Edgar Filing: Eaton Vance Short Duration Diversified Income Fund

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number		811-21563
Eaton Vance Short Duration Diversified Income Fund
(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts		02109
(Address of Principal Executive Offices)		(Zip code)
Alan R. Dynner, Esq. Eaton Vance Management, 255 State Street, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
Registrant’s Telephone Number, Including Area Code:		(617) 482-8260
Date of Fiscal Year End:		October 31
Date of Reporting Period:		July 31, 2006

Item 1. Schedule of Investments

Eaton Vance Short Duration Diversified Income Fund as of July 31, 2006

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior, Floating Rate Interests — 72.7% (1)

Principal
Amount					Borrower/Tranche Description	Value
Aerospace and Defense — 1.9%
					Awas Capital, Inc.
$	759,542				Term Loan, 11.50%, Maturing March 22, 2013	$	765,238
					Delta Air Lines, Inc.
425,000					Term Loan, 12.77%, Maturing March 27, 2008	439,237
					Hexcel Corp.
820,146					Term Loan, 7.19%, Maturing March 1, 2012	822,196
					K&F Industries, Inc.
583,737					Term Loan, 7.40%, Maturing November 18, 2012	584,740
					Mid-Western Aircraft Systems, Inc.
1,844,300					Term Loan, 7.75%, Maturing December 31, 2011	1,854,213
					Standard Aero Holdings, Inc.
698,006					Term Loan, 7.67%, Maturing August 24, 2012	698,442
					Transdigm, Inc.
475,000					Term Loan, 7.45%, Maturing June 23, 2013	476,707
					Vought Aircraft Industries, Inc.
181,818					Term Loan, 7.33%, Maturing December 22, 2010	182,955
806,631					Term Loan, 8.00%, Maturing December 17, 2011	813,689
						$	6,637,417
Air Transport — 0.1%
					United Airlines, Inc.
437,500					Term Loan, 8.63%, Maturing February 1, 2012	443,014
62,500					Term Loan, 9.19%, Maturing February 1, 2012	63,288
						$	506,302
Automotive — 5.1%
					AA Acquisitions Co., Ltd.
		1,000,000		GBP	Term Loan, 9.24%, Maturing June 25, 2014	1,920,145
					Accuride Corp.
699,318					Term Loan, 7.31%, Maturing January 31, 2012	701,241
					Affina Group, Inc.
888,482					Term Loan, 8.50%, Maturing November 30, 2011	891,592
					Axletech International Holding, Inc.
425,000					Term Loan, 12.01%, Maturing April 22, 2013	428,187
					CSA Acquisition Corp.
377,583					Term Loan, 8.00%, Maturing December 23, 2011	379,471
607,415					Term Loan, 8.00%, Maturing December 23, 2011	610,452
					Dayco Europe S.R.I.
			859,082	EUR	Term Loan, 5.54%, Maturing June 21, 2010	1,100,429
					Dayco Products, LLC
575,000					Term Loan, 8.03%, Maturing June 21, 2011	579,912
					Delphi Corp.
500,000					Term Loan, 8.19%, Maturing October 8, 2007	505,625

						Dura Operating Corp.
$	647,000					Term Loan, 9.11%, Maturing May 3, 2011	$	651,852
						Exide Technologies
		949,088			EUR	Term Loan, 9.25%, Maturing May 5, 2010	1,271,738
						Federal-Mogul Corp.
500,000						DIP Loan, 7.50%, Maturing December 9, 2006	501,875
361,345						Term Loan, 7.65%, Maturing December 9, 2006	353,742
420,728						Term Loan, 7.90%, Maturing December 9, 2006	413,102
						Goodyear Tire & Rubber Co.
635,000						Term Loan, 7.95%, Maturing April 30, 2010	638,638
500,000						Term Loan, 8.70%, Maturing March 1, 2011	504,812
						Insurance Auto Auctions, Inc.
250,000						Term Loan, 6.77%, Maturing May 19, 2012 (2)	251,172
						R.J. Tower Corp.
370,000						DIP Revolving Loan, 8.25%, Maturing February 2, 2007	374,741
						Tenneco Automotive, Inc.
963,141						Term Loan, 7.19%, Maturing December 12, 2009	970,485
418,922						Term Loan, 7.11%, Maturing December 12, 2010	422,116
						Teutates Vermogensverwaltung
			500,000		EUR	Term Loan, 5.40%, Maturing March 11, 2014	648,178
				500,000	EUR	Term Loan, 5.90%, Maturing March 11, 2015	651,103
						The Goodyear Dunlop Tires
				990,000	EUR	Term Loan, 5.52%, Maturing April 30, 2010	1,270,495
						Trimas Corp.
882,552						Term Loan, 9.25%, Maturing December 31, 2009	891,654
						United Components, Inc.
492,292						Term Loan, 7.41%, Maturing June 30, 2010	494,753
							$	17,427,510
Beverage and Tobacco — 0.4%
						Alliance One International, Inc.
246,875						Term Loan, 8.49%, Maturing May 13, 2010	248,727
						Culligan International Co.
434,535						Term Loan, 7.37%, Maturing September 30, 2011	434,671
						National Dairy Holdings, L.P.
493,750						Term Loan, 7.40%, Maturing March 15, 2012	495,602
						National Distribution Co.
220,000						Term Loan, 11.90%, Maturing June 22, 2010	220,550
							$	1,399,550
Building and Development — 3.7%
						Biomed Realty, L.P.
660,000						Term Loan, 7.60%, Maturing May 31, 2010	661,650
						Capital Automotive REIT
415,134						Term Loan, 7.10%, Maturing December 16, 2010	415,595
						Epco / Fantome, LLC
500,000						Term Loan, 8.50%, Maturing November 23, 2010	501,250

				Gables GP, Inc.
$	188,840			Term Loan, 7.10%, Maturing September 30, 2006	$	189,096
				Hovstone Holdings, LLC
265,000				Term Loan, 7.68%, Maturing February 28, 2009	265,662
				Kyle Acquisition Group, LLC
115,371				Term Loan, 7.38%, Maturing July 20, 2010	115,371
				LNR Property Corp.
800,000				Term Loan, 8.11%, Maturing July 3, 2011	804,834
				MAAX Corp.
630,897				Term Loan, 8.40%, Maturing June 4, 2011	627,743
				Mueller Group, Inc.
473,658				Term Loan, 7.65%, Maturing October 3, 2012	476,618
				Newkirk Master, L.P.
753,351				Term Loan, 7.10%, Maturing August 11, 2008	755,705
				Nortek, Inc.
987,437				Term Loan, 7.40%, Maturing August 27, 2011	986,049
				Panolam Industries Holdings, Inc.
182,701				Term Loan, 8.25%, Maturing September 30, 2012	184,071
				Ply Gem Industries, Inc.
32,730				Term Loan, 7.21%, Maturing August 15, 2011	32,690
490,957				Term Loan, 7.21%, Maturing August 15, 2011	490,343
				Ristretto Investissements SAS
		308,150	EUR	Term Loan, 5.34%, Maturing September 30, 2013	398,324
		130,995	GBP	Term Loan, 7.07%, Maturing September 30, 2013	247,356
		308,150	EUR	Term Loan, 5.72%, Maturing September 30, 2014	400,290
		130,995	GBP	Term Loan, 7.45%, Maturing September 30, 2014	248,375
				Stile Acquisition Corp.
932,393				Term Loan, 7.49%, Maturing April 6, 2013	915,827
				Stile U.S. Acquisition Corp.
933,982				Term Loan, 7.49%, Maturing April 6, 2013	917,387
				The Woodlands Community Property Co.
991,848				Term Loan, 7.76%, Maturing November 30, 2007	999,287
				TRU 2005 RE Holding Co.
1,325,000				Term Loan, 8.35%, Maturing December 9, 2008	1,319,203
				Trustreet Properties, Inc.
385,000				Term Loan, 7.35%, Maturing April 8, 2010	387,166
				United Subcontractors, Inc.
250,000				Term Loan, 12.86%, Maturing May 27, 2013	250,000
					$	12,589,892
Business Equipment and Services — 4.7%
				Acco Brands Corp.
1,278,195				Term Loan, 7.12%, Maturing August 17, 2012	1,278,994
				Affiliated Computer Services
248,750				Term Loan, 7.40%, Maturing March 20, 2013	249,261
				Affinion Group, Inc.
520,930				Term Loan, 7.93%, Maturing October 17, 2012	524,023

						Allied Security Holdings, LLC
$	375,000					Term Loan, 10.25%, Maturing June 30, 2010	$	377,344
						Aspect Software, Inc.
575,000						Term Loan, 8.50%, Maturing July 11, 2011	575,539
500,000						Term Loan, 12.56%, Maturing July 11, 2013	500,625
						Audatex North America, Inc.
			1,000,000		EUR	Term Loan, 8.58%, Maturing January 13, 2013	1,304,863
						BSG Clearing Solutions GmbH
		987,500			EUR	Term Loan, 5.74%, Maturing May 5, 2012	1,266,499
						Buhrmann US, Inc.
				1,984,810	EUR	Term Loan, 4.71%, Maturing December 23, 2010	2,567,743
						DynCorp International, LLC
493,750						Term Loan, 8.06%, Maturing February 11, 2011	496,013
						Gate Gourmet Borrower, LLC
		498,750			EUR	Term Loan, 5.81%, Maturing March 9, 2013	640,458
						Info USA, Inc.
199,000						Term Loan, 7.25%, Maturing February 14, 2012	199,249
						Protection One, Inc.
195,426						Term Loan, 7.84%, Maturing April 18, 2011	195,915
						Quintiles Transnational Corp.
500,000						Term Loan, 9.50%, Maturing March 31, 2014	507,187
						RGIS Holdings, LLC
348,278						Term Loan, 8.00%, Maturing February 15, 2013	347,843
						SS&C Technologies, Inc.
38,975						Term Loan, 8.00%, Maturing November 23, 2012	39,202
458,525						Term Loan, 8.00%, Maturing November 23, 2012	461,200
						Sungard Data Systems, Inc.
2,974,962						Term Loan, 7.66%, Maturing February 11, 2013	2,991,697
						US Investigations Services, Inc.
665,954						Term Loan, 7.92%, Maturing October 14, 2012	667,619
						Williams Scotsman, Inc.
930,000						Term Loan, 7.00%, Maturing June 28, 2010	932,518
							$	16,123,792
Cable and Satellite Television — 4.5%
						Adelphia Communications Corp.
495,134						DIP Loan, 5.38%, Maturing August 7, 2006	496,063
						Cablecom Luxembourg SCA
			1,000,000		EUR	Term Loan, 5.79%, Maturing September 28, 2012	1,285,004
						Canadian Cable Acquisition
495,000						Term Loan, 8.50%, Maturing July 27, 2011	497,475
						Charter Communications Operating, LLC
2,991,833						Term Loan, 8.13%, Maturing April 28, 2013	2,999,863
						CSC Holdings, Inc.
897,750						Term Loan, 7.03%, Maturing March 29, 2013	893,455
						Escaline S.A.R.L. (Ewt)
				500,000	EUR	Term Loan, 5.53%, Maturing March 17, 2014	645,333

		500,000		EUR	Term Loan, 6.03%, Maturing March 17, 2015	$	648,204
					Kabel Deutschland GmbH
			500,000	EUR	Term Loan, 5.06%, Maturing March 31, 2012	640,655
					Lanoga Corp.
375,000					Term Loan, 7.25%, Maturing June 29, 2013	375,117
					PKS Media (Netherlands) B.V.
			500,000	EUR	Term Loan, 5.49%, Maturing October 5, 2013	639,976
			1,000,000	EUR	Term Loan, 5.74%, Maturing October 5, 2013	1,294,566
			1,000,000	EUR	Term Loan, 6.24%, Maturing October 5, 2014	1,300,650
					UGS Corp.
1,698,639					Term Loan, 7.48%, Maturing March 31, 2012	1,700,409
					UPC Broadband Holding B.V.
		750,000		EUR	Term Loan, 5.51%, Maturing March 31, 2013	955,765
		750,000		EUR	Term Loan, 5.51%, Maturing December 31, 2013	956,801
						$	15,329,336
Chemicals and Plastics — 6.5%
					Basell Af S.A.R.L.
208,333					Term Loan, 7.73%, Maturing August 1, 2013	210,937
41,667					Term Loan, 7.73%, Maturing August 1, 2013	42,187
208,333					Term Loan, 8.23%, Maturing August 1, 2014	210,937
41,667					Term Loan, 8.23%, Maturing August 1, 2014	42,188
					Brenntag Holding GmbH and Co.
	1,020,189			EUR	Term Loan, 12.28%, Maturing December 23, 2013	1,337,716
					Celanese Holdings, LLC
	1,851,005			EUR	Term Loan, 5.33%, Maturing April 6, 2011	2,385,291
927,583					Term Loan, 7.50%, Maturing June 4, 2011	930,386
					Gentek, Inc.
702,663					Term Loan, 7.56%, Maturing February 28, 2011	707,604
					Hexion Specialty Chemicals, Inc.
232,000					Term Loan, 7.50%, Maturing May 5, 2013	230,042
1,068,000					Term Loan, 7.56%, Maturing May 5, 2013	1,058,988
					Huntsman, LLC
1,347,723					Term Loan, 7.15%, Maturing August 16, 2012	1,343,089
					Ineos Group
500,000					Term Loan, 7.34%, Maturing December 14, 2013	503,646
500,000					Term Loan, 7.84%, Maturing December 14, 2014	503,646
					Innophos, Inc.
645,283					Term Loan, 7.70%, Maturing August 13, 2010	646,896
					Invista B.V.
629,534					Term Loan, 7.00%, Maturing April 29, 2011	630,583
320,012					Term Loan, 7.00%, Maturing April 29, 2011	320,546
					ISP Chemo, Inc.
698,250					Term Loan, 7.08%, Maturing February 16, 2013	698,998
					Kranton Polymers, LLC
740,549					Term Loan, 7.44%, Maturing May 12, 2013	740,549

				Nalco Co.
$	1,981,498			Term Loan, 7.21%, Maturing November 4, 2010	$	1,982,118
				PQ Corp.
490,019				Term Loan, 7.50%, Maturing February 11, 2012	491,040
				Professional Paint, Inc.
200,000				Term Loan, 7.76%, Maturing May 31, 2012	201,000
				Rockwood Specialties Group
		1,477,500	EUR	Term Loan, 5.90%, Maturing July 30, 2012	1,902,796
				Sigmakalon (BC) Holdco B.V.
		8,871	EUR	Term Loan, 5.99%, Maturing September 9, 2013	11,426
		173,632	EUR	Term Loan, 5.99%, Maturing September 9, 2013	223,657
		317,498	EUR	Term Loan, 5.99%, Maturing September 9, 2013	408,973
		107,857	EUR	Term Loan, 6.49%, Maturing September 9, 2014	139,536
		30,222	EUR	Term Loan, 6.49%, Maturing September 9, 2014	38,664
		26,409	EUR	Term Loan, 6.49%, Maturing September 9, 2014	34,166
		335,513	EUR	Term Loan, 6.49%, Maturing September 9, 2014	434,058
		1,000,000	EUR	Term Loan, 8.74%, Maturing September 9, 2015	1,291,039
				Solo Cup Co.
935,248				Term Loan, 7.84%, Maturing February 27, 2011	939,827
200,000				Term Loan, 9.66%, Maturing March 31, 2012	202,000
				Wavin Holdings B.V.
		650,000	EUR	Term Loan, 5.56%, Maturing September 9, 2013	836,459
		650,000	EUR	Term Loan, 6.06%, Maturing September 9, 2014	840,311
					$	22,521,299
Clothing/Textiles — 0.1%
				Propex Fabrics, Inc.
283,147				Term Loan, 7.76%, Maturing July 31, 2012	283,501
				St. John Knits International, Inc.
152,136				Term Loan, 7.75%, Maturing March 23, 2012	152,136
					$	435,637
Conglomerates — 1.8%
				Amsted Industries, Inc.
521,648				Term Loan, 7.46%, Maturing October 15, 2010	524,746
				Bushnell Performance Optics
496,339				Term Loan, 8.45%, Maturing August 19, 2011	499,854
				Education Management, LLC
450,000				Term Loan, 8.06%, Maturing June 1, 2013	452,883
				Euramax International, Inc.
167,105				Term Loan, 12.49%, Maturing June 28, 2013	168,045
82,895				Term Loan, 12.49%, Maturing June 28, 2013	83,361
				Goodman Global Holdings, Inc.
443,430				Term Loan, 6.94%, Maturing December 23, 2011	442,945
				Jarden Corp.
254,253				Term Loan, 7.25%, Maturing January 24, 2012	253,485
451,732				Term Loan, 7.50%, Maturing January 24, 2012	452,014

					Johnson Diversey, Inc.
$	738,478				Term Loan, 7.63%, Maturing November 3, 2009	$	744,132
					Polymer Group, Inc.
1,343,250					Term Loan, 7.74%, Maturing November 22, 2012	1,347,168
					PP Acquisition Corp.
1,052,888					Term Loan, 8.40%, Maturing November 12, 2011	1,063,417
						$	6,032,050
Containers and Glass Products — 3.9%
					Berry Plastics Corp.
723,415					Term Loan, 7.15%, Maturing December 2, 2011	723,565
					Bluegrass Container Company
109,394					Term Loan, 0.00%, Maturing June 30, 2013 (2)	109,975
365,606					Term Loan, 7.65%, Maturing June 30, 2013	367,548
84,848					Term Loan, 0.00%, Maturing December 30, 2013 (2)	86,015
265,152					Term Loan, 10.40%, Maturing December 30, 2013	268,797
					Crown Americas, Inc.
		1,000,000		EUR	Term Loan, 4.61%, Maturing November 15, 2012	1,274,555
					Graham Packaging Holdings Co.
1,231,250					Term Loan, 7.75%, Maturing October 7, 2011	1,236,123
357,143					Term Loan, 9.75%, Maturing April 7, 2012	362,500
					Graphic Packaging International, Inc.
2,394,279					Term Loan, 7.92%, Maturing August 8, 2010	2,416,297
					JSG Acquisitions
			1,250,000	EUR	Term Loan, 5.58%, Maturing December 31, 2014	1,621,109
			1,250,000	EUR	Term Loan, 6.10%, Maturing December 31, 2014	1,621,109
					Pregis Corp.
992,500					Term Loan, 7.75%, Maturing October 12, 2011	1,001,184
					Smurfit-Stone Container Corp.
428,496					Term Loan, 4.73%, Maturing November 1, 2010	430,966
1,129,221					Term Loan, 7.59%, Maturing November 1, 2010	1,135,730
822,866					Term Loan, 7.54%, Maturing November 1, 2011	827,609
						$	13,483,082
Cosmetics/Toiletries — 0.4%
					Prestige Brands, Inc.
740,441					Term Loan, 7.25%, Maturing April 7, 2011	742,909
					Revlon Consumer Products Corp.
656,250					Term Loan, 11.49%, Maturing July 9, 2009	673,750
						$	1,416,659
Drugs — 0.5%
					Patheon, Inc.
589,293					Term Loan, 7.74%, Maturing December 14, 2011	589,293
					Warner Chilcott Corp.
313,002					Term Loan, 7.61%, Maturing January 18, 2012	313,752

$	144,598			Term Loan, 7.61%, Maturing January 18, 2012	$	144,945
776,775				Term Loan, 7.62%, Maturing January 18, 2012	778,636
					$	1,826,626
Ecological Services and Equipment — 0.8%
				Duratek, Inc.
173,585				Term Loan, 7.76%, Maturing June 7, 2013	175,104
				Energysolutions, LLC
18,082				Term Loan, 7.62%, Maturing June 7, 2013	18,240
383,333				Term Loan, 7.76%, Maturing June 7, 2013	386,688
				Environmental Systems Products Holdings, Inc.
505,772				Term Loan, 8.86%, Maturing December 12, 2008	509,565
				Sensus Metering Systems, Inc.
53,627				Term Loan, 7.20%, Maturing December 17, 2010	53,761
403,727				Term Loan, 7.24%, Maturing December 17, 2010	404,736
				Sulo GmbH
		625,000	EUR	Term Loan, 9.24%, Maturing January 19, 2016	817,285
				Synagro Technologies, Inc.
227,143				Term Loan, 7.76%, Maturing June 21, 2012	227,711
37,857				Term Loan, 7.77%, Maturing June 21, 2012	37,952
					$	2,631,042
Electronics/Electrical — 1.4%
				Network Solutions, LLC
298,500				Term Loan, 10.50%, Maturing January 9, 2012	302,231
				Open Solutions, Inc.
350,000				Term Loan, 11.78%, Maturing March 3, 2012	359,188
				Security Co., Inc.
740,571				Term Loan, 8.75%, Maturing June 30, 2010	742,422
				Spectrum Brands, Inc.
		1,860,755	EUR	Term Loan, 6.12%, Maturing February 7, 2012	2,374,603
				Telcordia Technologies, Inc.
667,803				Term Loan, 7.73%, Maturing September 15, 2012	645,265
				Vertafore, Inc.
275,000				Term Loan, 11.13%, Maturing January 31, 2013	279,354
					$	4,703,063
Equipment Leasing — 0.4%
				Ashtead Group, PLC
990,000				Term Loan, 6.94%, Maturing November 12, 2009	990,619
				United Rentals, Inc.
84,034				Term Loan, 6.00%, Maturing February 14, 2011	84,274
410,714				Term Loan, 7.40%, Maturing February 14, 2011	411,888
					$	1,486,781
Financial Intermediaries — 0.7%
				AIMCO Properties, L.P.
1,800,000				Term Loan, 7.01%, Maturing November 2, 2009	1,804,500

				Blitz F04-506 GmbH
	500,000		EUR	Term Loan, 5.93%, Maturing June 30, 2014	$	648,159
					$	2,452,659
Food Products — 2.6%
				American Seafoods Group, LLC
938,372				Term Loan, 7.25%, Maturing September 30, 2011	938,372
				BF Bolthouse HoldCo, LLC
375,000				Term Loan, 11.00%, Maturing December 16, 2013	382,188
				BL Marketing, Ltd.
		300,000	GBP	Term Loan, 7.19%, Maturing December 20, 2013	568,167
		300,000	GBP	Term Loan, 7.69%, Maturing December 20, 2014	570,649
		409,228	GBP	Term Loan, 12.46%, Maturing December 20, 2015	789,454
				Black Lion Beverages III B.V.
	1,000,000		EUR	Term Loan, 7.69%, Maturing January 24, 2016	1,306,193
				Charden International B.V.
	250,000		EUR	Term Loan, 5.47%, Maturing March 14, 2014	320,234
	250,000		EUR	Term Loan, 5.97%, Maturing March 14, 2015	321,670
				Chiquita Brands, LLC
907,711				Term Loan, 7.65%, Maturing June 28, 2012	910,169
				Michael Foods, Inc.
250,000				Term Loan, 7.51%, Maturing November 21, 2010	250,781
				Nash-Finch Co.
500,000				Term Loan, 7.69%, Maturing November 12, 2010	502,813
				Picard Surgeles S.A.
	500,000		EUR	Term Loan, 5.44%, Maturing June 4, 2014	643,110
				Pinnacle Foods Holdings Corp.
257,573				Term Loan, 7.48%, Maturing November 25, 2010	257,814
				QCE Finance, LLC
275,000				Term Loan, 11.25%, Maturing November 5, 2013	279,297
				Reddy Ice Group, Inc.
925,000				Term Loan, 7.25%, Maturing August 9, 2012	924,422
					$	8,965,333
Food Service — 0.4%
				Carrols Corp.
441,331				Term Loan, 8.00%, Maturing December 31, 2010	444,434
				Denny’s, Inc.
985,013				Term Loan, 8.59%, Maturing September 21, 2009	989,528
					$	1,433,962
Food/Drug Retailers — 0.9%
				General Nutrition Centers, Inc.
984,848				Term Loan, 8.06%, Maturing December 7, 2009	991,928
				Roundy’s Supermarkets, Inc.
820,875				Term Loan, 8.23%, Maturing November 3, 2011	829,426

					The Jean Coutu Group (PJC), Inc.
$	1,356,230				Term Loan, 8.00%, Maturing July 30, 2011	$	1,360,161
						$	3,181,515
Forest Products — 2.3%
					Boise Cascade Holdings, LLC
2,063,309					Term Loan, 7.20%, Maturing October 29, 2011	2,068,936
					Buckeye Technologies, Inc.
504,058					Term Loan, 7.16%, Maturing April 15, 2010	504,058
					Georgia-Pacific Corp.
1,741,250					Term Loan, 7.35%, Maturing December 20, 2012	1,741,314
850,000					Term Loan, 8.30%, Maturing December 23, 2013	858,386
					NewPage Corp.
747,021					Term Loan, 8.50%, Maturing May 2, 2011	752,624
					Xerium Technologies, Inc.
		1,574,578		EUR	Term Loan, 5.31%, Maturing May 18, 2012	2,024,468
						$	7,949,786
Healthcare — 4.2%
					Accellent, Inc.
597,000					Term Loan, 7.23%, Maturing November 22, 2012	596,378
					Alliance Imaging, Inc.
490,000					Term Loan, 7.95%, Maturing December 29, 2011	491,531
					AMR HoldCo, Inc.
325,178					Term Loan, 7.26%, Maturing February 10, 2012	325,686
					Carl Zeiss Topco GMBH
166,667					Term Loan, 7.86%, Maturing February 28, 2013	168,195
333,333					Term Loan, 8.36%, Maturing February 28, 2014	338,055
500,000					Term Loan, 10.61%, Maturing August 31, 2014	507,438
					Community Health Systems, Inc.
984,962					Term Loan, 6.97%, Maturing August 19, 2011	986,347
					Concentra Operating Corp.
1,002,348					Term Loan, 7.62%, Maturing September 30, 2011	1,005,167
					Davita, Inc.
1,620,004					Term Loan, 7.44%, Maturing October 5, 2012	1,625,211
					Encore Medical IHC, Inc.
527,896					Term Loan, 8.31%, Maturing October 4, 2010	529,875
					FHC Health Systems, Inc.
294,118					Term Loan, 11.23%, Maturing December 18, 2009	304,412
205,882					Term Loan, 13.23%, Maturing December 18, 2009	213,088
					Kinetic Concepts, Inc.
253,591					Term Loan, 7.25%, Maturing August 11, 2010	255,176
					Lifecare Holdings, Inc.
223,313					Term Loan, 7.65%, Maturing August 11, 2012	213,263
					Moinlycke
			458,140	EUR	Term Loan, 5.56%, Maturing November 4, 2013	593,419
			500,000	EUR	Term Loan, 6.06%, Maturing November 4, 2014	650,617

				National Mentor Holdings, Inc.
$	16,800			Term Loan, 7.84%, Maturing June 29, 2013	$	16,853
283,200				Term Loan, 7.90%, Maturing June 29, 2013	284,085
				P&F Capital S.A.R.L.
		209,223	EUR	Term Loan, 5.63%, Maturing February 21, 2014	270,783
		125,235	EUR	Term Loan, 5.63%, Maturing February 21, 2014	162,082
		100,494	EUR	Term Loan, 5.63%, Maturing February 21, 2014	130,062
		65,049	EUR	Term Loan, 6.13%, Maturing February 21, 2014	84,188
		94,595	EUR	Term Loan, 6.13%, Maturing February 21, 2015	122,943
		35,135	EUR	Term Loan, 6.13%, Maturing February 21, 2015	45,664
		72,973	EUR	Term Loan, 6.13%, Maturing February 21, 2015	94,841
		297,297	EUR	Term Loan, 6.13%, Maturing February 21, 2015	386,391
				Select Medical Holding Corp.
493,750				Term Loan, 6.94%, Maturing February 24, 2012	487,640
				Sirona Dental Systems GmbH
		500,000	EUR	Term Loan, 5.43%, Maturing June 30, 2013	645,595
				Talecris Biotherapeutics, Inc.
246,875				Term Loan, 8.44%, Maturing March 31, 2010	248,109
234,375				Term Loan, 9.75%, Maturing May 31, 2010	234,375
				Vanguard Health Holding Co., LLC
740,658				Term Loan, 7.87%, Maturing September 23, 2011	744,515
				VWR International, Inc.
		1,446,747	EUR	Term Loan, 5.87%, Maturing April 7, 2011	1,865,112
					$	14,627,096
Home Furnishings — 0.8%
				Interline Brands, Inc.
282,609				Term Loan, 7.26%, Maturing June 23, 2013	283,668
217,391				Term Loan, 7.26%, Maturing June 23, 2013	218,207
				Oreck Corp.
455,274				Term Loan, 8.25%, Maturing February 2, 2012	456,128
				Sealy Mattress Co.
821,593				Term Loan, 7.10%, Maturing April 6, 2012	823,005
				Simmons Co.
832,637				Term Loan, 7.49%, Maturing December 19, 2011	836,280
					$	2,617,288
Industrial Equipment — 0.8%
				Alliance Laundry Holdings, LLC
314,646				Term Loan, 7.60%, Maturing January 27, 2012	315,925
				Douglas Dynamics Holdings, Inc.
863,795				Term Loan, 7.25%, Maturing December 16, 2010	865,955
				Maxim Crane Works, L.P.
339,887				Term Loan, 7.44%, Maturing January 28, 2010	340,950
				MTD Products, Inc.
1,234,257				Term Loan, 6.88%, Maturing June 1, 2010	1,243,514
					$	2,766,344

Insurance — 0.4%
				ARG Holding, Inc.
$	400,000			Term Loan, 12.75%, Maturing November 30, 2012	$	406,000
				CCC Information Services Group
225,000				Term Loan, 8.00%, Maturing February 10, 2013	226,172
				Conseco, Inc.
798,222				Term Loan, 7.12%, Maturing June 22, 2010	800,052
					$	1,432,224
Leisure Goods/Activities/Movies — 2.3%
				24 Hour Fitness Worldwide, Inc.
403,988				Term Loan, 8.05%, Maturing June 8, 2012	406,512
				AMC Entertainment, Inc.
572,125				Term Loan, 7.53%, Maturing January 26, 2013	574,595
				Bombardier Recreational Product
575,000				Term Loan, 8.24%, Maturing June 28, 2013	574,641
				Deluxe Entertainment Services
295,000				Term Loan, 9.25%, Maturing January 28, 2011	305,694
				Fender Musical Instruments Co.
250,000				Term Loan, 11.12%, Maturing March 30, 2012	251,875
				Metro-Goldwyn-Mayer Holdings, Inc.
2,159,588				Term Loan, 7.75%, Maturing April 8, 2012	2,165,775
				Six Flags Theme Parks, Inc.
1,478,627				Term Loan, 8.36%, Maturing June 30, 2009	1,492,754
				Universal City Development Partners, Ltd.
980,000				Term Loan, 7.38%, Maturing June 9, 2011	981,532
				WMG Acquisition Corp.
988,235				Term Loan, 7.31%, Maturing February 28, 2011	991,657
					$	7,745,035
Lodging and Casinos — 3.6%
				Alliance Gaming Corp.
991,640				Term Loan, 9.33%, Maturing September 5, 2009	995,359
				Columbia Entertainment
496,250				Term Loan, 8.00%, Maturing October 24, 2011	499,041
				Fairmont Hotels and Resorts, Inc.
400,000				Term Loan, 8.61%, Maturing May 12, 2011	402,500
				Gala Electric Casinos, Ltd.
		875,000	GBP	Term Loan, 7.26%, Maturing December 12, 2013	1,648,270
		875,000	GBP	Term Loan, 7.76%, Maturing December 12, 2014	1,654,536
				Isle of Capri Casinos, Inc.
1,970,000				Term Loan, 7.17%, Maturing February 4, 2011	1,971,724
				Penn National Gaming, Inc.
1,404,388				Term Loan, 7.13%, Maturing October 3, 2012	1,409,478
				Pinnacle Entertainment, Inc.
225,000				Term Loan, 0.00%, Maturing December 14, 2011 (2)	224,789
200,000				Term Loan, 7.40%, Maturing December 14, 2011	200,656

				Resorts International Holdings, LLC
$	716,285			Term Loan, 9.50%, Maturing April 26, 2012		$	721,926
149,139				Term Loan, 16.50%, Maturing April 26, 2013		155,322
				Venetian Casino Resort, LLC
1,243,590				Term Loan, 7.25%, Maturing June 15, 2011		1,243,687
256,410				Term Loan, 7.25%, Maturing June 15, 2011		256,430
				VML US Finance, LLC
133,333				Term Loan, 1.38%, Maturing May 25, 2012 (2)		133,167
266,667				Term Loan, 8.20%, Maturing May 25, 2013		267,917
				Wynn Las Vegas, LLC
500,000				Term Loan, 7.55%, Maturing December 14, 2011		500,938
						$	12,285,740
Nonferrous Metals/Minerals — 0.8%
				Almatis Holdings 5 BV
		250,000	EUR	Term Loan, 5.74%, Maturing December 21, 2013		323,624
		250,000	EUR	Term Loan, 6.24%, Maturing December 21, 2014		324,820
				International Mill Service, Inc.
496,250				Term Loan, 8.25%, Maturing December 31, 2010		497,491
				Murray Energy Corp.
740,625				Term Loan, 8.40%, Maturing January 28, 2010		748,031
				Novelis, Inc.
336,408				Term Loan, 7.38%, Maturing January 7, 2012		338,721
584,288				Term Loan, 7.38%, Maturing January 7, 2012		588,305
						$	2,820,992
Oil and Gas — 2.8%
				Coffeyville Resources, LLC
400,601				Term Loan, 5.40%, Maturing June 24, 2011	402,980
594,915				Term Loan, 7.94%, Maturing June 24, 2012	598,447
				Concho Resources, Inc.
625,000				Term Loan, 9.50%, Maturing July 6, 2011 (3)	622,063
				Dresser Rand Group, Inc.
		976,902	EUR	Term Loan, 5.17%, Maturing October 29, 2011	1,256,023
				Epco Holdings, Inc.
990,000				Term Loan, 7.40%, Maturing August 18, 2010	995,492
				Key Energy Services, Inc.
497,500				Term Loan, 8.90%, Maturing June 30, 2012	499,884
				LB Pacific, L.P.
711,000				Term Loan, 7.95%, Maturing March 3, 2012	714,555
				Lyondell-Citgo Refining, L.P.
1,960,000				Term Loan, 7.50%, Maturing May 21, 2007	1,964,900

				Niska Gas Storage
$	50,909			Term Loan, 0.00%, Maturing May 13, 2011 (2)	$	50,909
72,727				Term Loan, 7.03%, Maturing May 13, 2011	72,727
76,173				Term Loan, 7.03%, Maturing May 13, 2011	76,173
399,045				Term Loan, 7.03%, Maturing May 12, 2013	399,045
				Petroleum Geo-Services ASA
388,184				Term Loan, 7.75%, Maturing December 16, 2012	390,610
				Primary Natural Resources, Inc.
500,000				Term Loan, 9.50%, Maturing July 28, 2010 (3)	499,050
				Targa Resources, Inc.
390,000				Term Loan, 7.48%, Maturing October 31, 2007	390,569
542,994				Term Loan, 7.39%, Maturing October 31, 2012	544,593
87,903				Term Loan, 7.75%, Maturing October 31, 2012	88,162
					$	9,566,182
Publishing — 4.3%
				American Media Operations, Inc.
1,000,000				Term Loan, 8.12%, Maturing January 31, 2013	1,009,125
				CBD Media, LLC
803,922				Term Loan, 7.87%, Maturing December 31, 2009	809,951
				Dex Media West, LLC
830,502				Term Loan, 6.80%, Maturing March 9, 2010	826,774
				Gatehouse Media Operating, Inc.
475,000				Term Loan, 7.59%, Maturing June 6, 2013	474,555
				Hanley-Wood, LLC
51,738				Term Loan, 7.46%, Maturing August 1, 2012	51,792
433,161				Term Loan, 7.52%, Maturing August 1, 2012	433,612
				Nebraska Book Co., Inc.
740,530				Term Loan, 7.61%, Maturing March 4, 2011	744,233
				Philadelphia Newspapers, LLC
225,000				Term Loan, 8.09%, Maturing June 29, 2013	225,844
				R.H. Donnelley Corp.
1,472,475				Term Loan, 6.88%, Maturing June 30, 2011	1,463,043
				Seat Pagine Gialle Spa
		1,744,216	EUR	Term Loan, 5.35%, Maturing May 25, 2012	2,246,453
				SP Newsprint Co.
652,602				Term Loan, 5.40%, Maturing January 9, 2010	655,049
141,772				Term Loan, 7.83%, Maturing January 9, 2010	142,304
				World Directories ACQI Corp.
		500,000	EUR	Term Loan, 5.66%, Maturing November 29, 2012	645,874
		2,000,000	EUR	Term Loan, 6.16%, Maturing November 29, 2013	2,589,875
				Xsys, Inc.
		1,000,000	EUR	Term Loan, 6.06%, Maturing September 27, 2014	1,303,268

			YBR Acquisition BV
	450,000	EUR	Term Loan, 5.74%, Maturing June 30, 2013	$	582,020
	450,000	EUR	Term Loan, 6.24%, Maturing June 30, 2014	584,341
				$	14,788,113
Radio and Television — 2.8%
			Adams Outdoor Advertising, L.P.
463,784			Term Loan, 7.27%, Maturing October 18, 2012	464,847
			ALM Media Holdings, Inc.
489,989			Term Loan, 8.00%, Maturing March 5, 2010	489,785
			Block Communications, Inc.
273,625			Term Loan, 7.50%, Maturing December 22, 2011	274,309
			Cequel Communications, LLC
475,000			Term Loan, 9.85%, Maturing May 5, 2014	460,750
850,000			Term Loan, 11.35%, Maturing May 5, 2014	817,417
			CMP KC, LLC
500,000			Term Loan, 9.31%, Maturing May 3, 2011	500,625
			Nexstar Broadcasting, Inc.
391,093			Term Loan, 7.25%, Maturing October 1, 2012	390,685
379,859			Term Loan, 7.25%, Maturing October 1, 2012	379,463
			P7S1 Holding II S.A.R.L.
	1,000,000	EUR	Term Loan, 6.84%, Maturing July 18, 2011	1,276,150
			Paxson Communcations Corp.
850,000			Term Loan, 8.76%, Maturing December 30, 2011	868,063
			SFX Entertainment
447,750			Term Loan, 7.75%, Maturing June 21, 2013	448,217
			TDF SA
	1,305,762	EUR	Term Loan, 4.85%, Maturing March 11, 2013	1,682,492
	305,762	EUR	Term Loan, 5.85%, Maturing March 11, 2014	395,620
	388,476	EUR	Term Loan, 6.48%, Maturing March 11, 2015	503,965
			Young Broadcasting, Inc.
247,500			Term Loan, 7.73%, Maturing November 3, 2012	246,765
498,750			Term Loan, 7.88%, Maturing November 3, 2012	497,269
				$	9,696,422
Rail Industries — 0.1%
			Railamerica, Inc.
470,851			Term Loan, 7.25%, Maturing September 29, 2011	474,530
				$	474,530
Retailers (Except Food and Drug) — 2.0%
			Alimentation Couche-Tard, Inc.
976,855			Term Loan, 7.13%, Maturing December 17, 2010	982,757
			American Achievement Corp.
432,631			Term Loan, 7.95%, Maturing March 25, 2011	435,876
			Coinmach Laundry Corp.
1,122,730			Term Loan, 7.78%, Maturing December 19, 2012	1,132,086

		Josten’s Corp.
$	849,035	Term Loan, 7.07%, Maturing October 4, 2010	$	854,165
		Mapco Express, Inc.
448,541		Term Loan, 8.20%, Maturing April 28, 2011	451,064
		Mauser Werke GMBH & Co. KG
375,000		Term Loan, 8.25%, Maturing December 3, 2011	377,344
		Movie Gallery, Inc.
230,773		Term Loan, 10.75%, Maturing April 27, 2011	225,382
		Neiman Marcus Group, Inc.
237,342		Term Loan, 7.77%, Maturing April 5, 2013	239,547
		Savers, Inc.
882,355		Term Loan, 8.60%, Maturing August 4, 2009	884,561
		Sears Canada, Inc.
299,250		Term Loan, 7.25%, Maturing December 22, 2012	299,811
		Stewert Enterprises, Inc.
377,893		Term Loan, 6.86%, Maturing November 19, 2011	378,838
		Travelcenters of America, Inc.
746,250		Term Loan, 7.02%, Maturing November 30, 2008	746,903
			$	7,008,334
Steel — 0.1%
		Gibraltar Industries, Inc.
163,043		Term Loan, 7.19%, Maturing December 8, 2010	163,043
			$	163,043
Surface Transport — 0.2%
		Sirva Worldwide, Inc.
360,424		Term Loan, 9.97%, Maturing December 1, 2010	349,161
		Vanguard Car Rental USA
475,000		Term Loan, 8.32%, Maturing June 14, 2013	477,078
			$	826,239
Telecommunications — 2.8%
		Alaska Communications Systems Holdings, Inc.
500,000		Term Loan, 7.25%, Maturing February 1, 2011	500,000
		Cellular South, Inc.
992,405		Term Loan, 7.25%, Maturing May 4, 2011	994,886
		Centennial Cellular Operating Co., LLC
692,695		Term Loan, 7.68%, Maturing February 9, 2011	695,973
		Consolidated Communications, Inc.
1,000,000		Term Loan, 7.44%, Maturing October 14, 2011	996,875
		Fairpoint Communications, Inc.
1,000,000		Term Loan, 7.25%, Maturing February 8, 2012	995,625
		Hawaiian Telcom Communications, Inc.
498,889		Term Loan, 7.75%, Maturing October 31, 2012	501,740
		Madison River Capital, LLC
1,000,000		Term Loan, 7.73%, Maturing July 31, 2012	1,001,875

		NTelos, Inc.
$	492,506	Term Loan, 7.65%, Maturing August 24, 2011	$	492,382
		Qwest Corp.
800,000		Term Loan, 11.00%, Maturing June 4, 2007	814,300
		Stratos Global Corp.
325,000		Term Loan, 8.25%, Maturing February 13, 2012	326,083
		Syniverse Holdings, Inc.
369,634		Term Loan, 7.25%, Maturing February 15, 2012	369,634
		Triton PCS, Inc.
740,602		Term Loan, 8.65%, Maturing November 18, 2009	746,897
		Windstream Corp.
1,200,000		Term Loan, 7.26%, Maturing July 17, 2013	1,205,357
			$	9,641,627
Utilities — 1.6%
		Astoria Generating Co.
375,000		Term Loan, 9.20%, Maturing August 23, 2013	380,484
		Cogentrix Delaware Holdings, Inc.
672,383		Term Loan, 7.00%, Maturing April 14, 2012	673,924
		Covanta Energy Corp.
234,146		Term Loan, 5.46%, Maturing May 27, 2013	235,463
167,790		Term Loan, 7.70%, Maturing May 27, 2013	168,733
162,500		Term Loan, 10.96%, Maturing June 24, 2013	166,156
		KGen, LLC
187,625		Term Loan, 8.12%, Maturing August 5, 2011	185,749
		La Paloma Generating Co., LLC
65,152		Term Loan, 7.15%, Maturing August 16, 2012	64,582
382,701		Term Loan, 7.25%, Maturing August 16, 2012	379,352
30,025		Term Loan, 7.25%, Maturing August 16, 2012	29,762
		LSP General Finance Co., LLC
12,121		Term Loan, 0.00%, Maturing April 14, 2013 (2)	12,091
287,879		Term Loan, 7.25%, Maturing April 14, 2013	287,159
		NRG Energy, Inc.
1,471,313		Term Loan, 7.23%, Maturing February 1, 2013	1,477,212
575,000		Term Loan, 7.50%, Maturing February 1, 2013	576,761
		Pike Electric, Inc.
448,530		Term Loan, 6.88%, Maturing July 1, 2012	448,670
		Plains Resources, Inc.
480,744		Term Loan, 6.69%, Maturing August 12, 2011	481,345
		Reliant Energy, Inc.
90,147		Term Loan, 7.78%, Maturing December 22, 2010	90,260
			$	5,657,703
Total Senior, Floating Rate Interests (identified cost $248,057,165)			$	250,650,205

Mortgage Pass-Throughs — 55.2%

Principal Amount (000’s omitted)		Security	Value
		Federal Home Loan Mortgage Corp.:
$	3,607	6.15%, with maturity at 2027 (4)	$	3,646,679
10,859		7.00%, with maturity at 2013 (4)	11,094,511
7,014		7.50%, with maturity at 2024 (4)	7,429,430
20,379		8.00%, with various maturities to 2031 (4)	21,677,817
11,068		8.50%, with various maturities to 2031 (4)	12,033,150
1,243		9.00%, with maturity at 2031	1,369,128
1,243		9.50%, with various maturities to 2022	1,376,115
2,909		11.50%, with maturity at 2019 (4)	3,247,149
			$	61,873,979
		Federal National Mortgage Association:
5,159		6.321%, with maturity at 2032	5,311,937
18,918		6.50%, with various maturities to 2028 (4)	19,234,094
2,795		7.00%, with maturity at 2014	2,854,834
6,379		7.50%, with various maturities to 2028 (4)	6,680,481
7,720		8.00%, with various maturities to 2029 (4)	8,216,896
1,786		8.50%, with maturity at 2027	1,930,185
1,629		9.00%, with various maturities to 2028	1,785,265
10,229		9.50%, with various maturities to 2031 (4)	11,355,797
4,290		10.00%, with various maturities to 2031	4,781,873
			$	62,151,362
		Government National Mortgage Association:
8,399		7.50%, with maturity at 2022 (4)	8,897,659
11,069		8.00%, with various maturities to 2027 (4)	11,860,429
5,628		9.00%, with maturity at 2026 (4)	6,215,044
1,111		9.50%, with maturity at 2025	1,237,311
1,585		11.00%, with maturity at 2018	1,773,588
			$	29,984,031
		Collateralized Mortgage Obligations:
4,412		Federal Home Loan Mortgage Corp., Series 2137, Class Z, 6.00%, 3/15/29 (4)	4,456,451
5,194		Federal Home Loan Mortgage Corp., Series 2167, Class BZ, 7.00%, 6/15/29 (4)	5,369,984
1,175		Federal Home Loan Mortgage Corp., Series 2214, Class NC, 11.052%, 8/15/21	1,291,536
7,027		Federal Home Loan Mortgage Corp., Series S 2182, Class ZB, 8.00%, 9/15/29 (4)	7,394,009
390		Federal National Mortgage Association, Series 1989-89, Class H, 9.00%, 11/25/19	423,993
963		Federal National Mortgage Association, Series 1991-122, Class N, 7.50%, 9/25/21	1,001,938

$	7,223	Federal National Mortgage Association, Series 1993-84, Class M, 7.50%, 6/25/23 (4)	$	7,618,240
2,301		Federal National Mortgage Association, Series 1997-28, Class ZA, 7.50%, 4/20/27	2,405,224
2,159		Federal National Mortgage Association, Series 1997-38, Class N, 8.00%, 5/20/27	2,281,960
3,851		Federal National Mortgage Association, Series G-33, Class PT, 7.00%, 10/25/21 (4)	3,967,403
			$	36,210,738
Total Mortgage Pass-Throughs (identified cost $192,815,616)			$	190,220,110

Corporate Bonds & Notes — 1.5%

Principal
Amount
(000’s omitted)			Security	Value
Cable and Satellite Television — 0.7%
			Iesy Hessen & ISH NRW, Variable Rate
	2,000	EUR	6.021%, 4/15/13 (5)	$	2,494,873
				$	2,494,873
Financial Intermediaries — 0.1%
			Centurion CDO 9 Ltd., Series 2005-9A
500			9.35%, 7/17/19	515,095
				$	515,095
Index Linked Notes — 0.6%
			JP Morgan Chilean Inflation Linked Note
2,000			7.433%, 11/17/15	2,011,600
				$	2,011,600
Telecommunications — 0.1%
			Qwest Corp., Sr. Notes, Variable Rate
200			8.579%, 6/15/13 (5)	215,000
				$	215,000
Total Corporate Bonds & Notes (identified cost $5,152,301)				$	5,236,568

Sovereign Issues—6.5%

Principal
Amount
(000’s omitted)			Security	Value
			Egyptian Treasury Bill
	8,275	EGP	0.00%, 8/1/06	$	1,440,696
	8,000	EGP	0.00%, 9/5/06	1,381,620
	8,400	EGP	0.00%, 10/10/06	1,438,716
	8,000	EGP	0.00%, 12/5/06	1,352,211
	7,590	EGP	0.00%, 2/27/07	1,257,948
			Federal Republic of Brazil
	4,204	BRL	12.50%, 1/5/16	1,943,526
			Indonesia Government
	30,000,000	IDR	11.00%, 12/15/12	3,171,504
			Indonesia Recapitalization Bond
	35,000,000	IDR	12.25%, 7/15/07	3,882,708
			Republic of Colombia
	14,760,000	COP	11.75%, 3/1/10	6,554,053
				$	22,422,982
Total Sovereign Issues (identified cost $22,587,229)				$	22,422,982

Short-Term Investments — 1.7%

Principal		Maturity
Amount		Date	Borrower	Rate		Amount
$	1,817,000	08/01/06	General Electric Capital Corp. Commercial Paper	5.30	%	$	1,817,000
3,870,000		08/01/06	Investors Bank and Trust Company Time Deposit	5.31	%	3,870,000
Total Short-Term Investments (at amortized cost, $5,687,000)						$	5,687,000
Gross Investments — 137.6% (identified cost $474,299,312)						$	474,216,865
Less Unfunded Loan Commitments — (0.2)%						$	(653,650	)
Net Investments — 137.4% (identified cost $473,645,662)						$	473,563,215
Other Assets, Less Liabilities — (37.4)%						$	(128,972,773	)
Net Assets — 100.0%						$	344,590,442

BRL	—	Brazilian Real
COP	—	Colombian Peso

EGP	—	Egyptian Pound
EUR	—	Euro
GBP	—	British Pound
IDR	—	Indonesian Rupiah
(1)		Senior floating-rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the senior floating-rate interests will have an expected average life of approximately two to three years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.
(2)		Unfunded loan commitments. The Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
(3)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.
(4)		All or a portion of these securities were on loan at July 31, 2006.
(5)		Adjustable rate securities. Rates shown are the rates at period end.

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

Futures Contracts

Expiration				Aggregate						Net Unrealized
Date	Contracts	Position		Cost			Value			Depreciation
09/06	21 Japan 10 Year Bond		Short	$	(24,214,183	)	$	(24,219,688	)		$	(5,505	)

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

Forward Foreign Currency Exchange Contracts

Sales

			Net Unrealized
Settlement			Appreciation
Date(s)	Deliver	In Exchange For	(Depreciation)
8/02/06	Brazilian Real 5,300,000	United States Dollar 2,424,520		$	(12,822	)
8/08/06	Canadian Dollar 4,000,000	United States Dollar 3,496,504		(43,314		)
8/29/06	Euro 50,256,015	United States Dollar 63,623,222		(623,940		)
8/29/06	Great British Pound 4,090,483	United States Dollar 7,576,270		(65,252		)
8/09/06	Japanese Yen 249,600,000	United States Dollar 2,154,296		(28,984		)
8/01/06	Turkish Lira 8,124,500	United States Dollar 5,452,685		21,869
8/07/06	South African Rand 12,000,000	United States Dollar 1,740,449		10,319
				$	(742,124	)

Purchases

			Net Unrealized
Settlement			Appreciation
Date(s)	Acquire	In Exchange For	(Depreciation)
8/02/06	Brazilian Real 5,300,000	United States Dollar 2,382,986		$	54,356
9/05/06	Brazilian Real 5,300,000	United States Dollar 2,405,155		12,177
8/14/06	Chilean Peso 1,800,000,000	United States Dollar 3,339,208		(3,776		)
8/07/06	Indonesian Rupiah 32,000,000,000	United States Dollar 3,490,401		34,341
8/04/06	Icelandic Krona 211,144,000	Euro 2,248,365		29,637
8/11/06	Icelandic Krona 545,174,800	Euro 5,924,847		(89,150		)
8/07/06	Japanese Yen 201,000,000	United States Dollar 1,753,927		3,754
8/07/06	Korean Won 10,280,000,000	United States Dollar 10,811,152		(53,148		)
8/28/06	Kazakhstan Tenge 35,700,000	United States Dollar 302,542		(528		)
8/14/06	Mexican Peso 38,328,000	United States Dollar 3,484,364		29,168
8/07/06	Malaysian Ringgit 21,495,000	United States Dollar 5,843,414		35,099

8/22/06	Malaysian Ringgit 26,000,000	United States Dollar 7,077,141	39,037
8/25/06	Malaysian Ringgit 13,000,000	United States Dollar 3,532,033	26,619
8/04/06	Philippines Peso 180,000,000	United States Dollar 3,430,663	66,253
8/22/06	Philippines Peso 185,000,000	United States Dollar 3,527,303	64,273
8/18/06	Romanian Leu 5,100,000	Euro 1,417,415	22,989
10/27/06	Romanian Leu 28,500,000	Euro 7,730,849	265,381
8/01/06	Turkish Lira 8,124,500	United States Dollar 5,450,855	(20,040		)
8/15/06	Turkish Lira 8,124,500	United States Dollar 5,427,188	(21,941		)
			$	494,501

At July 31, 2006, the Fund had sufficient cash and/or securities to cover potential obligations arising from open futures and forward foreign currency exchange contracts, as well as margin requirements on open futures contracts.

The Portfolio has entered into an interest rate swap with JPMorgan Chase Bank N.A. whereby the Portfolio makes a payment every 28 days at a rate equal to the MXN-TIIE-BANXICO on the notional amount of $39,000,000 MXN. In exchange, the Portfolio receives payments every 28 days at a fixed rate equal to 9.870% on the same notional amount. The value of the contract, which terminates on May 26, 2016, is recorded as a receivable for open swap contracts of $173,468, at July 31, 2006.

Credit Default Swaps

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

Notional	Expiration		Net Unrealized
Amount	Date	Description	Depreciation
10,000,000 USD	3/20/2010	Agreement with Credit Suisse First Boston dated 3/05/2005 whereby the Fund will pay 2.01% per year times the notional amount. In exchange for that periodic payment, upon a default event involving Turkish sovereign issues, Credit Suisse First Boston agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Turkey to Credit Suisse First Boston.		$	(57,779	)

5,000,000 USD	9/20/2011	Agreement with Credit Suisse First Boston dated 7/21/2006 whereby the Fund will pay 2.15% per year times the notional amount. In exchange for that periodic payment, upon a default event involving Philippine sovereign issues, Credit Suisse First Boston agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by the Philippines to Credit Suisse First Boston.	$	(62,870	)
10,000,000 USD	3/20/2010	Agreement with JP Morgan Chase Bank dated 3/05/2005 whereby the Fund will pay 2.00% per year times the notional amount. In exchange for that periodic payment, upon a default event involving Turkish sovereign issues, JP Morgan Chase Bank agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Turkey to JP Morgan Chase Bank.	$	(54,579	)
10,000,000 USD	9/20/2011	Agreement with JP Morgan Chase Bank dated 7/21/2006 whereby the Fund will pay 2.09% per year times the notional amount. In exchange for that periodic payment, upon a default event involving Indonesian sovereign issues, JP Morgan Chase Bank agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Indonesia to JP Morgan Chase Bank.	$	(127,656	)
5,000,000 USD	9/20/2011	Agreement with JP Morgan Chase Bank dated 7/21/2006 whereby the Fund will pay 2.17% per year times the notional amount. In exchange for that periodic payment, upon a default event involving Philippine sovereign issues, JP Morgan Chase Bank agrees to pay the Fund the notional amount of the swap.To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by the Philippines to JP Morgan Chase Bank.	$	(67,213	)
			$	(370,097	)

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

Aggregate cost	$	474,705,231
Gross unrealized appreciation	$	4,326,856
Gross unrealized depreciation	(5,468,872		)
Net unrealized depreciation	$	(1,142,016	)

The unrealized depreciation on foreign currency, swaps, futures and forward contracts at July 31, 2006 on a federal income tax basis was $467,380.

Item 2. Controls and Procedures

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

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

Signatures

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

Eaton Vance Short Duration Diversified Income Fund

By:		/s/ Thomas E. Faust Jr.
		Thomas E. Faust Jr.
		President and Principal Executive Officer
Date:		September 22, 2006

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

By:		/s/ Thomas E. Faust Jr.
		Thomas E. Faust Jr.
		President and Principal Executive Officer
Date:		September 22, 2006
By:		/s/ Barbara E. Campbell
		Barbara E. Campbell
		Treasurer and Principal Financial Officer
Date:		September 22, 2006