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, 2017

Date of Reporting Period

Item 1. Schedule of Investments

Eaton Vance

Short Duration Diversified Income Fund

July 31, 2017

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Loans — 35.2%⁽¹⁾


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.6%
Accudyne Industries, LLC
Term Loan, 4.23%, Maturing December 13, 2019		56	$	56,100
TransDigm, Inc.
Term Loan, 4.29%, Maturing February 28, 2020		497		498,911
Term Loan, 4.29%, Maturing June 4, 2021		315		316,859
Term Loan, 4.23%, Maturing June 9, 2023		664		668,563

			$	1,540,433

Automotive — 1.0%
Allison Transmission, Inc.
Term Loan, 3.24%, Maturing September 23, 2022		234	$	235,993
CS Intermediate Holdco 2, LLC
Term Loan, 3.55%, Maturing October 26, 2023		284		285,269
Dayco Products, LLC
Term Loan, 6.23%, Maturing May 19, 2023		175		176,312
FCA US, LLC
Term Loan, 3.23%, Maturing December 31, 2018		216		217,026
Federal-Mogul Holdings Corporation
Term Loan, 4.98%, Maturing April 15, 2021		517		520,103
Goodyear Tire & Rubber Company (The)
Term Loan - Second Lien, 3.23%, Maturing April 30, 2019		383		385,170
Horizon Global Corporation
Term Loan, 5.73%, Maturing June 30, 2021		76		76,967
Sage Automotive Holdings, Inc.
Term Loan, 6.23%, Maturing October 27, 2022		124		125,308
Tower Automotive Holdings USA, LLC
Term Loan, 4.00%, Maturing March 7, 2024		520		521,717
Visteon Corporation
Term Loan, 3.55%, Maturing March 24, 2024		102		102,721

			$	2,646,586

Beverage and Tobacco — 0.1%
Flavors Holdings, Inc.
Term Loan, 7.05%, Maturing April 3, 2020		351	$	331,250

			$	331,250

Brokerage/Securities Dealers/Investment Houses — 0.2%
Aretec Group, Inc.
Term Loan, 8.00%, Maturing November 23, 2020		64	$	65,531
Term Loan - Second Lien, 6.50%, (2.00% Cash, 4.50% PIK), Maturing May 23, 2021		274		271,197
Salient Partners L.P.
Term Loan, 9.80%, Maturing May 19, 2021		135		130,768

			$	467,496


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Building and Development — 0.9%
Auction.com, LLC
Term Loan, 6.24%, Maturing May 12, 2019		196	$	197,211
CPG International, Inc.
Term Loan, 5.05%, Maturing May 3, 2024		393		394,251
DTZ U.S. Borrower, LLC
Term Loan, 4.49%, Maturing November 4, 2021		515		517,760
HD Supply Waterworks Ltd.
Term Loan, Maturing August 1, 2024⁽²⁾		125		126,055
Ply Gem Industries, Inc.
Term Loan, 4.30%, Maturing February 1, 2021		298		300,501
Quikrete Holdings, Inc.
Term Loan, 3.98%, Maturing November 15, 2023		448		449,149
RE/MAX International, Inc.
Term Loan, 4.05%, Maturing December 15, 2023		400		402,156
Summit Materials Companies I, LLC
Term Loan, 3.98%, Maturing July 17, 2022		123		123,802

			$	2,510,885

Business Equipment and Services — 3.4%
Acosta Holdco, Inc.
Term Loan, 4.48%, Maturing September 26, 2021		532	$	488,364
Altisource Solutions S.a.r.l.
Term Loan, 4.73%, Maturing December 9, 2020		123		109,062
Change Healthcare Holdings, Inc.
Term Loan, 3.98%, Maturing March 1, 2024		1,172		1,179,551
Corporate Capital Trust, Inc.
Term Loan, 4.56%, Maturing May 20, 2019		1,051		1,065,726
CPM Holdings, Inc.
Term Loan, 5.48%, Maturing April 11, 2022		247		250,060
Education Management, LLC
Term Loan, 5.80%, Maturing July 2, 2020⁽³⁾		80		56,632
Term Loan, 8.80%, Maturing July 2, 2020⁽³⁾		152		0
EIG Investors Corp.
Term Loan, 5.24%, Maturing February 9, 2023		570		575,897
Extreme Reach, Inc.
Term Loan, 7.55%, Maturing February 7, 2020		109		109,231
First Data Corporation
Term Loan, 3.48%, Maturing July 8, 2022		481		482,624
Garda World Security Corporation
Term Loan, 7.25%, Maturing May 24, 2024		320		323,975
GTCR Valor Companies, Inc.
Term Loan, Maturing June 20, 2023⁽²⁾		125		123,750
IG Investment Holdings, LLC
Term Loan, 5.30%, Maturing October 31, 2021		435		440,267
Information Resources, Inc.
Term Loan, 5.48%, Maturing January 18, 2024		175		176,145
J.D. Power and Associates
Term Loan, 5.55%, Maturing September 7, 2023		174		174,933
KAR Auction Services, Inc.
Term Loan, 3.56%, Maturing March 11, 2021		352		354,254
Kronos Incorporated
Term Loan, 4.68%, Maturing November 1, 2023		1,042		1,054,391


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Monitronics International, Inc.
Term Loan, 6.80%, Maturing September 30, 2022		394	$	399,072
PGX Holdings, Inc.
Term Loan, 6.49%, Maturing September 29, 2020		346		346,851
Prime Security Services Borrower, LLC
Term Loan, 3.98%, Maturing May 2, 2022		299		300,859
Spin Holdco, Inc.
Term Loan, 4.98%, Maturing November 14, 2022		617		617,643
Techem GmbH
Term Loan, Maturing July 31, 2024⁽²⁾	EUR	200		238,980
Tempo Acquisition, LLC
Term Loan, 4.23%, Maturing May 1, 2024		150		151,281
Tibco Software, Inc.
Term Loan, Maturing December 4, 2020⁽²⁾		150		151,289
Vantiv, LLC
Term Loan, 3.72%, Maturing October 14, 2023		82		82,268

			$	9,253,105

Cable and Satellite Television — 1.4%
Atlantic Broadband Finance, LLC
Term Loan, 3.73%, Maturing November 30, 2019		127	$	127,390
Charter Communications Operating, LLC
Term Loan, 3.48%, Maturing January 15, 2024		370		373,193
CSC Holdings, LLC
Term Loan, 3.48%, Maturing July 17, 2025		458		458,227
MCC Iowa, LLC
Term Loan, 3.70%, Maturing January 29, 2021		168		169,313
Numericable Group SA
Term Loan, 4.06%, Maturing July 31, 2025		324		324,187
Telenet Financing USD, LLC
Term Loan, 3.98%, Maturing June 30, 2025		100		100,652
UPC Financing Partnership
Term Loan, 3.98%, Maturing April 15, 2025		475		478,028
Virgin Media Bristol, LLC
Term Loan, 3.98%, Maturing January 31, 2025		1,275		1,282,703
Ziggo Secured Finance Partnership
Term Loan, 3.73%, Maturing April 15, 2025		625		626,451

			$	3,940,144

Chemicals and Plastics — 1.2%
Ashland, Inc.
Term Loan, 3.24%, Maturing May 24, 2024		100	$	100,667
Axalta Coating Systems US Holdings, Inc.
Term Loan, 3.30%, Maturing June 1, 2024		375		376,981
Emerald Performance Materials, LLC
Term Loan, 4.73%, Maturing August 1, 2021		336		339,509
Term Loan - Second Lien, 8.98%, Maturing August 1, 2022		100		100,208
Gemini HDPE, LLC
Term Loan, 4.31%, Maturing August 7, 2021		364		366,489
Huntsman International, LLC
Term Loan, 4.23%, Maturing April 19, 2019		203		204,040
Ineos US Finance, LLC
Term Loan, 4.01%, Maturing March 31, 2022		122		122,894


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Kraton Polymers, LLC
Term Loan, 5.23%, Maturing January 6, 2022		173	$	175,219
MacDermid, Inc.
Term Loan, 4.23%, Maturing June 7, 2023		279		280,581
OXEA Finance, LLC
Term Loan, 4.47%, Maturing January 15, 2020		120		119,210
PolyOne Corporation
Term Loan, 3.51%, Maturing November 12, 2022		99		99,219
PQ Corporation
Term Loan, 5.56%, Maturing November 4, 2022		223		224,784
Solenis International L.P.
Term Loan, 4.50%, Maturing July 31, 2021	EUR	170		204,658
Tata Chemicals North America, Inc.
Term Loan, 4.06%, Maturing August 7, 2020		161		161,025
Tronox Pigments (Netherlands) B.V.
Term Loan, 4.80%, Maturing March 19, 2020		383		386,563
Zep, Inc.
Term Loan, 5.23%, Maturing June 27, 2022		74		73,868

			$	3,335,915

Conglomerates — 0.1%
Spectrum Brands, Inc.
Term Loan, 3.27%, Maturing June 23, 2022		325	$	327,279

			$	327,279

Containers and Glass Products — 0.3%
Consolidated Container Company, LLC
Term Loan, 4.73%, Maturing May 22, 2024		50	$	50,412
Horizon Holdings III SAS
Term Loan, 3.00%, Maturing October 29, 2022	EUR	300		356,028
Pelican Products, Inc.
Term Loan, 5.55%, Maturing April 11, 2020		419		421,418

			$	827,858

Cosmetics/Toiletries — 0.2%
Galleria Co.
Term Loan, 4.25%, Maturing September 29, 2023		325	$	327,791
KIK Custom Products, Inc.
Term Loan, 5.79%, Maturing August 26, 2022		246		248,295

			$	576,086

Drugs — 1.8%
Albany Molecular Research, Inc.
Term Loan, 5.98%, Maturing July 16, 2021		616	$	620,223
Alkermes, Inc.
Term Loan, 3.97%, Maturing September 25, 2021		72		72,154
Amneal Pharmaceuticals, LLC
Term Loan, 4.80%, Maturing November 1, 2019		632		637,521
Arbor Pharmaceuticals, Inc.
Term Loan, 6.30%, Maturing July 5, 2023		270		274,229
Endo Luxembourg Finance Company I S.a.r.l.
Term Loan, 5.50%, Maturing April 29, 2024		775		787,801
Horizon Pharma, Inc.
Term Loan, 5.00%, Maturing March 29, 2024		567		570,549


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Mallinckrodt International Finance S.A.
Term Loan, 4.05%, Maturing September 24, 2024		736	$	739,311
Valeant Pharmaceuticals International, Inc.
Term Loan, 5.98%, Maturing April 1, 2022		1,175		1,198,223

			$	4,900,011

Ecological Services and Equipment — 0.3%
EnergySolutions, LLC
Term Loan, 6.99%, Maturing May 29, 2020		559	$	566,472
GFL Environmental, Inc.
Term Loan, 4.05%, Maturing September 29, 2023		149		149,601

			$	716,073

Electronics/Electrical — 3.6%
Almonde, Inc.
Term Loan, 4.74%, Maturing June 13, 2024		425	$	428,348
Answers Finance, LLC
Term Loan - Second Lien, 9.00%, Maturing September 15, 2021		30		29,601
Avast Software B.V.
Term Loan, 4.55%, Maturing September 29, 2023		341		344,992
Campaign Monitor Finance Pty. Limited
Term Loan, 6.55%, Maturing March 18, 2021		118		113,141
CommScope, Inc.
Term Loan, 3.30%, Maturing December 29, 2022		153		154,219
Cypress Intermediate Holdings III, Inc.
Term Loan, 4.24%, Maturing April 27, 2024		225		225,914
Cypress Semiconductor Corporation
Term Loan, 4.98%, Maturing July 5, 2021		190		191,366
Electrical Components International, Inc.
Term Loan, 6.05%, Maturing May 28, 2021		607		612,171
Electro Rent Corporation
Term Loan, 6.23%, Maturing January 19, 2024		224		226,184
Excelitas Technologies Corp.
Term Loan, 6.30%, Maturing October 31, 2020		142		142,428
Go Daddy Operating Company, LLC
Term Loan, 3.73%, Maturing February 15, 2024		824		828,287
Hyland Software, Inc.
Term Loan, 4.48%, Maturing July 1, 2022		100		101,021
Infoblox, Inc.
Term Loan, 6.23%, Maturing November 7, 2023		150		150,841
Informatica Corporation
Term Loan, 4.80%, Maturing August 5, 2022		418		418,901
Lattice Semiconductor Corporation
Term Loan, 5.47%, Maturing March 10, 2021		88		88,375
MA FinanceCo., LLC
Term Loan, 3.81%, Maturing November 19, 2021		875		875,413
Term Loan, 3.98%, Maturing June 21, 2024		26		25,825
MH Sub I, LLC
Term Loan, 4.98%, Maturing July 8, 2021		343		347,314
MTS Systems Corporation
Term Loan, 4.48%, Maturing July 5, 2023		248		250,606
Renaissance Learning, Inc.
Term Loan, 5.05%, Maturing April 9, 2021		121		122,141


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Rocket Software, Inc.
Term Loan, 5.55%, Maturing October 14, 2023		199	$	200,857
Seattle Spinco, Inc.
Term Loan, 4.03%, Maturing June 21, 2024		174		174,404
SkillSoft Corporation
Term Loan, 5.98%, Maturing April 28, 2021		680		640,736
Southwire Company
Term Loan, 3.73%, Maturing February 10, 2021		393		395,165
SS&C Technologies, Inc.
Term Loan, 3.48%, Maturing July 8, 2022		17		17,385
Term Loan, 3.48%, Maturing July 8, 2022		305		306,976
SurveyMonkey, Inc.
Term Loan, 5.80%, Maturing April 13, 2024		300		301,875
Synchronoss Technologies, Inc.
Term Loan, 5.76%, Maturing January 19, 2024		150		149,625
Uber Technologies
Term Loan, 5.23%, Maturing July 13, 2023		323		323,651
VeriFone, Inc.
Term Loan, 3.99%, Maturing July 8, 2021		485		487,122
Veritas Bermuda Ltd.
Term Loan, 5.80%, Maturing January 27, 2023		420		424,308
Wall Street Systems Delaware, Inc.
Term Loan, 4.80%, Maturing August 26, 2023		279		280,724
Western Digital Corporation
Term Loan, 3.98%, Maturing April 29, 2023		416		419,546

			$	9,799,462

Equipment Leasing — 0.6%
Avolon TLB Borrower 1 (Luxembourg) S.a.r.l.
Term Loan, 3.98%, Maturing March 20, 2022		750	$	753,985
Delos Finance S.a.r.l.
Term Loan, 3.55%, Maturing October 6, 2023		425		426,647
Flying Fortress, Inc.
Term Loan, 3.55%, Maturing October 30, 2022		500		502,656

			$	1,683,288

Financial Intermediaries — 1.4%
Armor Holding II, LLC
Term Loan, 5.80%, Maturing June 26, 2020		410	$	412,977
Citco Funding, LLC
Term Loan, 4.23%, Maturing March 31, 2022		662		667,895
Clipper Acquisitions Corp.
Term Loan, 3.47%, Maturing February 6, 2020		96		95,953
Donnelley Financial Solutions, Inc.
Term Loan, 5.22%, Maturing September 30, 2023		66		67,134
Focus Financial Partners, LLC
Term Loan, 4.55%, Maturing July 3, 2024		175		176,859
Fortress Investment Group, LLC
Term Loan, 1.38%, Maturing June 14, 2022		200		202,719
Freedom Mortgage Corporation
Term Loan, 6.86%, Maturing February 23, 2022		175		176,277
Guggenheim Partners, LLC
Term Loan, 3.98%, Maturing July 21, 2023		211		213,224


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
LPL Holdings, Inc.
Term Loan, 3.82%, Maturing March 11, 2024		249	$	251,167
NXT Capital, Inc.
Term Loan, 5.74%, Maturing November 22, 2022		398		404,965
Quality Care Properties, Inc.
Term Loan, 6.48%, Maturing October 31, 2022		473		476,170
Walker & Dunlop, Inc.
Term Loan, 5.48%, Maturing December 11, 2020		119		120,316
Walter Investment Management Corp.
Term Loan, 4.98%, Maturing December 18, 2020		688		633,071

			$	3,898,727

Food Products — 1.1%
Blue Buffalo Company Ltd.
Term Loan, 3.23%, Maturing May 18, 2024		150	$	151,219
Del Monte Foods, Inc.
Term Loan, 4.43%, Maturing February 18, 2021		121		95,193
High Liner Foods Incorporated
Term Loan, 4.54%, Maturing April 24, 2021		134		134,549
HLF Financing S.a.r.l.
Term Loan, 6.73%, Maturing February 15, 2023		221		223,771
Jacobs Douwe Egberts International B.V.
Term Loan, 3.44%, Maturing July 2, 2022		320		322,009
JBS USA, LLC
Term Loan, 3.80%, Maturing October 30, 2022		1,097		1,089,021
Nature’s Bounty Co. (The)
Term Loan, 4.80%, Maturing May 5, 2023		693		695,255
Nomad Foods Europe Midco Limited
Term Loan, 3.98%, Maturing April 18, 2024		100		101,031
Post Holdings, Inc.
Term Loan, 3.49%, Maturing May 24, 2024		275		276,418

			$	3,088,466

Food Service — 0.3%
Pizza Hut Holdings, LLC
Term Loan, 3.23%, Maturing June 16, 2023		174	$	174,775
Weight Watchers International, Inc.
Term Loan, 4.53%, Maturing April 2, 2020		801		789,822

			$	964,597

Food/Drug Retailers — 0.4%
Albertsons, LLC
Term Loan, 3.98%, Maturing August 25, 2021		229	$	228,813
Term Loan, 4.25%, Maturing June 22, 2023		495		495,317
General Nutrition Centers, Inc.
Term Loan, 3.74%, Maturing March 4, 2019		216		209,007
Rite Aid Corporation
Term Loan - Second Lien, 5.99%, Maturing August 21, 2020		100		100,488

			$	1,033,625


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Forest Products — 0.1%
Expera Specialty Solutions, LLC
Term Loan, 5.98%, Maturing November 3, 2023		174	$	174,990

			$	174,990

Health Care — 4.1%
ADMI Corp.
Term Loan, 5.03%, Maturing April 30, 2022		246	$	249,272
Akorn, Inc.
Term Loan, 5.50%, Maturing April 16, 2021		159		161,310
Alere, Inc.
Term Loan, 4.49%, Maturing June 18, 2022		297		297,699
Alliance Healthcare Services, Inc.
Term Loan, 4.48%, Maturing June 3, 2019		214		213,983
Beaver-Visitec International, Inc.
Term Loan, 6.30%, Maturing August 21, 2023		149		148,875
CareCore National, LLC
Term Loan, 5.23%, Maturing March 5, 2021		569		577,635
CHG Healthcare Services, Inc.
Term Loan, 4.56%, Maturing June 7, 2023		370		374,970
Community Health Systems, Inc.
Term Loan, 3.96%, Maturing December 31, 2019		425		426,193
Term Loan, 4.21%, Maturing January 27, 2021		785		786,120
DaVita HealthCare Partners, Inc.
Term Loan, 3.98%, Maturing June 24, 2021		534		538,931
DJO Finance, LLC
Term Loan, 4.48%, Maturing June 8, 2020		392		391,118
Envision Healthcare Corporation
Term Loan, 4.30%, Maturing December 1, 2023		1,319		1,328,373
Genoa, a QoL Healthcare Company, LLC
Term Loan, 4.98%, Maturing October 28, 2023		99		100,143
Greatbatch Ltd.
Term Loan, 4.73%, Maturing October 27, 2022		155		156,023
Iasis Healthcare, LLC
Term Loan, 5.30%, Maturing February 16, 2021		273		275,502
INC Research, LLC
Term Loan, Maturing June 27, 2024⁽²⁾		75		75,492
Indivior Finance S.a.r.l.
Term Loan, 7.32%, Maturing December 19, 2019		158		159,918
inVentiv Health, Inc.
Term Loan, 4.95%, Maturing November 9, 2023		423		424,310
Kindred Healthcare, Inc.
Term Loan, 4.81%, Maturing April 9, 2021		731		732,696
Kinetic Concepts, Inc.
Term Loan, 4.55%, Maturing February 2, 2024		500		500,417
KUEHG Corp.
Term Loan, 5.05%, Maturing August 13, 2022		271		273,003
Medical Depot Holdings, Inc.
Term Loan, 6.80%, Maturing January 3, 2023		148		136,182
MMM Holdings, Inc.
Term Loan, 10.25%, Maturing June 30, 2019		84		82,324
MPH Acquisition Holdings, LLC
Term Loan, 4.30%, Maturing June 7, 2023		409		411,238


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
MSO of Puerto Rico, Inc.
Term Loan, 10.25%, Maturing June 30, 2019		61	$	59,849
New Millennium Holdco, Inc.
Term Loan, 7.73%, Maturing December 21, 2020		88		53,429
Onex Carestream Finance L.P.
Term Loan, 5.27%, Maturing June 7, 2019		175		174,965
Opal Acquisition, Inc.
Term Loan, 5.30%, Maturing November 27, 2020		290		274,679
Ortho-Clinical Diagnostics, Inc.
Term Loan, 5.05%, Maturing June 30, 2021		534		534,835
Quintiles IMS Incorporated
Term Loan, 3.26%, Maturing March 7, 2024		701		707,601
Select Medical Corporation
Term Loan, 4.81%, Maturing March 6, 2024		249		252,334
Surgery Center Holdings, Inc.
Term Loan, Maturing June 6, 2024⁽²⁾		150		151,594
Tecomet, Inc.
Term Loan, 4.92%, Maturing May 2, 2024		125		125,781
U.S. Anesthesia Partners, Inc.
Term Loan, 4.48%, Maturing June 23, 2024		150		150,469

			$	11,307,263

Home Furnishings — 0.3%
Serta Simmons Bedding, LLC
Term Loan, 4.77%, Maturing November 8, 2023		796	$	797,578

			$	797,578

Industrial Equipment — 1.5%
Apex Tool Group, LLC
Term Loan, 4.50%, Maturing January 31, 2020		527	$	516,706
Blount International, Inc.
Term Loan, 6.23%, Maturing April 12, 2023		396		400,207
Clark Equipment Company
Term Loan, 3.93%, Maturing May 18, 2024		349		351,743
Dragon Merger Sub, LLC
Term Loan, 5.31%, Maturing July 12, 2024		125		126,719
EWT Holdings III Corp.
Term Loan, 5.05%, Maturing January 15, 2021		657		659,811
Term Loan, 5.80%, Maturing January 15, 2021		99		99,244
Gardner Denver, Inc.
Term Loan, 4.55%, Maturing July 30, 2020		287		288,592
Gates Global, LLC
Term Loan, 4.55%, Maturing April 1, 2024		373		375,615
Generac Power Systems, Inc.
Term Loan, 3.55%, Maturing May 31, 2023		252		253,334
Paladin Brands Holding, Inc.
Term Loan, 7.30%, Maturing August 16, 2019		355		355,481
Paternoster Holding IV GmbH
Term Loan, 6.00%, Maturing March 31, 2022	EUR	175		210,807
STS Operating, Inc.
Term Loan, 4.98%, Maturing February 12, 2021		328		328,535
Tank Holding Corp.
Term Loan, 5.55%, Maturing March 16, 2022		133		133,763

			$	4,100,557


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Insurance — 0.9%
AssuredPartners, Inc.
Term Loan, 4.73%, Maturing October 21, 2022		173	$	173,345
Term Loan - Second Lien, 10.23%, Maturing October 20, 2023		125		127,500
Asurion, LLC
Term Loan, 4.48%, Maturing August 4, 2022		954		959,345
Term Loan, 4.23%, Maturing November 3, 2023		434		437,696
Term Loan - Second Lien, 8.73%, Maturing March 3, 2021		375		376,055
Cunningham Lindsey U.S., Inc.
Term Loan, 5.05%, Maturing December 10, 2019		164		149,343
USI, Inc.
Term Loan, 4.18%, Maturing May 16, 2024		400		399,458

			$	2,622,742

Leisure Goods/Activities/Movies — 1.5%
AMC Entertainment, Inc.
Term Loan, 3.48%, Maturing December 15, 2022		393	$	394,555
Term Loan, 3.48%, Maturing December 15, 2023		100		99,873
Bombardier Recreational Products, Inc.
Term Loan, 4.23%, Maturing June 30, 2023		817		823,459
CDS U.S. Intermediate Holdings, Inc.
Term Loan, 5.30%, Maturing July 8, 2022		369		371,637
ClubCorp Club Operations, Inc.
Term Loan, 4.05%, Maturing December 15, 2022		338		339,191
Delta 2 (LUX) S.a.r.l.
Term Loan, 4.50%, Maturing February 1, 2024		125		125,486
Emerald Expositions Holding, Inc.
Term Loan, 4.30%, Maturing May 22, 2024		175		177,844
Lindblad Expeditions, Inc.
Term Loan, 5.95%, Maturing May 8, 2021		45		45,136
Term Loan, 5.95%, Maturing May 8, 2021		347		349,804
Nord Anglia Education Finance, LLC
Term Loan, 4.70%, Maturing March 31, 2021		633		634,501
SRAM, LLC
Term Loan, 4.79%, Maturing March 15, 2024		289		290,937
Steinway Musical Instruments, Inc.
Term Loan, 5.06%, Maturing September 19, 2019		373		361,831

			$	4,014,254

Lodging and Casinos — 1.2%
Amaya Holdings B.V.
Term Loan, 4.80%, Maturing August 1, 2021		633	$	636,834
Term Loan - Second Lien, 8.30%, Maturing August 1, 2022		539		546,286
Caesars Entertainment Operating Company
Term Loan, 0.00%, Maturing March 1, 2022⁽⁴⁾		345		413,559
CityCenter Holdings, LLC
Term Loan, 3.73%, Maturing April 18, 2024		350		351,750
Hilton Worldwide Finance, LLC
Term Loan, 3.23%, Maturing October 25, 2023		846		851,036
MGM Growth Properties Operating Partnership L.P.
Term Loan, 3.48%, Maturing April 25, 2023		370		372,241
Playa Resorts Holding B.V.
Term Loan, 4.32%, Maturing April 5, 2024		175		176,116

			$	3,347,822


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Nonferrous Metals/Minerals — 0.3%
Fairmount Santrol, Inc.
Term Loan, 4.80%, Maturing September 5, 2019		339	$	319,951
Global Brass & Copper, Inc.
Term Loan, 4.50%, Maturing July 18, 2023		149		150,922
Murray Energy Corporation
Term Loan, 8.55%, Maturing April 16, 2020		356		348,008
New Day Aluminum, LLC
Term Loan, 10.00%, (4.00% Cash, 6.00% PIK), Maturing October 28, 2020⁽³⁾		5		0
Noranda Aluminum Acquisition Corporation
Term Loan, 0.00%, Maturing February 28, 2019⁽³⁾⁽⁴⁾		84		13,881
Oxbow Carbon, LLC
Term Loan - Second Lien, 8.23%, Maturing January 17, 2020		150		150,937

			$	983,699

Oil and Gas — 1.2%
Ameriforge Group, Inc.
Term Loan, 14.30%, (9.30% Cash, 5.00% PIK), Maturing June 8, 2022		76	$	79,341
BCP Raptor, LLC
Term Loan, 5.51%, Maturing June 24, 2024		125		124,531
Bronco Midstream Funding, LLC
Term Loan, 5.17%, Maturing August 15, 2020		240		242,192
CITGO Holding, Inc.
Term Loan, 9.80%, Maturing May 12, 2018		141		142,547
Crestwood Holdings, LLC
Term Loan, 9.23%, Maturing June 19, 2019		160		158,142
Fieldwood Energy, LLC
Term Loan, 4.17%, Maturing September 28, 2018		196		188,411
MEG Energy Corp.
Term Loan, 4.73%, Maturing December 31, 2023		1,061		1,057,849
Paragon Offshore Finance Company
Term Loan, 0.00%, Maturing July 18, 2021⁽³⁾		2		0
Term Loan, 7.30%, Maturing July 18, 2022		9		8,019
Seadrill Partners Finco, LLC
Term Loan, 4.30%, Maturing February 21, 2021		550		378,051
Sheridan Investment Partners II L.P.
Term Loan, 4.71%, Maturing December 16, 2020		27		23,143
Term Loan, 4.71%, Maturing December 16, 2020		74		62,054
Term Loan, 4.71%, Maturing December 16, 2020		529		446,091
Sheridan Production Partners I, LLC
Term Loan, 4.73%, Maturing October 1, 2019		17		14,726
Term Loan, 4.73%, Maturing October 1, 2019		28		24,108
Term Loan, 4.73%, Maturing October 1, 2019		211		181,939
Ultra Resources, Inc.
Term Loan, 4.22%, Maturing April 12, 2024		200		200,000

			$	3,331,144

Publishing — 0.6%
Ascend Learning, LLC
Term Loan, 4.53%, Maturing July 12, 2024		175	$	176,137
Getty Images, Inc.
Term Loan, 4.80%, Maturing October 18, 2019		708		659,154
LSC Communications, Inc.
Term Loan, 7.23%, Maturing September 30, 2022		188		189,375


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Merrill Communications, LLC
Term Loan, 6.56%, Maturing June 1, 2022		122	$	122,945
ProQuest, LLC
Term Loan, 5.48%, Maturing October 24, 2021		319		321,850
Tweddle Group, Inc.
Term Loan, 7.31%, Maturing October 24, 2022		146		147,347

			$	1,616,808

Radio and Television — 0.6%
AP NMT Acquisition B.V.
Term Loan, 7.05%, Maturing August 13, 2021		97	$	91,010
CBS Radio, Inc.
Term Loan, 4.73%, Maturing October 17, 2023		225		226,959
Cumulus Media Holdings, Inc.
Term Loan, 4.49%, Maturing December 23, 2020		729		588,562
Entercom Radio, LLC
Term Loan, 4.71%, Maturing November 1, 2023		167		167,898
Hubbard Radio, LLC
Term Loan, 4.49%, Maturing May 27, 2022		96		96,312
iHeartCommunications, Inc.
Term Loan, 8.73%, Maturing July 30, 2019		450		363,094

			$	1,533,835

Retailers (Except Food and Drug) — 1.2%
Ascena Retail Group, Inc.
Term Loan, 5.75%, Maturing August 21, 2022		273	$	228,180
Bass Pro Group, LLC
Term Loan, 4.47%, Maturing June 5, 2020		433		433,053
Term Loan, 6.30%, Maturing December 16, 2023		250		243,817
BJ’s Wholesale Club, Inc.
Term Loan, 4.97%, Maturing February 3, 2024		175		171,289
CDW, LLC
Term Loan, 3.30%, Maturing August 17, 2023		359		361,681
David’s Bridal, Inc.
Term Loan, 5.30%, Maturing October 11, 2019		368		274,847
Evergreen Acqco 1 L.P.
Term Loan, 5.06%, Maturing July 9, 2019		365		344,820
J. Crew Group, Inc.
Term Loan, 4.31%, Maturing March 5, 2021		532		289,877
LSF9 Atlantis Holdings, LLC
Term Loan, 7.23%, Maturing May 1, 2023		175		177,570
Men’s Wearhouse, Inc. (The)
Term Loan, 4.72%, Maturing June 18, 2021		145		141,282
Michaels Stores, Inc.
Term Loan, 3.98%, Maturing January 30, 2023		457		457,898
Pier 1 Imports (U.S.), Inc.
Term Loan, 4.80%, Maturing April 30, 2021		97		93,726
Vivid Seats Ltd.
Term Loan, 5.30%, Maturing June 30, 2024		175		176,094

			$	3,394,134


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Steel — 0.1%
Neenah Foundry Company
Term Loan, 7.78%, Maturing April 26, 2019		72	$	71,005
Zekelman Industries, Inc.
Term Loan, 4.79%, Maturing June 14, 2021		152		153,405

			$	224,410

Surface Transport — 0.1%
Stena International S.a.r.l.
Term Loan, 4.30%, Maturing March 3, 2021		266	$	238,126

			$	238,126

Telecommunications — 1.7%
CenturyLink, Inc.
Term Loan, 2.75%, Maturing January 31, 2025		825	$	815,010
Consolidated Communications, Inc.
Term Loan, 4.24%, Maturing October 4, 2023		125		125,375
Digicel International Finance Limited
Term Loan, 4.94%, Maturing May 28, 2024		125		126,367
Frontier Communications Corp.
Term Loan, 4.98%, Maturing June 15, 2024		250		241,000
Global Eagle Entertainment, Inc.
Term Loan, 8.46%, Maturing January 6, 2023		224		218,144
Intelsat Jackson Holdings S.A.
Term Loan, 4.00%, Maturing June 30, 2019		650		648,578
IPC Corp.
Term Loan, 5.82%, Maturing August 6, 2021		342		331,861
Onvoy, LLC
Term Loan, 5.80%, Maturing February 10, 2024		125		125,207
Sprint Communications, Inc.
Term Loan, 3.75%, Maturing February 2, 2024		623		626,100
Syniverse Holdings, Inc.
Term Loan, 4.30%, Maturing April 23, 2019		237		226,989
Term Loan, 4.31%, Maturing April 23, 2019		328		314,607
Telesat Canada
Term Loan, 4.30%, Maturing November 17, 2023		893		902,194

			$	4,701,432

Utilities — 0.9%
Calpine Construction Finance Company L.P.
Term Loan, 3.49%, Maturing May 3, 2020		192	$	192,420
Term Loan, 3.74%, Maturing January 31, 2022		72		72,000
Calpine Corporation
Term Loan, 4.05%, Maturing January 15, 2024		883		887,622
Granite Acquisition, Inc.
Term Loan, 5.30%, Maturing December 19, 2021		21		21,295
Term Loan, 5.30%, Maturing December 19, 2021		467		472,074
Invenergy Thermal Operating I, LLC
Term Loan, 6.80%, Maturing October 19, 2022		217		209,149
Lightstone Generation, LLC
Term Loan, 5.73%, Maturing January 30, 2024		17		17,242
Term Loan, 5.73%, Maturing January 30, 2024		279		276,710
Lonestar Generation, LLC
Term Loan, 5.45%, Maturing February 22, 2021		97		80,709


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
TPF II Power, LLC
Term Loan, 5.23%, Maturing October 2, 2023		255	$	256,789

			$	2,486,010


Total Senior Floating-Rate Loans (identified cost $97,369,591)			$	96,716,090


Collateralized Mortgage Obligations — 24.5%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 2113, Class QG, 6.00%, 1/15/29	$	748	$	837,981
Series 2167, Class BZ, 7.00%, 6/15/29		580		660,958
Series 2182, Class ZB, 8.00%, 9/15/29		1,059		1,241,220
Series 2631, (Interest Only), Class DS, 5.874%, 6/15/33⁽⁵⁾⁽⁶⁾		1,338		220,326
Series 2770, (Interest Only), Class SH, 5.874%, 3/15/34⁽⁵⁾⁽⁶⁾		1,746		355,462
Series 2981, (Interest Only), Class CS, 5.494%, 5/15/35⁽⁵⁾⁽⁶⁾		994		158,222
Series 3114, (Interest Only), Class TS, 5.424%, 9/15/30⁽⁵⁾⁽⁶⁾		2,640		363,614
Series 3309, (Principal Only), Class DO, 0.00%, 4/15/37⁽⁷⁾		1,652		1,474,973
Series 3339, (Interest Only), Class JI, 5.364%, 7/15/37⁽⁵⁾⁽⁶⁾		2,859		528,785
Series 4109, (Interest Only), Class ES, 4.924%, 12/15/41⁽⁵⁾⁽⁶⁾		35		6,637
Series 4121, (Interest Only), Class IM, 4.00%, 10/15/39⁽⁶⁾		4,089		431,919
Series 4163, (Interest Only), Class GS, 4.974%, 11/15/32⁽⁵⁾⁽⁶⁾		4,695		943,549
Series 4169, (Interest Only), Class AS, 5.024%, 2/15/33⁽⁵⁾⁽⁶⁾		2,728		465,025
Series 4180, (Interest Only), Class GI, 3.50%, 8/15/26⁽⁶⁾		2,520		213,952
Series 4203, (Interest Only), Class QS, 5.024%, 5/15/43⁽⁵⁾⁽⁶⁾		2,879		465,590
Series 4212, (Interest Only), Class SA, 4.974%, 7/15/38⁽⁵⁾⁽⁶⁾		4,965		568,240
Series 4273, Class PU, 4.00%, 11/15/43		438		454,787
Series 4332, (Interest Only), Class KI, 4.00%, 9/15/43⁽⁶⁾		1,351		188,201
Series 4337, Class YT, 3.50%, 4/15/49		2,213		2,246,278
Series 4370, (Interest Only), Class IO, 3.50%, 9/15/41⁽⁶⁾		1,734		216,472
Series 4416, Class SU, 6.146%, 12/15/44⁽⁵⁾		1,828		1,828,186
Series 4452, Class ZJ, 3.00%, 11/15/44		1,054		971,349
Series 4478, (Principal Only), Class PO, 0.00%, 5/15/45⁽⁷⁾		1,094		951,650
Series 4497, (Interest Only), Class CS, 4.974%, 9/15/44⁽⁵⁾⁽⁶⁾		4,124		905,506
Series 4507, (Interest Only), Class EI, 4.00%, 8/15/44⁽⁶⁾		4,148		747,051
Series 4535, (Interest Only), Class JS, 4.874%, 11/15/43⁽⁵⁾⁽⁶⁾		4,957		767,881
Series 4548, (Interest Only), Class JS, 4.874%, 9/15/43⁽⁵⁾⁽⁶⁾		5,103		816,366
Series 4584, Class PM, 3.00%, 5/15/46		1,681		1,729,918
Series 4608, Class TV, 3.50%, 1/15/55		2,420		2,460,685
Series 4629, (Interest Only), Class QI, 3.50%, 11/15/46⁽⁶⁾		4,136		686,546
Series 4630, Class CZ, 3.00%, 12/15/43		1,368		1,350,935
Series 4644, (Interest Only), Class TI, 3.50%, 1/15/45⁽⁶⁾		3,519		569,145
Series 4653, (Interest Only), Class PI, 3.50%, 7/15/44⁽⁶⁾		3,903		547,155
Series 4667, (Interest Only), Class PI, 3.50%, 5/15/42⁽⁶⁾		4,920		767,182
Series 4677, Class SB, 11.091%, 4/15/47⁽⁵⁾		988		1,080,296
Series 4695, Class CA, 3.00%, 10/15/41		1,841		1,808,222

			$	30,030,264


Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes:
Series 2017-DNA2, Class M2, 4.682%, 10/25/29⁽⁸⁾	$	2,000	$	2,157,722

			$	2,157,722

Federal National Mortgage Association:
Series G-33, Class PT, 7.00%, 10/25/21	$	73	$	77,071
Series 1989-89, Class H, 9.00%, 11/25/19		11		11,245
Series 1991-122, Class N, 7.50%, 9/25/21		78		83,489
Series 1994-42, Class K, 6.50%, 4/25/24		265		290,614
Series 1997-38, Class N, 8.00%, 5/20/27		337		391,716
Series 2004-46, (Interest Only), Class SI, 4.768%, 5/25/34⁽⁵⁾⁽⁶⁾		1,786		250,449
Series 2005-17, (Interest Only), Class SA, 5.468%, 3/25/35⁽⁵⁾⁽⁶⁾		1,406		288,607
Series 2006-8, (Principal Only), Class WQ, 0.00%, 3/25/36⁽⁷⁾		1,223		1,085,527
Series 2006-42, (Interest Only), Class PI, 5.358%, 6/25/36⁽⁵⁾⁽⁶⁾		2,365		438,769
Series 2006-44, (Interest Only), Class IS, 5.368%, 6/25/36⁽⁵⁾⁽⁶⁾		1,878		344,764
Series 2007-50, (Interest Only), Class LS, 5.218%, 6/25/37⁽⁵⁾⁽⁶⁾		1,473		271,719
Series 2007-74, Class AC, 5.00%, 8/25/37		1,735		1,892,146
Series 2008-26, (Interest Only), Class SA, 4.968%, 4/25/38⁽⁵⁾⁽⁶⁾		2,242		383,108
Series 2008-29, (Interest Only), Class CI, 5.00%, 9/25/35⁽⁶⁾		151		583
Series 2008-61, (Interest Only), Class S, 4.868%, 7/25/38⁽⁵⁾⁽⁶⁾		3,219		560,454
Series 2010-99, (Interest Only), Class NS, 5.368%, 3/25/39⁽⁵⁾⁽⁶⁾		1,599		98,159
Series 2010-109, (Interest Only), Class PS, 5.368%, 10/25/40⁽⁵⁾⁽⁶⁾		3,573		657,319
Series 2010-119, (Interest Only), Class SK, 4.768%, 4/25/40⁽⁵⁾⁽⁶⁾		88		606
Series 2010-124, (Interest Only), Class SJ, 4.818%, 11/25/38⁽⁵⁾⁽⁶⁾		1,938		169,781
Series 2010-147, (Interest Only), Class KS, 4.718%, 1/25/41⁽⁵⁾⁽⁶⁾		4,729		662,255
Series 2010-150, (Interest Only), Class GS, 5.518%, 1/25/21⁽⁵⁾⁽⁶⁾		1,977		129,372
Series 2011-49, Class NT, 6.00%, 6/25/41⁽⁵⁾		548		602,943
Series 2012-52, (Interest Only), Class AI, 3.50%, 8/25/26⁽⁶⁾		3,896		277,743
Series 2012-56, (Interest Only), Class SU, 5.518%, 8/25/26⁽⁵⁾⁽⁶⁾		996		55,433
Series 2012-63, (Interest Only), Class EI, 3.50%, 8/25/40⁽⁶⁾		3,884		382,530
Series 2012-103, (Interest Only), Class GS, 4.868%, 2/25/40⁽⁵⁾⁽⁶⁾		4,363		430,650
Series 2012-112, (Interest Only), Class SB, 4.918%, 9/25/40⁽⁵⁾⁽⁶⁾		5,107		760,207
Series 2012-118, (Interest Only), Class IN, 3.50%, 11/25/42⁽⁶⁾		4,943		942,486
Series 2012-134, Class ZT, 2.00%, 12/25/42		1,597		1,370,654
Series 2012-150, (Interest Only), Class PS, 4.918%, 1/25/43⁽⁵⁾⁽⁶⁾		5,769		1,023,240
Series 2012-150, (Interest Only), Class SK, 4.918%, 1/25/43⁽⁵⁾⁽⁶⁾		3,214		548,259
Series 2013-6, Class TA, 1.50%, 1/25/43		1,645		1,611,056
Series 2013-23, (Interest Only), Class CS, 5.018%, 3/25/33⁽⁵⁾⁽⁶⁾		2,741		477,854
Series 2013-52, Class MD, 1.25%, 6/25/43		1,870		1,786,661
Series 2013-54, (Interest Only), Class HS, 5.068%, 10/25/41⁽⁵⁾⁽⁶⁾		2,413		288,769
Series 2014-32, (Interest Only), Class EI, 4.00%, 6/25/44⁽⁶⁾		1,134		194,013
Series 2014-55, (Interest Only), Class IN, 3.50%, 7/25/44⁽⁶⁾		3,311		481,329
Series 2014-80, (Interest Only), Class BI, 3.00%, 12/25/44⁽⁶⁾		5,836		856,468
Series 2014-89, (Interest Only), Class IO, 3.50%, 1/25/45⁽⁶⁾		2,647		476,487
Series 2015-14, (Interest Only), Class KI, 3.00%, 3/25/45⁽⁶⁾		5,859		850,855
Series 2015-17, (Interest Only), Class SA, 4.968%, 11/25/43⁽⁵⁾⁽⁶⁾		4,410		719,518
Series 2015-52, (Interest Only), Class MI, 3.50%, 7/25/45⁽⁶⁾		3,126		487,723
Series 2015-57, (Interest Only), Class IO, 3.00%, 8/25/45⁽⁶⁾		14,439		2,076,832
Series 2015-74, Class SL, 1.626%, 10/25/45⁽⁵⁾		932		756,115
Series 2015-89, Class ZB, 3.00%, 5/25/54		650		650,921
Series 2015-93, (Interest Only), Class BS, 4.918%, 8/25/45⁽⁵⁾⁽⁶⁾		4,655		924,347


Security	Principal Amount (000’s omitted)		Value
Series 2015-95, (Interest Only), Class SB, 4.768%, 1/25/46⁽⁵⁾⁽⁶⁾	$	3,974	$	785,324
Series 2017-15, Class LE, 3.00%, 6/25/46		1,966		1,992,720

			$	29,898,890

Federal National Mortgage Association Connecticut Avenue Securities:
Series 2017-C01, Class 1B1, 6.982%, 7/25/29⁽⁸⁾	$	730	$	853,580
Series 2017-C03, Class 1B1, 6.082%, 10/25/29⁽⁸⁾		500		550,652
Series 2017-C03, Class 1M2, 4.232%, 10/25/29⁽⁸⁾		2,000		2,100,469

			$	3,504,701

Government National Mortgage Association:
Series 2011-156, Class GA, 2.00%, 12/16/41	$	462	$	408,701
Series 2013-131, Class GS, 2.273%, 6/20/43⁽⁵⁾		1,040		813,905
Series 2017-82, Class TZ, 2.50%, 2/16/43		570		560,949

			$	1,783,555


Total Collateralized Mortgage Obligations (identified cost $68,395,501)			$	67,375,132


Commercial Mortgage-Backed Securities — 7.2%

Security	Principal Amount (000’s omitted)		Value
Citigroup Commercial Mortgage Trust
Series 2015-P1, Class D, 3.225%, 9/15/48⁽⁹⁾	$	4,000	$	3,278,319
JPMBB Commercial Mortgage Securities Trust
Series 2014-C19, Class D, 4.665%, 4/15/47^(9)(10)		1,425		1,292,741
Series 2014-C21, Class D, 4.66%, 8/15/47^(9)(10)		1,425		1,227,174
Series 2014-C22, Class D, 4.559%, 9/15/47^(9)(10)		1,850		1,592,056
Series 2014-C23, Class D, 3.958%, 9/15/47^(9)(10)		850		737,038
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2011-C5, Class D, 5.407%, 8/15/46^(9)(10)		1,850		1,887,868
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C23, Class D, 4.135%, 7/15/50^(9)(10)		1,500		1,300,649
UBS-Citigroup Commercial Mortgage Trust
Series 2011-C1, Class D, 6.049%, 1/10/45^(9)(10)		2,000		2,189,484
UBS Commercial Mortgage Trust
Series 2012-C1, Class D, 5.546%, 5/10/45^(9)(10)		2,000		2,033,075
Wells Fargo Commercial Mortgage Trust
Series 2013-LC12, Class D, 4.295%, 7/15/46^(9)(10)		2,000		1,845,216
Series 2015-SG1, Class C, 4.47%, 9/15/48⁽¹⁰⁾		1,399		1,379,208
WF-RBS Commercial Mortgage Trust
Series 2014-LC14, Class D, 4.586%, 3/15/47^(9)(10)		1,150		977,337


Total Commercial Mortgage-Backed Securities (identified cost $19,664,899)			$	19,740,165



Mortgage Pass-Throughs — 11.6%

Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
2.852%, with maturity at 2035⁽¹¹⁾	$	1,861	$	1,926,652
6.00%, with various maturities to 2029		1,524		1,707,769
6.15%, with maturity at 2027		440		494,268
6.50%, with maturity at 2032		1,390		1,587,102
7.00%, with various maturities to 2036		2,599		3,019,085
7.50%, with maturity at 2024		734		809,209
8.00%, with maturity at 2034		1,079		1,258,636
8.50%, with maturity at 2031		866		1,006,223
9.00%, with maturity at 2031		134		157,776
9.50%, with maturity at 2022		21		22,870

			$	11,989,590

Federal National Mortgage Association:
2.913%, with maturity at 2037⁽¹¹⁾	$	575	$	594,780
5.00%, with various maturities to 2040		2,431		2,666,923
5.50%, with various maturities to 2033		1,687		1,885,192
6.00%, with maturity at 2023		973		1,057,548
6.325%, with maturity at 2032⁽¹¹⁾		740		810,973
6.50%, with various maturities to 2036		3,492		3,983,493
7.00%, with various maturities to 2037		1,713		1,956,560
7.50%, with maturity at 2035		2,668		3,085,522
8.00%, with various maturities to 2034		630		722,647
10.00%, with various maturities to 2031		94		102,573

			$	16,866,211

Government National Mortgage Association:
7.50%, with maturity at 2025	$	1,103	$	1,220,925
8.00%, with maturity at 2034		1,477		1,725,192
9.50%, with maturity at 2025		58		63,865
11.00%, with maturity at 2018		4		3,599

			$	3,013,581


Total Mortgage Pass-Throughs (identified cost $30,683,196)			$	31,869,382


Asset-Backed Securities — 14.2%

Security	Principal Amount (000’s omitted)		Value
ALM Loan Funding, Ltd.
Series 2013-7R2A, Class CR, 5.404%, 10/15/27⁽⁸⁾⁽⁹⁾	$	2,000	$	2,017,779
Series 2013-7R2A, Class DR, 8.754%, 10/15/27⁽⁸⁾⁽⁹⁾		3,000		3,050,172
Barings CLO, Ltd.
Series 2017-1A, Class E, 7/18/29^(9)(12)		2,000		1,901,469
Cole Park CLO, Ltd.
Series 2015-1A, Class E, 7.407%, 10/20/28⁽⁸⁾⁽⁹⁾		3,000		3,001,187
Colony American Homes
Series 2014-1A, Class C, 3.076%, 5/17/31⁽⁸⁾⁽⁹⁾		760		766,750


Security	Principal Amount (000’s omitted)		Value
Dryden XL Senior Loan Fund
Series 2015-40A, Class E, 7.132%, 8/15/28⁽⁸⁾⁽⁹⁾	$	1,150	$	1,151,776
Ford Credit Auto Owner Trust
Series 2014-1, Class B, 2.41%, 11/15/25⁽⁹⁾		100		100,354
Highbridge Loan Management, Ltd.
Series 5A-2015, Class E, 6.52%, 1/29/26⁽⁸⁾⁽⁹⁾		1,963		1,961,666
Series 7A-2015, Class E, 6.932%, 11/15/26⁽⁸⁾⁽⁹⁾		1,250		1,253,647
Madison Park Funding XXV, Ltd.
Series 2017-25A, Class D, 7.353%, 4/25/29⁽⁸⁾⁽⁹⁾		3,000		2,972,613
Neuberger Berman CLO XIV, Ltd.
Series 2013-14A, Class DR, 4.964%, 1/28/30⁽⁸⁾⁽⁹⁾		2,563		2,571,262
Neuberger Berman CLO XVIII, Ltd.
Series 2014-18A, Class DR, 8.932%, 11/14/27⁽⁸⁾⁽⁹⁾		3,000		3,068,203
Oak Hill Credit Partners VII, Ltd.
Series 2012-7A, Class ER, 8.672%, 11/20/27⁽⁸⁾⁽⁹⁾		4,000		4,079,490
Palmer Square CLO, Ltd.
Series 2013-2A, Class DR, 7.404%, 10/17/27⁽⁸⁾⁽⁹⁾		2,000		2,000,516
Series 2014-1A, Class DR, 8.204%, 1/17/27⁽⁸⁾⁽⁹⁾		3,000		3,002,521
Series 2015-1A, Class DR, 7.372%, 5/21/29⁽⁸⁾⁽⁹⁾		2,000		1,934,090
Sierra Receivables Funding Co., LLC
Series 2014-1A, Class B, 2.42%, 3/20/30⁽⁹⁾		102		102,126
Series 2015-1A, Class B, 3.05%, 3/22/32⁽⁹⁾		137		138,073
Voya CLO, Ltd.
Series 2015-3A, Class D2, 6.757%, 10/20/27⁽⁸⁾⁽⁹⁾		3,000		2,955,831
Wind River CLO, Ltd.
Series 2017-1A, Class E, 7.724%, 4/18/29⁽⁸⁾⁽⁹⁾		1,050		1,056,150


Total Asset-Backed Securities (identified cost $37,965,130)			$	39,085,675


U.S. Government Agency Obligations — 0.6%

Security	Principal Amount (000’s omitted)		Value
Federal Farm Credit Bank:
3.25%, 7/1/30	$	1,500	$	1,554,584


Total U.S. Government Agency Obligations (identified cost $1,472,096)			$	1,554,584


Corporate Bonds & Notes — 20.2%

Security	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.2%
CBC Ammo, LLC/CBC FinCo, Inc.
7.25%, 11/15/21⁽⁹⁾		500	$	511,250

			$	511,250


Security	Principal Amount* (000’s omitted)		Value
Automotive — 0.9%
American Axle & Manufacturing, Inc.
6.25%, 4/1/25⁽⁹⁾		500	$	499,375
Deck Chassis Acquisition, Inc.
10.00%, 6/15/23⁽⁹⁾		1,000		1,120,000
Navistar International Corp.
8.25%, 11/1/21		1,000		1,013,125

			$	2,632,500

Building and Development — 0.3%
Reliance Intermediate Holdings, L.P.
6.50%, 4/1/23⁽⁹⁾		675	$	722,250

			$	722,250

Business Equipment and Services — 1.2%
EIG Investors Corp.
10.875%, 2/1/24		960	$	1,070,400
First Data Corp.
7.00%, 12/1/23⁽⁹⁾		1,000		1,081,250
ServiceMaster Co., LLC (The)
7.45%, 8/15/27		1,000		1,095,000

			$	3,246,650

Cable and Satellite Television — 1.5%
Cablevision Systems Corp.
8.00%, 4/15/20		1,000	$	1,123,500
CCO Holdings, LLC/CCO Holdings Capital Corp.
5.50%, 5/1/26⁽⁹⁾		1,000		1,065,318
Cequel Communications Holdings I, LLC/Cequel Capital Corp.
5.125%, 12/15/21⁽⁹⁾		1,000		1,027,180
SFR Group S.A.
6.00%, 5/15/22⁽⁹⁾		1,000		1,047,480

			$	4,263,478

Containers and Glass Products — 1.2%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
7.25%, 5/15/24⁽⁹⁾		1,010	$	1,118,575
BWAY Holding Co.
5.50%, 4/15/24⁽⁹⁾		1,000		1,051,250
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC
7.00%, 7/15/24⁽⁹⁾		1,000		1,084,375

			$	3,254,200

Distribution & Wholesale — 0.3%
American Tire Distributors, Inc.
10.25%, 3/1/22⁽⁹⁾		750	$	785,625

			$	785,625

Drugs — 0.3%
Valeant Pharmaceuticals International, Inc.
5.875%, 5/15/23⁽⁹⁾		910	$	787,150

			$	787,150


Security	Principal Amount* (000’s omitted)		Value
Ecological Services and Equipment — 0.3%
Covanta Holding Corp.
5.875%, 7/1/25		1,000	$	975,000

			$	975,000

Electric Utilities — 0.4%
NRG Yield Operating, LLC
5.00%, 9/15/26		1,000	$	1,025,620

			$	1,025,620

Electronics/Electrical — 0.8%
Infor (US), Inc.
6.50%, 5/15/22		1,000	$	1,046,250
Western Digital Corp.
10.50%, 4/1/24		1,000		1,186,250

			$	2,232,500

Financial Intermediaries — 0.2%
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.
6.00%, 8/1/20		645	$	663,947

			$	663,947

Financial Services — 0.4%
Solera, LLC/Solera Finance, Inc.
10.50%, 3/1/24⁽⁹⁾		1,000	$	1,155,000

			$	1,155,000

Food Products — 1.1%
Dean Foods Co.
6.50%, 3/15/23⁽⁹⁾		1,000	$	1,038,750
Iceland Bondco PLC
4.545%, 7/15/20⁽⁸⁾⁽⁹⁾	GBP	211		279,891
Nature’s Bounty Co. (The)
7.625%, 5/15/21⁽⁹⁾		555		599,400
TreeHouse Foods, Inc.
6.00%, 2/15/24⁽⁹⁾		1,000		1,077,500

			$	2,995,541

Health Care — 2.3%
Alere, Inc.
6.375%, 7/1/23⁽⁹⁾		395	$	426,600
HCA Healthcare, Inc.
6.25%, 2/15/21		1,000		1,087,500
HCA, Inc.
4.50%, 2/15/27		10		10,259
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.
7.50%, 10/1/24⁽⁹⁾		600		660,000
Kinetic Concepts, Inc./KCI USA, Inc.
7.875%, 2/15/21⁽⁹⁾		1,500		1,590,000
12.50%, 11/1/21⁽⁹⁾		525		591,938
MPH Acquisition Holdings, LLC
7.125%, 6/1/24⁽⁹⁾		1,000		1,085,000


Security	Principal Amount* (000’s omitted)		Value
WellCare Health Plans, Inc.
5.25%, 4/1/25		750	$	796,875

			$	6,248,172

Insurance — 0.5%
Alliant Holdings Intermediate, LLC
8.25%, 8/1/23⁽⁹⁾		1,000	$	1,070,000
Ardonagh Midco 3 PLC
8.625%, 7/15/23⁽⁹⁾		225		231,750

			$	1,301,750

Internet Software & Services — 0.4%
Riverbed Technology, Inc.
8.875%, 3/1/23⁽⁹⁾		1,010	$	1,003,687

			$	1,003,687

Leisure Goods/Activities/Movies — 0.7%
AMC Entertainment Holdings, Inc.
6.125%, 5/15/27		2,000	$	2,062,300

			$	2,062,300

Lodging and Casinos — 0.6%
Caesars Entertainment Operating Co., Inc.
8.50%, 2/15/20⁽⁴⁾		344	$	447,534
Hilton Domestic Operating Co., Inc.
4.25%, 9/1/24⁽⁹⁾		55		55,687
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp.
4.625%, 4/1/25⁽⁹⁾		1,000		1,038,750

			$	1,541,971

Metals/Mining — 0.4%
Teck Resources, Ltd.
8.50%, 6/1/24⁽⁹⁾		1,000	$	1,162,500

			$	1,162,500

Nonferrous Metals/Minerals — 0.9%
Eldorado Gold Corp.
6.125%, 12/15/20⁽⁹⁾		1,000	$	1,025,000
First Quantum Minerals, Ltd.
7.25%, 4/1/23⁽⁹⁾		1,000		1,033,750
New Gold, Inc.
6.25%, 11/15/22⁽⁹⁾		500		520,000

			$	2,578,750

Oil and Gas — 2.3%
Extraction Oil & Gas, Inc./Extraction Finance Corp.
7.875%, 7/15/21⁽⁹⁾		1,000	$	1,048,750
Great Western Petroleum, LLC/Great Western Finance Corp.
9.00%, 9/30/21⁽⁹⁾		1,000		1,007,500
Matador Resources Co.
6.875%, 4/15/23		1,000		1,065,000
Parsley Energy, LLC/Parsley Finance Corp.
6.25%, 6/1/24⁽⁹⁾		1,000		1,065,000
Seven Generations Energy, Ltd.
6.75%, 5/1/23⁽⁹⁾		1,000		1,055,000


Security	Principal Amount* (000’s omitted)		Value
WildHorse Resource Development Corp.
6.875%, 2/1/25⁽⁹⁾		1,000	$	982,500

			$	6,223,750

Pharmaceuticals — 0.4%
PRA Holdings, Inc.
9.50%, 10/1/23⁽⁹⁾		1,000	$	1,108,750

			$	1,108,750

Publishing — 0.4%
Laureate Education, Inc.
8.25%, 5/1/25⁽⁹⁾		1,000	$	1,090,000

			$	1,090,000

Real Estate Investment Trusts (REITs) — 0.5%
Mattamy Group Corp.
6.50%, 11/15/20⁽⁹⁾		1,330	$	1,363,250

			$	1,363,250

Surface Transport — 0.2%
Debt and Asset Trading Corp.
1.00%, 10/10/25⁽¹³⁾		800	$	500,000

			$	500,000

Technology — 0.4%
Dell International, LLC/EMC Corp.
7.125%, 6/15/24⁽⁹⁾		1,000	$	1,113,357

			$	1,113,357

Telecommunications — 1.1%
CenturyLink, Inc.
7.50%, 4/1/24		1,000	$	1,088,750
Hughes Satellite Systems Corp.
6.625%, 8/1/26		1,000		1,096,250
Intelsat Jackson Holdings S.A.
7.25%, 10/15/20		500		482,500
Sprint Communications, Inc.
9.00%, 11/15/18⁽⁹⁾		371		402,071

			$	3,069,571


Total Corporate Bonds & Notes (identified cost $54,354,200)			$	55,618,519


Foreign Government Bonds — 6.9%

Security	Principal Amount* (000’s omitted)		Value
Albania — 0.6%
Republic of Albania, 5.75%, 11/12/20⁽¹³⁾	EUR	1,215	$	1,597,508

Total Albania			$	1,597,508

Armenia — 0.4%
Republic of Armenia, 7.15%, 3/26/25⁽¹³⁾		1,050	$	1,161,794

Total Armenia			$	1,161,794


Security	Principal Amount* (000’s omitted)		Value
Barbados — 0.4%
Barbados Government International Bond, 6.625%, 12/5/35⁽¹³⁾		855	$	692,550
Barbados Government International Bond, 7.25%, 12/15/21⁽¹³⁾		300		279,750

Total Barbados			$	972,300

Belarus — 0.7%
Republic of Belarus, 6.875%, 2/28/23⁽¹³⁾		840	$	894,726
Republic of Belarus, 7.625%, 6/29/27⁽¹³⁾		890		956,247

Total Belarus			$	1,850,973

Cyprus — 0.2%
Republic of Cyprus, 4.25%, 11/4/25⁽¹³⁾	EUR	450	$	603,556

Total Cyprus			$	603,556

Ecuador — 0.6%
Republic of Ecuador, 7.95%, 6/20/24⁽¹³⁾		1,600	$	1,538,000

Total Ecuador			$	1,538,000

El Salvador — 0.6%
Republic of El Salvador, 6.375%, 1/18/27⁽¹³⁾		1,508	$	1,372,280
Republic of El Salvador, 8.625%, 2/28/29⁽¹³⁾		200		207,500

Total El Salvador			$	1,579,780

Fiji — 0.3%
Republic of Fiji, 6.625%, 10/2/20⁽¹³⁾		929	$	931,598

Total Fiji			$	931,598

Georgia — 0.1%
Georgia Treasury Bond, 13.375%, 3/10/18	GEL	790	$	341,415

Total Georgia			$	341,415

Honduras — 0.4%
Honduras Government International Bond, 6.25%, 1/19/27⁽¹³⁾		150	$	158,562
Honduras Government International Bond, 8.75%, 12/16/20⁽¹³⁾		927		1,065,244

Total Honduras			$	1,223,806

Macedonia — 0.6%
Republic of Macedonia, 3.975%, 7/24/21⁽¹³⁾	EUR	864	$	1,068,983
Republic of Macedonia, 4.875%, 12/1/20⁽¹³⁾	EUR	425		542,297

Total Macedonia			$	1,611,280

Poland — 0.1%
Republic of Poland, 4.00%, 1/22/24		250	$	267,771

Total Poland			$	267,771

Rwanda — 0.4%
Republic of Rwanda, 6.625%, 5/2/23⁽¹³⁾		1,100	$	1,134,804

Total Rwanda			$	1,134,804

Serbia — 0.4%
Republic of Serbia, 4.875%, 2/25/20⁽¹³⁾		1,150	$	1,208,076

Total Serbia			$	1,208,076

Seychelles — 0.5%
Republic of Seychelles, 7.00% to 1/1/18, 1/1/26^(13)(14)		1,181	$	1,227,096

Total Seychelles			$	1,227,096


Security	Principal Amount* (000’s omitted)		Value
Sri Lanka — 0.6%
Republic of Sri Lanka, 6.125%, 6/3/25⁽¹³⁾		600	$	625,264
Republic of Sri Lanka, 6.85%, 11/3/25⁽¹³⁾		1,000		1,081,182

Total Sri Lanka			$	1,706,446


Total Foreign Government Bonds (identified cost $18,129,129)			$	18,956,203


Sovereign Loans — 1.1%

Borrower	Principal Amount (000’s omitted)		Value
Barbados — 0.4%
Government of Barbados, Term Loan, 11.44%, Maturing December 20, 2019^(15)(16)	$	1,000	$	1,001,625

			$	1,001,625

Kenya — 0.0%⁽¹⁷⁾
Government of Kenya, Term Loan, 6.42%, Maturing April 18, 2019⁽¹⁶⁾	$	100	$	100,000

			$	100,000

Tanzania — 0.7%
Government of the United Republic of Tanzania, Term Loan, 6.65%, Maturing June 23, 2022⁽¹⁶⁾	$	1,900	$	1,897,406

			$	1,897,406


Total Sovereign Loans (identified cost $2,987,057)			$	2,999,031


Common Stocks — 0.6%

Security	Shares		Value
Ameriforge Group, Inc.^(3)(18)(19)		6,123	$	214,305
Answers Corp.^(18)(19)		5,814		87,937
Dayco Products, LLC^(3)(18)(19)		8,898		280,287
Education Management Corp.^(3)(18)(19)		955,755		0
ION Media Networks, Inc.^(3)(19)		1,357		706,359
MediaNews Group, Inc.^(3)(18)(19)		3,023		105,865
New Millennium Holdco, Inc.^(18)(19)		8,641		16,202
Paragon Offshore Finance Company, Class A^(18)(19)		270		279
Paragon Offshore Finance Company, Class B^(18)(19)		135		2,790
Paragon Offshore, Ltd.^(18)(19)		270		4,050
RCS Capital Corp.^(18)(19)		2,777		47,209
Samson Resources II, LLC, Class A^(18)(19)		4,171		98,714


Total Common Stocks (identified cost $651,585)			$	1,563,997



Convertible Preferred Stocks — 0.0%

Security	Shares		Value
Education Management Corp., Series A-1^(3)(18)(19)		1,063	$	0


Total Convertible Preferred Stocks (identified cost $75,023)			$	0


Short-Term Investments — 7.7%

Foreign Government Securities — 1.6%

Security	Principal Amount (000’s omitted)		Value
Georgia — 1.6%
Georgia Treasury Bill, 0.00%, 8/10/17	GEL	10,500	$	4,389,232

Total Georgia			$	4,389,232


Total Foreign Government Securities (identified cost $4,550,173)			$	4,389,232


U.S. Treasury Obligations — 1.1%

Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 9/28/17⁽²⁰⁾	$	3,000	$	2,995,311


Total U.S. Treasury Obligations (identified cost $2,995,503)			$	2,995,311


Other — 5.0%

Description	Units		Value
Eaton Vance Cash Reserves Fund, LLC, 1.28%⁽²¹⁾		13,663,904	$	13,666,637


Total Other (identified cost $13,666,907)			$	13,666,637


Total Short-Term Investments (identified cost $21,212,583)			$	21,051,180


Total Investments — 129.8% (identified cost $352,959,990)			$	356,529,958


Other Assets, Less Liabilities — (29.8)%			$	(81,867,203	)


Net Assets — 100.0%			$	274,662,755

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

*	In U.S. dollars unless otherwise indicated.

(1)

Senior floating-rate loans (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 typically 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, 2017, at which time the interest rate will be determined.

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

(4)	Currently the issuer is in default with respect to interest and/or principal payments or has filed for bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

(5)	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, 2017.

(6)	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.

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

(8)	Variable rate security. The stated interest rate represents the rate in effect at July 31, 2017.

(9)

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At July 31, 2017, the aggregate value of these securities is $95,229,091 or 34.7% of the Fund’s net assets.

(10)	Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at July 31, 2017.

(11)	Adjustable rate mortgage security. Rate shown is the rate at July 31, 2017.

(12)	When-issued security. For a variable rate security, interest rate will be determined after July 31, 2017.

(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. At July 31, 2017, the aggregate value of these securities is $18,847,017 or 6.9% of the Fund’s net assets.

(14)	Multi-step coupon bond. Interest rate represents the rate in effect at July 31, 2017.

(15)	Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date.

(16)	Variable interest rate that updates semiannually based on changes to the LIBOR. The stated interest rate represents the rate in effect at July 31, 2017.

(17)	Amount is less than 0.05%.

(18)	Non-income producing.

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

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

(21)

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, 2017. Net income from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended July 31, 2017 was $96,993.

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	548,311		EUR	490,110	JPMorgan Chase Bank, N.A.		8/24/17	$	—	$	(32,542	)
USD	924,801		EUR	820,914	State Street Bank and Trust Company		8/31/17		—		(48,454	)
USD	325,641		GBP	251,222	Goldman Sachs International		9/29/17		—		(6,472	)
USD	1,603,966		EUR	1,371,028	Deutsche Bank AG		10/19/17		—		(25,847	)
CZK	45,000,000		EUR	1,687,450	Morgan Stanley & Co. International PLC		10/20/17		47,747		—
EUR	1,681,430		CZK	45,000,000	Société Générale		10/20/17		—		(54,904	)
USD	1,603,928		EUR	1,369,123	Goldman Sachs International		10/20/17		—		(23,705	)

								$	47,747	$	(191,924	)

Futures Contracts


Description	Contracts		Position		Expiration Month/Year		Aggregate Cost			Value			Net Unrealized Appreciation
Interest Rate Futures
U.S. 5-Year Deliverable Interest Rate Swap		32		Short		Sep-17	$	(3,211,444	)	$	(3,208,500	)	$	2,944
U.S. 10-Year Deliverable Interest Rate Swap		70		Short		Sep-17		(7,165,156	)		(7,135,625	)		29,531

													$	32,475

Centrally Cleared Interest Rate Swaps

Counterparty

Notional
Amount
(000’s omitted)

Fund
Pays/Receives
Floating Rate

Floating

Rate

Annual
Fixed Rate

Termination
Date

Net Unrealized
Appreciation
(Depreciation)

LCH.Clearnet⁽¹⁾

EUR

1,839

Receives

6-month Euro Interbank
Offered Rate

0.25

%⁽²⁾

9/20/22

(431

)

LCH.Clearnet⁽¹⁾

EUR

370

Receives

6-month Euro Interbank
Offered Rate

1.00

⁽²⁾

9/20/27

1,548

LCH.Clearnet

USD

1,200

Receives

3-month USD-LIBOR-BBA

1.50

⁽²⁾

3/20/20

(6,845

)

(5,728

)

(1)	Effective date, which represents the date on which the Fund and the counterparty to the interest rate swap begin interest payment accrual, is after July 31, 2017.

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

Centrally Cleared 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			Unamortized Upfront Payments		Net Unrealized Appreciation
Indonesia	ICE Clear Credit	$	5,200		1.00	%⁽¹⁾		6/20/22		1.12	%	$	(21,749	)	$	71,672	$	49,923
Russia	ICE Clear Credit		5,000		1.00	⁽¹⁾		12/20/21		1.48			(94,787	)		143,283		48,496

Total		$	10,200									$	(116,536	)	$	214,955	$	98,419

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			Unamortized Upfront Payments Received (Paid)			Net Unrealized Appreciation
Brazil	Bank of America, N.A.	$	8,000		1.00	%⁽¹⁾		6/20/22		2.07	%	$	(379,499	)	$	450,125		$	70,626
Colombia	Barclays Bank PLC		2,300		1.00	⁽¹⁾		6/20/22		1.25			(24,006	)		43,741			19,735
Colombia	Goldman Sachs International		2,700		1.00	⁽¹⁾		6/20/22		1.25			(28,181	)		51,764			23,583
Croatia	Nomura International PLC		5,000		1.00	⁽¹⁾		12/20/21		1.20			(36,927	)		201,866			164,939
Cyprus	Goldman Sachs International		5,000		1.00	⁽¹⁾		12/20/21		2.14			(224,182	)		237,944			13,762
El Salvador	Citibank, N.A.		3,000		1.00	⁽¹⁾		9/20/17		2.38			(2,353	)		7,588			5,235
Hungary	Barclays Bank PLC		2,200		1.00	⁽¹⁾		12/20/21		0.92			9,836			9,057			18,893
Kazakhstan	JPMorgan Chase Bank, N.A.		2,500		1.00	⁽¹⁾		6/20/22		1.44			(47,518	)		67,007			19,489
Lebanon	Barclays Bank PLC		2,800		1.00	⁽¹⁾		12/20/21		4.11			(334,242	)		344,216			9,974
Mexico	The Bank of Nova Scotia		5,000		1.00	⁽¹⁾		6/20/22		1.02			1,003			87,581			88,584
Romania	Barclays Bank PLC		2,200		1.00	⁽¹⁾		12/20/21		0.94			8,348			(4,550	)		3,798
Russia	Goldman Sachs International		4,000		1.00	⁽¹⁾		6/20/22		1.63			(111,037	)		118,017			6,980
Turkey	BNP Paribas		4,000		1.00	⁽¹⁾		6/20/22		1.81			(143,165	)		236,693			93,528
Turkey	Deutsche Bank AG		5,500		1.00	⁽¹⁾		6/20/22		1.81			(196,852	)		313,647			116,795

Total		$	54,200									$	(1,508,775	)	$	2,164,696		$	655,921

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, 2017, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $64,400,000.

**	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) 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.

Abbreviations:


PIK		-		Payment In Kind

Currency Abbreviations:


CZK	-	Czech Koruna

EUR	-	Euro

GBP	-	British Pound Sterling

GEL	-	Georgian Lari

USD	-	United States Dollar

Written options activity for the fiscal year to date ended July 31, 2017 was as follows:


	Principal Amount of Contracts (000’s omitted)			Premiums Received
Outstanding, beginning of period	$	1,313		$	58,297
Options expired		(1,313	)		(58,297	)

Outstanding, end of period	$	—		$	—

At July 31, 2017, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

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

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

Foreign Exchange Risk: The Fund engages in forward foreign currency exchange contracts and currency options to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.

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

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at July 31, 2017 was as follows:


		Fair Value
Risk	Derivative	Asset Derivative		Liability Derivative
Credit	Credit Default Swaps	$	19,187	$	(1,527,962	)
Credit	Credit Default Swaps (Centrally Cleared)*		98,419		—

Total		$	117,606	$	(1,527,962	)


Foreign Exchange	Forward Foreign Currency Exchange Contracts	$	47,747	$	(191,924	)

Total		$	47,747	$	(191,924	)


Interest Rate	Financial Futures Contracts*	$	32,475	$	—
Interest Rate	Interest Rate Swaps (Centrally Cleared)		1,548		(7,276	)

Total		$	34,023	$	(7,276	)

*	For futures contracts and centrally cleared credit default swap contracts, amount represents cumulative unrealized appreciation or (depreciation).

The cost and unrealized appreciation (depreciation) of investments of the Fund at July 31, 2017, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	354,501,519

Gross unrealized appreciation	$	9,528,354
Gross unrealized depreciation		(7,499,915	)

Net unrealized appreciation	$	2,028,439

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, 2017, 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 Loans	$	—	$	96,645,577		$	70,513	$	96,716,090
Collateralized Mortgage Obligations		—		67,375,132			—		67,375,132
Commercial Mortgage-Backed Securities		—		19,740,165			—		19,740,165
Mortgage Pass-Throughs		—		31,869,382			—		31,869,382
Asset-Backed Securities		—		39,085,675			—		39,085,675
U.S. Government Agency Obligations		—		1,554,584			—		1,554,584
Corporate Bonds & Notes		—		55,618,519			—		55,618,519
Foreign Government Bonds		—		18,956,203			—		18,956,203
Sovereign Loans		—		2,999,031			—		2,999,031
Common Stocks		—		257,181			1,306,816		1,563,997
Convertible Preferred Stocks		—		—			0		0
Short-Term Investments -
Foreign Government Securities		—		4,389,232			—		4,389,232
U.S. Treasury Obligations		—		2,995,311			—		2,995,311
Other		—		13,666,637			—		13,666,637
Total Investments	$	—	$	355,152,629		$	1,377,329	$	356,529,958
Forward Foreign Currency Exchange Contracts	$	—	$	47,747		$	—	$	47,747
Futures Contracts		32,475		—			—		32,475
Swap Contracts		—		20,735			—		20,735
Total	$	32,475	$	355,221,111		$	1,377,329	$	356,630,915

Liability Description
Forward Foreign Currency Exchange Contracts	$	—	$	(191,924	)	$	—	$	(191,924	)
Swap Contracts		—		(1,651,774	)		—		(1,651,774	)
Total	$	—	$	(1,843,698	)	$	—	$	(1,843,698	)

*	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, 2017 is not presented. At July 31, 2017, 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.

Item 3. Exhibits

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act is attached hereto.

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 25, 2017

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 25, 2017



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

Date:		September 25, 2017