Barclays Bank PLC		(8,993	)
1/18/13	Sri Lankan Rupee 99,460,000	United States Dollar 828,833	HSBC Bank USA		107,032


Settlement Date	Deliver	In Exchange For	Counterparty	Net Unrealized Appreciation (Depreciation)
2/28/13	Euro 233,000	United States Dollar 312,063	Standard Chartered Bank	$	24,540
3/8/13	Sri Lankan Rupee 33,690,000	United States Dollar 260,054	HSBC Bank USA		17,938
3/14/13	Euro 239,000	United States Dollar 312,643	Deutsche Bank		17,654
4/4/13	Euro 350,000	United States Dollar 467,980	Barclays Bank PLC		35,848

				$	306,171

Purchases


Settlement Date	In Exchange For	Deliver	Counterparty	Net Unrealized Appreciation (Depreciation)
8/2/12	Serbian Dinar 26,440,000	Euro 225,405	Barclays Bank PLC	$	(957	)
8/6/12	Yuan Offshore Renminbi 4,540,000	United States Dollar 712,884	Barclays Bank PLC		(654	)
8/7/12	Ugandan Shilling 292,047,600	United States Dollar 98,532	Standard Chartered Bank		19,005
8/8/12	New Turkish Lira 2,551,673	United States Dollar 1,377,360	Deutsche Bank		42,712
8/13/12	Mexican Peso 70,352,741	United States Dollar 5,227,073	Toronto-Dominion Bank		57,772
8/13/12	Polish Zloty 1,827,741	Euro 423,000	Barclays Bank PLC		25,844
8/13/12	Polish Zloty 5,017,574	Euro 1,187,198	Deutsche Bank		38,996
8/13/12	Polish Zloty 1,378,400	Euro 317,034	Goldman Sachs International		21,919
8/13/12	Polish Zloty 2,021,600	Euro 465,131	JPMorgan Chase Bank		31,949
8/13/12	Polish Zloty 5,017,574	Euro 1,187,451	JPMorgan Chase Bank		38,685
8/13/12	South Korean Won 524,790,000	United States Dollar 458,384	Deutsche Bank		6,049
8/13/12	South Korean Won 512,460,000	United States Dollar 447,602	Toronto-Dominion Bank		5,919
8/14/12	Philippine Peso 28,772,000	United States Dollar 669,724	Australia and New Zealand Banking Group Limited		19,388
8/14/12	Philippine Peso 28,772,000	United States Dollar 669,802	Bank of America		19,310
8/14/12	Philippine Peso 30,386,000	United States Dollar 707,210	HSBC Bank USA		20,558
8/16/12	South Korean Won 645,309,000	United States Dollar 559,741	JPMorgan Chase Bank		11,441
8/16/12	South Korean Won 716,259,000	United States Dollar 621,537	Standard Chartered Bank		12,446
8/16/12	Yuan Offshore Renminbi 11,499,000	United States Dollar 1,801,843	Barclays Bank PLC		1,291


Settlement Date	In Exchange For	Deliver	Counterparty	Net Unrealized Appreciation (Depreciation)
8/16/12	Yuan Offshore Renminbi 10,322,000	United States Dollar 1,617,437	JPMorgan Chase Bank	$	1,134
8/16/12	Yuan Offshore Renminbi 11,764,000	United States Dollar 1,843,309	Nomura International PLC		1,379
8/20/12	Mexican Peso 31,600,000	United States Dollar 2,243,203	Standard Chartered Bank		129,016
8/21/12	Hong Kong Dollar 50,198,000	United States Dollar 6,464,399	Nomura International PLC		9,221
8/27/12	Polish Zloty 3,602,931	Euro 854,261	HSBC Bank USA		23,843
8/27/12	South Korean Won 491,622,000	United States Dollar 422,973	Australia and New Zealand Banking Group Limited		12,433
8/27/12	South Korean Won 545,560,000	United States Dollar 469,339	Barclays Bank PLC		13,838
8/29/12	South African Rand 8,357,033	United States Dollar 1,010,891	Australia and New Zealand Banking Group Limited		(4,799	)
8/29/12	South African Rand 8,111,521	United States Dollar 973,280	Goldman Sachs International		3,255
8/30/12	Malaysian Ringgit 13,714,000	United States Dollar 4,334,661	Nomura International PLC		49,292
8/31/12	Norwegian Krone 11,476,150	Euro 1,534,928	Barclays Bank PLC		12,751
8/31/12	Norwegian Krone 11,476,150	Euro 1,535,168	Deutsche Bank		12,456
9/11/12	South Korean Won 2,669,636,000	United States Dollar 2,335,149	BNP Paribas SA		28,969
9/11/12	South Korean Won 2,950,564,000	United States Dollar 2,580,179	Nomura International PLC		32,717
9/17/12	Singapore Dollar 5,317,000	United States Dollar 4,200,174	Standard Chartered Bank		72,629
9/20/12	Ugandan Shilling 633,000,000	United States Dollar 250,991	Barclays Bank PLC		(506	)
9/25/12	Swedish Krona 10,635,000	Euro 1,255,386	Barclays Bank PLC		14,744
9/25/12	Swedish Krona 10,635,400	Euro 1,255,381	Deutsche Bank		14,808
9/27/12	Ugandan Shilling 800,000,000	United States Dollar 315,085	Barclays Bank PLC		621
9/28/12	Ugandan Shilling 1,007,000,000	United States Dollar 398,496	Standard Chartered Bank		(1,257	)
10/9/12	Croatian Kuna 2,374,074	Euro 314,864	Deutsche Bank		295
10/9/12	Croatian Kuna 2,344,594	Euro 309,558	JPMorgan Chase Bank		2,010
10/18/12	Ugandan Shilling 1,210,000,000	United States Dollar 473,581	JPMorgan Chase Bank		(1,690	)
10/29/12	Russian Ruble 13,500,000	United States Dollar 404,745	Bank of America		8,092
10/29/12	Russian Ruble 16,500,000	United States Dollar 493,642	Credit Suisse International		10,936
10/29/12	Ugandan Shilling 454,244,000	United States Dollar 145,614	Citibank NA		30,348


Settlement Date	In Exchange For	Deliver	Counterparty	Net Unrealized Appreciation (Depreciation)
10/29/12	Ugandan Shilling 457,198,000	United States Dollar 144,886	Standard Chartered Bank	$	32,221
10/30/12	Yuan Renminbi 13,915,604	United States Dollar 2,185,548	HSBC Bank USA		4,075
10/30/12	Yuan Renminbi 11,734,359	United States Dollar 1,842,823	Standard Chartered Bank		3,581
10/31/12	Ugandan Shilling 250,079,000	United States Dollar 80,879	Standard Bank		15,877
12/14/12	Hungarian Forint 21,570,951	United States Dollar 90,615	Goldman Sachs International		1,899

				$	905,861

Futures Contracts


Expiration Month/Year	Contracts	Position	Aggregate Cost			Value			Net Unrealized Depreciation
9/12	34 Euro-Bobl	Short	$	(5,320,896	)	$	(5,344,241	)	$	(23,345	)
9/12	4 Euro-Schatz	Short		(544,723	)		(546,027	)		(1,304	)
9/12	4 Japan 10-Year Bond	Short		(7,335,680	)		(7,373,312	)		(37,632	)
9/12	13 U.S. 10-Year Treasury Note	Short		(1,740,036	)		(1,750,532	)		(10,496	)
10/12	22 Platinum	Long		1,614,520			1,558,590			(55,930	)

									$	(128,707	)

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-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	117,000	Pays	6-month HUF BUBOR		6.95	%		1/17/17	$	14,237
Bank of America	HUF	117,000	Receives	6-month HUF BUBOR		7.91			1/17/17		(47,733	)
Bank of America	PLN	838	Pays	6-month PLN WIBOR		4.34			7/30/17		38
Barclays Bank PLC	PLN	3,510	Pays	6-month PLN WIBOR		4.43			7/27/17		4,265
Barclays Bank PLC	PLN	1,934	Pays	6-month PLN WIBOR		4.32			8/2/17		(339	)
Citibank NA	PLN	1,610	Pays	6-month PLN WIBOR		4.33			7/30/17		20
Citibank NA	PLN	1,206	Pays	6-month PLN WIBOR		4.31			8/2/17		(291	)
Credit Suisse International	HUF	46,530	Pays	6-month HUF BUBOR		6.93			12/16/16		6,571
Credit Suisse International	HUF	46,530	Receives	6-month HUF BUBOR		7.32			12/16/16		(13,764	)
Credit Suisse International	HUF	80,000	Receives	6-month HUF BUBOR		7.63			1/16/17		(28,424	)
Credit Suisse International	HUF	67,000	Receives	6-month HUF BUBOR		7.75			1/20/17		(25,339	)
Deutsche Bank	HUF	69,250	Pays	6-month HUF BUBOR		7.01			1/19/17		8,740
Deutsche Bank	HUF	69,250	Receives	6-month HUF BUBOR		7.98			1/19/17		(29,176	)
Deutsche Bank	PLN	952	Pays	6-month PLN WIBOR		4.34			7/30/17		106
Deutsche Bank	PLN	3,380	Pays	6-month PLN WIBOR		4.36			8/1/17		1,202
JPMorgan Chase Bank	HUF	173,000	Pays	6-month HUF BUBOR		6.93			12/19/16		24,867
JPMorgan Chase Bank	HUF	173,000	Receives	6-month HUF BUBOR		7.26			12/19/16		(48,917	)
JPMorgan Chase Bank	HUF	103,000	Pays	6-month HUF BUBOR		6.94			12/20/16		9,749
JPMorgan Chase Bank	HUF	103,000	Receives	6-month HUF BUBOR		7.34			12/20/16		(30,727	)
JPMorgan Chase Bank	HUF	139,000	Receives	6-month HUF BUBOR		7.36			12/21/16		(42,056	)


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	80,000	Pays	6-month HUF BUBOR		6.99	%		12/22/16	$	12,392
JPMorgan Chase Bank	HUF	80,000	Receives	6-month HUF BUBOR		7.30			12/22/16		(23,261	)
JPMorgan Chase Bank	HUF	78,000	Receives	6-month HUF BUBOR		7.37			12/27/16		(23,756	)
JPMorgan Chase Bank	HUF	82,000	Receives	6-month HUF BUBOR		7.75			1/20/17		(31,012	)
Morgan Stanley & Co. International PLC	HUF	72,000	Pays	6-month HUF BUBOR		6.94			12/19/16		10,413
Morgan Stanley & Co. International PLC	HUF	72,000	Receives	6-month HUF BUBOR		7.26			12/19/16		(20,359	)

										$	(272,554	)



HUF	-	Hungarian Forint

PLN	-	Polish Zloty

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	$	430		5.00	%⁽¹⁾		6/20/13		6.61	%	$	(3,474	)	$	(2,509	)	$	(5,983	)
Argentina	Bank of America		437		5.00	⁽¹⁾		6/20/13		6.61			(3,536	)		(3,369	)		(6,905	)
Argentina	Bank of America		442		5.00	⁽¹⁾		6/20/13		6.61			(3,570	)		(3,513	)		(7,083	)
Argentina	Bank of America		859		5.00	⁽¹⁾		6/20/13		6.61			(6,948	)		(4,873	)		(11,821	)
Argentina	Bank of America		2,608		5.00	⁽¹⁾		6/20/13		6.61			(21,087	)		(6,484	)		(27,571	)
Argentina	Credit Suisse International		435		5.00	⁽¹⁾		6/20/13		6.61			(3,518	)		(1,081	)		(4,599	)
Argentina	Credit Suisse International		384		5.00	⁽¹⁾		6/20/13		6.61			(3,105	)		(2,248	)		(5,353	)
Argentina	Credit Suisse International		446		5.00	⁽¹⁾		6/20/13		6.61			(3,606	)		(1,854	)		(5,460	)
Argentina	Credit Suisse International		442		5.00	⁽¹⁾		6/20/13		6.61			(3,574	)		(2,588	)		(6,162	)
Argentina	Deutsche Bank		279		5.00	⁽¹⁾		6/20/13		6.61			(2,257	)		(1,634	)		(3,891	)
Argentina	Deutsche Bank		440		5.00	⁽¹⁾		6/20/13		6.61			(3,558	)		(2,395	)		(5,953	)
Argentina	Deutsche Bank		442		5.00	⁽¹⁾		6/20/13		6.61			(3,574	)		(2,588	)		(6,162	)
Argentina	Deutsche Bank		442		5.00	⁽¹⁾		6/20/13		6.61			(3,570	)		(3,513	)		(7,083	)
Poland	Bank of America		720		1.00	⁽¹⁾		9/20/17		1.64			(21,785	)		33,700			11,915
Poland	Bank of America		430		1.00	⁽¹⁾		9/20/17		1.64			(13,011	)		13,527			516
Poland	Barclays Bank PLC		500		1.00	⁽¹⁾		9/20/17		1.64			(15,128	)		26,145			11,017
Poland	Credit Suisse International		800		1.00	⁽¹⁾		9/20/17		1.64			(24,206	)		40,020			15,814
Poland	Deutsche Bank		900		1.00	⁽¹⁾		9/20/17		1.64			(27,232	)		48,296			21,064
Poland	Goldman Sachs International		510		1.00	⁽¹⁾		9/20/17		1.64			(15,744	)		15,454			(290	)
Poland	Morgan Stanley & Co. International PLC		340		1.00	⁽¹⁾		9/20/17		1.64			(10,495	)		10,544			49
South Africa	Bank of America		200		1.00	⁽¹⁾		12/20/15		0.89			1,004			1,092			2,096
South Africa	Bank of America		55		1.00	⁽¹⁾		12/20/15		0.89			276			315			591
South Africa	Barclays Bank PLC		145		1.00	⁽¹⁾		12/20/15		0.89			728			929			1,657


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	Barclays Bank PLC	$	80		1.00	%⁽¹⁾		12/20/15		0.89	%	$	401		$	509	$	910
South Africa	Barclays Bank PLC		640		1.00	⁽¹⁾		9/20/17		1.32			(9,296	)		16,722		7,426
South Africa	BNP Paribas SA		800		1.00	⁽¹⁾		9/20/17		1.32			(11,620	)		25,066		13,446
South Africa	BNP Paribas SA		1,060		1.00	⁽¹⁾		9/20/17		1.32			(15,397	)		28,702		13,305
South Africa	Citibank NA		400		1.00	⁽¹⁾		6/20/17		1.26			(4,503	)		13,029		8,526
South Africa	Credit Suisse International		200		1.00	⁽¹⁾		12/20/15		0.89			1,003			1,284		2,287
South Africa	Credit Suisse International		85		1.00	⁽¹⁾		12/20/15		0.89			426			594		1,020
South Africa	Deutsche Bank		155		1.00	⁽¹⁾		12/20/15		0.89			777			994		1,771
South Africa	Deutsche Bank		440		1.00	⁽¹⁾		9/20/17		1.32			(6,390	)		16,462		10,072
South Africa	Deutsche Bank		800		1.00	⁽¹⁾		9/20/17		1.32			(11,621	)		20,903		9,282
South Africa	Goldman Sachs International		205		1.00	⁽¹⁾		12/20/15		0.89			1,029			1,379		2,408
South Africa	Goldman Sachs International		90		1.00	⁽¹⁾		12/20/15		0.89			452			629		1,081
South Africa	Goldman Sachs International		280		1.00	⁽¹⁾		9/20/17		1.32			(4,067	)		9,953		5,886
South Africa	HSBC Bank USA		800		1.00	⁽¹⁾		9/20/17		1.32			(11,620	)		28,815		17,195
South Africa	HSBC Bank USA		854		1.00	⁽¹⁾		9/20/17		1.32			(12,405	)		22,314		9,909
South Africa	JPMorgan Chase Bank		800		1.00	⁽¹⁾		9/20/17		1.32			(11,619	)		24,311		12,692
South Africa	Morgan Stanley & Co. International PLC		600		1.00	⁽¹⁾		6/20/17		1.26			(6,754	)		19,274		12,520
South Africa	Morgan Stanley & Co. International PLC		800		1.00	⁽¹⁾		9/20/17		1.32			(11,620	)		23,934		12,314
Markit CDX North America High Yield Index	Citibank NA		1,030		5.00	⁽¹⁾		6/20/17		5.67			(21,832	)		36,414		14,582
Markit CDX North America High Yield Index	Deutsche Bank		1,148		5.00	⁽¹⁾		6/20/17		5.67			(24,352	)		70,438		46,086
Markit CDX North America High Yield Index	JPMorgan Chase Bank		842		5.00	⁽¹⁾		6/20/17		5.67			(17,843	)		52,126		34,283

												$	(367,821	)	$	565,225	$	197,404

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	$	(7,071	)	$	—		$	(7,071	)
Austria	Barclays Bank PLC		1,000		1.42			3/20/14		(19,846	)		—			(19,846	)
Brazil	Bank of America		1,000		1.00	⁽¹⁾		6/20/20		43,939			(28,916	)		15,023
Brazil	Bank of America		625		1.00	⁽¹⁾		6/20/20		27,463			(22,805	)		4,658
Brazil	Bank of America		300		1.00	⁽¹⁾		12/20/20		14,628			(9,172	)		5,456
Brazil	Bank of America		100		1.00	⁽¹⁾		12/20/20		4,876			(2,925	)		1,951
Brazil	Bank of America		80		1.00	⁽¹⁾		12/20/20		3,901			(2,501	)		1,400
Brazil	Barclays Bank PLC		2,300		1.65			9/20/19		(26,396	)		—			(26,396	)
Brazil	Barclays Bank PLC		630		1.00	⁽¹⁾		12/20/20		30,720			(20,151	)		10,569
Brazil	Citibank NA		100		1.00	⁽¹⁾		12/20/20		4,876			(2,959	)		1,917
Brazil	Credit Suisse International		775		1.00	⁽¹⁾		6/20/20		34,054			(33,416	)		638
Brazil	Deutsche Bank		170		1.00	⁽¹⁾		12/20/20		8,290			(5,612	)		2,678
Brazil	HSBC Bank USA		775		1.00	⁽¹⁾		6/20/20		34,054			(32,021	)		2,033
Brazil	HSBC Bank USA		130		1.00	⁽¹⁾		12/20/20		6,339			(3,847	)		2,492
Brazil	Standard Chartered Bank		130		1.00	⁽¹⁾		12/20/20		6,339			(3,847	)		2,492
China	Bank of America		500		1.00	⁽¹⁾		3/20/17		(752	)		(13,840	)		(14,592	)
China	Barclays Bank PLC		863		1.00	⁽¹⁾		3/20/17		(1,298	)		(21,739	)		(23,037	)
China	Deutsche Bank		316		1.00	⁽¹⁾		3/20/17		(475	)		(7,565	)		(8,040	)
China	Deutsche Bank		369		1.00	⁽¹⁾		3/20/17		(555	)		(8,834	)		(9,389	)
Colombia	Bank of America		410		1.00	⁽¹⁾		9/20/21		17,033			(16,824	)		209
Colombia	Citibank NA		300		1.00	⁽¹⁾		6/20/22		14,186			(23,467	)		(9,281	)
Colombia	Deutsche Bank		600		1.00	⁽¹⁾		6/20/22		28,371			(39,451	)		(11,080	)
Colombia	Goldman Sachs International		840		1.00	⁽¹⁾		6/20/17		5,630			(26,952	)		(21,322	)
Colombia	Goldman Sachs International		310		1.00	⁽¹⁾		9/20/21		12,879			(12,497	)		382
Colombia	Goldman Sachs International		300		1.00	⁽¹⁾		6/20/22		14,186			(23,467	)		(9,281	)
Colombia	HSBC Bank USA		460		1.00	⁽¹⁾		6/20/17		3,083			(14,965	)		(11,882	)
Colombia	HSBC Bank USA		900		1.00	⁽¹⁾		9/20/21		37,389			(35,469	)		1,920
Colombia	Morgan Stanley & Co. International PLC		460		1.00	⁽¹⁾		9/20/21		19,110			(18,875	)		235
Colombia	Morgan Stanley & Co. International PLC		300		1.00	⁽¹⁾		6/20/22		14,185			(19,200	)		(5,015	)
Egypt	Bank of America		1,400		1.00	⁽¹⁾		9/20/15		170,375			(42,051	)		128,324
Egypt	Citibank NA		300		1.00	⁽¹⁾		6/20/20		85,902			(26,231	)		59,671
Egypt	Deutsche Bank		350		1.00	⁽¹⁾		6/20/20		100,218			(30,748	)		69,470
Egypt	Deutsche Bank		300		1.00	⁽¹⁾		6/20/20		85,901			(23,323	)		62,578
Egypt	Deutsche Bank		300		1.00	⁽¹⁾		6/20/20		85,901			(26,391	)		59,510
Guatemala	Citibank NA		1,286		1.00	⁽¹⁾		9/20/20		82,953			(80,365	)		2,588
Hungary	Barclays Bank PLC		400		1.00	⁽¹⁾		3/20/17		57,921			(66,774	)		(8,853	)
Hungary	Deutsche Bank		300		1.00	⁽¹⁾		3/20/17		43,441			(49,680	)		(6,239	)
Hungary	Goldman Sachs International		600		1.00	⁽¹⁾		3/20/17		86,882			(98,995	)		(12,113	)
Lebanon	Barclays Bank PLC		500		1.00	⁽¹⁾		12/20/14		29,751			(18,370	)		11,381
Lebanon	Barclays Bank PLC		300		1.00	⁽¹⁾		3/20/15		20,789			(11,157	)		9,632
Lebanon	Barclays Bank PLC		100		1.00	⁽¹⁾		3/20/15		6,930			(3,786	)		3,144
Lebanon	Barclays Bank PLC		100		1.00	⁽¹⁾		3/20/15		6,930			(4,330	)		2,600
Lebanon	Citibank NA		1,200		3.30			9/20/14		(11,096	)		—			(11,096	)
Lebanon	Citibank NA		1,000		1.00	⁽¹⁾		12/20/14		59,502			(37,294	)		22,208


Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**			Termination Date		Market Value			Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
Lebanon	Citibank NA	$	500		1.00	%⁽¹⁾		12/20/14	$	29,751		$	(18,370	)	$	11,381
Lebanon	Citibank NA		350		1.00	⁽¹⁾		12/20/14		20,826			(12,601	)		8,225
Lebanon	Citibank NA		300		1.00	⁽¹⁾		3/20/15		20,790			(9,939	)		10,851
Lebanon	Credit Suisse International		800		1.00	⁽¹⁾		3/20/15		55,438			(29,735	)		25,703
Lebanon	Credit Suisse International		200		1.00	⁽¹⁾		3/20/15		13,860			(7,477	)		6,383
Lebanon	Credit Suisse International		100		1.00	⁽¹⁾		6/20/15		7,912			(3,813	)		4,099
Lebanon	Deutsche Bank		200		1.00	⁽¹⁾		3/20/15		13,859			(6,902	)		6,957
Lebanon	Deutsche Bank		100		1.00	⁽¹⁾		6/20/15		7,912			(3,813	)		4,099
Mexico	Bank of America		400		1.00	⁽¹⁾		6/20/22		18,039			(25,603	)		(7,564	)
Mexico	Bank of America		670		1.00	⁽¹⁾		6/20/22		30,213			(48,725	)		(18,512	)
Mexico	Deutsche Bank		400		1.00	⁽¹⁾		6/20/22		18,039			(26,933	)		(8,894	)
Mexico	Deutsche Bank		540		1.00	⁽¹⁾		6/20/22		24,351			(41,989	)		(17,638	)
Philippines	Barclays Bank PLC		1,100		1.85			12/20/14		(37,436	)		—			(37,436	)
Philippines	Barclays Bank PLC		655		1.00	⁽¹⁾		3/20/15		(7,959	)		(10,025	)		(17,984	)
Philippines	Citibank NA		800		1.84			12/20/14		(27,025	)		—			(27,025	)
Philippines	JPMorgan Chase Bank		656		1.00	⁽¹⁾		3/20/15		(7,971	)		(10,040	)		(18,011	)
Russia	Bank of America		430		1.00	⁽¹⁾		9/20/17		15,083			(16,564	)		(1,481	)
Russia	Bank of America		1,420		1.00	⁽¹⁾		9/20/17		49,811			(77,545	)		(27,734	)
Russia	Barclays Bank PLC		500		1.00	⁽¹⁾		9/20/17		17,539			(29,106	)		(11,567	)
Russia	Citibank NA		510		1.00	⁽¹⁾		9/20/17		17,871			(18,226	)		(355	)
Russia	Credit Suisse International		800		1.00	⁽¹⁾		9/20/17		28,063			(44,048	)		(15,985	)
Russia	Deutsche Bank		200		1.00	⁽¹⁾		9/20/17		7,016			(11,643	)		(4,627	)
Russia	Morgan Stanley & Co. International PLC		340		1.00	⁽¹⁾		9/20/17		11,915			(12,471	)		(556	)
South Africa	Bank of America		1,200		1.00	⁽¹⁾		12/20/19		49,395			(41,116	)		8,279
South Africa	Bank of America		200		1.00	⁽¹⁾		12/20/20		10,402			(6,462	)		3,940
South Africa	Bank of America		55		1.00	⁽¹⁾		12/20/20		2,860			(1,949	)		911
South Africa	Barclays Bank PLC		1,200		1.00	⁽¹⁾		12/20/19		49,395			(47,529	)		1,866
South Africa	Barclays Bank PLC		500		1.00	⁽¹⁾		3/20/20		21,959			(15,254	)		6,705
South Africa	Barclays Bank PLC		145		1.00	⁽¹⁾		12/20/20		7,542			(4,668	)		2,874
South Africa	Barclays Bank PLC		80		1.00	⁽¹⁾		12/20/20		4,160			(2,729	)		1,431
South Africa	Barclays Bank PLC		550		1.00	⁽¹⁾		9/20/22		38,198			(47,260	)		(9,062	)
South Africa	BNP Paribas SA		550		1.00	⁽¹⁾		9/20/22		38,198			(48,557	)		(10,359	)
South Africa	Citibank NA		655		1.00	⁽¹⁾		12/20/19		26,961			(29,495	)		(2,534	)
South Africa	Citibank NA		200		1.00	⁽¹⁾		3/20/20		8,784			(9,523	)		(739	)
South Africa	Citibank NA		400		1.00	⁽¹⁾		3/20/20		17,567			(19,657	)		(2,090	)
South Africa	Credit Suisse International		400		1.00	⁽¹⁾		3/20/20		17,568			(13,383	)		4,185
South Africa	Credit Suisse International		200		1.00	⁽¹⁾		3/20/20		8,783			(8,140	)		643
South Africa	Credit Suisse International		200		1.00	⁽¹⁾		12/20/20		10,402			(6,870	)		3,532
South Africa	Credit Suisse International		85		1.00	⁽¹⁾		12/20/20		4,420			(3,068	)		1,352
South Africa	Deutsche Bank		155		1.00	⁽¹⁾		12/20/20		8,062			(5,200	)		2,862
South Africa	Deutsche Bank		440		1.00	⁽¹⁾		9/20/22		30,558			(43,951	)		(13,393	)
South Africa	Goldman Sachs International		205		1.00	⁽¹⁾		12/20/20		10,662			(7,016	)		3,646
South Africa	Goldman Sachs International		90		1.00	⁽¹⁾		12/20/20		4,681			(3,130	)		1,551
South Africa	Goldman Sachs International		280		1.00	⁽¹⁾		9/20/22		19,446			(27,105	)		(7,659	)


Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**			Termination Date		Market Value			Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
South Africa	JPMorgan Chase Bank	$	600		1.00	%⁽¹⁾		12/20/19	$	24,698		$	(28,174	)	$	(3,476	)
South Africa	JPMorgan Chase Bank		310		1.00	⁽¹⁾		12/20/19		12,760			(17,470	)		(4,710	)
South Africa	JPMorgan Chase Bank		400		1.00	⁽¹⁾		3/20/20		17,568			(13,618	)		3,950
South Africa	JPMorgan Chase Bank		300		1.00	⁽¹⁾		3/20/20		13,176			(9,861	)		3,315
South Africa	JPMorgan Chase Bank		200		1.00	⁽¹⁾		3/20/20		8,783			(9,409	)		(626	)
Spain	Barclays Bank PLC		300		1.00	⁽¹⁾		3/20/20		66,473			(2,750	)		63,723
Spain	Barclays Bank PLC		1,080		1.00	⁽¹⁾		12/20/20		249,987			(93,939	)		156,048
Spain	Citibank NA		1,200		1.00	⁽¹⁾		3/20/20		265,888			(51,723	)		214,165
Spain	Citibank NA		800		1.00	⁽¹⁾		3/20/20		177,258			(16,744	)		160,514
Spain	Deutsche Bank		1,200		1.00	⁽¹⁾		3/20/20		265,888			(51,723	)		214,165
Spain	Deutsche Bank		500		1.00	⁽¹⁾		3/20/20		110,786			(9,882	)		100,904
Spain	Deutsche Bank		500		1.00	⁽¹⁾		6/20/20		112,480			(27,932	)		84,548
Spain	Deutsche Bank		845		1.00	⁽¹⁾		12/20/20		195,591			(73,498	)		122,093
Thailand	Barclays Bank PLC		1,900		0.97			9/20/19		71,380			—			71,380
Thailand	Citibank NA		1,600		0.86			12/20/14		(7,108	)		—			(7,108	)
Thailand	Citibank NA		900		0.95			9/20/19		35,011			—			35,011
Thailand	JPMorgan Chase Bank		800		0.87			12/20/14		(3,754	)		—			(3,754	)
Tunisia	Barclays Bank PLC		350		1.00	⁽¹⁾		9/20/17		29,229			(33,048	)		(3,819	)
Tunisia	Citibank NA		360		1.00	⁽¹⁾		9/20/17		30,064			(35,622	)		(5,558	)
Tunisia	Deutsche Bank		500		1.00	⁽¹⁾		6/20/17		39,226			(38,684	)		542
Tunisia	Goldman Sachs International		300		1.00	⁽¹⁾		9/20/17		25,053			(25,537	)		(484	)
Uruguay	Citibank NA		300		1.00	⁽¹⁾		6/20/20		21,131			(18,056	)		3,075
Uruguay	Deutsche Bank		600		1.00	⁽¹⁾		6/20/20		42,262			(35,266	)		6,996
Venezuela	Barclays Bank PLC		312		5.00	⁽¹⁾		12/20/21		68,235			(70,924	)		(2,689	)
Venezuela	Barclays Bank PLC		296		5.00	⁽¹⁾		12/20/21		64,736			(69,396	)		(4,660	)
Venezuela	Barclays Bank PLC		288		5.00	⁽¹⁾		12/20/21		62,986			(70,423	)		(7,437	)
Venezuela	Barclays Bank PLC		304		5.00	⁽¹⁾		12/20/21		66,485			(74,962	)		(8,477	)
Venezuela	Barclays Bank PLC		376		5.00	⁽¹⁾		12/20/21		82,232			(90,917	)		(8,685	)
Venezuela	Deutsche Bank		431		5.00	⁽¹⁾		12/20/21		94,260			(100,418	)		(6,158	)
Citigroup, Inc.	Bank of America		683		1.00	⁽¹⁾		9/20/20		72,339			(35,168	)		37,171
Citigroup, Inc.	JPMorgan Chase Bank		683		1.00	⁽¹⁾		9/20/20		72,340			(37,224	)		35,116
iTraxx Europe Senior Financials 5-Year Index	Barclays Bank PLC	EUR	1,260		1.00	⁽¹⁾		6/20/17		106,728			(61,736	)		44,992
iTraxx Europe Subordinated Financials 5-Year Index	Barclays Bank PLC	EUR	840		5.00	⁽¹⁾		6/20/17		(38,626	)		87,146			48,520

									$	4,414,883		$	(2,945,400	)	$	1,469,483

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 July 31, 2012, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $24,795,000.

**	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

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	$	(29,104	)
Credit Suisse International	TRY	512		288	3-month USD- LIBOR-BBA		6.90			8/18/21		(32,206	)
Deutsche Bank	TRY	4,266		2,680	3-month USD- LIBOR-BBA		8.20			2/24/21		(112,252	)
Deutsche Bank	TRY	679		381	3-month USD- LIBOR-BBA		7.00			8/18/21		(45,858	)

											$	(219,420	)



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 July 31, 2012 was as follows:


	Number of Contracts		Premiums Received
Outstanding, beginning of period		—	$	—
Options written		257,700,000		106,770

Outstanding, end of period		257,700,000	$	106,770

At July 31, 2012, 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 return.

Credit Risk: The Fund enters into credit default swap contracts to manage its credit risk, to gain a particular exposure to credit risk, or to enhance return.

Foreign Exchange Risk: The Fund engages in forward foreign currency exchange contracts and cross-currency swaps to enhance return, 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. The Fund purchases and sells currency options to enhance return.

Interest Rate Risk: The Fund utilizes various interest rate derivatives including futures, interest rate swaps, and cross-currency swaps to enhance return, to change the overall duration of the portfolio, or to hedge against fluctuations in securities prices due to interest rates.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at July 31, 2012 was as follows:


		Fair Value
Risk	Derivative	Asset Derivative		Liability Derivative
Commodity	Forward Commodity Contracts	$	—	$	(58,368	)
Commodity	Futures Contracts*		—		(55,930	)

		$	—	$	(114,298	)


Credit	Credit Default Swaps	$	4,618,347	$	(571,285	)

		$	4,618,347	$	(571,285	)


Foreign Exchange	Currency Options Purchased	$	169,977	$	—
Foreign Exchange	Currency Options Written		—		(83,250	)
Foreign Exchange	Forward Foreign Currency Exchange Contracts		1,510,166		(298,134	)

		$	1,680,143	$	(381,384	)


Interest Rate	Cross-Currency Swaps	$	—	$	(219,420	)
Interest Rate	Futures Contracts*		—		(72,777	)
Interest Rate	Interest Rate Swaps		92,600		(365,154	)

		$	92,600	$	(657,351	)

*	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 July 31, 2012, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	437,232,409

Gross unrealized appreciation	$	18,020,580
Gross unrealized depreciation		(8,245,810	)

Net unrealized appreciation	$	9,774,770

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

•

Level 1 — quoted prices in active markets for identical investments

•

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

•

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

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

At July 31, 2012, 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	$	—		$	157,739,555		$	349,598	$	158,089,153
Collateralized Mortgage Obligations		—			31,614,444			—		31,614,444
Commercial Mortgage-Backed Securities		—			8,938,886			—		8,938,886
Mortgage Pass-Throughs		—			126,955,315			—		126,955,315
Asset-Backed Securities		—			400,206			—		400,206
Corporate Bonds & Notes		—			2,077,937			—		2,077,937
Foreign Corporate Bonds & Notes		—			2,652,257			—		2,652,257
Foreign Government Bonds		—			57,055,503			—		57,055,503
Common Stocks		3,095			951,568			1,940,899		2,895,562
Warrants		—			—			0		0
Precious Metals		6,547,093			—			—		6,547,093
Currency Call Options Purchased		—			122,193			—		122,193
Currency Put Options Purchased		—			47,784			—		47,784
Short-Term Investments -
Foreign Government Securities		—			20,875,180			—		20,875,180
U.S. Treasury Obligations		—			6,683,834			—		6,683,834
Repurchase Agreements		—			15,289,587			—		15,289,587
Other		—			6,762,245			—		6,762,245
Total Investments	$	6,550,188		$	438,166,494		$	2,290,497	$	447,007,179
Forward Foreign Currency Exchange Contracts	$	—		$	1,510,166		$	—	$	1,510,166
Swap Contracts		—			4,710,947			—		4,710,947
Total	$	6,550,188		$	444,387,607		$	2,290,497	$	453,228,292

Liability Description
Currency Put Options Written	$	—		$	(83,250	)	$	—	$	(83,250	)
Securities Sold Short		—			(15,228,697	)		—		(15,228,697	)
Forward Commodity Contracts		—			(58,368	)		—		(58,368	)
Forward Foreign Currency Exchange Contracts		—			(298,134	)		—		(298,134	)
Futures Contracts		(128,707	)		—			—		(128,707	)
Swap Contracts		—			(1,155,859	)		—		(1,155,859	)
Total	$	(128,707	)	$	(16,824,308	)	$	—	$	(16,953,015	)

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

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended July 31, 2012 is not presented.

At July 31, 2012, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.

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

Item 2. Controls and Procedures

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

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

Signatures

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

Eaton Vance Short Duration Diversified Income Fund



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

Date:		September 24, 2012

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



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

Date:		September 24, 2012



By:		/s/ Barbara E. Campbell
		Barbara E. Campbell
		Treasurer

Date:		September 24, 2012