Edgar Filing: EATON VANCE LTD DURATION 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		811-21323
Eaton Vance Limited Duration 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:		April 30
Date of Reporting Period:		July 31, 2006

Item 1. Schedule of Investments

Eaton Vance Limited Duration Income Fund as of July 31, 2006

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior, Floating Rate Interests — 55.4% (1)

Principal
Amount		Borrower/Tranche Description	Value
Aerospace and Defense — 1.3%
		Alliant Techsystems, Inc.
$	682,500	Term Loan, 6.50%, Maturing March 31, 2009	$	683,780
		Awas Capital, Inc.
957,341		Term Loan, 7.25%, Maturing March 22, 2013	935,801
3,307,682		Term Loan, 11.50%, Maturing March 22, 2013	3,332,489
		CACI International, Inc.
1,344,062		Term Loan, 6.83%, Maturing May 3, 2011	1,347,843
		Delta Air Lines, Inc.
1,725,000		Term Loan, 8.02%, Maturing March 27, 2008	1,741,018
2,000,000		Term Loan, 12.77%, Maturing March 27, 2008	2,067,000
		DRS Technologies, Inc.
1,221,938		Term Loan, 6.89%, Maturing January 31, 2013	1,226,710
		Hexcel Corp.
3,290,780		Term Loan, 7.19%, Maturing March 1, 2012	3,299,007
		IAP Worldwide Services, Inc.
2,238,750		Term Loan, 8.50%, Maturing December 30, 2012	2,248,079
		K&F Industries, Inc.
2,771,519		Term Loan, 7.40%, Maturing November 18, 2012	2,776,283
		Mid-Western Aircraft Systems, Inc.
1,570,391		Term Loan, 7.75%, Maturing December 31, 2011	1,578,831
		Standard Aero Holdings, Inc.
1,780,983		Term Loan, 7.67%, Maturing August 24, 2012	1,782,096
		Transdigm, Inc.
2,100,000		Term Loan, 7.45%, Maturing June 23, 2013	2,107,547
		Vought Aircraft Industries, Inc.
1,311,224		Term Loan, 8.00%, Maturing December 17, 2011	1,322,697
		Wyle Laboratories, Inc.
298,809		Term Loan, 7.88%, Maturing January 28, 2011	300,957
			$	26,750,138
Air Transport — 0.1%
		United Airlines, Inc.
1,684,375		Term Loan, 8.63%, Maturing February 1, 2012	1,705,605
240,625		Term Loan, 9.19%, Maturing February 1, 2012	243,658
			$	1,949,263
Automotive — 2.8%
		Accuride Corp.
3,051,929		Term Loan, 7.31%, Maturing January 31, 2012	3,060,321
		Affina Group, Inc.
2,430,692		Term Loan, 8.50%, Maturing November 30, 2011	2,439,200
		Axletech International Holding, Inc.
1,950,000		Term Loan, 12.01%, Maturing April 22, 2013	1,964,625

		Collins & Aikman Products Co.
$	881,938	Term Loan, 11.75%, Maturing August 31, 2011	$	757,206
		CSA Acquisition Corp.
497,500		Term Loan, 8.00%, Maturing December 23, 2011	500,998
1,010,036		Term Loan, 8.00%, Maturing December 23, 2011	1,015,086
639,837		Term Loan, 8.00%, Maturing December 23, 2011	643,036
		Dana Corp.
2,400,000		DIP Loan, 7.65%, Maturing April 13, 2008	2,404,750
		Dayco Products, LLC
2,675,000		Term Loan, 8.03%, Maturing June 21, 2011	2,697,850
		Delphi Corp.
1,000,000		Term Loan, 8.19%, Maturing October 8, 2007	1,011,250
		Dura Operating Corp.
1,450,000		Term Loan, 9.11%, Maturing May 3, 2011	1,460,875
		Exide Technologies, Inc.
617,005		Term Loan, 11.25%, Maturing May 5, 2010	647,855
624,566		Term Loan, 11.25%, Maturing May 5, 2010	655,794
		Federal-Mogul Corp.
1,950,000		DIP Loan, 7.50%, Maturing December 9, 2006	1,957,313
5,626,706		Term Loan, 9.15%, Maturing December 9, 2006	5,668,906
		Goodyear Tire & Rubber Co.
950,000		Term Loan, 4.73%, Maturing April 30, 2010	951,951
3,185,000		Term Loan, 7.95%, Maturing April 30, 2010	3,203,247
1,000,000		Term Loan, 8.70%, Maturing March 1, 2011	1,009,625
		HLI Operating Co., Inc.
2,119,950		Term Loan, 8.83%, Maturing June 3, 2009	2,149,099
		Insurance Auto Auctions, Inc.
1,125,000		Term Loan, 6.77%, Maturing May 19, 2012 (2)	1,130,274
		Key Automotive Group
1,082,877		Term Loan, 8.56%, Maturing June 20, 2009	1,091,676
		Keystone Automotive Operations, Inc.
2,089,500		Term Loan, 7.99%, Maturing October 30, 2010	2,089,500
		R.J. Tower Corp.
1,880,000		DIP Revolving Loan, 8.25%, Maturing February 2, 2007	1,904,088
		Tenneco Automotive, Inc.
1,861,375		Term Loan, 7.19%, Maturing December 12, 2009	1,875,568
817,670		Term Loan, 7.11%, Maturing December 12, 2010	823,905
		TI Automotive, Ltd.
1,368,768		Term Loan, 8.87%, Maturing June 30, 2011	1,353,369
		Trimas Corp.
4,164,879		Term Loan, 9.25%, Maturing December 31, 2009	4,207,832
		TRW Automotive, Inc.
1,970,000		Term Loan, 6.75%, Maturing October 31, 2010	1,967,045
2,290,851		Term Loan, 7.19%, Maturing June 30, 2012	2,289,738

		United Components, Inc.
$	2,237,689	Term Loan, 7.41%, Maturing June 30, 2010	$	2,248,878
			$	55,180,860
Beverage and Tobacco — 1.1%
		Alliance One International, Inc.
952,938		Term Loan, 8.49%, Maturing May 13, 2010	960,085
		Constellation Brands, Inc.
7,697,222		Term Loan, 6.82%, Maturing June 5, 2013	7,730,297
		Culligan International Co.
1,042,884		Term Loan, 7.37%, Maturing September 30, 2011	1,043,210
		MafCo Worldwide Corp.
1,288,636		Term Loan, 7.42%, Maturing December 8, 2011	1,290,650
		National Dairy Holdings, L.P.
2,295,913		Term Loan, 7.40%, Maturing March 15, 2012	2,304,522
		National Distribution Co.
836,000		Term Loan, 11.90%, Maturing June 22, 2010	838,090
		Reynolds American, Inc.
3,875,000		Term Loan, 7.26%, Maturing May 31, 2012	3,898,312
		Southern Wine & Spirits of America, Inc.
4,286,734		Term Loan, 7.00%, Maturing June 1, 2012	4,297,450
		Sunny Delight Beverages Co.
435,244		Term Loan, 11.39%, Maturing August 20, 2010	431,164
			$	22,793,780
Building and Development — 3.5%
		AP-Newkirk Holdings, LLC
2,281,638		Term Loan, 7.90%, Maturing December 21, 2007	2,288,769
		Biomed Realty, L.P.
3,690,000		Term Loan, 7.60%, Maturing May 31, 2010	3,699,225
		Capital Automotive REIT
3,833,885		Term Loan, 7.10%, Maturing December 16, 2010	3,838,144
		DMB / CH II, LLC
272,000		Term Loan, 7.84%, Maturing December 22, 2008	272,680
		Epco / Fantome, LLC
1,975,000		Term Loan, 8.50%, Maturing November 23, 2010	1,979,938
		Formica Corp.
1,346,625		Term Loan, 8.48%, Maturing March 15, 2013	1,350,833
		FT-FIN Acquisition, LLC
987,745		Term Loan, 7.13%, Maturing November 17, 2007	990,214
		Gables GP, Inc.
881,254		Term Loan, 7.10%, Maturing September 30, 2006	882,447
		General Growth Properties, Inc.
2,000,000		Term Loan, 6.65%, Maturing February 24, 2011	1,977,386
		Hovstone Holdings, LLC
1,485,000		Term Loan, 7.68%, Maturing February 28, 2009	1,488,713

		Kyle Acquisition Group, LLC
$	802,819	Term Loan, 7.38%, Maturing July 20, 2010	$	802,819
		Landsource Communities, LLC
1,002,000		Term Loan, 7.88%, Maturing March 31, 2010	1,003,879
		Lanoga Corp.
1,650,000		Term Loan, 7.25%, Maturing June 29, 2013	1,650,516
		LNR Property Corp.
3,700,000		Term Loan, 8.11%, Maturing July 3, 2011	3,722,355
		MAAX Corp.
805,093		Term Loan, 8.40%, Maturing June 4, 2011	801,068
		Mueller Group, Inc.
2,974,573		Term Loan, 7.65%, Maturing October 3, 2012	2,993,164
		NCI Building Systems, Inc.
1,832,630		Term Loan, 6.71%, Maturing June 18, 2010	1,836,067
		Newkirk Master, L.P.
4,404,555		Term Loan, 7.10%, Maturing August 11, 2008	4,418,320
		Nortek, Inc.
4,003,998		Term Loan, 7.40%, Maturing August 27, 2011	3,998,369
		Panolam Industries Holdings, Inc.
1,578,084		Term Loan, 8.25%, Maturing September 30, 2012	1,589,919
		Ply Gem Industries, Inc.
127,805		Term Loan, 7.21%, Maturing August 15, 2011	127,645
1,917,070		Term Loan, 7.21%, Maturing August 15, 2011	1,914,674
		South Edge, LLC
287,500		Term Loan, 7.44%, Maturing October 31, 2009	288,578
		St. Mary’s Cement, Inc.
1,954,900		Term Loan, 7.50%, Maturing December 4, 2010	1,959,787
		Standard Pacific Corp.
1,400,000		Term Loan, 6.67%, Maturing May 5, 2013	1,373,750
		Stile Acquisition Corp.
969,393		Term Loan, 7.49%, Maturing April 6, 2013	952,169
		Stile U.S. Acquisition Corp.
971,044		Term Loan, 7.49%, Maturing April 6, 2013	953,791
		TE / Tousa Senior, LLC
1,750,000		Term Loan, 7.75%, Maturing August 1, 2008	1,743,438
		The Woodlands Community Property Co.
1,164,429		Term Loan, 7.76%, Maturing November 30, 2007	1,173,163
353,238		Term Loan, 9.76%, Maturing November 30, 2007	358,536
		Tousa / Kolter, LLC
2,330,000		Term Loan, 6.72%, Maturing January 7, 2008 (2)	2,341,650
		TRU 2005 RE Holding Co.
7,325,000		Term Loan, 8.35%, Maturing December 9, 2008	7,292,953
		Trustreet Properties, Inc.
1,800,000		Term Loan, 7.35%, Maturing April 8, 2010	1,810,125
		United Subcontractors, Inc.
1,000,000		Term Loan, 12.86%, Maturing May 27, 2013	1,000,000

		WCI Communities, Inc.
$	5,000,000	Term Loan, 7.44%, Maturing December 23, 2010	$	4,975,000
			$	69,850,084
Business Equipment and Services — 3.1%
		Acco Brands Corp.
1,928,575		Term Loan, 7.12%, Maturing August 17, 2012	1,929,780
		Activant Solutions, Inc.
997,500		Term Loan, 7.19%, Maturing May 1, 2013	978,797
		Affiliated Computer Services
1,069,625		Term Loan, 7.40%, Maturing March 20, 2013	1,071,822
		Affinion Group, Inc.
3,440,726		Term Loan, 7.93%, Maturing October 17, 2012	3,461,157
		Allied Security Holdings, LLC
1,700,000		Term Loan, 10.25%, Maturing June 30, 2010	1,710,625
		Aspect Software, Inc.
2,650,000		Term Loan, 8.50%, Maturing July 11, 2011	2,652,486
2,350,000		Term Loan, 12.56%, Maturing July 11, 2013	2,352,938
		DynCorp International, LLC
1,343,000		Term Loan, 8.06%, Maturing February 11, 2011	1,349,155
		Info USA, Inc.
746,250		Term Loan, 7.25%, Maturing February 14, 2012	747,183
		IPayment, Inc.
1,221,938		Term Loan, 7.72%, Maturing May 10, 2013	1,221,938
		Iron Mountain, Inc.
2,635,753		Term Loan, 7.00%, Maturing April 2, 2011	2,642,343
6,957,342		Term Loan, 7.13%, Maturing April 2, 2011	6,977,636
		Language Line, Inc.
2,734,151		Term Loan, 9.74%, Maturing June 11, 2011	2,756,366
		Mitchell International, Inc.
806,037		Term Loan, 7.50%, Maturing August 15, 2011	809,312
		Protection One, Inc.
2,081,649		Term Loan, 7.84%, Maturing April 18, 2011	2,086,853
		RGIS Holdings, LLC
3,138,869		Term Loan, 8.00%, Maturing February 15, 2013	3,134,945
		SGS International, Inc.
920,375		Term Loan, 8.02%, Maturing December 30, 2011	923,826
		SS&C Technologies, Inc.
194,873		Term Loan, 8.00%, Maturing November 23, 2012	196,010
2,292,627		Term Loan, 8.00%, Maturing November 23, 2012	2,306,000
		Sungard Data Systems, Inc.
14,983,650		Term Loan, 7.66%, Maturing February 11, 2013	15,067,933
		Transaction Network Services, Inc.
948,834		Term Loan, 7.39%, Maturing May 4, 2012	948,834
		U.S. Security Holdings Inc.
997,500		Term Loan, 7.77%, Maturing May 8, 2013	1,001,241

		US Investigations Services, Inc.
$	3,259,484	Term Loan, 7.92%, Maturing October 14, 2012	$	3,267,632
692,350		Term Loan, 7.92%, Maturing October 14, 2012	694,513
		Williams Scotsman, Inc.
2,750,000		Term Loan, 7.00%, Maturing June 28, 2010	2,757,447
			$	63,046,772
Cable and Satellite Television — 2.6%
		Atlantic Broadband Finance, LLC
1,930,162		Term Loan, 7.99%, Maturing September 1, 2011	1,947,051
		Bragg Communications, Inc.
2,149,225		Term Loan, 7.23%, Maturing August 31, 2011	2,154,598
		Bresnan Broadband Holdings, LLC
1,550,000		Term Loan, 9.81%, Maturing March 29, 2014	1,586,813
		Canadian Cable Acquisition Co., Inc.
490,000		Term Loan, 8.50%, Maturing July 31, 2011	492,450
		Charter Communications Operating, LLC
16,023,954		Term Loan, 8.13%, Maturing April 28, 2013	16,066,962
		CSC Holdings, Inc.
3,915,188		Term Loan, 7.03%, Maturing March 29, 2013	3,896,457
		Insight Midwest Holdings, LLC
9,232,804		Term Loan, 7.44%, Maturing December 31, 2009	9,253,006
		MCC Iowa, LLC
3,270,000		Term Loan, 6.57%, Maturing March 31, 2010	3,234,236
		Mediacom Broadband Group
2,451,512		Term Loan, 7.10%, Maturing January 31, 2015	2,441,361
		Mediacom Illinois, LLC
4,838,750		Term Loan, 7.09%, Maturing March 31, 2013	4,824,495
		UGS Corp.
4,470,827		Term Loan, 7.48%, Maturing March 31, 2012	4,475,486
		UPC Broadband Holding B.V.
1,280,000		Term Loan, 7.64%, Maturing March 31, 2013	1,278,811
1,280,000		Term Loan, 7.64%, Maturing December 31, 2013	1,278,811
			$	52,930,537
Chemicals and Plastics — 2.9%
		Brenntag Holding GmbH and Co. KG
490,909		Term Loan, 8.08%, Maturing January 18, 2014	497,045
2,009,091		Term Loan, 8.08%, Maturing January 18, 2014	2,021,145
1,300,000		Term Loan, 12.08%, Maturing December 23, 2015	1,328,438
		Celanese Holdings, LLC
4,485,751		Term Loan, 7.50%, Maturing June 4, 2011	4,499,302
		Gentek, Inc.
1,597,081		Term Loan, 7.56%, Maturing February 28, 2011	1,608,310
732,407		Term Loan, 9.76%, Maturing February 28, 2012	740,189
		Hercules, Inc.
1,813,486		Term Loan, 7.01%, Maturing October 8, 2010	1,818,473

		Huntsman, LLC
$	8,246,105	Term Loan, 7.15%, Maturing August 16, 2012	$	8,217,755
		Innophos, Inc.
472,250		Term Loan, 7.70%, Maturing August 13, 2010	473,431
		Invista B.V.
3,252,782		Term Loan, 7.00%, Maturing April 29, 2011	3,258,205
1,653,494		Term Loan, 7.00%, Maturing April 29, 2011	1,656,251
		ISP Chemo, Inc.
4,937,625		Term Loan, 7.08%, Maturing February 16, 2013	4,942,913
		Kranton Polymers, LLC
2,649,674		Term Loan, 7.44%, Maturing May 12, 2013	2,649,674
		Mosaic Co.
1,540,500		Term Loan, 6.99%, Maturing February 21, 2012	1,540,982
		Nalco Co.
6,993,009		Term Loan, 7.21%, Maturing November 4, 2010	6,995,198
		PQ Corp.
1,904,287		Term Loan, 7.50%, Maturing February 11, 2012	1,908,253
		Professional Paint, Inc.
975,000		Term Loan, 7.76%, Maturing May 31, 2012	979,875
		Rockwood Specialties Group, Inc.
3,757,775		Term Loan, 7.49%, Maturing December 10, 2012	3,770,300
		Solo Cup Co.
3,884,362		Term Loan, 7.84%, Maturing February 27, 2011	3,903,380
725,000		Term Loan, 9.66%, Maturing March 31, 2012	732,250
		Solutia, Inc.
4,000,000		DIP Loan, 8.72%, Maturing March 31, 2007	4,027,500
		Wellman, Inc.
1,250,000		Term Loan, 9.15%, Maturing February 10, 2009	1,254,883
			$	58,823,752
Clothing/Textiles — 0.3%
		Propex Fabrics, Inc.
1,887,644		Term Loan, 7.76%, Maturing July 31, 2012	1,890,004
		St. John Knits International, Inc.
1,621,337		Term Loan, 7.75%, Maturing March 23, 2012	1,621,337
		The William Carter Co.
1,343,419		Term Loan, 6.85%, Maturing July 14, 2012	1,341,740
		Warnaco, Inc.
997,500		Term Loan, 6.88%, Maturing January 31, 2013	992,513
			$	5,845,594
Conglomerates — 1.7%
		Amsted Industries, Inc.
2,260,476		Term Loan, 7.46%, Maturing October 15, 2010	2,273,898
		Blount, Inc.
515,838		Term Loan, 7.18%, Maturing August 9, 2010	521,211

		Bushnell Performance Optics
$	992,677	Term Loan, 8.45%, Maturing August 19, 2011	$	999,708
		Dundee Holding, Inc.
2,761,950		Term Loan, 8.65%, Maturing February 17, 2015	2,775,760
		Education Management, LLC
2,050,000		Term Loan, 8.06%, Maturing June 1, 2013	2,063,132
		Euramax International, Inc.
731,363		Term Loan, 8.06%, Maturing June 28, 2012	735,568
501,316		Term Loan, 12.49%, Maturing June 28, 2013	504,136
248,684		Term Loan, 12.49%, Maturing June 28, 2013	250,083
		Goodman Global Holdings, Inc.
1,194,268		Term Loan, 6.94%, Maturing December 23, 2011	1,192,961
		Jarden Corp.
1,225,862		Term Loan, 7.25%, Maturing January 24, 2012	1,222,159
4,012,077		Term Loan, 7.50%, Maturing January 24, 2012	4,014,585
		Johnson Diversey, Inc.
3,403,004		Term Loan, 7.63%, Maturing November 3, 2009	3,429,058
		Polymer Group, Inc.
4,328,250		Term Loan, 7.74%, Maturing November 22, 2012	4,340,876
		PP Acquisition Corp.
4,318,041		Term Loan, 8.40%, Maturing November 12, 2011	4,361,221
		Sensata Technologies Finance Co.
3,825,000		Term Loan, 7.24%, Maturing April 27, 2013	3,808,950
		Terex Corp.
950,000		Term Loan, 7.11%, Maturing July 13, 2013	953,563
			$	33,446,869
Containers and Glass Products — 1.9%
		Berry Plastics Corp.
4,115,739		Term Loan, 7.15%, Maturing December 2, 2011	4,116,595
		Bluegrass Container Company
500,909		Term Loan, 0.00%, Maturing June 30, 2013 (2)	503,569
1,674,091		Term Loan, 7.65%, Maturing June 30, 2013	1,682,982
224,242		Term Loan, 0.00%, Maturing December 30, 2013 (2)	227,326
700,758		Term Loan, 10.40%, Maturing December 30, 2013	710,393
		Consolidated Container Holding, LLC
1,225,000		Term Loan, 8.38%, Maturing December 15, 2008	1,231,636
		Crown Americas, Inc.
700,000		Term Loan, 6.95%, Maturing November 15, 2012	700,875
		Graham Packaging Holdings Co.
4,432,500		Term Loan, 7.75%, Maturing October 7, 2011	4,450,044
473,797		Term Loan, 7.81%, Maturing October 7, 2011	475,673
2,142,857		Term Loan, 9.75%, Maturing April 7, 2012	2,175,000
		Graphic Packaging International, Inc.
10,792,061		Term Loan, 7.92%, Maturing August 8, 2010	10,891,304
		IPG (US), Inc.
1,737,719		Term Loan, 7.58%, Maturing July 28, 2011	1,750,028

		Owens-Brockway Glass Container
$	2,125,000	Term Loan, 7.11%, Maturing June 14, 2013	$	2,128,098
		Smurfit-Stone Container Corp.
840,428		Term Loan, 4.73%, Maturing November 1, 2010	845,272
4,351,927		Term Loan, 7.59%, Maturing November 1, 2010	4,377,011
2,084,550		Term Loan, 7.54%, Maturing November 1, 2011	2,096,565
			$	38,362,371
Cosmetics/Toiletries — 0.2%
		Prestige Brands, Inc.
3,227,429		Term Loan, 7.23%, Maturing April 7, 2011	3,238,186
		Revlon Consumer Products Corp.
1,461,250		Term Loan, 11.49%, Maturing July 9, 2009	1,500,217
			$	4,738,403
Drugs — 0.3%
		Warner Chilcott Corp.
11,013		Term Loan, 7.63%, Maturing January 12, 2012	11,038
55,067		Term Loan, 7.80%, Maturing January 12, 2012	55,188
1,393,720		Term Loan, 7.61%, Maturing January 18, 2012	1,397,059
643,859		Term Loan, 7.61%, Maturing January 18, 2012	645,402
3,458,780		Term Loan, 7.62%, Maturing January 18, 2012	3,467,068
			$	5,575,755
Ecological Services and Equipment — 0.8%
		Alderwoods Group, Inc.
530,628		Term Loan, 7.39%, Maturing August 19, 2010	531,401
		Allied Waste Industries, Inc.
1,598,250		Term Loan, 4.88%, Maturing January 15, 2012	1,592,423
4,116,311		Term Loan, 7.15%, Maturing January 15, 2012	4,101,731
		Duratek, Inc.
784,906		Term Loan, 7.76%, Maturing June 7, 2013	791,774
		Energysolutions, LLC
81,761		Term Loan, 7.62%, Maturing June 7, 2013	82,476
1,733,333		Term Loan, 7.76%, Maturing June 7, 2013	1,748,500
		Environmental Systems, Inc.
976,773		Term Loan, 8.86%, Maturing December 12, 2008	984,099
1,000,000		Term Loan, 15.37%, Maturing December 12, 2010	1,015,000
		IESI Corp.
3,464,706		Term Loan, 7.19%, Maturing January 20, 2012	3,471,202
		Sensus Metering Systems, Inc.
106,709		Term Loan, 7.20%, Maturing December 17, 2010	106,976
803,355		Term Loan, 7.24%, Maturing December 17, 2010	805,363
			$	15,230,945
Electronics/Electrical — 1.1%
		AMI Semiconductor, Inc.
2,402,183		Term Loan, 6.90%, Maturing April 1, 2012	2,408,188

		Communications & Power, Inc.
$	1,465,201	Term Loan, 7.61%, Maturing July 23, 2010	$	1,471,611
		Enersys Capital, Inc.
1,543,500		Term Loan, 7.29%, Maturing March 17, 2011	1,547,359
		Epicor Software Corp.
498,750		Term Loan, 7.77%, Maturing March 30, 2012	502,802
		Network Solutions, LLC
1,169,125		Term Loan, 10.50%, Maturing January 9, 2012	1,183,739
		Open Solutions, Inc.
972,414		Term Loan, 7.78%, Maturing September 3, 2011	977,884
1,350,000		Term Loan, 11.78%, Maturing March 3, 2012	1,385,438
		Rayovac Corp.
3,878,280		Term Loan, 8.33%, Maturing February 7, 2012	3,883,127
		Security Co., Inc.
980,022		Term Loan, 8.75%, Maturing June 30, 2010	982,472
1,500,000		Term Loan, 12.63%, Maturing June 30, 2011	1,518,750
		Serena Software, Inc.
750,000		Term Loan, 7.41%, Maturing March 10, 2013	750,000
		Telcordia Technologies, Inc.
4,542,376		Term Loan, 7.73%, Maturing September 15, 2012	4,389,071
		Vertafore, Inc.
975,000		Term Loan, 11.13%, Maturing January 31, 2013	990,437
			$	21,990,878
Equipment Leasing — 0.5%
		Ashtead Group, PLC
990,000		Term Loan, 6.94%, Maturing November 12, 2009	990,619
		The Hertz Corp.
688,889		Term Loan, 5.42%, Maturing December 21, 2012	693,095
5,487,037		Term Loan, 7.54%, Maturing December 21, 2012	5,520,541
		United Rentals, Inc.
565,000		Term Loan, 6.00%, Maturing February 14, 2011	566,614
2,761,438		Term Loan, 7.40%, Maturing February 14, 2011	2,769,327
			$	10,540,196
Farming/Agriculture — 0.1%
		Central Garden & Pet Co.
2,543,625		Term Loan, 6.85%, Maturing February 28, 2014	2,545,215
			$	2,545,215
Financial Intermediaries — 1.4%
		AIMCO Properties, L.P.
7,050,000		Term Loan, 7.01%, Maturing November 2, 2009	7,067,625
		Ameritrade Holding Corp.
6,109,688		Term Loan, 6.90%, Maturing December 31, 2012	6,102,050
		Coinstar, Inc.
597,421		Term Loan, 7.51%, Maturing July 7, 2011	601,155

		Fidelity National Information Solutions, Inc.
$	8,102,085	Term Loan, 7.10%, Maturing March 9, 2013	$	8,112,512
		LPL Holdings, Inc.
4,676,500		Term Loan, 8.67%, Maturing June 30, 2013	4,732,033
		The Macerich Partnership, L.P.
1,465,000		Term Loan, 6.88%, Maturing April 26, 2010	1,462,558
			$	28,077,933
Food Products — 1.4%
		Advantage Sales & Marketing, Inc.
3,640,875		Term Loan, 7.22%, Maturing March 29, 2013	3,609,017
		American Seafoods Group, LLC
1,407,559		Term Loan, 7.25%, Maturing September 30, 2011	1,407,559
		BF Bolthouse HoldCo, LLC
2,985,000		Term Loan, 7.81%, Maturing December 16, 2012	3,009,253
1,475,000		Term Loan, 11.00%, Maturing December 16, 2013	1,503,271
		Chiquita Brands, LLC
3,795,453		Term Loan, 7.65%, Maturing June 28, 2012	3,805,731
		Del Monte Corp.
1,800,837		Term Loan, 7.04%, Maturing February 8, 2012	1,808,903
		Michael Foods, Inc.
1,771,673		Term Loan, 7.51%, Maturing November 21, 2010	1,777,209
		Nutro Products, Inc.
648,375		Term Loan, 7.27%, Maturing April 26, 2013	649,185
		Pinnacle Foods Holdings Corp.
5,201,827		Term Loan, 7.48%, Maturing November 25, 2010	5,206,706
		QCE Finance, LLC
1,225,000		Term Loan, 11.25%, Maturing November 5, 2013	1,244,141
		Reddy Ice Group, Inc.
3,130,000		Term Loan, 7.25%, Maturing August 9, 2012	3,128,044
			$	27,149,019
Food Service — 1.2%
		AFC Enterprises, Inc.
893,496		Term Loan, 7.75%, Maturing May 11, 2011	900,197
		Buffets, Inc.
418,182		Term Loan, 4.88%, Maturing June 28, 2009	419,750
1,906,293		Term Loan, 9.00%, Maturing June 28, 2009	1,913,441
		Burger King Corp.
3,006,698		Term Loan, 7.00%, Maturing June 30, 2012	2,999,416
		Carrols Corp.
550,284		Term Loan, 8.00%, Maturing December 31, 2010	554,153
		CBRL Group, Inc.
2,617,759		Term Loan, 6.63%, Maturing April 27, 2013	2,605,651
		CKE Restaurants, Inc.
999,802		Term Loan, 7.38%, Maturing May 1, 2010	1,006,676

		Denny’s, Inc.
$	526,982	Term Loan, 8.59%, Maturing September 21, 2009	$	529,397
		Domino’s, Inc.
9,355,966		Term Loan, 6.98%, Maturing June 25, 2010	9,371,562
		Jack in the Box, Inc.
1,462,500		Term Loan, 6.84%, Maturing January 8, 2011	1,469,508
		Maine Beverage Co., LLC
881,250		Term Loan, 7.25%, Maturing June 30, 2010	879,047
		NPC International, Inc.
572,917		Term Loan, 6.93%, Maturing May 3, 2013	569,515
		Sagittarius Restaurants, LLC
498,750		Term Loan, 7.75%, Maturing March 29, 2013	498,127
		The Restaurant
1,000,000		Term Loan, 8.01%, Maturing May 3, 2013	1,005,000
			$	24,721,440
Food/Drug Retailers — 0.9%
		Cumberland Farms, Inc.
1,280,650		Term Loan, 8.50%, Maturing September 8, 2008	1,283,852
3,787,957		Term Loan, 8.50%, Maturing September 8, 2008	3,806,897
		General Nutrition Centers, Inc.
2,250,114		Term Loan, 8.06%, Maturing December 7, 2009	2,266,288
		Giant Eagle, Inc.
2,064,625		Term Loan, 6.92%, Maturing November 7, 2012	2,069,787
		Roundy’s Supermarkets, Inc.
3,781,000		Term Loan, 8.23%, Maturing November 3, 2011	3,820,387
		Supervalu, Inc.
1,970,063		Term Loan, 7.06%, Maturing June 1, 2012	1,965,685
		The Jean Coutu Group (PJC), Inc.
2,705,680		Term Loan, 8.00%, Maturing July 30, 2011	2,713,521
		The Pantry, Inc.
970,125		Term Loan, 7.15%, Maturing January 2, 2012	972,248
			$	18,898,665
Forest Products — 1.6%
		Appleton Papers, Inc.
2,083,244		Term Loan, 7.56%, Maturing June 11, 2010	2,092,358
		Boise Cascade Holdings, LLC
6,335,694		Term Loan, 7.20%, Maturing October 29, 2011	6,352,972
		Buckeye Technologies, Inc.
599,235		Term Loan, 7.16%, Maturing April 15, 2010	599,235
		Georgia-Pacific Corp.
10,721,125		Term Loan, 7.35%, Maturing December 20, 2012	10,721,522
3,250,000		Term Loan, 8.30%, Maturing December 23, 2013	3,282,065
		NewPage Corp.
2,399,758		Term Loan, 8.50%, Maturing May 2, 2011	2,417,756

		RLC Industries Co.
$	2,021,193	Term Loan, 7.00%, Maturing February 24, 2010	$	2,024,983
		Xerium Technologies, Inc.
4,237,100		Term Loan, 7.75%, Maturing November 19, 2011	4,223,859
			$	31,714,750
Healthcare — 4.6%
		Accellent, Inc.
1,442,750		Term Loan, 7.23%, Maturing November 22, 2012	1,441,247
		Alliance Imaging, Inc.
2,258,594		Term Loan, 7.95%, Maturing December 29, 2011	2,265,652
		Ameripath, Inc.
1,745,625		Term Loan, 7.39%, Maturing October 31, 2012	1,745,407
		AMN Healthcare, Inc.
535,213		Term Loan, 7.50%, Maturing November 2, 2011	537,554
		AMR HoldCo, Inc.
1,209,679		Term Loan, 7.26%, Maturing February 10, 2012	1,211,570
		Angiotech Pharmaceuticals, Inc.
1,573,125		Term Loan, 6.97%, Maturing March 23, 2013	1,554,444
		Caremore Holdings, Inc.
1,122,188		Term Loan, 8.75%, Maturing February 28, 2013	1,128,150
		Community Health Systems, Inc.
11,645,588		Term Loan, 6.97%, Maturing August 19, 2011	11,661,962
		Concentra Operating Corp.
4,874,212		Term Loan, 7.62%, Maturing September 30, 2011	4,887,924
		Conmed Corp.
1,421,438		Term Loan, 7.14%, Maturing April 13, 2013	1,426,768
		CRC Health Corp.
598,500		Term Loan, 7.75%, Maturing February 6, 2013	597,752
		Davita, Inc.
9,743,501		Term Loan, 7.44%, Maturing October 5, 2012	9,774,817
		DJ Orthopedics, LLC
473,813		Term Loan, 7.04%, Maturing April 7, 2013	472,036
		Encore Medical IHC, Inc.
1,451,713		Term Loan, 8.31%, Maturing October 4, 2010	1,457,157
		FGX International, Inc.
334,000		Term Loan, 13.15%, Maturing December 9, 2013	329,825
		FHC Health Systems, Inc.
1,857,143		Term Loan, 11.23%, Maturing December 18, 2009	1,922,143
1,300,000		Term Loan, 13.23%, Maturing December 18, 2009	1,345,500
		Fresenius Medical Care Holdings
4,912,688		Term Loan, 6.85%, Maturing March 31, 2013	4,875,503
		Gentiva Health Services, Inc.
959,459		Term Loan, 7.66%, Maturing February 28, 2014	961,109
		Hanger Orthopedic Group, Inc.
950,000		Term Loan, 8.00%, Maturing May 30, 2013	954,156

		Healthcare Partners, LLC
$	419,802	Term Loan, 7.86%, Maturing March 2, 2011	$	421,901
		HealthSouth Corp.
2,800,000		Term Loan, 8.52%, Maturing March 10, 2013	2,798,443
		Iasis Healthcare, LLC
1,989,848		Term Loan, 7.73%, Maturing June 22, 2011	2,002,284
		Kinetic Concepts, Inc.
2,636,442		Term Loan, 7.25%, Maturing August 11, 2010	2,652,920
		Leiner Health Products, Inc.
1,102,500		Term Loan, 8.61%, Maturing May 27, 2011	1,106,634
		Lifecare Holdings, Inc.
967,688		Term Loan, 7.65%, Maturing August 11, 2012	924,142
		Lifepoint Hospitals, Inc.
5,647,698		Term Loan, 7.13%, Maturing April 15, 2012	5,631,619
		Magellan Health Services, Inc.
277,778		Term Loan, 5.21%, Maturing August 15, 2008	278,472
277,778		Term Loan, 7.16%, Maturing August 15, 2008	278,472
		Matria Healthcare, Inc.
117,949		Term Loan, 7.44%, Maturing January 19, 2007	117,064
600,000		Term Loan, 11.94%, Maturing January 19, 2007	609,750
1,514,186		Term Loan, 7.63%, Maturing January 19, 2012	1,509,454
		Medcath Holdings Corp.
200,738		Term Loan, 7.90%, Maturing July 2, 2011	200,863
		Multiplan Merger Corp.
1,631,401		Term Loan, 7.50%, Maturing April 12, 2013	1,625,283
		National Mentor Holdings, Inc.
81,200		Term Loan, 7.84%, Maturing June 29, 2013	81,454
1,368,800		Term Loan, 7.90%, Maturing June 29, 2013	1,373,078
		National Rental Institutes, Inc.
2,150,000		Term Loan, 7.50%, Maturing March 31, 2013	2,150,000
		PER-SE Technologies, Inc.
1,239,080		Term Loan, 7.75%, Maturing January 6, 2013	1,242,178
		Quintiles Transnational Corp.
1,246,875		Term Loan, 7.50%, Maturing March 31, 2013	1,246,875
2,225,000		Term Loan, 9.50%, Maturing March 31, 2014	2,256,984
		Renal Advantage, Inc.
397,000		Term Loan, 7.84%, Maturing October 6, 2012	400,474
		Select Medical Holding Corp.
2,049,062		Term Loan, 6.94%, Maturing February 24, 2012	2,023,705
		Sunrise Medical Holdings, Inc.
2,999,773		Term Loan, 8.44%, Maturing May 13, 2010	3,003,523
		Talecris Biotherapeutics, Inc.
1,180,063		Term Loan, 8.44%, Maturing March 31, 2010	1,185,963
468,750		Term Loan, 9.75%, Maturing May 31, 2010	468,750
		Vanguard Health Holding Co., LLC
2,248,489		Term Loan, 7.87%, Maturing September 23, 2011	2,260,199

		Ventiv Health, Inc.
$	992,500	Term Loan, 7.00%, Maturing October 5, 2011	$	995,602
		VWR International, Inc.
2,619,988		Term Loan, 7.77%, Maturing April 7, 2011	2,629,813
			$	92,026,575
Home Furnishings — 0.9%
		Interline Brands, Inc.
1,314,130		Term Loan, 7.26%, Maturing June 23, 2013	1,319,058
1,010,870		Term Loan, 7.26%, Maturing June 23, 2013	1,014,660
		Knoll, Inc.
1,683,925		Term Loan, 7.25%, Maturing October 3, 2012	1,693,397
		National Bedding Co., LLC
1,050,000		Term Loan, 10.49%, Maturing August 31, 2012	1,069,031
		Oreck Corp.
1,830,270		Term Loan, 8.25%, Maturing February 2, 2012	1,833,702
		Sealy Mattress Co.
6,523,412		Term Loan, 7.10%, Maturing April 6, 2012	6,534,626
		Simmons Co.
3,795,769		Term Loan, 7.49%, Maturing December 19, 2011	3,812,376
			$	17,276,850
Industrial Equipment — 0.6%
		Aearo Technologies, Inc.
500,000		Term Loan, 11.96%, Maturing September 24, 2013	509,063
		Alliance Laundry Holdings, LLC
511,875		Term Loan, 7.60%, Maturing January 27, 2012	513,955
		Colfax Corp.
2,273,089		Term Loan, 7.50%, Maturing December 19, 2011	2,285,875
		Douglas Dynamics Holdings, Inc.
1,742,836		Term Loan, 7.25%, Maturing December 16, 2010	1,747,193
		Flowserve Corp.
2,340,688		Term Loan, 7.23%, Maturing August 10, 2012	2,345,809
		Mainline, L.P.
749,111		Term Loan, 7.81%, Maturing December 16, 2011	754,729
		Maxim Crane Works, L.P.
1,274,578		Term Loan, 7.44%, Maturing January 28, 2010	1,278,561
		MTD Products, Inc.
980,000		Term Loan, 6.88%, Maturing June 1, 2010	987,350
		Nacco Materials Handling Group, Inc.
1,000,000		Term Loan, 7.22%, Maturing March 22, 2013	997,500
			$	11,420,035
Insurance — 0.7%
		ARG Holding, Inc.
1,243,750		Term Loan, 8.50%, Maturing November 30, 2011	1,247,637
2,625,000		Term Loan, 12.75%, Maturing November 30, 2012	2,664,375

		CCC Information Services Group
$	1,350,000	Term Loan, 8.00%, Maturing February 10, 2013	$	1,357,031
		Conseco, Inc.
3,116,056		Term Loan, 7.12%, Maturing June 22, 2010	3,123,198
		Hilb, Rogal & Hobbs Co.
798,000		Term Loan, 7.00%, Maturing April 26, 2013	798,665
		U.S.I. Holdings Corp.
5,533,983		Term Loan, 7.75%, Maturing March 24, 2011	5,575,488
			$	14,766,394
Leisure Goods/Activities/Movies — 3.1%
		24 Hour Fitness Worldwide, Inc.
2,014,950		Term Loan, 8.05%, Maturing June 8, 2012	2,027,543
		Alliance Atlantis Communications, Inc.
709,025		Term Loan, 7.00%, Maturing December 20, 2011	708,582
		AMC Entertainment, Inc.
2,263,625		Term Loan, 7.53%, Maturing January 26, 2013	2,273,399
		AMF Bowling Worldwide, Inc.
1,581,005		Term Loan, 8.30%, Maturing August 27, 2009	1,594,346
		Carmike Cinemas, Inc.
2,984,925		Term Loan, 8.94%, Maturing May 19, 2012	3,003,207
		Century California Subsidiary
1,953,977		Term Loan, 7.11%, Maturing March 1, 2013	1,958,129
		Cinemark, Inc.
1,955,000		Term Loan, 7.26%, Maturing March 31, 2011	1,958,056
		Dave & Buster’s, Inc.
1,000,000		Term Loan, 0.50%, Maturing March 8, 2013 (2)	995,000
997,500		Term Loan, 8.00%, Maturing March 8, 2013	992,513
		Deluxe Entertainment Services
1,100,000		Term Loan, 4.88%, Maturing January 28, 2011	1,083,500
		Easton-Bell Sports, Inc.
1,496,250		Term Loan, 6.81%, Maturing March 16, 2013	1,498,744
		Fender Musical Instruments Co.
1,330,000		Term Loan, 11.12%, Maturing March 30, 2012	1,339,975
		HEI Acquisition, LLC
725,000		Term Loan, 8.00%, Maturing December 31, 2011	727,719
		Metro-Goldwyn-Mayer Holdings, Inc.
10,847,813		Term Loan, 7.75%, Maturing April 8, 2012	10,878,892
		Regal Cinemas Corp.
10,714,900		Term Loan, 7.24%, Maturing November 10, 2010	10,670,454
		Six Flags Theme Parks, Inc.
8,171,337		Term Loan, 8.36%, Maturing June 30, 2009	8,249,406
		Southwest Sports Group, LLC
1,450,000		Term Loan, 8.00%, Maturing December 22, 2010	1,450,906
		Universal City Development Partners, Ltd.
3,084,606		Term Loan, 7.38%, Maturing June 9, 2011	3,089,427

		WMG Acquisition Corp.
$	900,000	Revolving Loan, 0.00%, Maturing February 28, 2010 (2)	$	874,800
7,073,164		Term Loan, 7.31%, Maturing February 28, 2011	7,097,658
			$	62,472,256
Lodging and Casinos — 2.0%
		Alliance Gaming Corp.
5,827,922		Term Loan, 9.33%, Maturing September 5, 2009	5,849,777
		Ameristar Casinos, Inc.
1,194,000		Term Loan, 6.73%, Maturing November 10, 2012	1,198,105
		Boyd Gaming Corp.
2,895,452		Term Loan, 6.80%, Maturing June 30, 2011	2,898,107
		CCM Merger, Inc.
2,612,379		Term Loan, 7.42%, Maturing April 25, 2012	2,606,828
		Columbia Entertainment
1,701,429		Term Loan, 8.00%, Maturing October 24, 2011	1,710,999
		Globalcash Access, LLC
745,332		Term Loan, 7.15%, Maturing March 10, 2010	749,292
		Isle of Capri Casinos, Inc.
4,472,099		Term Loan, 7.17%, Maturing February 4, 2011	4,476,012
		Penn National Gaming, Inc.
7,865,563		Term Loan, 7.13%, Maturing October 3, 2012	7,894,075
		Pinnacle Entertainment, Inc.
925,000		Term Loan, 0.00%, Maturing December 14, 2011 (2)	924,133
2,800,000		Term Loan, 7.40%, Maturing December 14, 2011	2,809,187
		Resorts International Holdings, LLC
1,749,296		Term Loan, 9.50%, Maturing April 26, 2012	1,763,071
814,530		Term Loan, 16.50%, Maturing April 26, 2013	848,299
		Venetian Casino Resort, LLC
4,104,268		Term Loan, 7.25%, Maturing June 15, 2011	4,104,588
846,241		Term Loan, 7.25%, Maturing June 15, 2011	846,307
		Wynn Las Vegas, LLC
1,410,000		Term Loan, 7.55%, Maturing December 14, 2011	1,412,644
			$	40,091,424
Nonferrous Metals/Minerals — 1.1%
		Alpha Natural Resources, LLC
2,935,250		Term Loan, 7.25%, Maturing October 26, 2012	2,936,169
		Carmeuse Lime, Inc.
697,163		Term Loan, 7.25%, Maturing May 2, 2011	698,905
		CII Carbon, LLC
497,487		Term Loan, 7.50%, Maturing August 23, 2012	499,975
		Compass Minerals Group, Inc.
1,876,143		Term Loan, 6.99%, Maturing December 22, 2012	1,877,608
		International Mill Service, Inc.
2,000,000		Term Loan, 11.50%, Maturing October 26, 2011	2,007,500

		Magnequench International, Inc.
$	1,782,125	Term Loan, 9.00%, Maturing August 31, 2009	$	1,785,466
		Magnum Coal Co.
245,455		Term Loan, 8.65%, Maturing March 15, 2013	246,528
2,448,409		Term Loan, 8.75%, Maturing March 15, 2013	2,459,121
		Murray Energy Corp.
967,750		Term Loan, 8.40%, Maturing January 28, 2010	977,428
		Novelis, Inc.
1,464,056		Term Loan, 7.38%, Maturing January 7, 2012	1,474,122
2,544,612		Term Loan, 7.38%, Maturing January 7, 2012	2,562,106
		Stillwater Mining Co.
4,879,880		Term Loan, 7.69%, Maturing July 30, 2010	4,885,979
			$	22,410,907
Oil and Gas — 1.7%
		Citgo Petroleum Corp.
2,139,250		Term Loan, 6.70%, Maturing November 15, 2012	2,141,389
		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
850,000		Term Loan, 12.19%, Maturing June 24, 2013	874,172
		Concho Resources, Inc.
2,850,000		Term Loan, 9.50%, Maturing July 6, 2011 (3)	2,836,605
		Dresser Rand Group, Inc.
1,490,084		Term Loan, 7.27%, Maturing October 29, 2011	1,502,563
		Dresser, Inc.
407,813		Term Loan, 7.90%, Maturing March 31, 2007	413,505
		Dynegy Holdings Inc.
1,000,000		Term Loan, 6.96%, Maturing January 31, 2012	1,000,000
		Epco Holdings, Inc.
1,037,214		Term Loan, 7.15%, Maturing August 18, 2008	1,039,807
3,796,650		Term Loan, 7.40%, Maturing August 18, 2010	3,817,710
		Key Energy Services, Inc.
1,000,000		Term Loan, 5.48%, Maturing June 30, 2012	1,005,625
1,373,100		Term Loan, 8.90%, Maturing June 30, 2012	1,379,680
		LB Pacific, L.P.
1,577,544		Term Loan, 7.95%, Maturing March 3, 2012	1,585,431
		Lyondell-Citgo Refining, L.P.
2,932,656		Term Loan, 7.50%, Maturing May 21, 2007	2,939,988
		Primary Natural Resources, Inc.
2,000,000		Term Loan, 9.50%, Maturing July 28, 2010 (3)	1,996,200
		Targa Resources, Inc.
1,885,000		Term Loan, 7.48%, Maturing October 31, 2007	1,887,748
3,314,006		Term Loan, 7.39%, Maturing October 31, 2012	3,323,769
1,602,972		Term Loan, 7.75%, Maturing October 31, 2012	1,607,694

		Universal Compression, Inc.
$	2,137,950	Term Loan, 7.00%, Maturing February 15, 2012	$	2,145,076
		W&T Offshore, Inc.
1,275,000		Term Loan, 0.00%, Maturing May 26, 2010 (2)	1,278,984
			$	33,777,373
Publishing — 1.8%
		American Media Operations, Inc.
3,825,000		Term Loan, 8.12%, Maturing January 31, 2013	3,859,903
		Caribe Information Investments
1,022,438		Term Loan, 7.45%, Maturing March 31, 2013	1,023,716
		CBD Media, LLC
1,364,137		Term Loan, 7.87%, Maturing December 31, 2009	1,374,368
		Dex Media East, LLC
4,165,161		Term Loan, 6.77%, Maturing May 8, 2009	4,146,651
		Dex Media West, LLC
7,016,932		Term Loan, 6.80%, Maturing March 9, 2010	6,985,433
		Gatehouse Media Operating, Inc.
2,225,000		Term Loan, 7.59%, Maturing June 6, 2013	2,222,915
		Hanley-Wood, LLC
165,144		Term Loan, 7.46%, Maturing August 1, 2012	165,316
1,386,532		Term Loan, 7.52%, Maturing August 1, 2012	1,387,976
		Merrill Communications, LLC
1,474,194		Term Loan, 7.69%, Maturing May 5, 2011	1,481,794
		Nebraska Book Co., Inc.
938,400		Term Loan, 7.61%, Maturing March 4, 2011	943,092
		Philadelphia Newspapers, LLC
1,100,000		Term Loan, 8.09%, Maturing June 29, 2013	1,104,125
		R.H. Donnelley Corp.
575,621		Term Loan, 6.73%, Maturing December 31, 2009	570,584
4,894,049		Term Loan, 6.88%, Maturing June 30, 2011	4,862,698
		Source Media, Inc.
2,669,307		Term Loan, 7.68%, Maturing November 8, 2011	2,674,312
		SP Newsprint Co.
1,305,204		Term Loan, 5.40%, Maturing January 9, 2010	1,310,098
283,544		Term Loan, 7.83%, Maturing January 9, 2010	284,608
		Sun Media Corp.
2,533,436		Term Loan, 7.24%, Maturing February 7, 2009	2,532,379
			$	36,929,968
Radio and Television — 2.3%
		Adams Outdoor Advertising, L.P.
2,337,318		Term Loan, 7.27%, Maturing October 18, 2012	2,342,676
		ALM Media Holdings, Inc.
1,146,574		Term Loan, 8.00%, Maturing March 5, 2010	1,146,096
		Block Communications, Inc.
2,089,500		Term Loan, 7.50%, Maturing December 22, 2011	2,094,724

		Cequel Communications, LLC
$	1,000,000	Term Loan, 7.74%, Maturing November 5, 2013	$	994,732
2,175,000		Term Loan, 9.85%, Maturing May 5, 2014	2,109,750
3,850,000		Term Loan, 11.35%, Maturing May 5, 2014	3,702,418
		CMP KC, LLC
1,000,000		Term Loan, 9.31%, Maturing May 3, 2011	1,001,250
		CMP Susquehanna Corp.
1,823,571		Term Loan, 7.31%, Maturing May 5, 2013	1,824,427
		Cumulus Media, Inc.
1,900,000		Term Loan, 7.45%, Maturing June 7, 2013	1,904,157
		DirecTV Holdings, LLC
4,199,395		Term Loan, 6.90%, Maturing April 13, 2013	4,200,853
		Emmis Operating Co.
1,604,877		Term Loan, 7.14%, Maturing November 10, 2011	1,609,767
		Entravision Communications Corp.
1,836,125		Term Loan, 7.01%, Maturing September 29, 2013	1,837,464
		Gray Television, Inc.
1,666,625		Term Loan, 7.01%, Maturing November 22, 2015	1,668,013
		HIT Entertainment, Inc.
1,980,000		Term Loan, 7.70%, Maturing March 20, 2012	1,989,900
		NEP Supershooters, L.P.
1,916,927		Term Loan, 13.50%, Maturing August 3, 2011	1,945,681
		Nexstar Broadcasting, Inc.
2,151,009		Term Loan, 7.25%, Maturing October 1, 2012	2,148,768
2,089,226		Term Loan, 7.25%, Maturing October 1, 2012	2,087,049
		NextMedia Operating, Inc.
137,423		Term Loan, 7.33%, Maturing November 15, 2012	137,187
309,202		Term Loan, 7.37%, Maturing November 15, 2012	308,670
		Patriot Media and Communications CNJ, LLC
600,000		Term Loan, 10.35%, Maturing October 4, 2013	613,500
		Paxson Communcations Corp.
3,250,000		Term Loan, 8.76%, Maturing December 30, 2011	3,319,063
		Raycom TV Broadcasting, LLC
3,432,087		Term Loan, 7.00%, Maturing August 28, 2013	3,423,506
		SFX Entertainment
1,815,875		Term Loan, 7.75%, Maturing June 21, 2013	1,817,767
		Young Broadcasting, Inc.
2,369,822		Term Loan, 7.73%, Maturing November 3, 2012	2,362,786
			$	46,590,204
Rail Industries — 0.4%
		Kansas City Southern Railway Co.
3,400,000		Term Loan, 7.14%, Maturing February 28, 2013	3,408,500
		Railamerica, Inc.
4,098,862		Term Loan, 7.25%, Maturing September 29, 2011	4,130,886
484,530		Term Loan, 7.25%, Maturing September 29, 2011	488,316
			$	8,027,702

Retailers (Except Food and Drug) — 1.2%
		American Achievement Corp.
$	1,766,294	Term Loan, 7.95%, Maturing March 25, 2011		$		1,779,541
		Amscan Holdings, Inc.
1,845,375		Term Loan, 8.28%, Maturing December 23, 2012		1,851,526
		Coinmach Laundry Corp.
4,540,820		Term Loan, 7.78%, Maturing December 19, 2012		4,578,659
		Harbor Freight Tools USA, Inc.
2,694,752		Term Loan, 6.92%, Maturing July 15, 2010		2,696,016
		Home Interiors & Gifts, Inc.
1,050,291		Term Loan, 10.36%, Maturing March 31, 2011		928,195
		Josten’s Corp.
2,244,210		Term Loan, 7.07%, Maturing October 4, 2010		2,257,769
		Mapco Express, Inc.
2,443,710		Term Loan, 8.20%, Maturing April 28, 2011		2,457,456
		Movie Gallery, Inc.
1,186,173		Term Loan, 10.75%, Maturing April 27, 2011		1,158,465
		Neiman Marcus Group, Inc.
1,780,063		Term Loan, 7.77%, Maturing April 5, 2013		1,796,604
		Savers, Inc.
656,008		Term Loan, 8.60%, Maturing August 4, 2009		657,648
1,000,000		Term Loan, 13.35%, Maturing August 4, 2010		1,015,000
		Travelcenters of America, Inc.
3,691,450		Term Loan, 7.02%, Maturing November 30, 2008		3,694,680
				$		24,871,559
Steel — 0.1%
		Gibraltar Industries, Inc.
611,413		Term Loan, 7.19%, Maturing December 8, 2010	611,413
		John Maneely Co.
650,037		Term Loan, 8.51%, Maturing March 25, 2013	655,724
			$		1,267,137
Surface Transport — 0.3%
		Gainey Corp.
1,025,000		Term Loan, 8.12%, Maturing April 20, 2012	1,033,328
		Horizon Lines, LLC
965,300		Term Loan, 7.75%, Maturing July 7, 2011	971,936
		Sirva Worldwide, Inc.
1,759,718		Term Loan, 9.97%, Maturing December 1, 2010	1,704,727
		Vanguard Car Rental USA
2,100,000		Term Loan, 8.32%, Maturing June 14, 2013	2,109,188
			$		5,819,179

Telecommunications — 2.2%
		Alaska Communications Systems Holdings, Inc.
$	2,100,000	Term Loan, 7.25%, Maturing February 1, 2011	$	2,100,000
		Cellular South, Inc.
2,232,911		Term Loan, 7.25%, Maturing May 4, 2011	2,238,494
		Centennial Cellular Operating Co., LLC
3,533,773		Term Loan, 7.68%, Maturing February 9, 2011	3,550,495
		Cincinnati Bell, Inc.
744,375		Term Loan, 6.75%, Maturing August 31, 2012	742,514
		Consolidated Communications, Inc.
3,648,439		Term Loan, 7.44%, Maturing October 14, 2011	3,637,038
		Crown Castle Operating Co.
1,250,000		Term Loan, 7.65%, Maturing June 1, 2014	1,257,031
		Fairpoint Communications, Inc.
3,200,000		Term Loan, 7.25%, Maturing February 8, 2012	3,186,000
		Hawaiian Telcom Communications, Inc.
1,102,544		Term Loan, 7.75%, Maturing October 31, 2012	1,108,844
		Iowa Telecommunications Services
3,208,000		Term Loan, 7.24%, Maturing November 23, 2011	3,213,681
		IPC Acquisition Corp.
1,475,349		Term Loan, 8.03%, Maturing August 5, 2011	1,484,754
		Madison River Capital, LLC
1,310,310		Term Loan, 7.73%, Maturing July 31, 2012	1,312,767
		NTelos, Inc.
1,792,721		Term Loan, 7.65%, Maturing August 24, 2011	1,792,271
		Qwest Corp.
5,000,000		Term Loan, 11.00%, Maturing June 4, 2007	5,089,375
		Stratos Global Corp.
1,275,000		Term Loan, 8.25%, Maturing February 13, 2012	1,279,250
		Triton PCS, Inc.
4,529,797		Term Loan, 8.65%, Maturing November 18, 2009	4,568,300
		Westcom Corp.
830,399		Term Loan, 8.30%, Maturing December 17, 2010	834,032
1,000,000		Term Loan, 12.54%, Maturing June 17, 2011	1,008,750
		Windstream Corp.
5,525,000		Term Loan, 7.26%, Maturing July 17, 2013	5,549,664
			$	43,953,260
Utilities — 1.6%
		Astoria Generating Co.
222,081		Term Loan, 7.45%, Maturing February 23, 2012	222,617
1,104,441		Term Loan, 7.45%, Maturing February 23, 2013	1,107,104
1,250,000		Term Loan, 9.20%, Maturing August 23, 2013	1,268,281
		Cellnet Technology, Inc.
677,757		Term Loan, 8.50%, Maturing April 26, 2012	684,111
		Cogentrix Delaware Holdings, Inc.
783,857		Term Loan, 7.00%, Maturing April 14, 2012	785,653

		Covanta Energy Corp.
$	1,188,943	Term Loan, 5.46%, Maturing May 27, 2013	$	1,195,631
851,998		Term Loan, 7.70%, Maturing May 27, 2013	856,791
568,750		Term Loan, 10.96%, Maturing June 24, 2013	581,547
		KGen, LLC
957,875		Term Loan, 8.12%, Maturing August 5, 2011	948,296
		La Paloma Generating Co., LLC
189,321		Term Loan, 7.15%, Maturing August 16, 2012	187,665
1,112,060		Term Loan, 7.25%, Maturing August 16, 2012	1,102,329
87,658		Term Loan, 7.25%, Maturing August 16, 2012	86,891
		LSP General Finance Co., LLC
140,404		Term Loan, 0.00%, Maturing April 14, 2013 (2)	140,053
3,334,596		Term Loan, 7.25%, Maturing April 14, 2013	3,326,259
		Mirant North America, LLC
1,393,000		Term Loan, 7.15%, Maturing January 3, 2013	1,386,035
		NRG Energy, Inc.
9,600,938		Term Loan, 7.23%, Maturing February 1, 2013	9,639,437
2,225,000		Term Loan, 7.50%, Maturing February 1, 2013	2,231,815
		Pike Electric, Inc.
816,891		Term Loan, 6.88%, Maturing July 1, 2012	817,147
615,438		Term Loan, 6.88%, Maturing July 2, 2012	615,631
		Plains Resources, Inc.
2,002,711		Term Loan, 6.69%, Maturing August 12, 2011	2,005,215
		Reliant Energy, Inc.
323,649		Term Loan, 7.78%, Maturing December 22, 2010	324,054
		Wolf Hollow I L.P.
200,000		Term Loan, 7.65%, Maturing June 22, 2012	202,188
1,325,000		Term Loan, 7.65%, Maturing June 22, 2012	1,324,447
1,481,092		Term Loan, 7.75%, Maturing June 22, 2012	1,480,474
			$	32,519,671
Total Senior, Floating Rate Interests (identified cost $1,113,395,541)			$	1,114,383,713

Mortgage Pass-Throughs — 46.2%

Principal
Amount
(000’s omitted)		Security	Value
		Federal Home Loan Mortgage Corp.:
$	1,364	4.597%, with maturity at 2025 (4)	$	1,377,085
1,292		6.00%, with maturity at 2026	1,302,854
21,177		6.50%, with various maturities to 2025	21,710,847
126,807		7.00%, with various maturities to 2031 (5)	129,821,373
1,010		7.13%, with maturity at 2023	1,055,523
58,163		7.50%, with various maturities to 2029	61,203,655
1,435		7.65%, with maturity at 2022	1,520,475
238		7.70%, with maturity at 2022	252,595

$	26,121	8.00%, with various maturities to 2030	$	27,984,649
1,186		8.25%, with maturity at 2020	1,272,156
24,686		8.50%, with various maturities to 2031	26,707,739
153		8.75%, with maturity at 2010	157,181
9,512		9.00%, with various maturities to 2031	10,365,222
7,154		9.50%, with various maturities to 2025	7,918,964
1,188		10.00%, with maturity at 2020	1,315,084
1,188		10.50%, with maturity at 2020	1,325,488
1,772		12.00%, with maturity at 2020	1,987,533
81		13.00%, with maturity at 2015	94,035
			$	297,372,458
		Federal National Mortgage Assn.:
9,344		4.958%, with maturity at 2036 (4)	9,371,241
19,208		5.50%, with maturity at 2014 (5)	19,091,760
1,002		6.00%, with maturity at 2023	1,007,071
26,468		6.321%, with maturity at 2032 (4)	27,253,702
6,699		6.382%, with maturity at 2022 (4)	6,929,075
88,123		6.50%, with various maturities to 2029	89,891,361
984		6.75%, with maturity at 2023	1,013,450
97,222		7.00%, with various maturities to 2028	100,209,523
19,765		7.50%, with various maturities to 2031	20,785,458
18,783		8.00%, with various maturities to 2029	19,991,675
98		8.25%, with maturity at 2018	104,631
4,560		8.422%, with maturity at 2027	4,950,391
20,064		8.50%, with various maturities to 2028	21,718,980
2,306		8.651%, with maturity at 2028	2,501,151
1,393		8.779%, with maturity at 2029	1,524,821
2,074		8.801%, with maturity at 2027	2,256,556
19,997		9.00%, with various maturities to 2027	21,881,583
939		9.336%, with maturity at 2024	1,014,002
13,453		9.50%, with various maturities to 2030	14,901,826
1,554		9.557%, with maturity at 2018	1,722,468
2,444		10.00%, with various maturities to 2020	2,719,915
2,570		10.251%, with maturity at 2025	2,856,803
2,899		10.325%, with maturity at 2019	3,182,436
2,335		10.50%, with maturity at 2021	2,601,374
1,027		11.50%, with maturity at 2016	1,152,287
58		12.50%, with maturity at 2011	64,443
			$	380,697,983
		Government National Mortgage Assn.:
6,459		6.00%, with maturity at 2024	6,520,486
11,365		7.00%, with various maturities to 2024	11,834,400
11,309		7.50%, with various maturities to 2028	11,986,954
39,746		8.00%, with various maturities to 2027 (5)	42,535,393
1,391		8.30%, with maturity at 2020	1,498,178
2,789		8.50%, with various maturities to 2022	3,032,867

$	12,846	9.00%, with various maturities to 2026	$	14,125,496
18,384		9.50%, with various maturities to 2026	20,482,343
1,236		10.00%, with maturity at 2019	1,382,074
			$	113,398,191
		Collateralized Mortgage Obligations:
3,946		Federal Home Loan Mortgage Corp., Series 1497, Class K, 7.00%, 4/15/23	4,049,645
6,424		Federal Home Loan Mortgage Corp., Series 1529, Class Z, 7.00%, 6/15/23	6,584,954
5,360		Federal Home Loan Mortgage Corp., Series 1620, Class Z, 6.00%, 11/15/23	5,422,255
824		Federal Home Loan Mortgage Corp., Series 1720, Class PJ, 7.25%, 1/15/24	835,389
875		Federal Home Loan Mortgage Corp., Series 2167, Class BZ, 7.00%, 6/15/29	905,054
7,027		Federal Home Loan Mortgage Corp., Series 2182, Class ZB, 8.00%, 9/15/29	7,394,009
3,412		Federal Home Loan Mortgage Corp., Series 2198, Class ZA, 8.50%, 11/15/29	3,724,251
22,613		Federal Home Loan Mortgage Corp., Series 2245, Class A, 8.00%, 8/15/27 (5)	23,809,433
3,254		Federal Home Loan Mortgage Corp., Series 24, Class J, 6.25%, 11/25/23	3,291,526
718		Federal National Mortgage Assn., Series 1988-14, Class I, 9.20%, 6/25/18	775,475
691		Federal National Mortgage Assn., Series 1989-1, Class D, 10.30%, 1/25/19	759,192
1,468		Federal National Mortgage Assn., Series 1989-34, Class Y, 9.85%, 7/25/19	1,627,852
902		Federal National Mortgage Assn., Series 1990-17, Class G, 9.00%, 2/25/20	979,280
381		Federal National Mortgage Assn., Series 1990-27, Class Z, 9.00%, 3/25/20	405,444
363		Federal National Mortgage Assn., Series 1990-29, Class J, 9.00%, 3/25/20	397,305
1,689		Federal National Mortgage Assn., Series 1990-43, Class Z, 9.50%, 4/25/20	1,871,285
580		Federal National Mortgage Assn., Series 1991-98, Class J, 8.00%, 8/25/21	617,185
352		Federal National Mortgage Assn., Series 1992-103, Class Z, 7.50%, 6/25/22	370,194
640		Federal National Mortgage Assn., Series 1992-113, Class Z, 7.50%, 7/25/22	669,619
1,226		Federal National Mortgage Assn., Series 1992-185, Class ZB, 7.00%, 10/25/22	1,271,619
4,728		Federal National Mortgage Assn., Series 1992-77, Class ZA, 8.00%, 5/25/22	5,010,243

$	2,546	Federal National Mortgage Assn., Series 1993-16, Class Z, 7.50%, 2/25/23	$	2,678,714
2,386		Federal National Mortgage Assn., Series 1993-22, Class PM, 7.40%, 2/25/23	2,498,668
3,659		Federal National Mortgage Assn., Series 1993-25, Class J, 7.50%, 3/25/23	3,843,217
7,283		Federal National Mortgage Assn., Series 1993-30, Class PZ, 7.50%, 3/25/23	7,656,881
1,118		Federal National Mortgage Assn., Series 1993-56, Class PZ, 7.00%, 5/25/23	1,149,954
10,719		Federal National Mortgage Assn., Series 1994-45, Class Z, 6.50%, 2/25/24	10,996,530
5,412		Federal National Mortgage Assn., Series 1994-89, Class ZQ, 8.00%, 7/25/24	5,741,282
5,578		Federal National Mortgage Assn., Series 1996-57, Class Z, 7.00%, 12/25/26	5,796,871
3,133		Federal National Mortgage Assn., Series 1997-77, Class Z, 7.00%, 11/18/27	3,256,990
3,243		Federal National Mortgage Assn., Series 2001-37, Class GA, 8.00%, 7/25/16	3,372,557
2,080		Federal National Mortgage Assn., Series 2002-1, Class G, 7.00%, 7/25/23	2,154,384
1,071		Federal National Mortgage Assn., Series G92-44, Class Z, 8.00%, 7/25/22	1,136,687
1,743		Federal National Mortgage Assn., Series G92-44, Class ZQ, 8.00%, 7/25/22	1,848,146
4,364		Federal National Mortgage Assn., Series G92-60, Class Z, 7.00%, 10/25/22	4,499,561
9,000		Government National Mortgage Assn., Series 2002-45, Class PG, 6.00%, 3/17/32	9,038,020
1,134		Government National Mortgage Assn., Series 2005-72, Class E, 12.00%, 11/16/15	1,308,494
			$	137,748,165
Total Mortgage Pass-Throughs (identified cost $947,131,033)			$	929,216,797

Corporate Bonds & Notes — 47.9%

Principal
Amount
(000’s omitted)		Security	Value
Aerospace and Defense — 0.3%
		Argo Tech Corp., Sr. Notes
$	2,230	9.25%, 6/1/11	$	2,313,625
		Armor Holdings, Inc., Sr. Sub. Notes
1,895		8.25%, 8/15/13	1,989,750

		DRS Technologies, Inc., Sr. Sub. Notes
$	875	7.625%, 2/1/18	$	877,187
			$	5,180,562
Air Transport — 0.2%
		American Airlines
3,615		7.80%, 10/1/06	3,621,778
			$	3,621,778
Automotive — 3.5%
		Altra Industrial Motion, Inc.
2,460		9.00%, 12/1/11	2,484,600
		Commercial Vehicle Group, Inc., Sr. Notes
1,100		8.00%, 7/1/13	1,049,125
		Ford Motor Credit Co.
2,120		6.625%, 6/16/08	2,043,089
9,165		7.375%, 10/28/09	8,651,155
4,355		7.875%, 6/15/10	4,100,685
		Ford Motor Credit Co., Variable Rate
10,995		8.149%, 11/2/07	11,012,889
		General Motors Acceptance Corp.
2,770		6.125%, 9/15/06	2,768,939
2,160		5.125%, 5/9/08	2,082,212
1,075		5.85%, 1/14/09	1,033,626
435		7.00%, 2/1/12	421,526
9,665		8.00%, 11/1/31	9,503,788
		Tenneco Automotive, Global Shares, Series B
11,805		10.25%, 7/15/13	12,926,475
		Tenneco Automotive, Inc., Sr. Sub. Notes
2,680		8.625%, 11/15/14	2,673,300
		TRW Automotive, Inc., Sr. Notes
2,230		9.375%, 2/15/13	2,380,525
		TRW Automotive, Inc., Sr. Sub. Notes
3,900		11.00%, 2/15/13	4,280,250
		United Components, Inc., Sr. Sub. Notes
990		9.375%, 6/15/13	978,862
		Visteon Corp., Sr. Notes
2,025		8.25%, 8/1/10	1,873,125
830		7.00%, 3/10/14	680,600
			$	70,944,771
Brokers/Dealers/Investment Houses — 0.3%
		*ETrade Financial Corp., Sr. Notes**
785		8.00%, 6/15/11	810,512
		Residential Capital Corp., Sub. Notes, Variable Rate
5,390		7.337%, 4/17/09 (6)	5,387,936
			$	6,198,448

Building and Development — 1.6%
		Dayton Superior Corp., Sr. Notes
$	2,975	10.75%, 9/15/08	$	3,086,562
		General Cable Corp., Sr. Notes
2,520		9.50%, 11/15/10	2,696,400
		Interline Brands, Inc., Sr. Sub. Notes
1,475		8.125%, 6/15/14	1,493,437
		Mueller Group, Inc., Sr. Sub. Notes
1,707		10.00%, 5/1/12	1,852,095
		Mueller Holdings, Inc., Disc. Notes
936		14.75%, 4/15/14	800,280
		Nortek, Inc., Sr. Sub. Notes
7,905		8.50%, 9/1/14	7,430,700
		NTK Holdings, Inc., Sr. Disc. Notes, (0.00% until 2009)
2,575		10.75%, 3/1/14	1,815,375
		Panolam Industries International, Sr. Sub. Notes
3,215		10.75%, 10/1/13 (6)	3,134,625
		RMCC Acquisition Co., Sr. Sub. Notes
8,170		9.50%, 11/1/12 (6)	8,537,650
		Stanley-Martin Co.
870		9.75%, 8/15/15	687,300
			$	31,534,424
Business Equipment and Services — 1.9%
		Activant Solutions, Inc., Sr. Sub. Notes
1,070		9.50%, 5/1/16 (6)	1,016,500
		Affinion Group, Inc.
1,065		10.125%, 10/15/13 (6)	1,096,950
		Affinion Group, Inc., Sr. Sub. Notes
1,490		11.50%, 10/15/15 (6)	1,501,175
		Hydrochem Industrial Services, Inc., Sr. Sub Notes
2,620		9.25%, 2/15/13 (6)	2,574,150
		Knowledge Learning Center, Sr. Sub. Notes
2,200		7.75%, 2/1/15 (6)	2,035,000
		Muzak, LLC / Muzak Finance, Sr. Notes
5,250		10.00%, 2/15/09	4,541,250
		Norcross Safety Products, LLC / Norcross Capital Corp., Sr. Sub. Notes, Series B
5,100		9.875%, 8/15/11	5,329,500
		Safety Products Holdings, Inc., Sr. Notes (PIK)
6,500		11.75%, 1/1/12 PIK (3)	6,663,379
		Sungard Data Systems, Inc.
4,590		9.125%, 8/15/13	4,710,487
3,368		10.25%, 8/15/15	3,431,150
		Sungard Data Systems, Inc., Variable Rate
1,100		9.431%, 8/15/13	1,149,500

		Xerox Corp., Sr. Notes
$	1,855	7.125%, 6/15/10	$	1,892,100
1,485		7.625%, 6/15/13	1,507,275
			$	37,448,416
Cable and Satellite Television — 2.4%
		Adelphia Communications Corp.
2,500		10.25%, 6/15/11 (7)	1,550,000
		Cablevision Systems Corp., Sr. Notes, Series B, Variable Rate
2,315		9.62%, 4/1/09	2,477,050
		CCO Holdings, LLC / CCO Capital Corp., Sr. Notes
10,295		8.75%, 11/15/13	10,269,262
		CSC Holdings, Inc., Series B
1,040		8.125%, 8/15/09	1,069,900
		CSC Holdings, Inc., Sr. Notes
2,970		7.875%, 12/15/07	3,025,687
5,000		8.125%, 7/15/09	5,143,750
		CSC Holdings, Inc., Sr. Notes, Series B
380		7.625%, 4/1/11	384,275
		Insight Communications, Sr. Disc. Notes
16,450		12.25%, 2/15/11	17,498,687
		Kabel Deutschland GMBH
1,955		10.625%, 7/1/14 (6)	2,082,075
		NTL Cable PLC, Sr. Notes
1,480		9.125%, 8/15/16	1,505,900
		UGS Corp.
3,130		10.00%, 6/1/12	3,384,312
			$	48,390,898
Chemicals and Plastics — 3.3%
		BCP Crystal Holdings Corp., Sr. Sub. Notes
3,172		9.625%, 6/15/14	3,421,795
		Crystal US Holdings / US Holdings 3, LLC, Sr. Disc. Notes, Series B, (0.00% until 2009)
3,357		10.50%, 10/1/14	2,635,245
		Equistar Chemical, Sr. Notes
8,235		10.625%, 5/1/11	8,893,800
		Hexion U.S. Finance/Nova Scotia Finance
1,765		9.00%, 7/15/14	1,813,537
		Huntsman International
5,167		9.875%, 3/1/09	5,405,974
		Huntsman, LLC
4,426		11.625%, 10/15/10	4,896,262
		IMC Global, Inc.
6,775		11.25%, 6/1/11	7,206,906
		Ineos Group Holdings PLC
8,115		8.50%, 2/15/16 (6)	7,648,387

		Koppers, Inc.
$	1,252	9.875%, 10/15/13	$	1,361,550
		Lyondell Chemical Co.
995		11.125%, 7/15/12	1,088,281
		Lyondell Chemical Co., Sr. Notes
1,892		10.50%, 6/1/13	2,085,930
		Nova Chemicals Corp., Senior Notes, Variable Rate
2,145		8.405%, 11/15/13	2,177,175
		OM Group, Inc.
11,180		9.25%, 12/15/11	11,627,200
		Polyone Corp., Sr. Notes
3,185		10.625%, 5/15/10	3,439,800
685		8.875%, 5/1/12	687,569
		PQ Corp.
1,125		7.50%, 2/15/13	1,085,625
		Rockwood Specialties Group, Sr. Sub. Notes
991		10.625%, 5/15/11	1,070,280
			$	66,545,316
Clothing/Textiles — 2.2%
		Levi Strauss & Co., Sr. Notes
8,860		12.25%, 12/15/12	9,967,500
1,055		9.75%, 1/15/15	1,086,650
2,115		8.875%, 4/1/16	2,062,125
		Levi Strauss & Co., Sr. Notes, Variable Rate
4,735		10.258%, 4/1/12	4,877,050
		Oxford Industries, Inc., Sr. Notes
12,565		8.875%, 6/1/11	12,690,650
		Perry Ellis International, Inc., Sr. Sub. Notes
5,865		8.875%, 9/15/13	5,777,025
		Phillips Van-Heusen, Sr. Notes
1,700		7.25%, 2/15/11	1,695,750
2,500		8.125%, 5/1/13	2,575,000
		Quiksilver, Inc.
435		6.875%, 4/15/15	404,550
		Russell Corp.
2,425		9.25%, 5/1/10	2,546,250
			$	43,682,550
Conglomerates — 0.9%
		Amsted Industries, Inc., Sr. Notes
7,150		10.25%, 10/15/11 (6)	7,722,000
		Education Management, LLC, Sr. Notes
3,045		8.75%, 6/1/14 (6)	3,067,837
		Education Management, LLC, Sr. Sub. Notes
4,240		10.25%, 6/1/16 (6)	4,303,600

		Goodman Global Holdings, Inc., Sr. Notes, Variable Rate
$	3,398	8.329%, 6/15/12	$	3,414,990
			$	18,508,427
Containers and Glass Products — 0.5%
		Anchor Glass Container Corp.
5,000		11.00%, 2/15/13 (7)	4,375,000
		Intertape Polymer US, Inc., Sr. Sub. Notes
2,810		8.50%, 8/1/14	2,613,300
		Pliant Corp. (PIK)
2,644		11.625%, 6/15/09 (3)	2,885,640
			$	9,873,940
Cosmetics/Toiletries — 0.0%
		Samsonite Corp., Sr. Sub. Notes
1,075		8.875%, 6/1/11	1,120,687
			$	1,120,687
Ecological Services and Equipment — 0.5%
		Aleris International, Inc.
2,635		10.375%, 10/15/10	2,891,912
2,568		9.00%, 11/15/14	2,901,840
		Waste Services, Inc., Sr. Sub. Notes
4,085		9.50%, 4/15/14 (6)	4,187,125
			$	9,980,877
Electronics/Electrical — 0.1%
		Avago Technologies Finance, Sr. Notes
1,485		10.125%, 12/1/13 (6)	1,566,675
		CPI Holdco, Inc., Sr. Notes, Variable Rate
1,320		10.561%, 2/1/15	1,372,800
			$	2,939,475
Equipment Leasing — 0.9%
		The Hertz Corp., Sr. Notes
10,515		8.875%, 1/1/14 (6)	11,014,462
		The Hertz Corp., Sr. Sub. Notes
815		10.50%, 1/1/16 (6)	890,387
		United Rentals North America, Inc.
320		6.50%, 2/15/12	304,000
		United Rentals North America, Inc., Sr. Sub. Notes
5,590		7.00%, 2/15/14	5,142,800
			$	17,351,649
Financial Intermediaries — 0.4%
		Alzette, Variable Rate
750		8.636%, 12/15/20 (6)	767,344
		Avalon Capital Ltd. 3, Series 1A, Class D, Variable Rate
760		7.158%, 2/24/19 (6)	763,488

		Babson Ltd., Series 2005-1A, Class C1, Variable Rate
$	1,000	7.457%, 4/15/19 (6)	$	1,011,040
		Bryant Park CDO Ltd., Series 2005-1A, Class C, Variable Rate
1,000		7.557%, 1/15/19 (6)	1,010,920
		Carlyle High Yield Partners, Series 2004-6A, Class C, Variable Rate
974		7.612%, 8/11/16 (6)	988,762
		Centurion CDO 8 Ltd., Series 2005 8A, Class D, Variable Rate
1,000		10.77%, 3/8/17	1,045,500
		Centurion CDO 9 Ltd., Series 2005-9A
500		9.35%, 7/17/19	515,095
		Dryden Leveraged Loan, Series 2004-6A, Class C1, Variable Rate
1,500		8.035%, 7/30/16 (6)	1,537,215
		Stanfield Vantage Ltd., Series 2005-1A, Class D, Variable Rate
1,000		7.474%, 3/21/17 (6)	1,004,000
			$	8,643,364
Food Products — 0.7%
		ASG Consolidated, LLC / ASG Finance, Inc., Sr. Disc. Notes, (0.00% until 2008)
5,315		11.50%, 11/1/11	4,517,750
		Nutro Products, Inc., Sr. Notes, Variable Rate
865		9.23%, 10/15/13 (6)	890,950
		Nutro Products, Inc., Sr. Sub. Notes
1,295		10.75%, 4/15/14 (6)	1,356,512
		Pierre Foods, Inc., Sr. Sub. Notes
3,225		9.875%, 7/15/12	3,273,375
		Pinnacle Foods Holdings Corp., Sr. Sub. Notes
4,705		8.25%, 12/1/13	4,634,425
			$	14,673,012
Food Service — 0.3%
		EPL Finance Corp., Sr. Notes
2,835		11.75%, 11/15/13 (6)	3,246,075
		NPC International, Inc., Sr. Sub. Notes
2,340		9.50%, 5/1/14 (6)	2,258,100
			$	5,504,175
Food/Drug Retailers — 0.8%
		General Nutrition Centers, Inc.
1,085		8.625%, 1/15/11	1,087,712
		Jean Coutu Group (PJC), Inc., Sr. Sub. Notes
860		8.50%, 8/1/14	807,325
		Rite Aid Corp.
3,775		7.125%, 1/15/07	3,793,875
8,452		6.125%, 12/15/08 (6)	8,261,830
2,170		8.125%, 5/1/10	2,216,112
			$	16,166,854

Forest Products — 2.2%
		Abitibi-Consolidated, Inc.
$	1,890	6.95%, 4/1/08	$		1,875,825
		Georgia-Pacific Corp.
15,225		9.50%, 12/1/11	16,062,375
		JSG Funding PLC, Sr. Notes
17,860		9.625%, 10/1/12	18,574,400
		NewPage Corp.
3,790		10.00%, 5/1/12 (6)	3,951,075
		NewPage Corp., Variable Rate
1,545		11.399%, 5/1/12	1,676,325
		Stone Container Corp.
2,570		7.375%, 7/15/14	2,300,150
			$		44,440,150
Healthcare — 2.8%
		Accellent, Inc.
4,795		10.50%, 12/1/13		4,962,825
		AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes
3,955		10.00%, 2/15/15		4,113,200
		CDRV Investors, Inc., Sr. Disc. Notes, (0.00% until 2010)
3,690		9.625%, 1/1/15		2,629,125
		Concentra Operating Corp., Sr. Notes
7,000		9.50%, 8/15/10		7,297,500
		Encore Medical IHC, Inc.
3,030		9.75%, 10/1/12		3,333,000
		Inverness Medical Innovations, Inc., Sr. Sub. Notes
3,175		8.75%, 2/15/12		3,095,625
		Multiplan, Inc., Sr. Sub. Notes
2,710		10.375%, 4/15/16 (6)		2,750,650
		National Mentor, Inc., Sr. Sub. Notes
2,130		11.25%, 7/1/14 (6)		2,177,925
		Res-Care, Inc., Sr. Notes
2,160		7.75%, 10/15/13		2,143,800
		Service Corp. International, Sr. Notes
1,110		8.00%, 6/15/17 (6)		1,042,012
		Tenet Healthcare Corp., Sr. Notes
1,085		6.50%, 6/1/12		922,250
1,550		9.25%, 2/1/15 (6)		1,433,750
		Triad Hospitals, Inc., Sr. Notes
2,120		7.00%, 5/15/12		2,117,350
		Triad Hospitals, Inc., Sr. Sub. Notes
2,530		7.00%, 11/15/13		2,428,800
		US Oncology, Inc.
2,205		9.00%, 8/15/12		2,304,225
5,350		10.75%, 8/15/14		5,831,500

		Ventas Realty L.P. / Capital Corp., Sr. Notes
$	1,600	7.125%, 6/1/15	$	1,612,000
		VWR International, Inc., Sr. Sub. Notes
5,540		8.00%, 4/15/14	5,470,750
			$	55,666,287
Home Furnishings — 0.2%
		Fedders North America, Inc.
2,350		9.875%, 3/1/14	1,880,000
		Steinway Musical Instruments, Sr. Notes
1,745		7.00%, 3/1/14 (6)	1,679,562
			$	3,559,562
Industrial Equipment — 1.0%
		Case New Holland, Inc., Sr. Notes
9,430		9.25%, 8/1/11	9,984,012
6,485		7.125%, 3/1/14	6,339,087
		Chart Industries, Inc., Sr. Sub. Notes
2,170		9.125%, 10/15/15 (6)	2,248,662
		Manitowoc Co., Inc. (The)
975		10.50%, 8/1/12	1,057,875
		Thermadyne Holdings Corp., Sr. Sub. Notes
1,770		9.25%, 2/1/14	1,500,075
			$	21,129,711
Leisure Goods/Activities/Movies — 2.2%
		AMC Entertainment, Inc., Sr. Sub. Notes
4,450		9.875%, 2/1/12	4,511,187
		AMC Entertainment, Inc., Variable Rate
650		9.42%, 8/15/10	673,562
		HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp.
2,170		12.50%, 4/1/13 (6)	2,180,850
		HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Variable Rate
3,975		9.818%, 4/1/12 (6)	3,965,062
		Marquee Holdings, Inc., Sr. Disc. Notes, (0.00% until 2009)
5,965		12.00%, 8/15/14 (6)	4,429,013
		Six Flags Theme Parks, Inc., Sr. Notes
3,080		9.625%, 6/1/14	2,810,500
		Universal City Development Partners, Sr. Notes
16,215		11.75%, 4/1/10	17,633,813
		Universal City Florida Holding, Sr. Notes, Variable Rate
7,060		9.899%, 5/1/10	7,289,450
			$	43,493,437

Lodging and Casinos — 2.8%
		CCM Merger, Inc.
$	1,715	8.00%, 8/1/13 (6)	$	1,650,688
		Chukchansi EDA, Sr. Notes, Variable Rate
3,080		8.78%, 11/15/12 (6)	3,149,300
		Galaxy Entertainment Finance
1,600		9.875%, 12/15/12 (6)	1,680,000
		Greektown Holdings, LLC, Sr. Notes
2,215		10.75%, 12/1/13 (6)	2,353,438
		Inn of the Mountain Gods, Sr. Notes
4,655		12.00%, 11/15/10	4,893,569
		Kerzner International Ltd., Sr. Sub. Notes
540		6.75%, 10/1/15	571,050
		Majestic HoldCo, LLC, (0.00% until 2008)
1,540		12.50%, 10/15/11 (6)	1,155,000
		Majestic Star Casino, LLC
2,325		9.50%, 10/15/10	2,418,000
2,825		9.75%, 1/15/11 (6)	2,796,750
		Mohegan Tribal Gaming Authority, Sr. Sub. Notes
1,335		8.00%, 4/1/12	1,368,375
		OED Corp./Diamond Jo, LLC
5,115		8.75%, 4/15/12	5,146,969
		San Pasqual Casino
3,405		8.00%, 9/15/13 (6)	3,439,050
		Station Casinos, Inc., Sr. Notes
1,050		6.00%, 4/1/12	990,938
		Trump Entertainment Resorts, Inc.
12,820		8.50%, 6/1/15	12,371,300
		Tunica-Biloxi Gaming Authority, Sr. Notes
2,670		9.00%, 11/15/15 (6)	2,736,750
		Waterford Gaming, LLC, Sr. Notes
8,790		8.625%, 9/15/12 (6)	9,339,375
		Wynn Las Vegas, LLC
1,210		6.625%, 12/1/14	1,146,475
			$	57,207,027
Nonferrous Metals/Minerals — 0.3%
		Alpha Natural Resources, Sr. Notes
1,370		10.00%, 6/1/12	1,462,475
		Novelis, Inc., Sr. Notes
4,445		8.00%, 2/15/15 (6)	4,322,763
			$	5,785,238
Oil and Gas — 4.0%
		Allis-Chalmers Energy, Inc., Sr. Notes
3,010		9.00%, 1/15/14 (6)	3,040,100

		Clayton Williams Energy, Inc.
$	1,325	7.75%, 8/1/13 (6)	$	1,238,875
		Copano Energy, LLC, Sr. Notes
760		8.125%, 3/1/16	767,600
		Dresser, Inc.
13,145		9.375%, 4/15/11	13,407,900
		Dynegy Holdings, Inc.
2,165		8.375%, 5/1/16 (6)	2,137,938
		Dynegy Holdings, Inc., Debs.
4,395		7.625%, 10/15/26	3,867,600
		El Paso Corp.
345		7.50%, 8/15/06 (6)	345,863
2,305		9.625%, 5/15/12 (6)	2,535,500
		El Paso Production Holding Co.
500		7.75%, 6/1/13	510,625
		Encore Acquisition Co., Sr. Sub. Notes
1,730		7.25%, 12/1/17	1,686,750
		Giant Industries
850		8.00%, 5/15/14	850,000
		Inergy L.P. / Finance, Sr. Notes
3,980		6.875%, 12/15/14 (6)	3,771,050
		Kinder Morgan Finance Co.
3,135		5.35%, 1/5/11	2,932,827
		Ocean Rig Norway AS, Sr. Notes
1,120		8.375%, 7/1/13 (6)	1,159,200
		Parker Drilling Co., Sr. Notes
1,930		9.625%, 10/1/13	2,103,700
		Petrohawk Energy Corp., Sr. Notes
8,800		9.125%, 7/15/13 (6)	9,042,000
		Quicksilver Resources, Inc.
2,295		7.125%, 4/1/16	2,180,250
		Semgroup L.P., Sr. Notes
2,890		8.75%, 11/15/15 (6)	2,918,900
		Sesi, LLC, Sr. Notes
660		6.875%, 6/1/14 (6)	643,500
		Sonat, Inc.
5,000		7.625%, 7/15/11	5,087,500
		Stewart & Stevenson, LLC, Sr. Notes
2,115		10.00%, 7/15/14 (6)	2,157,300
		Transmontaigne, Inc., Sr. Sub. Notes
6,115		9.125%, 6/1/10	6,527,763
		United Refining Co., Sr. Notes
6,530		10.50%, 8/15/12	6,921,800
		VeraSun Energy Corp.
3,360		9.875%, 12/15/12 (6)	3,595,200

		Williams Cos., Inc. (The)
$	1,085	8.75%, 3/15/32	$	1,177,225
			$	80,606,966
Publishing — 1.4%
		American Media Operations, Inc., Series B
6,220		10.25%, 5/1/09	5,839,025
		CBD Media, Inc., Sr. Sub. Notes
1,335		8.625%, 6/1/11	1,318,313
		Dex Media West, LLC, Sr. Sub. Notes
4,565		9.875%, 8/15/13	4,941,613
		Houghton Mifflin Co., Sr. Disc. Notes, (0.00% until 2008)
500		11.50%, 10/15/13	416,250
		Houghton Mifflin Co., Sr. Sub. Notes
5,970		9.875%, 2/1/13	6,216,263
		MediaNews Group, Inc., Sr. Sub. Notes
1,070		6.875%, 10/1/13	985,738
		R.H. Donnelley Corp., Sr. Disc. Notes
2,315		6.875%, 1/15/13	2,112,438
4,175		6.875%, 1/15/13	3,809,688
		R.H. Donnelley Corp., Sr. Notes
2,655		8.875%, 1/15/16	2,658,319
			$	28,297,647
Radio and Television — 1.9%
		Advanstar Communications, Inc.
8,250		10.75%, 8/15/10	8,889,458
		CanWest Media, Inc.
2,156		8.00%, 9/15/12	2,113,049
		Echostar DBS Corp., Sr. Notes, Variable Rate
10,000		8.758%, 10/1/08	10,162,500
		LBI Media, Inc.
1,820		10.125%, 7/15/12	1,938,300
		Rainbow National Services, LLC, Sr. Notes
1,805		8.75%, 9/1/12 (6)	1,917,813
		Rainbow National Services, LLC, Sr. Sub. Debs.
6,490		10.375%, 9/1/14 (6)	7,285,025
		Sirius Satellite Radio, Sr. Notes
5,650		9.625%, 8/1/13	5,311,000
			$	37,617,145
Rail Industries — 0.0%
		Kansas City Southern Railway Co.
1,035		9.50%, 10/1/08	1,089,338
			$	1,089,338

Retailers (Except Food and Drug) — 1.6%
		Autonation, Inc., Variable Rate
$	1,500	7.507%, 4/15/13 (6)	$	1,522,500
		GameStop Corp.
13,885		8.00%, 10/1/12	14,162,700
		GameStop Corp., Variable Rate
4,105		9.383%, 10/1/11	4,299,988
		Neiman Marcus Group, Inc.
5,375		9.00%, 10/15/15	5,690,781
3,430		10.375%, 10/15/15	3,657,238
		Penny (JC) Co., Inc.
1,875		8.00%, 3/1/10	2,006,844
			$	31,340,051
Steel — 0.5%
		AK Steel Corp.
2,000		7.75%, 6/15/12	1,980,000
		Ispat Inland ULC, Sr. Notes
2,102		9.75%, 4/1/14	2,336,419
		RathGibson, Inc., Sr. Notes
4,720		11.25%, 2/15/14 (6)	4,908,800
			$	9,225,219
Surface Transport — 0.3%
		H-Lines Finance Holding, Sr. Disc. Notes, (0.00% until 2008)
1,531		11.00%, 4/1/13 (6)	1,335,798
		Horizon Lines, LLC
3,967		9.00%, 11/1/12 (6)	4,056,258
			$	5,392,056
Telecommunications — 4.0%
		AirGate PCS, Inc., Variable Rate
1,080		9.257%, 10/15/11	1,109,700
		Alamosa Delaware, Inc., Sr. Notes
6,230		11.00%, 7/31/10	6,837,425
		Centennial Cellular Operating Co. / Centennial Communication Corp., Sr. Notes
2,820		10.125%, 6/15/13	2,989,200
		Digicel Ltd., Sr. Notes
2,400		9.25%, 9/1/12 (6)	2,514,000
		Intelsat Bermuda Ltd.
3,560		9.25%, 6/15/16 (6)	3,657,900
		Intelsat Bermuda Ltd., Sr. Notes
15,690		5.25%, 11/1/08	14,787,825
4,185		11.25%, 6/15/16 (6)	4,247,775
		Intelsat Bermuda Ltd., Sr. Notes, Variable Rate
6,455		10.484%, 1/15/12	6,584,100

		IWO Escrow Co., Variable Rate
$	575	9.257%, 1/15/12 (6)	$	596,563
		LCI International, Inc., Sr. Notes
65		7.25%, 6/15/07	65,488
		New Skies Satellites NV, Sr. Notes, Variable Rate
700		10.414%, 11/1/11	726,250
		New Skies Satellites NV, Sr. Sub. Notes
2,450		9.125%, 11/1/12	2,621,500
		Qwest Capital Funding, Inc.
1,855		7.00%, 8/3/09	1,850,363
		Qwest Communications International, Inc.
6,540		7.50%, 2/15/14	6,441,900
		Qwest Communications International, Inc., Sr. Notes
670		7.50%, 11/1/08	671,675
		Qwest Corp.
2,000		8.875%, 3/15/12	2,165,000
		Qwest Corp., Sr. Notes
1,615		7.875%, 9/1/11	1,679,600
1,940		7.625%, 6/15/15	1,981,225
		Qwest Corp., Sr. Notes, Variable Rate
1,645		8.579%, 6/15/13	1,768,375
		Rogers Wireless, Inc., Variable Rate
1,314		8.454%, 12/15/10	1,353,420
		Telemig Celular SA/Amazonia Celular SA
1,755		8.75%, 1/20/09 (6)	1,829,588
		UbiquiTel Operating Co., Sr. Notes
3,995		9.875%, 3/1/11	4,364,538
		Windstream Corp., Sr. Notes
3,140		8.125%, 8/1/13 (6)	3,281,300
6,280		8.625%, 8/1/16 (6)	6,562,600
			$	80,687,310
Utilities — 1.9%
		AES Corp., Sr. Notes
6,000		9.50%, 6/1/09	6,360,000
4,005		8.75%, 5/15/13 (6)	4,305,375
5,445		9.00%, 5/15/15 (6)	5,880,600
		Mission Energy Holding Co.
3,290		13.50%, 7/15/08	3,693,025
		NRG Energy, Inc.
1,465		7.25%, 2/1/14	1,437,531
		NRG Energy, Inc., Sr. Notes
2,015		7.375%, 2/1/16	1,974,700

		Orion Power Holdings, Inc., Sr. Notes
$	12,415	12.00%, 5/1/10	$	14,246,213
			$	37,897,444
Total Corporate Bonds & Notes (identified cost $947,067,036)			$	961,744,211

Convertible Bonds — 0.3%

Principal
Amount		Security	Value
$	3,540,000	L-3 Communications Corp. (6)	$	3,478,050
1,065,000		XM Satellite Radio Holdings, Inc.	826,706
2,100,000		XM Satellite Radio, Inc. (6)	1,630,125
Total Convertible Bonds (identified cost, $6,685,290)			$	5,934,881

Common Stocks — 0.3%

Shares	Security	Value
331,790	Trump Entertainment Resorts, Inc. (8)	$	6,048,532
Total Common Stocks (identified cost, $4,094,330)		$	6,048,532

Convertible Preferred Stocks — 0.1%

Shares	Security	Value
11,070	Chesapeake Energy Corp., 4.50%	$	1,081,539
10,058	Crown Castle International Corp., (PIK)	564,505
Total Convertible Preferred Stocks (identified cost, $1,554,502)		$	1,646,044

Short-Term Investments — 1.5%

Principal		Maturity
Amount		Date	Borrower	Rate		Amount
$	26,346,000	08/01/06	General Electric Capital Corp., Commercial Paper	5.30	%	$	26,346,000
4,135,000		08/01/06	Investors Bank and Trust Company, Time Deposit	5.31	%	4,135,000
Total Short-Term Investments (at amortized cost)						$	30,481,000
Gross Investments — 151.7% (identified cost $3,050,408,732)						$	3,049,455,178

Less Unfunded Loan Commitments — (0.3)% (identified cost $5,447,417)	$	(5,447,417	)
Net Investments — 151.4% (identified cost $3,044,961,315)	$	3,044,007,761
Other Assets, Less Liabilities — (11.6)%	$	(233,478,639	)
Auction Preferred Shares Plus Cumulative Unpaid Dividends — (39.8)%	$	(800,391,641	)
Net Assets Applicable to Common Shares — 100.0%	$	2,010,137,481

PIK	—	Payment In Kind.
(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 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)		Adjustable rate mortgage.
(5)		All or a portion of these securities were on loan at July 31, 2006.
(6)		Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2006, the aggregate value of the securities is $242,755,316 or 12.1% of the Fund’s net assets.
(7)		Defaulted security. Currently the issuer is in default with respect to interest payments.
(8)		Non-income producing security.

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

Credit Default Swaps

Notional Amount		Expiration Date	Description	Net Unrealized Appreciation
$	2,000,000	3/20/2010	Agreement with Lehman Brothers dated 5/18/05 to sell a credit default swap. The Fund will receive 2.4% per year, paid quarterly, times the notional amount. The Fund makes a payment of the notional amount only upon a default event on the reference entity, a Revolving Credit Agreement issued by Inergy, L.P.		$	1,185

At July 31, 2006, the Fund had sufficient cash and/or securities segregated to cover potential obligations arising from open swap contracts.

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

Aggregate cost	$	3,055,249,309
Gross unrealized appreciation	$	27,675,901
Gross unrealized depreciation	(38,917,449		)
Net unrealized depreciation	$	(11,241,548	)

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 Limited Duration Income Fund

By:		/s/ Thomas E. Faust Jr
		Thomas E. Faust Jr.
		President and Principal Executive Officer
Date:		September 25, 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 25, 2006
By:		/s/ Barbara E. Campbell
		Barbara E. Campbell
		Treasurer and Principal Financial Officer
Date:		September 25, 2006