Edgar Filing: Eaton Vance Short Duration Diversified Income Fund

Eaton Vance Short Duration Diversified Income Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21563

Investment Company Act File Number

Eaton Vance Short Duration Diversified Income Fund

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

October 31

Date of Fiscal Year End

January 31, 2018

Date of Reporting Period

Item 1. Schedule of Investments

Eaton Vance

Short Duration Diversified Income Fund

January 31, 2018

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Loans — 34.6%⁽¹⁾



Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.5%
TransDigm, Inc.
Term Loan, 4.36%, (USD LIBOR + 2.75%), Maturing June 9, 2023⁽²⁾		975	$	984,064
Term Loan, 4.67%, (USD LIBOR + 3.00%), Maturing August 22, 2024⁽²⁾		494		498,977

			$	1,483,041

Automotive — 1.0%
Allison Transmission, Inc.
Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing September 23, 2022		233	$	235,427
Belron Finance US, LLC
Term Loan, 3.89%, (3 mo. USD LIBOR + 2.50%), Maturing November 7, 2024		75		75,984
CS Intermediate Holdco 2, LLC
Term Loan, 3.94%, (3 mo. USD LIBOR + 2.25%), Maturing November 2, 2023		283		285,108
Dayco Products, LLC
Term Loan, 6.48%, (3 mo. USD LIBOR + 5.00%), Maturing May 19, 2023		174		176,955
FCA US, LLC
Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing December 31, 2018		216		216,709
Federal-Mogul Holdings Corporation
Term Loan, 5.31%, (1 mo. USD LIBOR + 3.75%), Maturing April 15, 2021		517		521,502
Goodyear Tire & Rubber Company (The)
Term Loan - Second Lien, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing April 30, 2019		383		385,365
Horizon Global Corporation
Term Loan, 6.07%, (1 mo. USD LIBOR + 4.50%), Maturing June 30, 2021		74		75,018
Sage Automotive Interiors, Inc.
Term Loan, 6.57%, (1 mo. USD LIBOR + 5.00%), Maturing October 27, 2022		124		125,220
Tower Automotive Holdings USA, LLC
Term Loan, 4.31%, (1 mo. USD LIBOR + 2.75%), Maturing March 7, 2024		517		520,603
Visteon Corporation
Term Loan, 3.41%, (3 mo. USD LIBOR + 2.00%), Maturing March 24, 2024		102		102,897

			$	2,720,788

Beverage and Tobacco — 0.1%
Flavors Holdings, Inc.
Term Loan, 7.44%, (3 mo. USD LIBOR + 5.75%), Maturing April 3, 2020		340	$	311,437
Refresco Group B.V.
Term Loan, Maturing September 26, 2024⁽³⁾		50		50,281

			$	361,718

Brokerage/Securities Dealers/Investment Houses — 0.2%
Aretec Group, Inc.
Term Loan, 5.82%, (1 mo. USD LIBOR + 4.25%), Maturing November 23, 2020		103	$	103,529
Term Loan - Second Lien, 7.07%, (1 mo. USD LIBOR + 5.50% (2.00% Cash, 5.07% PIK)), Maturing May 23, 2021		213		213,360
Salient Partners L.P.
Term Loan, 10.06%, (3 mo. USD LIBOR + 8.50%), Maturing May 19, 2021		131		127,131

			$	444,020


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Building and Development — 0.8%
Core & Main L.P.
Term Loan, 4.46%, (6 mo. USD LIBOR + 3.00%), Maturing August 1, 2024		125	$	125,661
CPG International, Inc.
Term Loan, 5.59%, (6 mo. USD LIBOR + 3.75%), Maturing May 3, 2024		391		395,490
DTZ U.S. Borrower, LLC
Term Loan, 4.82%, (3 mo. USD LIBOR + 3.25%), Maturing November 4, 2021		512		513,499
Ply Gem Industries, Inc.
Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing February 1, 2021		249		251,445
Quikrete Holdings, Inc.
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing November 15, 2023		433		435,667
RE/MAX International, Inc.
Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing December 15, 2023		398		396,402
Summit Materials Companies I, LLC
Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing November 11, 2024		125		126,133

			$	2,244,297

Business Equipment and Services — 3.9%
Acosta Holdco, Inc.
Term Loan, 4.82%, (1 mo. USD LIBOR + 3.25%), Maturing September 26, 2021		531	$	463,277
Altisource Solutions S.a.r.l.
Term Loan, 5.07%, (1 mo. USD LIBOR + 3.50%), Maturing December 9, 2020		122		121,982
Change Healthcare Holdings, Inc.
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing March 1, 2024		1,166		1,174,114
Corporate Capital Trust, Inc.
Term Loan, 5.00%, (3 mo. USD LIBOR + 3.25%), Maturing May 20, 2019		1,045		1,051,047
CPM Holdings, Inc.
Term Loan, 5.82%, (1 mo. USD LIBOR + 4.25%), Maturing April 11, 2022		246		249,732
Cypress Intermediate Holdings III, Inc.
Term Loan, 4.58%, (1 mo. USD LIBOR + 3.00%), Maturing April 27, 2024		224		225,274
EAB Global, Inc.
Term Loan, 5.48%, (3 mo. USD LIBOR + 3.75%), Maturing November 15, 2024		200		201,500
Education Management, LLC
Term Loan, 5.85%, (3 mo. USD LIBOR + 4.50%), Maturing July 2, 2020⁽⁴⁾		67		31,992
Term Loan, 13.00%, (3 mo. USD Prime + 8.50%), Maturing July 2, 2020⁽⁴⁾⁽⁶⁾		152		0
EIG Investors Corp.
Term Loan, 5.46%, (3 mo. USD LIBOR + 4.00%), Maturing February 9, 2023		544		549,213
Extreme Reach, Inc.
Term Loan, 7.95%, (3 mo. USD LIBOR + 6.25%), Maturing February 7, 2020		104		104,325
First Data Corporation
Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing July 8, 2022		481		484,508
Garda World Security Corporation
Term Loan, 4.97%, (3 mo. USD LIBOR + 3.50%), Maturing May 24, 2024		319		321,853
GreenSky Holdings, LLC
Term Loan, 5.63%, (1 mo. USD LIBOR + 4.00%), Maturing August 26, 2024		249		250,934
IG Investment Holdings, LLC
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing October 29, 2021		434		440,249
Information Resources, Inc.
Term Loan, 5.81%, (1 mo. USD LIBOR + 4.25%), Maturing January 18, 2024		174		175,153
ION Trading Technologies S.a.r.l.
Term Loan, 4.40%, (2 mo. USD LIBOR + 2.75%), Maturing November 30, 2024		350		350,437
J.D. Power and Associates
Term Loan, 5.94%, (3 mo. USD LIBOR + 4.25%), Maturing September 7, 2023		173		174,701


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
KAR Auction Services, Inc.
Term Loan, 4.00%, (3 mo. USD LIBOR + 2.25%), Maturing March 11, 2021		349	$	352,242
Kronos Incorporated
Term Loan, 4.90%, (3 mo. USD LIBOR + 3.50%), Maturing November 1, 2023		1,040		1,049,965
LegalZoom.com, Inc.
Term Loan, 5.94%, (3 mo. USD LIBOR + 4.50%), Maturing November 21, 2024		125		125,781
Monitronics International, Inc.
Term Loan, 7.19%, (3 mo. USD LIBOR + 5.50%), Maturing September 30, 2022		392		393,237
PGX Holdings, Inc.
Term Loan, 6.83%, (1 mo. USD LIBOR + 5.25%), Maturing September 29, 2020		335		327,905
Prime Security Services Borrower, LLC
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing May 2, 2022		297		300,230
Red Ventures, LLC
Term Loan, 5.57%, (1 mo. USD LIBOR + 4.00%), Maturing November 8, 2024		200		202,077
Spin Holdco, Inc.
Term Loan, 5.49%, (3 mo. USD LIBOR + 3.75%), Maturing November 14, 2022		614		620,146
Techem GmbH
Term Loan, 3.00%, (3 mo. EURIBOR + 3.00%), Maturing October 2, 2024	EUR	200		249,726
Tempo Acquisition, LLC
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing May 1, 2024		149		150,183
Vantiv, LLC
Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing October 14, 2023		81		81,765
Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing August 9, 2024		200		201,556
West Corporation
Term Loan, 5.57%, (1 mo. USD LIBOR + 4.00%), Maturing October 10, 2024		175		177,187

			$	10,602,291

Cable and Satellite Television — 1.6%
Charter Communications Operating, LLC
Term Loan, 3.58%, (1 mo. USD LIBOR + 2.00%), Maturing April 30, 2025		550	$	554,039
CSC Holdings, LLC
Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing July 17, 2025		456		457,853
Term Loan, 4.14%, (3 mo. USD LIBOR + 2.50%), Maturing January 25, 2026		200		201,542
MCC Iowa, LLC
Term Loan, 3.47%, (1 week USD LIBOR + 2.00%), Maturing January 15, 2025		167		168,314
Numericable Group S.A.
Term Loan, 4.52%, (3 mo. USD LIBOR + 2.75%), Maturing July 31, 2025		323		311,541
Radiate Holdco, LLC
Term Loan, Maturing February 1, 2024⁽³⁾		175		175,561
Telenet Financing USD, LLC
Term Loan, 4.06%, (1 mo. USD LIBOR + 2.50%), Maturing March 1, 2026		50		50,391
Unitymedia Finance, LLC
Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing January 15, 2026		150		150,703
UPC Financing Partnership
Term Loan, 4.06%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2026		450		452,906
Virgin Media Bristol, LLC
Term Loan, 4.06%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2026		1,275		1,283,652
Ziggo Secured Finance Partnership
Term Loan, 4.06%, (1 mo. USD LIBOR + 2.50%), Maturing April 15, 2025		625		625,502

			$	4,432,004


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Chemicals and Plastics — 1.5%
Ashland, Inc.
Term Loan, 3.57%, (USD LIBOR + 2.00%), Maturing May 17, 2024⁽²⁾		100	$	100,557
Axalta Coating Systems US Holdings, Inc.
Term Loan, 3.69%, (3 mo. USD LIBOR + 2.00%), Maturing June 1, 2024		368		370,505
Emerald Performance Materials, LLC
Term Loan, 5.07%, (1 mo. USD LIBOR + 3.50%), Maturing August 1, 2021		336		339,334
Term Loan - Second Lien, 9.32%, (1 mo. USD LIBOR + 7.75%), Maturing August 1, 2022		100		100,292
Gemini HDPE, LLC
Term Loan, 4.28%, (3 mo. USD LIBOR + 2.50%), Maturing August 7, 2024		362		364,753
H.B. Fuller Company
Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing October 20, 2024		324		327,137
Ineos US Finance, LLC
Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing March 31, 2024		525		528,363
Kraton Polymers, LLC
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing January 6, 2022		95		96,067
MacDermid, Inc.
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing June 7, 2023		258		259,860
PolyOne Corporation
Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing November 11, 2022		98		98,919
PQ Corporation
Term Loan, 5.02%, (3 mo. USD LIBOR + 3.25%), Maturing November 4, 2022		222		223,133
Term Loan, Maturing February 8, 2025⁽³⁾		125		126,138
Solenis International L.P.
Term Loan, 4.50%, (3 mo. EURIBOR + 3.50%, Floor 1.00%), Maturing July 31, 2021	EUR	169		211,392
Spectrum Plastics Group, Inc.
Term Loan, Maturing January 17, 2025⁽³⁾		11		11,363
Term Loan, Maturing January 17, 2025⁽³⁾		114		114,887
Tata Chemicals North America, Inc.
Term Loan, 4.50%, (3 mo. USD LIBOR + 2.75%), Maturing August 7, 2020		161		161,580
Tronox Blocked Borrower, LLC
Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing September 22, 2024		159		160,487
Tronox Finance, LLC
Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing September 22, 2024		366		370,354
Unifrax Corporation
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing April 4, 2024		200		201,495

			$	4,166,616

Conglomerates — 0.1%
Spectrum Brands, Inc.
Term Loan, 3.56%, (USD LIBOR + 2.00%), Maturing June 23, 2022⁽²⁾		324	$	325,497

			$	325,497

Containers and Glass Products — 0.5%
BWAY Holding Company
Term Loan, 4.96%, (USD LIBOR + 3.25%), Maturing April 3, 2024⁽²⁾		239	$	241,593
Consolidated Container Company, LLC
Term Loan, 5.07%, (1 mo. USD LIBOR + 3.50%), Maturing May 22, 2024		249		251,349
Horizon Holdings III SAS
Term Loan, 2.75%, (6 mo. EURIBOR + 2.75%), Maturing October 29, 2022	EUR	278		345,350


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Pelican Products, Inc.
Term Loan, 5.94%, (3 mo. USD LIBOR + 4.25%), Maturing April 11, 2020		417	$	420,281

			$	1,258,573

Cosmetics/Toiletries — 0.2%
Galleria Co.
Term Loan, 4.63%, (1 mo. USD LIBOR + 3.00%), Maturing September 29, 2023		324	$	327,430
KIK Custom Products, Inc.
Term Loan, 6.17%, (3 mo. USD LIBOR + 4.50%), Maturing August 26, 2022		246		248,551

			$	575,981

Drugs — 1.4%
Alkermes, Inc.
Term Loan, 4.28%, (3 mo. USD LIBOR + 2.75%), Maturing September 25, 2021		71	$	71,864
Amneal Pharmaceuticals, LLC
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing November 1, 2019		629		631,766
Arbor Pharmaceuticals, Inc.
Term Loan, 6.69%, (3 mo. USD LIBOR + 5.00%), Maturing July 5, 2023		266		271,235
Endo Luxembourg Finance Company I S.a.r.l.
Term Loan, 5.88%, (1 mo. USD LIBOR + 4.25%), Maturing April 29, 2024		771		774,338
Horizon Pharma, Inc.
Term Loan, 4.81%, (1 mo. USD LIBOR + 3.25%), Maturing March 29, 2024		564		567,631
Mallinckrodt International Finance S.A.
Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing September 24, 2024		643		642,318
PharMerica Corporation
Term Loan, 5.06%, (1 mo. USD LIBOR + 3.50%), Maturing December 6, 2024		125		126,380
Valeant Pharmaceuticals International, Inc.
Term Loan, 5.06%, (1 mo. USD LIBOR + 3.50%), Maturing April 1, 2022		673		683,773

			$	3,769,305

Ecological Services and Equipment — 0.3%
Charah, LLC
Term Loan, 7.71%, (3 mo. USD LIBOR + 6.25%), Maturing October 25, 2024		100	$	101,375
EnergySolutions, LLC
Term Loan, 6.45%, (3 mo. USD LIBOR + 4.75%), Maturing May 29, 2020		459		468,980
GFL Environmental, Inc.
Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing September 29, 2023		148		149,236

			$	719,591

Electronics/Electrical — 3.6%
Almonde, Inc.
Term Loan, 4.98%, (3 mo. USD LIBOR + 3.50%), Maturing June 13, 2024		424	$	426,918
Answers Finance, LLC
Term Loan - Second Lien, 9.00%, (3 mo. USD Prime + 7.90%, Cap 1.10%), Maturing September 15, 2021		30		29,453
Applied Systems, Inc.
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.25%), Maturing September 19, 2024		349		353,107
Avast Software B.V.
Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing September 30, 2023		333		335,535
Campaign Monitor Finance Pty. Limited
Term Loan, 6.94%, (3 mo. USD LIBOR + 5.25%), Maturing March 18, 2021		118		117,319
CommScope, Inc.
Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing December 29, 2022		124		125,122
Cypress Semiconductor Corporation
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing July 5, 2021		185		187,505


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
DigiCert, Inc.
Term Loan, 6.52%, (3 mo. USD LIBOR + 4.75%), Maturing October 31, 2024		150	$	152,719
Electrical Components International, Inc.
Term Loan, 6.44%, (3 mo. USD LIBOR + 4.75%), Maturing May 28, 2021		604		611,675
Electro Rent Corporation
Term Loan, 6.62%, (2 mo. USD LIBOR + 5.00%), Maturing January 31, 2024		223		224,838
Exact Merger Sub, LLC
Term Loan, 5.94%, (3 mo. USD LIBOR + 4.25%), Maturing September 27, 2024		100		100,997
EXC Holdings III Corp.
Term Loan, 5.16%, (6 mo. USD LIBOR + 3.50%), Maturing December 2, 2024		75		75,938
Flexera Software, LLC
Term Loan, Maturing January 23, 2025⁽³⁾		25		25,255
Go Daddy Operating Company, LLC
Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing February 15, 2024		820		826,994
GTCR Valor Companies, Inc.
Term Loan, 5.94%, (3 mo. USD LIBOR + 4.25%), Maturing June 16, 2023		125		126,035
Hyland Software, Inc.
Term Loan, 4.82%, (1 mo. USD LIBOR + 3.25%), Maturing July 1, 2022		99		100,571
Infoblox, Inc.
Term Loan, 6.07%, (1 mo. USD LIBOR + 4.50%), Maturing November 7, 2023		146		147,486
Informatica Corporation
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.25%), Maturing August 5, 2022		355		357,600
Lattice Semiconductor Corporation
Term Loan, 5.81%, (1 mo. USD LIBOR + 4.25%), Maturing March 10, 2021		88		88,860
MA FinanceCo., LLC
Term Loan, 4.07%, (1 mo. USD LIBOR + 2.50%), Maturing November 19, 2021		875		875,322
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing June 21, 2024		26		25,900
MTS Systems Corporation
Term Loan, 4.81%, (1 mo. USD LIBOR + 3.25%), Maturing July 5, 2023		237		238,956
Renaissance Learning, Inc.
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.75%), Maturing April 9, 2021		121		122,150
Rocket Software, Inc.
Term Loan, 5.94%, (3 mo. USD LIBOR + 4.25%), Maturing October 14, 2023		198		200,166
Seattle Spinco, Inc.
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing June 21, 2024		174		174,912
SkillSoft Corporation
Term Loan, 6.32%, (USD LIBOR + 4.75%), Maturing April 28, 2021⁽²⁾		680		666,518
Southwire Company
Term Loan, 4.05%, (1 mo. USD LIBOR + 2.50%), Maturing February 10, 2021		392		394,360
SS&C Technologies, Inc.
Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing July 8, 2022		4		4,120
Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing July 8, 2022		264		265,448
SurveyMonkey, Inc.
Term Loan, 6.20%, (3 mo. USD LIBOR + 4.50%), Maturing April 13, 2024		299		300,739
Syncsort Incorporated
Term Loan, 6.69%, (3 mo. USD LIBOR + 5.00%), Maturing August 9, 2024		224		224,508
Tibco Software, Inc.
Term Loan, 5.07%, (1 mo. USD LIBOR + 3.50%), Maturing December 4, 2020		149		149,936
Uber Technologies
Term Loan, 5.57%, (1 mo. USD LIBOR + 4.00%), Maturing July 13, 2023		321		323,866
VeriFone, Inc.
Term Loan, 6.25%, (3 mo. USD Prime + 1.75%), Maturing July 8, 2021		483		484,913


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Veritas Bermuda Ltd.
Term Loan, 6.19%, (3 mo. USD LIBOR + 4.50%), Maturing January 27, 2023		418	$	420,961
Wall Street Systems Delaware, Inc.
Term Loan, 4.65%, (2 mo. USD LIBOR + 3.00%), Maturing November 21, 2024		125		125,495
Western Digital Corporation
Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing April 29, 2023		414		417,220

			$	9,829,417

Equipment Leasing — 0.6%
Avolon TLB Borrower 1 (Luxembourg) S.a.r.l.
Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing April 3, 2022		746	$	746,050
Delos Finance S.a.r.l.
Term Loan, 3.69%, (3 mo. USD LIBOR + 2.00%), Maturing October 6, 2023		425		429,051
Flying Fortress, Inc.
Term Loan, 3.69%, (3 mo. USD LIBOR + 2.00%), Maturing October 30, 2022		500		504,479

			$	1,679,580

Financial Intermediaries — 1.5%
Armor Holding II, LLC
Term Loan, 6.20%, (3 mo. USD LIBOR + 4.50%), Maturing June 26, 2020		408	$	410,462
Citco Funding, LLC
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing March 31, 2022		658		664,958
Clipper Acquisitions Corp.
Term Loan, 3.62%, (2 mo. USD LIBOR + 2.00%), Maturing December 11, 2024		175		175,602
Donnelley Financial Solutions, Inc.
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing October 2, 2023		49		49,057
EIG Management Company, LLC
Term Loan, Maturing January 30, 2025⁽³⁾		50		49,813
FinCo I, LLC
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing December 27, 2022		199		202,299
Focus Financial Partners, LLC
Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing July 3, 2024		175		176,254
Freedom Mortgage Corporation
Term Loan, 6.96%, (6 mo. USD LIBOR + 5.50%), Maturing February 23, 2022		172		174,706
Greenhill & Co., Inc.
Term Loan, 5.29%, (USD LIBOR + 3.75%), Maturing October 12, 2022⁽²⁾		150		150,937
Guggenheim Partners, LLC
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing July 21, 2023		210		211,854
LPL Holdings, Inc.
Term Loan, 3.81%, (USD LIBOR + 2.25%), Maturing September 23, 2024⁽²⁾		249		250,462
NXT Capital, Inc.
Term Loan, 5.08%, (1 mo. USD LIBOR + 3.50%), Maturing November 22, 2022		396		403,425
Quality Care Properties, Inc.
Term Loan, 6.82%, (1 mo. USD LIBOR + 5.25%), Maturing October 31, 2022		470		475,540
Walker & Dunlop, Inc.
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing December 11, 2020		119		120,363
Walter Investment Management Corp.
Term Loan, 5.32%, (1 mo. USD LIBOR + 3.75%), Maturing December 18, 2020		571		568,951

			$	4,084,683

Food Products — 1.0%
Alphabet Holding Company, Inc.
Term Loan, 5.07%, (1 mo. USD LIBOR + 3.50%), Maturing September 26, 2024		374	$	370,228


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Blue Buffalo Company Ltd.
Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing May 27, 2024		149	$	150,556
Del Monte Foods, Inc.
Term Loan, 4.70%, (3 mo. USD LIBOR + 3.25%), Maturing February 18, 2021		120		102,000
High Liner Foods Incorporated
Term Loan, 4.93%, (3 mo. USD LIBOR + 3.25%), Maturing April 24, 2021		134		135,303
HLF Financing S.a.r.l.
Term Loan, 7.07%, (1 mo. USD LIBOR + 5.50%), Maturing February 15, 2023		212		214,025
Jacobs Douwe Egberts International B.V.
Term Loan, 3.69%, (3 mo. USD LIBOR + 2.25%), Maturing July 2, 2022		320		321,809
JBS USA, LLC
Term Loan, 4.10%, (3 mo. USD LIBOR + 2.50%), Maturing October 30, 2022		1,092		1,086,803
Nomad Foods Europe Midco Limited
Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing May 15, 2024		100		100,563
Post Holdings, Inc.
Term Loan, 3.83%, (1 mo. USD LIBOR + 2.25%), Maturing May 24, 2024		274		275,378

			$	2,756,665

Food Service — 0.2%
Aramark Services, Inc.
Term Loan, 3.57%, (1 mo. USD LIBOR + 2.00%), Maturing March 11, 2025		150	$	151,406
Arby’s Restaurant Group, Inc.
Term Loan, Maturing February 5, 2025⁽³⁾		125		126,582
Pizza Hut Holdings, LLC
Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing June 16, 2023		173		174,504

			$	452,492

Food/Drug Retailers — 0.4%
Albertsons, LLC
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing August 25, 2021		228	$	226,674
Term Loan, 4.46%, (3 mo. USD LIBOR + 3.00%), Maturing June 22, 2023		492		489,365
Diplomat Pharmacy, Inc.
Term Loan, 6.07%, (1 mo. USD LIBOR + 4.50%), Maturing December 12, 2024		100		101,000
General Nutrition Centers, Inc.
Term Loan, 4.08%, (1 mo. USD LIBOR + 2.50%), Maturing March 4, 2019		216		194,437

			$	1,011,476

Forest Products — 0.1%
Expera Specialty Solutions, LLC
Term Loan, 5.82%, (1 mo. USD LIBOR + 4.25%), Maturing November 3, 2023		173	$	175,837

			$	175,837

Health Care — 3.6%
ADMI Corp.
Term Loan, 5.43%, (3 mo. USD LIBOR + 3.75%), Maturing April 30, 2022		245	$	248,102
Akorn, Inc.
Term Loan, 5.88%, (1 mo. USD LIBOR + 4.25%), Maturing April 16, 2021		159		159,816
Alliance Healthcare Services, Inc.
Term Loan, 6.17%, (USD LIBOR + 4.50%), Maturing October 24, 2023⁽²⁾		125		125,313
Avantor, Inc.
Term Loan, 5.56%, (3 mo. USD LIBOR + 4.00%), Maturing November 21, 2024		200		202,906
Beaver-Visitec International, Inc.
Term Loan, 6.69%, (3 mo. USD LIBOR + 5.00%), Maturing August 21, 2023		148		148,866


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
CHG Healthcare Services, Inc.
Term Loan, 4.77%, (USD LIBOR + 3.00%), Maturing June 7, 2023⁽²⁾		443	$	448,672
Community Health Systems, Inc.
Term Loan, 4.23%, (3 mo. USD LIBOR + 2.75%), Maturing December 31, 2019		362		358,116
Concentra, Inc.
Term Loan, Maturing June 1, 2022⁽³⁾		50		50,625
Davis Vision Incorporated
Term Loan, 4.49%, (3 mo. USD LIBOR + 3.00%), Maturing November 1, 2024		325		329,875
DaVita HealthCare Partners, Inc.
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing June 24, 2021		531		538,180
DJO Finance, LLC
Term Loan, 4.88%, (USD LIBOR + 3.25%), Maturing June 8, 2020⁽²⁾		390		386,344
Envision Healthcare Corporation
Term Loan, 4.58%, (1 mo. USD LIBOR + 3.00%), Maturing December 1, 2023		1,312		1,319,155
Genoa, a QoL Healthcare Company, LLC
Term Loan, 4.82%, (1 mo. USD LIBOR + 3.25%), Maturing October 28, 2023		99		99,494
Greatbatch Ltd.
Term Loan, 4.81%, (1 mo. USD LIBOR + 3.25%), Maturing October 27, 2022		146		147,194
INC Research, LLC
Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing August 1, 2024		73		73,065
Indivior Finance S.a.r.l.
Term Loan, 6.11%, (3 mo. USD LIBOR + 4.50%), Maturing December 18, 2022		125		126,133
Kindred Healthcare, Inc.
Term Loan, 5.25%, (3 mo. USD LIBOR + 3.50%), Maturing April 9, 2021		727		731,953
Kinetic Concepts, Inc.
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.25%), Maturing February 2, 2024		498		499,106
KUEHG Corp.
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.75%), Maturing August 13, 2022		295		297,409
Term Loan - Second Lien, 9.94%, (1 week USD LIBOR + 8.25%), Maturing August 18, 2025		50		50,750
Medical Depot Holdings, Inc.
Term Loan, 7.19%, (3 mo. USD LIBOR + 5.50%), Maturing January 3, 2023		146		138,115
MMM Holdings, Inc.
Term Loan, 10.32%, (3 mo. USD LIBOR + 8.75%), Maturing June 30, 2019		84		81,484
MPH Acquisition Holdings, LLC
Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing June 7, 2023		396		399,259
MSO of Puerto Rico, Inc.
Term Loan, 10.32%, (3 mo. USD LIBOR + 8.75%), Maturing June 30, 2019		61		59,238
Navicure, Inc.
Term Loan, 5.32%, (1 mo. USD LIBOR + 3.75%), Maturing November 1, 2024		100		100,625
New Millennium HoldCo, Inc.
Term Loan, 8.07%, (1 mo. USD LIBOR + 6.50%), Maturing December 21, 2020		87		32,892
Opal Acquisition, Inc.
Term Loan, 5.69%, (3 mo. USD LIBOR + 4.00%), Maturing November 27, 2020		289		279,351
Ortho-Clinical Diagnostics S.A.
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.75%), Maturing June 30, 2021		531		535,339
Parexel International Corporation
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing September 27, 2024		399		402,242
Quintiles IMS Incorporated
Term Loan, 3.69%, (3 mo. USD LIBOR + 2.00%), Maturing March 7, 2024		573		577,292
Term Loan, 3.69%, (3 mo. USD LIBOR + 2.00%), Maturing January 17, 2025		224		226,051
Select Medical Corporation
Term Loan, 5.21%, (USD LIBOR + 3.50%), Maturing March 1, 2021⁽²⁾		248		250,681


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Surgery Center Holdings, Inc.
Term Loan, 4.83%, (1 mo. USD LIBOR + 3.25%), Maturing September 2, 2024		150	$	148,549
Tecomet, Inc.
Term Loan, 4.89%, (3 mo. USD LIBOR + 3.50%), Maturing May 1, 2024		124		126,046
U.S. Anesthesia Partners, Inc.
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing June 23, 2024		174		174,468

			$	9,872,706

Home Furnishings — 0.3%
Serta Simmons Bedding, LLC
Term Loan, 5.13%, (3 mo. USD LIBOR + 3.50%), Maturing November 8, 2023		792	$	775,240

			$	775,240

Industrial Equipment — 1.0%
Apex Tool Group, LLC
Term Loan, 4.82%, (1 mo. USD LIBOR + 3.25%), Maturing January 31, 2020		520	$	521,844
Clark Equipment Company
Term Loan, 4.19%, (3 mo. USD LIBOR + 2.50%), Maturing May 18, 2024		321		324,687
Dragon Merger Sub, LLC
Term Loan, 5.69%, (3 mo. USD LIBOR + 4.00%), Maturing July 24, 2024		125		126,168
EWT Holdings III Corp.
Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing December 20, 2024		690		698,383
Gardner Denver, Inc.
Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing July 30, 2024		200		200,775
Gates Global, LLC
Term Loan, 4.44%, (3 mo. USD LIBOR + 2.75%), Maturing April 1, 2024		371		374,605
Paladin Brands Holding, Inc.
Term Loan, 7.19%, (1 mo. USD LIBOR + 5.50%), Maturing August 15, 2022		148		150,717
Tank Holding Corp.
Term Loan, 5.93%, (USD LIBOR + 4.25%), Maturing March 16, 2022⁽²⁾		131		132,201
Wittur GmbH
Term Loan, 5.00%, (3 mo. EURIBOR + 4.00%, Floor 1.00%), Maturing March 31, 2022	EUR	175		219,521

			$	2,748,901

Insurance — 0.8%
Asurion, LLC
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing August 4, 2022		950	$	958,049
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing November 3, 2023		432		435,540
Cunningham Lindsey U.S., Inc.
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.75%), Maturing December 10, 2019		163		163,039
Hub International Limited
Term Loan, 4.41%, (3 mo. USD LIBOR + 3.00%), Maturing October 2, 2020		100		100,553
Sedgwick Claims Management Services, Inc.
Term Loan, Maturing February 26, 2021⁽³⁾		175		176,006
USI, Inc.
Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing May 16, 2024		399		401,411

			$	2,234,598

Leisure Goods/Activities/Movies — 1.2%
AMC Entertainment, Inc.
Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing December 15, 2022		391	$	392,846
Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing December 15, 2023		99		99,433
Ancestry.com Operations, Inc.
Term Loan, 4.83%, (1 mo. USD LIBOR + 3.25%), Maturing October 19, 2023		124		124,867


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Bombardier Recreational Products, Inc.
Term Loan, 4.07%, (1 mo. USD LIBOR + 2.50%), Maturing June 30, 2023		813	$	822,535
CDS U.S. Intermediate Holdings, Inc.
Term Loan, 5.44%, (3 mo. USD LIBOR + 3.75%), Maturing July 8, 2022		193		193,106
ClubCorp Club Operations, Inc.
Term Loan, 4.94%, (3 mo. USD LIBOR + 3.25%), Maturing September 18, 2024		269		271,613
Delta 2 (LUX) S.a.r.l.
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing February 1, 2024		110		110,627
Emerald Expositions Holding, Inc.
Term Loan, 4.42%, (3 mo. USD LIBOR + 2.75%), Maturing May 22, 2024		174		175,812
Lindblad Expeditions, Inc.
Term Loan, 6.34%, (6 mo. USD LIBOR + 4.50%), Maturing May 8, 2021		45		45,017
Term Loan, 6.34%, (6 mo. USD LIBOR + 4.50%), Maturing May 8, 2021		345		348,883
SRAM, LLC
Term Loan, 4.82%, (3 mo. USD LIBOR + 3.25%), Maturing March 15, 2024		269		269,917
Steinway Musical Instruments, Inc.
Term Loan, 5.52%, (3 mo. USD LIBOR + 3.75%), Maturing September 19, 2019		347		347,363

			$	3,202,019

Lodging and Casinos — 1.2%
Amaya Holdings B.V.
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing August 1, 2021		630	$	635,816
Term Loan - Second Lien, 8.69%, (3 mo. USD LIBOR + 7.00%), Maturing August 1, 2022		244		246,240
Aristocrat Leisure Limited
Term Loan, 3.74%, (3 mo. USD LIBOR + 2.00%), Maturing October 19, 2024		100		100,828
CityCenter Holdings, LLC
Term Loan, 4.07%, (1 mo. USD LIBOR + 2.50%), Maturing April 18, 2024		348		351,352
Golden Nugget, Inc.
Term Loan, 4.88%, (USD LIBOR + 3.25%), Maturing October 4, 2023⁽²⁾		124		125,983
Hanjin International Corp.
Term Loan, 4.23%, (3 mo. USD LIBOR + 2.50%), Maturing September 20, 2020		75		75,586
Hilton Worldwide Finance, LLC
Term Loan, 3.56%, (1 mo. USD LIBOR + 2.00%), Maturing October 25, 2023		842		849,455
MGM Growth Properties Operating Partnership L.P.
Term Loan, 3.82%, (1 mo. USD LIBOR + 2.25%), Maturing April 25, 2023		368		371,595
Playa Resorts Holding B.V.
Term Loan, 5.00%, (USD LIBOR + 3.25%), Maturing April 5, 2024⁽²⁾		349		351,519
VICI Properties 1, LLC
Term Loan, 3.81%, (1 mo. USD LIBOR + 2.25%), Maturing December 20, 2024		250		252,257

			$	3,360,631

Nonferrous Metals/Minerals — 0.4%
Fairmount Santrol, Inc.
Term Loan, 7.69%, (3 mo. USD LIBOR + 6.00%), Maturing November 1, 2022		275	$	279,011
Global Brass & Copper, Inc.
Term Loan, 4.88%, (1 mo. USD LIBOR + 3.25%), Maturing July 18, 2023		148		149,606
Murray Energy Corporation
Term Loan, 8.94%, (3 mo. USD LIBOR + 7.25%), Maturing April 16, 2020		354		322,577
New Day Aluminum, LLC
Term Loan, 10.00%, (4.00% Cash, 6.00% PIK), Maturing October 28, 2020⁽⁴⁾⁽⁵⁾		5		3,090
Noranda Aluminum Acquisition Corporation
Term Loan, 0.00%, Maturing February 28, 2019⁽⁴⁾⁽⁶⁾		80		8,738


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Oxbow Carbon, LLC
Term Loan, 5.32%, (1 mo. USD LIBOR + 3.75%), Maturing December 14, 2022		100	$	101,375
Term Loan - Second Lien, 9.07%, (1 mo. USD LIBOR + 7.50%), Maturing December 14, 2023		125		126,875

			$	991,272

Oil and Gas — 1.3%
Ameriforge Group, Inc.
Term Loan, 10.69%, (9.69% (3 mo. USD LIBOR + 8.00%) Cash, 1.00% PIK), Maturing June 8, 2022		78	$	83,893
BCP Raptor, LLC
Term Loan, 5.73%, (3 mo. USD LIBOR + 4.25%), Maturing June 24, 2024		124		125,593
Bronco Midstream Funding, LLC
Term Loan, 5.44%, (3 mo. USD LIBOR + 4.00%), Maturing August 15, 2020		229		233,020
CITGO Holding, Inc.
Term Loan, 10.19%, (3 mo. USD LIBOR + 8.50%), Maturing May 12, 2018		122		122,196
Crestwood Holdings, LLC
Term Loan, 9.44%, (3 mo. USD LIBOR + 8.00%), Maturing June 19, 2019		158		159,152
Fieldwood Energy, LLC
Term Loan, 4.57%, (3 mo. USD LIBOR + 2.88%), Maturing September 28, 2018		196		193,180
Green Plains Renewable Energy, Inc.
Term Loan, 7.07%, (1 mo. USD LIBOR + 5.50%), Maturing August 18, 2023		150		151,308
Medallion Midland Acquisition, LLC
Term Loan, 4.82%, (1 mo. USD LIBOR + 3.25%), Maturing October 30, 2024		100		100,938
MEG Energy Corp.
Term Loan, 5.20%, (3 mo. USD LIBOR + 3.50%), Maturing December 31, 2023		1,056		1,062,218
Paragon Offshore Finance Company
Term Loan, 0.00%, Maturing July 18, 2021⁽⁴⁾⁽⁶⁾		1		0
Term Loan, 7.73%, (3 mo. USD LIBOR + 6.00% (1.00% Cash, 6.73% PIK)), Maturing July 18, 2022		9		8,020
PSC Industrial Holdings Corp.
Term Loan, 5.81%, (1 mo. USD LIBOR + 4.25%), Maturing October 3, 2024		125		125,625
Seadrill Partners Finco, LLC
Term Loan, 4.69%, (3 mo. USD LIBOR + 3.00%), Maturing February 21, 2021		248		216,921
Sheridan Investment Partners II L.P.
Term Loan, 4.98%, (3 mo. USD LIBOR + 3.50%), Maturing December 16, 2020		27		24,012
Term Loan, 4.98%, (3 mo. USD LIBOR + 3.50%), Maturing December 16, 2020		73		64,385
Term Loan, 4.98%, (3 mo. USD LIBOR + 3.50%), Maturing December 16, 2020		526		462,845
Sheridan Production Partners I, LLC
Term Loan, 5.01%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019		17		14,577
Term Loan, 5.01%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019		28		23,866
Term Loan, 5.01%, (3 mo. USD LIBOR + 3.50%), Maturing October 1, 2019		210		180,109
Ultra Resources, Inc.
Term Loan, 4.41%, (3 mo. USD LIBOR + 3.00%), Maturing April 12, 2024		250		250,547

			$	3,602,405

Packaging & Containers — 0.0%⁽⁷⁾
Crown Holdings, Inc.
Term Loan, Maturing January 3, 2025⁽³⁾		100	$	101,295

			$	101,295

Publishing — 0.6%
Ascend Learning, LLC
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing July 12, 2024		175	$	175,599


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Getty Images, Inc.
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing October 18, 2019		535	$	508,255
Harland Clarke Holdings Corp.
Term Loan, 6.44%, (3 mo. USD LIBOR + 4.75%), Maturing November 3, 2023		198		201,017
LSC Communications, Inc.
Term Loan, 7.07%, (3 mo. USD LIBOR + 5.50%), Maturing September 30, 2022		188		188,789
Merrill Communications, LLC
Term Loan, 7.02%, (3 mo. USD LIBOR + 5.25%), Maturing June 1, 2022		109		110,741
ProQuest, LLC
Term Loan, 5.32%, (1 mo. USD LIBOR + 3.75%), Maturing October 24, 2021		318		322,104
Tweddle Group, Inc.
Term Loan, 7.77%, (3 mo. USD LIBOR + 6.00%), Maturing October 24, 2022		143		140,362

			$	1,646,867

Radio and Television — 0.8%
CBS Radio, Inc.
Term Loan, 4.17%, (3 mo. USD LIBOR + 2.75%), Maturing November 17, 2024		196	$	197,192
Cumulus Media Holdings, Inc.
Term Loan, 4.83%, (1 mo. USD LIBOR + 3.25%), Maturing December 23, 2020		696		600,978
Entravision Communications Corporation
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing November 29, 2024		175		175,763
Hubbard Radio, LLC
Term Loan, 4.83%, (1 mo. USD LIBOR + 3.25%), Maturing May 27, 2022		87		88,284
iHeartCommunications, Inc.
Term Loan, 9.19%, (3 mo. USD LIBOR + 7.50%), Maturing July 30, 2019		450		344,625
Raycom TV Broadcasting, LLC
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing August 23, 2024		175		175,108
Sinclair Television Group, Inc.
Term Loan, Maturing December 12, 2024⁽³⁾		450		454,590

			$	2,036,540

Retailers (Except Food and Drug) — 1.2%
Ascena Retail Group, Inc.
Term Loan, 6.13%, (1 mo. USD LIBOR + 4.50%), Maturing August 21, 2022		273	$	245,032
Bass Pro Group, LLC
Term Loan, 6.57%, (1 mo. USD LIBOR + 5.00%), Maturing September 25, 2024		249		250,591
BJ’s Wholesale Club, Inc.
Term Loan, 4.95%, (2 mo. USD LIBOR + 3.50%), Maturing February 3, 2024		174		174,234
CDW, LLC
Term Loan, 3.70%, (3 mo. USD LIBOR + 2.00%), Maturing August 17, 2023		357		360,217
David’s Bridal, Inc.
Term Loan, 5.70%, (3 mo. USD LIBOR + 4.00%), Maturing October 11, 2019		368		330,000
Evergreen Acqco 1 L.P.
Term Loan, 5.49%, (3 mo. USD LIBOR + 3.75%), Maturing July 9, 2019		363		349,513
Global Appliance, Inc.
Term Loan, 5.57%, (1 mo. USD LIBOR + 4.00%), Maturing September 29, 2024		150		152,707
Go Wireless, Inc.
Term Loan, 8.16%, (3 mo. USD LIBOR + 6.50%), Maturing December 20, 2024		125		125,469
J. Crew Group, Inc.
Term Loan, 4.63%, (USD LIBOR + 3.00%), Maturing March 5, 2021⁽²⁾⁽⁴⁾		529		328,906
LSF9 Atlantis Holdings, LLC
Term Loan, 7.57%, (1 mo. USD LIBOR + 6.00%), Maturing May 1, 2023		173		174,144


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Men’s Wearhouse, Inc. (The)
Term Loan, 5.09%, (USD LIBOR + 3.50%), Maturing June 18, 2021⁽²⁾		144	$	145,258
Michaels Stores, Inc.
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing January 30, 2023		205		207,132
Pier 1 Imports (U.S.), Inc.
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing April 30, 2021		97		91,675
Staples, Inc.
Term Loan, 5.49%, (3 mo. USD LIBOR + 4.00%), Maturing September 12, 2024		100		99,711
Vivid Seats Ltd.
Term Loan, 5.57%, (1 mo. USD LIBOR + 4.00%), Maturing June 30, 2024		174		174,397

			$	3,208,986

Steel — 0.2%
Atkore International, Inc.
Term Loan, Maturing December 22, 2023⁽³⁾		250	$	251,875
Neenah Foundry Company
Term Loan, 8.11%, (USD LIBOR + 6.50%), Maturing December 13, 2022⁽²⁾		125		124,375
Phoenix Services International, LLC
Term Loan, Maturing January 26, 2025⁽³⁾		125		124,375
Zekelman Industries, Inc.
Term Loan, 4.41%, (3 mo. USD LIBOR + 2.75%), Maturing June 14, 2021		151		152,521

			$	653,146

Surface Transport — 0.1%
PODS, LLC
Term Loan, 4.56%, (1 mo. USD LIBOR + 3.00%), Maturing December 6, 2024		100	$	100,872
Stena International S.a.r.l.
Term Loan, 4.70%, (3 mo. USD LIBOR + 3.00%), Maturing March 3, 2021		265		252,446

			$	353,318

Telecommunications — 1.6%
CenturyLink, Inc.
Term Loan, 4.32%, (1 mo. USD LIBOR + 2.75%), Maturing January 31, 2025		825	$	814,172
Consolidated Communications, Inc.
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing October 4, 2023		125		123,085
Digicel International Finance Limited
Term Loan, 5.02%, (3 mo. USD LIBOR + 3.25%), Maturing May 28, 2024		125		125,648
Epicor Software
Term Loan, Maturing June 1, 2022⁽³⁾		25		25,203
Frontier Communications Corp.
Term Loan, 5.33%, (1 mo. USD LIBOR + 3.75%), Maturing June 15, 2024		249		244,552
Global Eagle Entertainment, Inc.
Term Loan, 9.36%, (6 mo. USD LIBOR + 7.50%), Maturing January 6, 2023		221		224,921
Intelsat Jackson Holdings S.A.
Term Loan, 6.19%, (3 mo. USD LIBOR + 4.50%), Maturing January 14, 2024		250		253,711
IPC Corp.
Term Loan, 6.28%, (3 mo. USD LIBOR + 4.50%), Maturing August 6, 2021		340		338,673
Mitel Networks Corporation
Term Loan, 5.40%, (2 mo. USD LIBOR + 3.75%), Maturing September 25, 2023		75		75,826
Onvoy, LLC
Term Loan, 6.19%, (3 mo. USD LIBOR + 4.50%), Maturing February 10, 2024		124		111,656
Sprint Communications, Inc.
Term Loan, 4.13%, (1 mo. USD LIBOR + 2.50%), Maturing February 2, 2024		620		622,542


Borrower/Tranche Description	Principal Amount* (000’s omitted)		Value
Syniverse Holdings, Inc.
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing April 23, 2019		237	$	235,720
Term Loan, 4.57%, (1 mo. USD LIBOR + 3.00%), Maturing April 23, 2019		328		326,707
Telesat Canada
Term Loan, 4.70%, (3 mo. USD LIBOR + 3.00%), Maturing November 17, 2023		889		895,068

			$	4,417,484

Utilities — 0.8%
Calpine Construction Finance Company L.P.
Term Loan, 4.07%, (1 mo. USD LIBOR + 2.50%), Maturing January 15, 2025		169	$	170,079
Calpine Corporation
Term Loan, 4.20%, (3 mo. USD LIBOR + 2.50%), Maturing January 15, 2024		879		884,341
Granite Acquisition, Inc.
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing December 19, 2021		21		21,385
Term Loan, 5.19%, (3 mo. USD LIBOR + 3.50%), Maturing December 19, 2021		465		472,032
Invenergy Thermal Operating I, LLC
Term Loan, 7.19%, (3 mo. USD LIBOR + 5.50%), Maturing October 19, 2022		207		196,535
Lightstone Generation, LLC
Term Loan, 6.07%, (1 mo. USD LIBOR + 4.50%), Maturing January 30, 2024		17		17,540
Term Loan, 6.07%, (1 mo. USD LIBOR + 4.50%), Maturing January 30, 2024		274		276,239
Lonestar Generation, LLC
Term Loan, 6.01%, (3 mo. USD LIBOR + 4.25%), Maturing February 22, 2021		97		96,133

			$	2,134,284


Total Senior Floating-Rate Loans (identified cost $94,776,214)			$	94,433,564


Corporate Bonds & Notes — 21.6%

Security	Principal Amount* (000’s omitted)		Value
Aerospace and Defense — 0.4%
TransDigm, Inc.
6.50%, 5/15/25		1,000	$	1,030,000

			$	1,030,000

Automotive — 0.5%
American Axle & Manufacturing, Inc.
6.25%, 4/1/25⁽⁸⁾		375	$	392,813
Deck Chassis Acquisition, Inc.
10.00%, 6/15/23⁽⁸⁾		1,000		1,105,000

			$	1,497,813

Building and Development — 0.8%
Builders FirstSource, Inc.
5.625%, 9/1/24⁽⁸⁾		1,000	$	1,050,000
Five Point Operating Co., L.P./Five Point Capital Corp.
7.875%, 11/15/25⁽⁸⁾		500		511,250
Reliance Intermediate Holdings, L.P.
6.50%, 4/1/23⁽⁸⁾		675		710,437


Security	Principal Amount* (000’s omitted)		Value
VICI Properties 1, LLC/VICI FC, Inc.
8.00%, 10/15/23⁽⁹⁾		7	$	7,427

			$	2,279,114

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⁽⁸⁾		1,000		1,055,630
Prime Security Services Borrower, LLC/Prime Finance, Inc.
9.25%, 5/15/23⁽⁸⁾		41		45,459
ServiceMaster Co., LLC (The)
7.45%, 8/15/27		1,000		1,090,000

			$	3,261,489

Cable and Satellite Television — 1.5%
Cablevision Systems Corp.
8.00%, 4/15/20		1,000	$	1,076,250
CCO Holdings, LLC/CCO Holdings Capital Corp.
5.50%, 5/1/26⁽⁸⁾		1,000		1,022,500
Cequel Communications Holdings I, LLC/Cequel Capital Corp.
5.125%, 12/15/21⁽⁸⁾		1,000		1,006,870
SFR Group S.A.
6.00%, 5/15/22⁽⁸⁾		1,000		979,350

			$	4,084,970

Conglomerates — 0.2%
TMS International Corp.
7.25%, 8/15/25⁽⁸⁾		625	$	657,813

			$	657,813

Containers and Glass Products — 1.2%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
7.25%, 5/15/24⁽⁸⁾		1,010	$	1,089,234
BWAY Holding Co.
5.50%, 4/15/24⁽⁸⁾		1,000		1,038,750
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC
7.00%, 7/15/24⁽⁸⁾		985		1,049,641

			$	3,177,625

Distribution & Wholesale — 0.3%
American Tire Distributors, Inc.
10.25%, 3/1/22⁽⁸⁾		750	$	780,000

			$	780,000

Drugs — 0.5%
Catalent Pharma Solutions, Inc.
4.875%, 1/15/26⁽⁸⁾		500	$	501,250
Valeant Pharmaceuticals International, Inc.
5.875%, 5/15/23⁽⁸⁾		755		683,652
9.00%, 12/15/25⁽⁸⁾		120		123,563

			$	1,308,465


Security	Principal Amount* (000’s omitted)		Value
Ecological Services and Equipment — 0.4%
Covanta Holding Corp.
5.875%, 7/1/25		1,000	$	1,020,000

			$	1,020,000

Electric Utilities — 0.3%
NRG Yield Operating, LLC
5.00%, 9/15/26		810	$	818,100

			$	818,100

Electronics/Electrical — 0.8%
Infor (US), Inc.
6.50%, 5/15/22		1,000	$	1,036,250
Western Digital Corp.
10.50%, 4/1/24		1,000		1,171,750

			$	2,208,000

Energy — 0.0%⁽⁷⁾
Sunoco, L.P./Sunoco Finance Corp.
4.875%, 1/15/23⁽⁸⁾		75	$	76,577
5.50%, 2/15/26⁽⁸⁾		40		40,938

			$	117,515

Financial Intermediaries — 0.2%
Icahn Enterprises, L.P./Icahn Enterprises Finance Corp.
6.25%, 2/1/22⁽⁸⁾		645	$	665,963

			$	665,963

Financial Services — 0.4%
Solera, LLC/Solera Finance, Inc.
10.50%, 3/1/24⁽⁸⁾		1,000	$	1,126,250

			$	1,126,250

Food Products — 0.8%
Dean Foods Co.
6.50%, 3/15/23⁽⁸⁾		635	$	630,237
Dole Food Co., Inc.
7.25%, 6/15/25⁽⁸⁾		250		266,875
Iceland Bondco PLC
4.772%, (3 mo. GBP LIBOR + 4.25%), 7/15/20^(8)(10)	GBP	62		87,488
Post Holdings, Inc.
5.625%, 1/15/28⁽⁸⁾		120		119,742
TreeHouse Foods, Inc.
6.00%, 2/15/24⁽⁸⁾		1,000		1,041,250

			$	2,145,592

Health Care — 2.5%
HCA Healthcare, Inc.
6.25%, 2/15/21		1,000	$	1,068,750
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc.
7.50%, 10/1/24⁽⁸⁾		600		654,000
Kinetic Concepts, Inc./KCI USA, Inc.
7.875%, 2/15/21⁽⁸⁾		1,500		1,558,125
12.50%, 11/1/21⁽⁸⁾		525		601,781


Security	Principal Amount* (000’s omitted)		Value
MPH Acquisition Holdings, LLC
7.125%, 6/1/24⁽⁸⁾		1,000	$	1,076,250
Polaris Intermediate Corp.
8.50%, 12/1/22^(8)(11)		1,000		1,043,750
WellCare Health Plans, Inc.
5.25%, 4/1/25		750		785,025

			$	6,787,681

Insurance — 0.5%
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer
8.25%, 8/1/23⁽⁸⁾		1,000	$	1,057,500
Ardonagh Midco 3 PLC
8.625%, 7/15/23⁽⁸⁾		200		208,000

			$	1,265,500

Internet Software & Services — 0.4%
Riverbed Technology, Inc.
8.875%, 3/1/23⁽⁸⁾		1,010	$	970,863

			$	970,863

Leisure Goods/Activities/Movies — 0.7%
AMC Entertainment Holdings, Inc.
6.125%, 5/15/27		2,000	$	1,963,500
Viking Cruises, Ltd.
5.875%, 9/15/27⁽⁸⁾		55		55,412

			$	2,018,912

Lodging and Casinos — 1.5%
CRC Escrow Issuer, LLC/CRC Finco, Inc.
5.25%, 10/15/25⁽⁸⁾		1,000	$	995,110
Golden Nugget, Inc.
8.75%, 10/1/25⁽⁸⁾		1,000		1,070,000
Hilton Domestic Operating Co., Inc.
4.25%, 9/1/24		55		54,883
Hilton Worldwide Finance, LLC / Hilton Worldwide Finance Corp.
4.625%, 4/1/25		1,000		1,010,500
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp.
10.25%, 11/15/22⁽⁸⁾		1,000		1,115,000

			$	4,245,493

Metals/Mining — 0.4%
Teck Resources, Ltd.
8.50%, 6/1/24⁽⁸⁾		1,000	$	1,131,250

			$	1,131,250

Nonferrous Metals/Minerals — 0.9%
Eldorado Gold Corp.
6.125%, 12/15/20⁽⁸⁾		1,000	$	985,000
First Quantum Minerals, Ltd.
7.25%, 4/1/23⁽⁸⁾		1,000		1,061,250
New Gold, Inc.
6.25%, 11/15/22⁽⁸⁾		500		513,750

			$	2,560,000


Security	Principal Amount* (000’s omitted)		Value
Oil and Gas — 2.3%
Ensco PLC
7.75%, 2/1/26		100	$	99,687
Great Western Petroleum, LLC/Great Western Finance Corp.
9.00%, 9/30/21⁽⁸⁾		1,000		1,057,500
Matador Resources Co.
6.875%, 4/15/23		1,000		1,055,000
Oasis Petroleum, Inc.
6.875%, 1/15/23		1,000		1,033,750
Parsley Energy, LLC/Parsley Finance Corp.
6.25%, 6/1/24⁽⁸⁾		1,000		1,057,500
Whiting Petroleum Corp.
6.625%, 1/15/26⁽⁸⁾		1,000		1,025,000
WildHorse Resource Development Corp.
6.875%, 2/1/25		1,000		1,037,500

			$	6,365,937

Packaging & Containers — 0.1%
ARD Securities Finance S.a.r.l.
8.75%, 1/31/23^(8)(11)		200	$	207,500

			$	207,500

Publishing — 0.4%
Laureate Education, Inc.
8.25%, 5/1/25⁽⁸⁾		975	$	1,048,125

			$	1,048,125

Radio and Television — 0.2%
CBS Radio, Inc.
7.25%, 11/1/24⁽⁸⁾		400	$	422,000

			$	422,000

Retailers (Except Food and Drug) — 0.1%
Party City Holdings, Inc.
6.125%, 8/15/23⁽⁸⁾		300	$	309,375

			$	309,375

Surface Transport — 0.4%
Debt and Asset Trading Corp.
1.00%, 10/10/25⁽¹²⁾		1,060	$	763,948
Park Aerospace Holdings, Ltd.
5.50%, 2/15/24⁽⁸⁾		350		347,156

			$	1,111,104

Technology — 0.4%
Dell International, LLC/EMC Corp.
7.125%, 6/15/24⁽⁸⁾		895	$	978,107

			$	978,107

Telecommunications — 1.2%
CenturyLink, Inc.
7.50%, 4/1/24		595	$	600,950
Hughes Satellite Systems Corp.
6.625%, 8/1/26		1,000		1,060,000


Security	Principal Amount* (000’s omitted)		Value
Intelsat Jackson Holdings S.A.
7.25%, 10/15/20		500	$	440,625
Sprint Capital Corp.
6.875%, 11/15/28		225		233,156
Sprint Communications, Inc.
6.00%, 11/15/22		25		25,000
Sprint Corp.
7.875%, 9/15/23		750		794,063

			$	3,153,794

Utilities — 0.1%
AES Corp. (The)
5.50%, 4/15/25		15	$	15,675
Calpine Corp.
5.25%, 6/1/26⁽⁸⁾		75		73,875
TerraForm Power Operating, LLC
4.25%, 1/31/23⁽⁸⁾		45		44,606
5.00%, 1/31/28⁽⁸⁾		70		69,125

			$	203,281


Total Corporate Bonds & Notes (identified cost $58,484,139)			$	58,957,631


Foreign Corporate Bonds — 0.2%
Security	Principal Amount (000’s omitted)		Value
India — 0.2%
Export-Import Bank of India
3.375%, 8/5/26⁽¹²⁾	$	625	$	604,625


Total Foreign Corporate Bonds (identified cost $614,453)			$	604,625


Foreign Government Securities — 9.0%
Security	Principal Amount* (000’s omitted)		Value
Albania — 0.8%
Republic of Albania
5.75%, 11/12/20⁽¹²⁾	EUR	1,540	$	2,150,507

Total Albania			$	2,150,507

Armenia — 0.5%
Republic of Armenia
7.15%, 3/26/25⁽¹²⁾		1,050	$	1,206,870

Total Armenia			$	1,206,870


Security	Principal Amount* (000’s omitted)		Value
Bahamas — 0.7%
Commonwealth of Bahamas
5.75%, 1/16/24⁽¹²⁾		1,800	$	1,901,169

Total Bahamas			$	1,901,169

Barbados — 0.3%
Barbados Government International Bond
6.625%, 12/5/35⁽¹²⁾		855	$	644,456
7.25%, 12/15/21⁽¹²⁾		300		264,000

Total Barbados			$	908,456

Belarus — 0.2%
Republic of Belarus
6.875%, 2/28/23⁽¹²⁾		200	$	220,624
7.625%, 6/29/27⁽¹²⁾		200		233,260

Total Belarus			$	453,884

Cyprus — 0.2%
Republic of Cyprus
4.25%, 11/4/25⁽¹²⁾	EUR	450	$	653,767

Total Cyprus			$	653,767

Dominican Republic — 0.5%
Dominican Republic International Bond
8.625%, 4/20/27⁽¹²⁾		1,129	$	1,383,025

Total Dominican Republic			$	1,383,025

Ecuador — 0.1%
Republic of Ecuador
7.95%, 6/20/24⁽¹²⁾		200	$	212,250

Total Ecuador			$	212,250

Egypt — 0.2%
Egypt Government International Bond
6.125%, 1/31/22⁽¹²⁾		400	$	424,272

Total Egypt			$	424,272

El Salvador — 0.8%
Republic of El Salvador
6.375%, 1/18/27⁽¹²⁾		1,508	$	1,547,585
8.25%, 4/10/32⁽¹²⁾		182		212,485
8.625%, 2/28/29⁽¹²⁾		418		493,240

Total El Salvador			$	2,253,310

Fiji — 0.3%
Republic of Fiji
6.625%, 10/2/20⁽¹²⁾		929	$	926,198

Total Fiji			$	926,198

Georgia — 0.3%
Republic of Georgia
6.875%, 4/12/21⁽¹²⁾		700	$	768,600

Total Georgia			$	768,600


Security	Principal Amount* (000’s omitted)		Value
Honduras — 0.6%
Honduras Government International Bond
6.25%, 1/19/27⁽¹²⁾		150	$	161,817
8.75%, 12/16/20⁽¹²⁾		1,202		1,359,102

Total Honduras			$	1,520,919

Macedonia — 0.8%
Republic of Macedonia
2.75%, 1/18/25⁽¹²⁾	EUR	100	$	125,630
3.975%, 7/24/21⁽¹²⁾	EUR	1,164		1,569,889
4.875%, 12/1/20⁽¹²⁾	EUR	425		585,173

Total Macedonia			$	2,280,692

Poland — 0.1%
Republic of Poland
4.00%, 1/22/24		350	$	367,927

Total Poland			$	367,927

Rwanda — 0.6%
Republic of Rwanda
6.625%, 5/2/23⁽¹²⁾		1,550	$	1,632,824

Total Rwanda			$	1,632,824

Serbia — 0.4%
Republic of Serbia
4.875%, 2/25/20⁽¹²⁾		1,150	$	1,188,517

Total Serbia			$	1,188,517

Seychelles — 0.4%
Republic of Seychelles
8.00%, 1/1/26⁽¹²⁾		1,112	$	1,171,143

Total Seychelles			$	1,171,143

Sri Lanka — 0.7%
Republic of Sri Lanka
6.125%, 6/3/25⁽¹²⁾		800	$	844,135
6.85%, 11/3/25⁽¹²⁾		1,000		1,096,267

Total Sri Lanka			$	1,940,402

Suriname — 0.3%
Republic of Suriname
9.25%, 10/26/26⁽¹²⁾		718	$	761,080

Total Suriname			$	761,080

Ukraine — 0.2%
Ukraine Government International Bond
7.75%, 9/1/20⁽¹²⁾		360	$	388,350

Total Ukraine			$	388,350


Total Foreign Government Securities (identified cost $23,070,235)			$	24,494,162


Sovereign Loans — 1.0%
Borrower	Principal Amount (000’s omitted)		Value
Barbados — 0.3%
Government of Barbados
Term Loan, 11.78%, (6 mo. USD LIBOR + 10.00%), Maturing December 20, 2019^(10)(13)	$	800	$	795,342

Total Barbados			$	795,342

Kenya — 0.0%⁽⁷⁾
Government of Kenya
Term Loan, 6.53%, (6 mo. USD LIBOR + 5.00%), Maturing April 18, 2019⁽¹⁰⁾	$	100	$	100,000

Total Kenya			$	100,000

Tanzania — 0.7%
Government of the United Republic of Tanzania
Term Loan, 7.03%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022⁽¹⁰⁾	$	1,900	$	1,936,737

Total Tanzania			$	1,936,737


Total Sovereign Loans (identified cost $2,791,766)			$	2,832,079

Mortgage Pass-Throughs — 11.3%


Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
2.856%, (COF + 1.25%), with maturity at 2035⁽¹⁴⁾	$	1,665	$	1,717,133
6.00%, with various maturities to 2029		1,395		1,541,600
6.15%, with maturity at 2027		415		457,995
6.50%, with maturity at 2032		1,255		1,402,615
7.00%, with various maturities to 2036		2,317		2,635,839
7.50%, with maturity at 2024		645		699,656
8.00%, with maturity at 2034		973		1,114,351
8.50%, with maturity at 2031		754		861,001
9.00%, with maturity at 2031		102		116,697
9.50%, with maturity at 2022		15		15,838

			$	10,562,725

Federal National Mortgage Association:
3.043%, (6 mo. USD LIBOR + 1.54%), with maturity at 2037⁽¹⁴⁾	$	496	$	510,472
5.00%, with various maturities to 2040		2,170		2,337,474
5.50%, with various maturities to 2033		1,542		1,691,493
6.00%, with maturity at 2023		825		882,662
6.32%, (COF + 2.00%, Floor 6.32%), with maturity at 2032⁽¹⁴⁾		640		692,074
6.50%, with various maturities to 2036		3,095		3,442,988
7.00%, with various maturities to 2037		1,526		1,716,794
7.50%, with maturity at 2035		2,387		2,700,284
8.00%, with various maturities to 2034		551		620,635
10.00%, with various maturities to 2031		65		70,828

			$	14,665,704

Government National Mortgage Association:
4.50%, with maturity at 2047	$	2,970	$	3,117,811
7.50%, with maturity at 2025		956		1,042,858


Security	Principal Amount (000’s omitted)		Value
8.00%, with maturity at 2034	$	1,332	$	1,525,711
9.50%, with maturity at 2025		46		49,801

			$	5,736,181


Total Mortgage Pass-Throughs (identified cost $30,336,932)			$	30,964,610


Collateralized Mortgage Obligations — 24.8%
Security	Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 2113, Class QG, 6.00%, 1/15/29	$	655	$	716,929
Series 2167, Class BZ, 7.00%, 6/15/29		533		592,988
Series 2182, Class ZB, 8.00%, 9/15/29		957		1,097,828
Series 2631, (Interest Only), Class DS, 5.541%, (7.10% - 1 mo. USD LIBOR), 6/15/33^(15)(16)		1,189		175,686
Series 2770, (Interest Only), Class SH, 5.541%, (7.10% - 1 mo. USD LIBOR), 3/15/34^(15)(16)		1,566		281,655
Series 2981, (Interest Only), Class CS, 5.161%, (6.72% - 1 mo. USD LIBOR), 5/15/35^(15)(16)		921		129,014
Series 3114, (Interest Only), Class TS, 5.091%, (6.65% - 1 mo. USD LIBOR), 9/15/30^(15)(16)		2,324		276,697
Series 3309, (Principal Only), Class DO, 0.00%, 4/15/37⁽¹⁷⁾		1,376		1,191,642
Series 3339, (Interest Only), Class JI, 5.031%, (6.59% - 1 mo. USD LIBOR), 7/15/37^(15)(16)		2,604		421,485
Series 4109, (Interest Only), Class ES, 4.591%, (6.15% - 1 mo. USD LIBOR), 12/15/41^(15)(16)		35		5,723
Series 4121, (Interest Only), Class IM, 4.00%, 10/15/39⁽¹⁶⁾		3,549		360,080
Series 4163, (Interest Only), Class GS, 4.641%, (6.20% - 1 mo. USD LIBOR), 11/15/32^(15)(16)		4,344		749,061
Series 4169, (Interest Only), Class AS, 4.691%, (6.25% - 1 mo. USD LIBOR), 2/15/33^(15)(16)		2,486		360,483
Series 4180, (Interest Only), Class GI, 3.50%, 8/15/26⁽¹⁶⁾		2,184		182,818
Series 4203, (Interest Only), Class QS, 4.691%, (6.25% - 1 mo. USD LIBOR), 5/15/43^(15)(16)		2,670		368,299
Series 4212, (Interest Only), Class SA, 4.641%, (6.20% - 1 mo. USD LIBOR), 7/15/38^(15)(16)		4,144		389,228
Series 4273, Class PU, 4.00%, 11/15/43		420		423,089
Series 4332, (Interest Only), Class KI, 4.00%, 9/15/43⁽¹⁶⁾		1,196		199,072
Series 4337, Class YT, 3.50%, 4/15/49		2,072		2,060,819
Series 4370, (Interest Only), Class IO, 3.50%, 9/15/41⁽¹⁶⁾		1,632		238,992
Series 4416, Class SU, 5.465%, (8.60% - 1 mo. USD LIBOR x 2.00), 12/15/44⁽¹⁵⁾		1,282		1,114,257
Series 4452, Class ZJ, 3.00%, 11/15/44		1,070		957,229
Series 4478, (Principal Only), Class PO, 0.00%, 5/15/45⁽¹⁷⁾		886		738,000
Series 4497, (Interest Only), Class CS, 4.641%, (6.20% - 1 mo. USD LIBOR), 9/15/44^(15)(16)		3,770		732,746
Series 4507, (Interest Only), Class EI, 4.00%, 8/15/44⁽¹⁶⁾		3,880		709,529
Series 4535, (Interest Only), Class JS, 4.541%, (6.10% - 1 mo. USD LIBOR), 11/15/43^(15)(16)		4,556		661,822
Series 4548, (Interest Only), Class JS, 4.541%, (6.10% - 1 mo. USD LIBOR), 9/15/43^(15)(16)		4,706		723,210


Security	Principal Amount (000’s omitted)		Value
Series 4584, Class PM, 3.00%, 5/15/46	$	1,428	$	1,435,586
Series 4608, Class TV, 3.50%, 1/15/55		2,140		2,120,909
Series 4629, (Interest Only), Class QI, 3.50%, 11/15/46⁽¹⁶⁾		3,955		677,513
Series 4630, Class CZ, 3.00%, 12/15/43		1,093		1,052,197
Series 4644, (Interest Only), Class TI, 3.50%, 1/15/45⁽¹⁶⁾		3,207		553,605
Series 4653, (Interest Only), Class PI, 3.50%, 7/15/44⁽¹⁶⁾		3,539		534,962
Series 4667, (Interest Only), Class PI, 3.50%, 5/15/42⁽¹⁶⁾		4,762		741,077
Series 4676, (Interest Only), Class DI, 4.00%, 7/15/44⁽¹⁶⁾		5,759		952,378
Series 4677, Class SB, 9.729%, (16.00% - 1 mo. USD LIBOR x 4.00), 4/15/47⁽¹⁵⁾		913		896,235
Series 4695, Class CA, 3.00%, 10/15/41		1,304		1,233,194
Series 4744, (Interest Only), Class IO, 4.00%, 11/15/47⁽¹⁶⁾		2,991		641,371
Series 4746, Class CZ, 4.00%, 11/15/47		1,473		1,451,309
Series 4749, (Interest Only), Class IL, 4.00%, 12/15/47⁽¹⁶⁾		2,487		570,570
Series 4751, Class ZC, 4.00%, 11/15/47		985		974,661

			$	29,693,948

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes:
Series 2017-DNA2, Class M2, 5.011%, (1 mo. USD LIBOR + 3.45%), 10/25/29⁽¹⁰⁾	$	2,000	$	2,188,199

			$	2,188,199

Federal National Mortgage Association:
Series G-33, Class PT, 7.00%, 10/25/21	$	58	$	60,203
Series 1989-89, Class H, 9.00%, 11/25/19		7		6,819
Series 1991-122, Class N, 7.50%, 9/25/21		54		56,520
Series 1994-42, Class K, 6.50%, 4/25/24		231		248,398
Series 1997-38, Class N, 8.00%, 5/20/27		304		345,812
Series 2004-46, (Interest Only), Class SI, 4.439%, (6.00% - 1 mo. USD LIBOR), 5/25/34^(15)(16)		1,552		187,122
Series 2005-17, (Interest Only), Class SA, 5.139%, (6.70% - 1 mo. USD LIBOR), 3/25/35^(15)(16)		1,286		234,166
Series 2006-8, (Principal Only), Class WQ, 0.00%, 3/25/36⁽¹⁷⁾		1,110		957,255
Series 2006-42, (Interest Only), Class PI, 5.029%, (6.59% - 1 mo. USD LIBOR), 6/25/36^(15)(16)		2,121		343,973
Series 2006-44, (Interest Only), Class IS, 5.039%, (6.60% - 1 mo. USD LIBOR), 6/25/36^(15)(16)		1,693		274,630
Series 2007-50, (Interest Only), Class LS, 4.889%, (6.45% - 1 mo. USD LIBOR), 6/25/37^(15)(16)		1,278		207,193
Series 2007-74, Class AC, 5.00%, 8/25/37		1,560		1,657,645
Series 2008-26, (Interest Only), Class SA, 4.639%, (6.20% - 1 mo. USD LIBOR), 4/25/38^(15)(16)		1,993		295,091
Series 2008-61, (Interest Only), Class S, 4.539%, (6.10% - 1 mo. USD LIBOR), 7/25/38^(15)(16)		2,897		439,969
Series 2010-99, (Interest Only), Class NS, 5.039%, (6.60% - 1 mo. USD LIBOR), 3/25/39^(15)(16)		1,194		62,005
Series 2010-109, (Interest Only), Class PS, 5.039%, (6.60% - 1 mo. USD LIBOR), 10/25/40^(15)(16)		3,186		518,046
Series 2010-124, (Interest Only), Class SJ, 4.489%, (6.05% - 1 mo. USD LIBOR), 11/25/38^(15)(16)		1,659		119,845
Series 2010-147, (Interest Only), Class KS, 4.389%, (5.95% - 1 mo. USD LIBOR), 1/25/41^(15)(16)		4,262		503,515
Series 2010-150, (Interest Only), Class GS, 5.189%, (6.75% - 1 mo. USD LIBOR), 1/25/21^(15)(16)		1,502		76,824


Security	Principal Amount (000’s omitted)		Value
Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41⁽¹⁵⁾	$	474	$	512,517
Series 2012-52, (Interest Only), Class AI, 3.50%, 8/25/26⁽¹⁶⁾		3,120		208,735
Series 2012-56, (Interest Only), Class SU, 5.189%, (6.75% - 1 mo. USD LIBOR), 8/25/26^(15)(16)		681		32,622
Series 2012-63, (Interest Only), Class EI, 3.50%, 8/25/40⁽¹⁶⁾		3,391		363,495
Series 2012-103, (Interest Only), Class GS, 4.539%, (6.10% - 1 mo. USD LIBOR), 2/25/40^(15)(16)		3,568		303,313
Series 2012-112, (Interest Only), Class SB, 4.589%, (6.15% - 1 mo. USD LIBOR), 9/25/40^(15)(16)		4,591		653,352
Series 2012-118, (Interest Only), Class IN, 3.50%, 11/25/42⁽¹⁶⁾		4,532		890,444
Series 2012-134, Class ZT, 2.00%, 12/25/42		1,497		1,232,890
Series 2012-150, (Interest Only), Class PS, 4.589%, (6.15% - 1 mo. USD LIBOR), 1/25/43^(15)(16)		5,292		787,914
Series 2012-150, (Interest Only), Class SK, 4.589%, (6.15% - 1 mo. USD LIBOR), 1/25/43^(15)(16)		2,957		425,360
Series 2013-6, Class TA, 1.50%, 1/25/43		1,528		1,474,076
Series 2013-23, (Interest Only), Class CS, 4.689%, (6.25% - 1 mo. USD LIBOR), 3/25/33^(15)(16)		2,492		370,485
Series 2013-52, Class MD, 1.25%, 6/25/43		1,621		1,502,953
Series 2013-54, (Interest Only), Class HS, 4.739%, (6.30% - 1 mo. USD LIBOR), 10/25/41^(15)(16)		2,098		210,352
Series 2013-99, Class CF, 2.561%, (1 mo. USD LIBOR + 1.00%), 7/25/43		437		360,884
Series 2014-32, (Interest Only), Class EI, 4.00%, 6/25/44⁽¹⁶⁾		1,008		208,003
Series 2014-55, (Interest Only), Class IN, 3.50%, 7/25/44⁽¹⁶⁾		2,950		476,039
Series 2014-80, (Interest Only), Class BI, 3.00%, 12/25/44⁽¹⁶⁾		4,981		764,831
Series 2014-89, (Interest Only), Class IO, 3.50%, 1/25/45⁽¹⁶⁾		2,322		434,252
Series 2015-14, (Interest Only), Class KI, 3.00%, 3/25/45⁽¹⁶⁾		5,293		803,082
Series 2015-17, (Interest Only), Class SA, 4.639%, (6.20% - 1 mo. USD LIBOR), 11/25/43^(15)(16)		3,902		590,623
Series 2015-52, (Interest Only), Class MI, 3.50%, 7/25/45⁽¹⁶⁾		2,767		466,882
Series 2015-57, (Interest Only), Class IO, 3.00%, 8/25/45⁽¹⁶⁾		13,085		1,967,530
Series 2015-74, Class SL, 1.432%, (2.349% - 1 mo. USD LIBOR x 0.587), 10/25/45⁽¹⁵⁾		867		518,868
Series 2015-89, Class ZB, 3.00%, 5/25/54		375		374,974
Series 2015-93, (Interest Only), Class BS, 4.589%, (6.15% - 1 mo. USD LIBOR), 8/25/45^(15)(16)		4,209		813,219
Series 2015-95, (Interest Only), Class SB, 4.439%, (6.00% - 1 mo. USD LIBOR), 1/25/46^(15)(16)		3,633		596,841
Series 2017-15, Class LE, 3.00%, 6/25/46		1,873		1,864,879
Series 2017-46, (Interest Only), Class NI, 3.00%, 8/25/42⁽¹⁶⁾		3,315		476,734
Series 2017-66, Class ZJ, 3.00%, 9/25/57		1,226		1,113,098
Series 2017-96, Class Z, 3.00%, 12/25/57		1,868		1,765,972
Series 2017-110, Class Z, 3.00%, 2/25/57		1,477		1,388,760

			$	30,549,010

Federal National Mortgage Association Connecticut Avenue Securities:
Series 2017-C01, Class 1B1, 7.311%, (1 mo. USD LIBOR + 5.75%), 7/25/29⁽¹⁰⁾	$	730	$	866,086
Series 2017-C03, Class 1B1, 6.411%, (1 mo. USD LIBOR + 4.85%), 10/25/29⁽¹⁰⁾		500		564,661
Series 2017-C03, Class 1M2, 4.561%, (1 mo. USD LIBOR + 3.00%), 10/25/29⁽¹⁰⁾		2,000		2,121,377

			$	3,552,124

Government National Mortgage Association:
Series 2011-156, Class GA, 2.00%, 12/16/41	$	396	$	335,279
Series 2013-131, Class GS, 1.932%, (3.50% - 1 mo. USD LIBOR), 6/20/43⁽¹⁵⁾		989		692,517


Security	Principal Amount (000’s omitted)		Value
Series 2017-82, Class TZ, 2.50%, 2/16/43	$	257	$	243,157
Series 2017-121, (Interest Only), Class DS, 2.939%, (4.50% - 1 mo. USD LIBOR), 8/20/47^(15)(16)		6,152		414,631

			$	1,685,584


Total Collateralized Mortgage Obligations (identified cost $70,794,316)			$	67,668,865


Commercial Mortgage-Backed Securities — 6.7%
Security	Principal Amount (000’s omitted)		Value
Citigroup Commercial Mortgage Trust
Series 2015-P1, Class D, 3.225%, 9/15/48⁽⁸⁾	$	4,000	$	3,318,009
JPMBB Commercial Mortgage Securities Trust
Series 2014-C19, Class D, 4.661%, 4/15/47^(8)(18)		1,425		1,277,106
Series 2014-C22, Class D, 4.559%, 9/15/47^(8)(18)		1,850		1,598,929
Series 2014-C23, Class D, 3.958%, 9/15/47^(8)(18)		850		732,653
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2011-C5, Class D, 5.408%, 8/15/46^(8)(18)		1,850		1,823,314
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2015-C23, Class D, 4.134%, 7/15/50^(8)(18)		1,500		1,323,425
UBS Commercial Mortgage Trust
Series 2012-C1, Class D, 5.544%, 5/10/45^(8)(18)		2,000		1,994,761
UBS-Citigroup Commercial Mortgage Trust
Series 2011-C1, Class D, 6.051%, 1/10/45^(8)(18)		2,000		2,134,011
Wells Fargo Commercial Mortgage Trust
Series 2013-LC12, Class D, 4.291%, 7/15/46^(8)(18)		2,000		1,681,079
Series 2015-SG1, Class C, 4.469%, 9/15/48⁽¹⁸⁾		1,399		1,351,039
WF-RBS Commercial Mortgage Trust
Series 2014-LC14, Class D, 4.586%, 3/15/47^(8)(18)		1,150		980,006


Total Commercial Mortgage-Backed Securities (identified cost $18,439,000)			$	18,214,332


Asset-Backed Securities — 13.1%
Security	Principal Amount (000’s omitted)		Value
Barings CLO, Ltd.
Series 2017-1A, Class E, 7.734%, (3 mo. USD LIBOR + 6.00%), 7/18/29^(8)(10)	$	2,000	$	2,028,432
Cole Park CLO, Ltd.
Series 2015-1A, Class E, 7.845%, (3 mo. USD LIBOR + 6.10%), 10/20/28^(8)(10)		3,000		3,032,892
Colony American Homes
Series 2014-1A, Class C, 3.41%, (1 mo. USD LIBOR + 1.85%), 5/17/31^(8)(10)		760		763,005
Dryden XL Senior Loan Fund
Series 2015-40A, Class E, 7.366%, (3 mo. USD LIBOR + 5.95%), 8/15/28^(8)(10)		1,150		1,151,070
Ford Credit Auto Owner Trust
Series 2014-1, Class B, 2.41%, 11/15/25⁽⁸⁾		100		99,976


Security	Principal Amount (000’s omitted)		Value
Golub Capital Partners CLO, Ltd.
Series 2015-22A, Class ER, 7.501%, (3 mo. USD LIBOR + 6.00%), 1/20/31^(8)(10)	$	2,000	$	2,008,250
Series 2015-23A, Class ER, 7.176%, (3 mo. USD LIBOR + 5.75%), 1/20/31^(8)(10)		2,000		2,013,343
Highbridge Loan Management, Ltd.
Series 5A-2015, Class E, 7.11%, (3 mo. USD LIBOR + 5.35%), 1/29/26^(8)(10)		1,963		1,968,336
Series 7A-2015, Class E, 7.166%, (3 mo. USD LIBOR + 5.75%), 11/15/26^(8)(10)		1,250		1,250,243
Invitation Homes Trust
Series 2018-SFR1, Class C, (1 mo. USD LIBOR + 1.25%), 3/17/37^(8)(10)(19)		190		190,000
Madison Park Funding XXV, Ltd.
Series 2017-25A, Class D, 7.845%, (3 mo. USD LIBOR + 6.10%), 4/25/29^(8)(10)		3,000		3,061,432
Neuberger Berman CLO XIV, Ltd.
Series 2013-14A, Class DR, 5.41%, (3 mo. USD LIBOR + 3.65%), 1/28/30^(8)(10)		2,563		2,611,692
Neuberger Berman CLO XVIII, Ltd.
Series 2014-18A, Class DR, 9.163%, (3 mo. USD LIBOR + 7.75%), 11/14/27^(8)(10)		3,000		3,119,755
Oak Hill Credit Partners VII, Ltd.
Series 2012-7A, Class ER, 8.936%, (3 mo. USD LIBOR + 7.50%), 11/20/27^(8)(10)		4,000		4,114,169
Palmer Square CLO, Ltd.
Series 2013-2A, Class DR, 7.831%, (3 mo. USD LIBOR + 6.10%), 10/17/27^(8)(10)		2,000		2,012,743
Series 2015-1A, Class DR, 7.641%, (3 mo. USD LIBOR + 6.20%), 5/21/29^(8)(10)		2,000		2,031,256
Sierra Receivables Funding Co., LLC
Series 2014-1A, Class B, 2.42%, 3/20/30⁽⁸⁾		80		79,754
Series 2015-1A, Class B, 3.05%, 3/22/32⁽⁸⁾		109		108,484
Voya CLO, Ltd.
Series 2015-3A, Class D2, 7.195%, (3 mo. USD LIBOR + 5.45%), 10/20/27^(8)(10)		3,000		3,018,280
Wind River CLO, Ltd.
Series 2017-1A, Class E, 8.154%, (3 mo. USD LIBOR + 6.42%), 4/18/29^(8)(10)		1,050		1,075,851


Total Asset-Backed Securities (identified cost $34,309,650)			$	35,738,963


U.S. Government Agency Obligations — 0.5%
Security	Principal Amount (000’s omitted)		Value
Federal Farm Credit Bank
3.25%, 7/1/30	$	1,500	$	1,501,306


Total U.S. Government Agency Obligations (identified cost $1,472,966)			$	1,501,306


Common Stocks — 0.7%

Security	Shares		Value
Automotive — 0.1%
Dayco Products, LLC^(20)(21)		8,898	$	280,287

			$	280,287


Security	Shares		Value
Business Equipment and Services — 0.1%⁽⁷⁾
Education Management Corp.^(4)(20)(21)		955,755	$	0
RCS Capital Corp.^(20)(21)		2,777		123,576

			$	123,576

Electronics/Electrical — 0.0%⁽⁷⁾
Answers Corp.^(20)(21)		5,814	$	87,210

			$	87,210

Health Care — 0.0%⁽⁷⁾
New Millennium Holdco, Inc.^(20)(21)		8,641	$	2,268

			$	2,268

Lodging and Casinos — 0.0%⁽⁷⁾
Caesars Entertainment Corp.^(20)(21)		2,693	$	37,567

			$	37,567

Oil and Gas — 0.1%
AFG Holdings, Inc.^(20)(21)		6,123	$	251,043
Paragon Offshore Finance Company, Class A^(20)(21)		270		324
Paragon Offshore Finance Company, Class B^(20)(21)		135		4,624
Paragon Offshore, Ltd.^(20)(21)		270		5,400
Samson Resources II, LLC, Class A^(20)(21)		4,171		91,762

			$	353,153

Publishing — 0.4%
ION Media Networks, Inc.^(4)(20)(21)		1,357	$	953,700
MediaNews Group, Inc.^(20)(21)		3,023		48,368

			$	1,002,068


Total Common Stocks (identified cost $637,751)			$	1,886,129


Convertible Preferred Stocks— 0.0%

Security	Shares		Value
Business Equipment and Services — 0.0%
Education Management Corp., Series A-1^(4)(20)(21)		1,063	$	0


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


Short-Term Investments — 5.1%

Foreign Government Securities — 0.1%
Security	Principal Amount (000’s omitted)		Value
Greece — 0.1%
Hellenic Republic Treasury Bill, 0.00%, 2/2/18	EUR	170	$	211,064

Total Greece			$	211,064


Total Foreign Government Securities (identified cost $201,559)			$	211,064

U.S. Treasury Obligations — 1.1%



Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 3/1/18⁽⁹⁾	$	3,000	$	2,996,771


Total U.S. Treasury Obligations (identified cost $2,996,990)			$	2,996,771


Other — 3.9%

Description	Units		Value
Eaton Vance Cash Reserves Fund, LLC, 1.65%⁽²²⁾		10,717,271	$	10,718,343


Total Other (identified cost $10,717,338)			$	10,718,343


Total Short-Term Investments (identified cost $13,915,887)			$	13,926,178


Total Investments — 128.6% (identified cost $349,718,332)			$	351,222,444


Other Assets, Less Liabilities — (28.6)%			$	(78,011,963	)


Net Assets — 100.0%			$	273,210,481

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. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. 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”). Base lending rates may be subject to a floor, or minimum rate.

(2)

The stated interest rate represents the weighted average interest rate at January 31, 2018 of contracts within the senior loan facility. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period.

(3)	This Senior Loan will settle after January 31, 2018, at which time the interest rate will be determined.

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

(5)	Fixed-rate loan.

(6)	Issuer is in default with respect to interest and/or principal payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

(7)	Amount is less than 0.05%.

(8)

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 January 31, 2018, the aggregate value of these securities is $91,197,698 or 33.4% of the Fund’s net assets.

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

(10)	Variable rate security. The stated interest rate represents the rate in effect at January 31, 2018.

(11)	Represents a payment-in-kind security which may pay interest in additional principal at the issuer’s discretion.

(12)

Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At January 31, 2018, the aggregate value of these securities is $25,494,808 or 9.3% of the Fund’s net assets.

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

(14)

Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at January 31, 2018.

(15)	Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at January 31, 2018.

(16)	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.

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

(18)	Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at January 31, 2018.

(19)	When-issued security. For a variable rate security, interest rate will be determined after January 31, 2018.

(20)	Non-income producing security.

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

(22)

Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of January 31, 2018. Net income from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2018 was $57,388.

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	845,318	USD	1,046,504	Goldman Sachs International		2/1/18	$	3,001	$	—
EUR	1,684,922	USD	2,091,241	Goldman Sachs International		2/1/18		673		—
EUR	98,442	USD	122,181	Goldman Sachs International		2/1/18		39		—
EUR	938,046	USD	1,165,241	Goldman Sachs International		2/1/18		—		(610	)
USD	1,049,167	EUR	845,318	Goldman Sachs International		2/1/18		—		(338	)
USD	1,164,256	EUR	938,046	Goldman Sachs International		2/1/18		—		(375	)
USD	120,564	EUR	98,442	Goldman Sachs International		2/1/18		—		(1,657	)
USD	1,992,421	EUR	1,684,922	Goldman Sachs International		2/1/18		—		(99,494	)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	203,201		EUR	170,000	Goldman Sachs International		2/2/18	$	—	$	(7,862	)
USD	585,892		EUR	490,110	JPMorgan Chase Bank, N.A.		3/15/18		—		(24,238	)
USD	988,949		EUR	826,110	Goldman Sachs International		3/29/18		—		(40,482	)
USD	87,383		GBP	61,690	State Street Bank and Trust Company		4/30/18		—		(508	)
USD	2,175,306		EUR	1,753,289	Deutsche Bank AG		6/28/18		—		(23,521	)
USD	1,178,036		EUR	938,046	Goldman Sachs International		7/12/18		429		—
USD	1,058,085		EUR	845,318	Goldman Sachs International		7/12/18		—		(3,113	)

								$	4,142	$	(202,198	)

Futures Contracts


Description	Number of Contracts		Position		Expiration Month/Year	Notional Amount			Value/Net Unrealized Appreciation
Interest Rate Futures
U.S. 5-Year Deliverable Interest Rate Swap		22		Short	Mar-18	$	(2,132,969	)	$	37,344
U.S. 10-Year Deliverable Interest Rate Swap		66		Short	Mar-18		(6,282,375	)		194,441

									$	231,785

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

LCH.Clearnet

EUR

2,339

Receives

6-month Euro Interbank Offered Rate
(pays semi-annually)

0.25%
(pays annually)⁽¹⁾

9/20/22

10,040

LCH.Clearnet

EUR

120

Receives

6-month Euro Interbank Offered Rate
(pays semi-annually)

1.00%
(pays annually)⁽¹⁾

3/21/23

550

LCH.Clearnet

EUR

370

Receives

6-month Euro Interbank Offered Rate
(pays semi-annually)

1.00%
(pays annually)⁽¹⁾

9/20/27

1,641

LCH.Clearnet

USD

1,200

Receives

3-month USD-LIBOR-BBA
(pays quarterly)

1.50%
(pays semi-annually)⁽¹⁾

3/20/20

10,993

LCH.Clearnet

USD

335

Receives

3-month USD-LIBOR-BBA
(pays quarterly)

1.93%
(pays semi-annually)

11/3/20

4,158

LCH.Clearnet

USD

645

Receives

3-month USD-LIBOR-BBA
(pays quarterly)

1.87%
(pays semi-annually)

9/18/22

16,773

LCH.Clearnet

USD

325

Receives

3-month USD-LIBOR-BBA
(pays quarterly)

2.09%
(pays semi-annually)

11/7/22

6,791

LCH.Clearnet

USD

320

Receives

3-month USD-LIBOR-BBA
(pays quarterly)

2.11%
(pays semi-annually)

9/5/27

14,764

LCH.Clearnet

USD

1,371

Receives

3-month USD-LIBOR-BBA
(pays quarterly)

2.18%
(pays semi-annually)

9/19/27

56,451

LCH.Clearnet

USD

140

Receives

3-month USD-LIBOR-BBA
(pays quarterly)

2.68%
(pays semi-annually)

1/30/28

801

LCH.Clearnet

USD

Receives

3-month USD-LIBOR-BBA
(pays quarterly)

2.72%
(pays semi-annually)

1/31/28

104

LCH.Clearnet

USD

197

Receives

3-month USD-LIBOR-BBA
(pays quarterly)

2.74%
(pays semi-annually)

2/1/28

136

123,202

(1)	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% (pays quarterly)⁽¹⁾		12/20/22		0.82	%	$	49,839	$	12,633	$	62,472

Total		$	5,200							$	49,839	$	12,633	$	62,472

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	Citibank, N.A.	$	8,000	1.00% (pays quarterly)⁽¹⁾		12/20/22		1.42	%	$	(143,348	)	$	367,376		$	224,028
Colombia	Goldman Sachs International		5,000	1.00% (pays quarterly)⁽¹⁾		12/20/22		0.89			30,222			69,983			100,205
Croatia	Nomura International PLC		5,000	1.00% (pays quarterly)⁽¹⁾		12/20/21		0.63			74,947			178,681			253,628
Cyprus	Goldman Sachs International		5,000	1.00% (pays quarterly)⁽¹⁾		12/20/21		0.79			45,452			210,614			256,066
Dubai	Bank of America, N.A.		2,000	1.00% (pays quarterly)⁽¹⁾		12/20/22		1.12			(8,399	)		31,183			22,784
Hungary	Barclays Bank PLC		2,200	1.00% (pays quarterly)⁽¹⁾		12/20/21		0.58			37,027			8,017			45,044
Kazakhstan	Barclays Bank PLC		2,500	1.00% (pays quarterly)⁽¹⁾		12/20/22		0.94			9,824			37,223			47,047
Mexico	BNP Paribas		5,000	1.00% (pays quarterly)⁽¹⁾		12/20/22		0.97			13,367			29,526			42,893
Peru	BNP Paribas		5,000	1.00% (pays quarterly)⁽¹⁾		12/20/22		0.66			83,042			(60,926	)		22,116
Romania	Barclays Bank PLC		2,200	1.00% (pays quarterly)⁽¹⁾		12/20/21		0.63			32,779			(4,028	)		28,751
Russia	Citibank, N.A.		5,000	1.00% (pays quarterly)⁽¹⁾		12/20/22		1.06			(8,768	)		114,349			105,581
Russia	Goldman Sachs International		4,000	1.00% (pays quarterly)⁽¹⁾		12/20/22		1.06			(7,014	)		85,489			78,475
Saudi Arabia	JPMorgan Chase Bank, N.A.		2,000	1.00% (pays quarterly)⁽¹⁾		12/20/22		0.77			23,499			(3,651	)		19,848
Turkey	BNP Paribas		9,500	1.00% (pays quarterly)⁽¹⁾		12/20/22		1.64			(260,761	)		327,700			66,939

Total		$	62,400							$	(78,131	)	$	1,391,536		$	1,313,405

If the Fund is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Fund could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At January 31, 2018, such maximum potential amount for all open credit default swaps in which the Fund is the seller was $67,600,000.

**	The contract annual fixed rate represents the fixed rate of interest received by the Fund (as a seller 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:



COF	-	Cost of Funds 11th District

EURIBOR	-	Euro Interbank Offered Rate

LIBOR	-	London Interbank Offered Rate

PIK	-	Payment In Kind

Currency Abbreviations:



EUR	-	Euro

GBP	-	British Pound Sterling

USD	-	United States Dollar

At January 31, 2018, 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 enhance total return and/or as a substitute for the purchase of securities.

Foreign Exchange Risk: The Fund holds foreign currency denominated investments. The value of these investments and related receivables and payables may change due to future changes in foreign currency exchange rates. To hedge against this risk, the Fund enters into forward foreign currency exchange contracts.

Interest Rate Risk: The Fund utilizes various interest rate derivatives including futures contracts and interest rate swaps to manage the duration of its portfolio and to hedge against fluctuations in securities prices due to interest rates.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at January 31, 2018 was as follows:


		Fair Value
Risk	Derivative	Asset Derivative		Liability Derivative
Credit	Credit Default Swaps	$	350,159	$	(428,290	)
Credit	Credit Default Swaps (Centrally Cleared)*		62,472		—

Total		$	412,631	$	(428,290	)


Foreign Exchange	Forward Foreign Currency Exchange Contracts	$	4,142	$	(202,198	)

Total		$	4,142	$	(202,198	)


Interest Rate	Financial Futures Contracts*	$	231,785	$	—
Interest Rate	Interest Rate Swaps (Centrally Cleared)		123,202		—

Total		$	354,987	$	—

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

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

•

Level 1 — quoted prices in active markets for identical investments

•

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

•

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

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

At January 31, 2018, 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	$	—	$	94,060,838	$	372,726	$	94,433,564
Corporate Bonds & Notes		—		58,957,631		—		58,957,631
Foreign Corporate Bonds		—		604,625		—		604,625
Foreign Government Securities		—		24,494,162		—		24,494,162
Sovereign Loans		—		2,832,079		—		2,832,079
Mortgage Pass-Throughs		—		30,964,610		—		30,964,610
Collateralized Mortgage Obligations		—		67,668,865		—		67,668,865
Commercial Mortgage-Backed Securities		—		18,214,332		—		18,214,332
Asset-Backed Securities		—		35,738,963		—		35,738,963
U.S. Government Agency Obligations		—		1,501,306		—		1,501,306
Common Stocks		37,567		894,862		953,700		1,886,129
Convertible Preferred Stocks		—		—		0		0


Asset Description	Level 1		Level 2			Level 3*		Total
Short-Term Investments —
Foreign Government Securities	$	—	$	211,064		$	—	$	211,064
U.S. Treasury Obligations		—		2,996,771			—		2,996,771
Other		—		10,718,343			—		10,718,343
Total Investments	$	37,567	$	349,858,451		$	1,326,426	$	351,222,444
Forward Foreign Currency Exchange Contracts	$	—	$	4,142		$	—	$	4,142
Futures Contracts		231,785		—			—		231,785
Swap Contracts		—		523,200			—		523,200
Total	$	269,352	$	350,385,793		$	1,326,426	$	351,981,571

Liability Description
Forward Foreign Currency Exchange Contracts	$	—	$	(202,198	)	$	—	$	(202,198	)
Swap Contracts		—		(428,290	)		—		(428,290	)
Total	$	—	$	(630,488	)	$	—	$	(630,488	)

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

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended January 31, 2018 is not presented. At January 31, 2018, 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:		March 27, 2018

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



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

Date:		March 27, 2018



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

Date:		March 27, 2018