UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number

 

811-21563

Eaton Vance Short Duration
Diversified Income Fund

(Exact Name of Registrant as Specified in Charter)

The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109

(Address of Principal Executive Offices)

Alan R. Dynner, Esq.

Eaton Vance Management, 255 State Street, Boston, Massachusetts 02109

(Name and Address of Agent for Services)

(Registrant’s Telephone Number, Including Area Code)

 

(617) 482-8260

Date of Fiscal Year End

 

October 31

Date of Reporting Period

 

July 31, 2005

 

 




Item 1. Schedule of Investments




Eaton Vance Short Duration Diversified Income Fund                                                                   as of July 31, 2005

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating Rate Interests — 61.5% (1)

Principal

 

 

 

 

 

Amount

 

Borrower/Tranche Description

 

Value

 

Aerospace and Defense  0.9%

 

 

 

 

 

Hexcel Corp.

 

 

 

$

822,222

 

Term Loan, 5.26%, Maturing March 1, 2012

 

$

833,142

 

 

 

K&F Industries, Inc.

 

 

 

620,476

 

Term Loan, 6.04%, Maturing November 18, 2012

 

629,860

 

 

 

Standard Aero Holdings, Inc.

 

 

 

753,846

 

Term Loan, 5.72%, Maturing August 24, 2012

 

764,212

 

 

 

Vought Aircraft Industries, Inc.

 

 

 

181,818

 

Term Loan, 5.02%, Maturing December 22, 2010

 

184,545

 

814,332

 

Term Loan, 5.99%, Maturing December 22, 2011

 

828,175

 

 

 

 

 

$

3,239,934

 

Air Transport  0.2%

 

 

 

 

 

United Airlines, Inc.

 

 

 

725,078

 

DIP Loan, 7.96%, Maturing December 31, 2005

 

733,688

 

 

 

 

 

$

733,688

 

Automotive  4.3%

 

 

 

 

 

Accuride Corp.

 

 

 

808,409

 

Term Loan, 5.65%, Maturing January 31, 2012

 

816,241

 

 

 

Affina Group, Inc.

 

 

 

992,506

 

Term Loan, 6.40%, Maturing November 30, 2011

 

997,779

 

 

 

Collins & Aikman Products Co.

 

 

 

149,648

 

Revolving Loan, 9.75%, Maturing December 31, 2005

 

123,647

 

350,352

 

Term Loan, 7.94%, Maturing August 31, 2011

 

288,040

 

 

 

CSA Acquisition Corp.

 

 

 

381,416

 

Term Loan, 5.50%, Maturing December 23, 2011

 

381,893

 

613,584

 

Term Loan, 5.50%, Maturing December 23, 2011

 

614,351

 

 

 

Dayco Europe S.R.I.

 

 

 

968,164

 

Term Loan, 4.40%, Maturing June 21, 2010

 

EUR    1,178,920

 

 

 

Dura Operating Corp.

 

 

 

647,000

 

Term Loan, 6.78%, Maturing May 3, 2011

 

655,088

 

 

 

Exide Technologies

 

 

 

1,549,748

 

Term Loan, 7.36%, Maturing May 5, 2010

 

EUR    1,854,165

 

 

 

Federal-Mogul Corp.

 

 

 

361,345

 

Term Loan, 5.74%, Maturing December 31, 2005

 

332,099

 

420,728

 

Term Loan, 5.99%, Maturing December 31, 2005

 

386,919

 

 

 

Goodyear Tire & Rubber Co.

 

 

 

635,000

 

Term Loan, 6.32%, Maturing April 30, 2010

 

640,854

 

500,000

 

Term Loan, 7.07%, Maturing March 1, 2011

 

498,170

 

 

 

HLI Operating Co., Inc.

 

 

 

500,000

 

Term Loan, 8.92%, Maturing June 3, 2010

 

507,500

 

 

1




 

 

 

 

 

R.J. Tower Corp.

 

 

 

$

370,000

 

DIP Revolving Loan, 6.63%, Maturing February 2, 2007

 

$

375,049

 

 

 

Tenneco Automotive, Inc.

 

 

 

963,141

 

Term Loan, 5.54%, Maturing December 12, 2009

 

976,786

 

418,922

 

Term Loan, 5.59%, Maturing December 12, 2010

 

424,857

 

 

 

The Goodyear Dunlop Tires

 

 

 

1,000,000

 

Term Loan, 4.49%, Maturing April 30, 2010

 

EUR    1,217,434

 

 

 

Trimas Corp.

 

 

 

995,002

 

Term Loan, 6.90%, Maturing December 31, 2009

 

1,003,708

 

 

 

TRW Automotive, Inc.

 

 

 

995,000

 

Term Loan, 4.94%, Maturing October 31, 2010

 

1,002,214

 

995,000

 

Term Loan, 5.25%, Maturing June 30, 2012

 

1,006,297

 

 

 

 

 

$

15,282,011

 

Beverage and Tobacco  1.1%

 

 

 

 

 

Alliance One International, Inc.

 

 

 

249,375

 

Term Loan, 6.73%, Maturing May 13, 2010

 

254,207

 

 

 

Constellation Brands, Inc.

 

 

 

1,246,250

 

Term Loan, 5.30%, Maturing November 30, 2011

 

1,267,107

 

 

 

Culligan International Co.

 

 

 

500,000

 

Term Loan, 5.88%, Maturing September 30, 2011

 

507,188

 

 

 

National Dairy Holdings, L.P.

 

 

 

498,750

 

Term Loan, 5.49%, Maturing March 15, 2012

 

505,920

 

 

 

National Distribution Company

 

 

 

250,000

 

Term Loan, 9.96%, Maturing June 22, 2010

 

250,625

 

 

 

Southern Wine & Spirits of America

 

 

 

997,500

 

Term Loan, 4.99%, Maturing May 31, 2012

 

1,006,436

 

 

 

 

 

$

3,791,483

 

Building and Development  3.8%

 

 

 

 

 

AIMCO Properties, L.P.

 

 

 

300,000

 

Term Loan, 5.16%, Maturing November 2, 2009

 

303,563

 

1,500,000

 

Term Loan, 5.21%, Maturing November 2, 2009

 

1,522,970

 

 

 

Biomed Realty, L.P.

 

 

 

660,000

 

Term Loan, 5.59%, Maturing May 31, 2010

 

660,825

 

 

 

General Growth Properties, Inc.

 

 

 

1,905,673

 

Term Loan, 5.59%, Maturing November 12, 2007

 

1,925,682

 

 

 

Hovstone Holdings, LLC

 

 

 

265,000

 

Term Loan, 5.59%, Maturing February 28, 2009

 

265,663

 

 

 

LNR Property Corp.

 

 

 

1,469,955

 

Term Loan, 6.21%, Maturing February 3, 2008

 

1,485,310

 

 

 

MAAX Corp.

 

 

 

721,491

 

Term Loan, 5.99%, Maturing June 4, 2011

 

723,294

 

 

 

NCI Building Systems, Inc.

 

 

 

748,067

 

Term Loan, 5.41%, Maturing June 18, 2010

 

756,950

 

 

 

Nortek, Inc.

 

 

 

997,487

 

Term Loan, 5.92%, Maturing August 27, 2011

 

1,007,462

 

2




 

 

 

 

 

Stile Acquisition Corp.

 

 

 

$

941,835

 

Term Loan, 5.66%, Maturing April 6, 2013

 

$

945,367

 

 

 

Stile U.S. Acquisition Corp.

 

 

 

943,440

 

Term Loan, 5.66%, Maturing April 6, 2013

 

946,978

 

 

 

Sugarloaf Mills, L.P.

 

 

 

1,000,000

 

Term Loan, 5.19%, Maturing April 7, 2007

 

1,005,000

 

 

 

The Macerich Partnership, L.P.

 

 

 

300,000

 

Term Loan, 4.89%, Maturing July 30, 2007

 

300,375

 

260,000

 

Term Loan, 6.75%, Maturing April 25, 2010

 

260,975

 

 

 

The Woodlands Community Property Co.

 

 

 

1,000,000

 

Term Loan, 5.59%, Maturing November 30, 2007

 

1,006,250

 

 

 

Trustreet Properties, Inc.

 

 

 

185,000

 

Term Loan, 5.34%, Maturing April 8, 2010

 

186,503

 

 

 

 

 

$

13,303,167

 

Business Equipment and Services  0.7%

 

 

 

 

 

DynCorp International, LLC

 

 

 

498,750

 

Term Loan, 6.06%, Maturing February 11, 2011

 

505,088

 

 

 

Global Imaging Systems, Inc.

 

 

 

497,487

 

Term Loan, 4.92%, Maturing May 10, 2010

 

501,374

 

 

 

Protection One, Inc.

 

 

 

197,400

 

Term Loan, 6.35%, Maturing April 18, 2011

 

200,114

 

 

 

Quintiles Transnational Corp.

 

 

 

995,011

 

Term Loan, 5.24%, Maturing September 25, 2009

 

1,000,608

 

 

 

Williams Scotsman, Inc.

 

 

 

180,000

 

Term Loan, 5.98%, Maturing June 27, 2010

 

182,363

 

 

 

 

 

$

2,389,547

 

Cable and Satellite Television  3.7%

 

 

 

 

 

Adelphia Communications Corp.

 

 

 

497,364

 

DIP Loan, 5.38%, Maturing March 31, 2006

 

499,307

 

 

 

Charter Communications Operating, LLC

 

 

 

2,496,896

 

Term Loan, 6.68%, Maturing April 27, 2010

 

2,479,173

 

 

 

Iesy Hessen GmbH and Co., KG

 

 

 

2,000,000

 

Term Loan, 4.88%, Maturing February 14, 2013

 

EUR    2,429,300

 

 

 

NTL Investment Holdings Ltd.

 

 

 

1,000,000

 

Term Loan, 8.00%, Maturing April 13, 2011

 

GBP     1,766,014

 

 

 

Rainbow National Services, LLC

 

 

 

498,750

 

Term Loan, 6.13%, Maturing March 31, 2012

 

503,987

 

 

 

Telewest Global Finance, LLC

 

 

 

1,000,000

 

Term Loan, 6.92%, Maturing December 22, 2012

 

GBP     1,764,195

 

 

 

UGS Corp.

 

 

 

1,895,938

 

Term Loan, 5.49%, Maturing March 31, 2012

 

1,924,377

 

 

 

UPC Broadband Holdings B.V.

 

 

 

1,500,000

 

Term Loan, 4.86%, Maturing September 30, 2012

 

EUR    1,806,944

 

 

 

 

 

$

13,173,297

 

 

3




 

 

 

Chemicals and Plastics  3.8%

 

 

 

 

 

Brenntag AG

 

 

 

$

1,423,099

 

Term Loan, 5.44%, Maturing December 9, 2012

 

EUR    1,745,597

 

 

 

Celanese Holdings, LLC

 

 

 

995,239

 

Term Loan, 4.35%, Maturing April 6, 2011

 

EUR    1,224,582

 

997,966

 

Term Loan, 5.74%, Maturing April 6, 2011

 

1,016,367

 

 

 

Hexion Specialty Chemicals, Inc.

 

 

 

35,000

 

Term Loan, 3.16%, Maturing May 31, 2012

 

35,438

 

153,300

 

Term Loan, 5.88%, Maturing May 31, 2012

 

155,216

 

210,700

 

Term Loan, 5.88%, Maturing May 31, 2012

 

213,334

 

 

 

Huntsman International, LLC

 

 

 

1,128,296

 

Term Loan, 5.75%, Maturing December 31, 2010

 

1,131,822

 

 

 

Huntsman, LLC

 

 

 

465,035

 

Term Loan, 6.40%, Maturing March 31, 2010

 

466,779

 

 

 

Innophos, Inc.

 

 

 

713,944

 

Term Loan, 5.55%, Maturing August 13, 2010

 

721,232

 

 

 

Invista B.V.

 

 

 

859,502

 

Term Loan, 5.75%, Maturing April 29, 2011

 

874,007

 

372,909

 

Term Loan, 5.75%, Maturing April 29, 2011

 

379,202

 

 

 

Kraton Polymer, LLC

 

 

 

748,101

 

Term Loan, 6.28%, Maturing December 23, 2010

 

760,258

 

 

 

Niagara Acquisition, Inc.

 

 

 

997,500

 

Term Loan, 5.50%, Maturing February 11, 2012

 

1,009,658

 

 

 

Professional Paint, Inc.

 

 

 

246,795

 

Term Loan, 6.80%, Maturing September 30, 2011

 

250,497

 

 

 

Rockwood Specialties Group

 

 

 

1,492,500

 

Term Loan, 5.13%, Maturing July 30, 2012

 

EUR    1,833,260

 

 

 

Solo Cup Co.

 

 

 

1,496,212

 

Term Loan, 5.40%, Maturing February 27, 2011

 

1,515,289

 

 

 

 

 

$

13,332,538

 

Clothing/Textiles  0.3%

 

 

 

 

 

Propex Fabrics, Inc.

 

 

 

468,987

 

Term Loan, 5.74%, Maturing December 31, 2011

 

469,574

 

 

 

St. John Knits International, Inc.

 

 

 

174,563

 

Term Loan, 6.00%, Maturing March 23, 2012

 

176,635

 

 

 

The William Carter Co.

 

 

 

250,000

 

Term Loan, 5.24%, Maturing July 14, 2012

 

253,828

 

 

 

 

 

$

900,037

 

 

4




 

 

 

Conglomerates  1.6%

 

 

 

 

 

Amsted Industries, Inc.

 

 

 

$

909,619

 

Term Loan, 6.12%, Maturing October 15, 2010

 

$

921,747

 

 

 

Euramax International, Inc.

 

 

 

167,105

 

Term Loan, 10.55%, Maturing June 28, 2013

 

167,523

 

82,895

 

Term Loan, 10.55%, Maturing June 28, 2013

 

83,102

 

 

 

Gentek, Inc.

 

 

 

748,125

 

Term Loan, 6.09%, Maturing February 25, 2011

 

751,024

 

 

 

Goodman Global Holdings, Inc.

 

 

 

498,747

 

Term Loan, 5.88%, Maturing December 23, 2011

 

506,384

 

 

 

Johnson Diversey, Inc.

 

 

 

1,359,665

 

Term Loan, 4.90%, Maturing November 30, 2009

 

1,373,474

 

255,000

 

Term Loan, 4.96%, Maturing November 30, 2009

 

257,709

 

 

 

PP Acquisition Corp.

 

 

 

1,110,000

 

Term Loan, 5.74%, Maturing November 12, 2011

 

1,117,862

 

 

 

Rexnord Corp.

 

 

 

206,422

 

Term Loan, 6.80%, Maturing December 31, 2011

 

209,304

 

458,161

 

Term Loan, 6.80%, Maturing December 31, 2011

 

464,556

 

 

 

 

 

$

5,852,685

 

Containers and Glass Products  2.4%

 

 

 

 

 

Ball Corp.

 

 

 

1,051,835

 

Term Loan, 4.49%, Maturing December 31, 2009

 

1,049,206

 

 

 

Berry Plastics Corp.

 

 

 

1,252,287

 

Term Loan, 5.60%, Maturing June 30, 2010

 

1,273,263

 

 

 

Graham Packaging Holdings Co.

 

 

 

1,243,750

 

Term Loan, 6.03%, Maturing October 7, 2011

 

1,264,609

 

500,000

 

Term Loan, 7.75%, Maturing April 7, 2012

 

515,729

 

 

 

Graphic Packaging International, Inc.

 

 

 

1,000,000

 

Term Loan, 6.03%, Maturing August 8, 2009

 

1,014,688

 

 

 

Owens-Illinois, Inc.

 

 

 

1,169,682

 

Term Loan, 3.86%, Maturing April 1, 2008

 

EUR    1,434,074

 

 

 

Smurfit-Stone Container Corp.

 

 

 

341,166

 

Term Loan, 5.34%, Maturing November 1, 2010

 

346,923

 

615,934

 

Term Loan, 5.38%, Maturing November 1, 2011

 

626,135

 

1,034,607

 

Term Loan, 5.47%, Maturing November 1, 2011

 

1,051,743

 

 

 

 

 

$

8,576,370

 

Cosmetics/Toiletries  0.5%

 

 

 

 

 

American Safety Razor Co.

 

 

 

498,750

 

Term Loan, 6.01%, Maturing February 28, 2012

 

504,984

 

 

 

Prestige Brands, Inc.

 

 

 

748,106

 

Term Loan, 5.37%, Maturing April 7, 2011

 

756,210

 

 

 

Revlon Consumer Products Corp.

 

 

 

656,250

 

Term Loan, 9.43%, Maturing July 9, 2010

 

680,039

 

 

 

 

 

$

1,941,233

 

 

5




 

 

 

Drugs  0.4%

 

 

 

 

 

Warner Chilcott Corp.

 

 

 

$

784,641

 

Term Loan, 6.07%, Maturing January 18, 2012

 

$

793,958

 

316,172

 

Term Loan, 6.18%, Maturing January 18, 2012

 

319,926

 

146,062

 

Term Loan, 6.18%, Maturing January 18, 2012

 

147,797

 

 

 

 

 

$

1,261,681

 

Ecological Services and Equipment  0.7%

 

 

 

 

 

Allied Waste Industries, Inc.

 

 

 

202,703

 

Term Loan, 4.87%, Maturing January 15, 2010

 

204,185

 

531,068

 

Term Loan, 5.54%, Maturing January 15, 2012

 

535,328

 

 

 

Envirocare of Utah, LLC

 

 

 

338,864

 

Term Loan, 6.11%, Maturing April 15, 2010

 

343,523

 

 

 

Environmental Systems Products Holdings, Inc.

 

 

 

737,572

 

Term Loan, 6.94%, Maturing December 12, 2008

 

751,862

 

 

 

Sensus Metering Systems, Inc.

 

 

 

64,885

 

Term Loan, 6.02%, Maturing December 17, 2010

 

65,669

 

432,564

 

Term Loan, 6.02%, Maturing December 17, 2010

 

437,791

 

 

 

Synagro Technologies, Inc.

 

 

 

37,857

 

Term Loan, 0.00%, Maturing June 21, 2012 (2)

 

37,999

 

227,143

 

Term Loan, 5.68%, Maturing June 21, 2012

 

228,988

 

 

 

 

 

$

2,605,345

 

Electronics/Electrical  1.4%

 

 

 

 

 

AMI Semiconductor, Inc.

 

 

 

254,363

 

Term Loan, 4.99%, Maturing April 1, 2012

 

255,846

 

 

 

Security Co., Inc.

 

 

 

748,111

 

Term Loan, 7.50%, Maturing June 30, 2010

 

754,657

 

 

 

Spectrum Brands, Inc.

 

 

 

2,000,000

 

Term Loan, 4.36%, Maturing February 7, 2012

 

EUR    2,444,483

 

 

 

Telcordia Technologies, Inc.

 

 

 

423,938

 

Term Loan, 6.07%, Maturing September 15, 2012

 

423,143

 

 

 

United Online, Inc.

 

 

 

422,222

 

Term Loan, 6.73%, Maturing December 13, 2008

 

424,333

 

 

 

Vertafore, Inc.

 

 

 

480,192

 

Term Loan, 6.06%, Maturing December 22, 2010

 

483,194

 

 

 

 

 

$

4,785,656

 

Equipment Leasing  0.6%

 

 

 

 

 

Ashtead Group, PLC

 

 

 

1,000,000

 

Term Loan, 5.56%, Maturing November 12, 2009

 

1,015,000

 

 

 

Maxim Crane Works, L.P.

 

 

 

500,000

 

Term Loan, 8.94%, Maturing January 28, 2012

 

521,250

 

 

 

United Rentals, Inc.

 

 

 

84,034

 

Term Loan, 3.34%, Maturing February 14, 2011

 

85,259

 

414,916

 

Term Loan, 5.73%, Maturing February 14, 2011

 

420,413

 

 

 

 

 

$

2,041,922

 

 

6




 

 

 

Financial Intermediaries  1.0%

 

 

 

 

 

Corrections Corp. of America

 

 

 

$

498,750

 

Term Loan, 5.35%, Maturing March 31, 2008

 

$

506,855

 

 

 

Fidelity National Information Solutions, Inc.

 

 

 

1,739,025

 

Term Loan, 5.10%, Maturing March 9, 2013

 

1,744,614

 

 

 

Refco Group Ltd., LLC

 

 

 

993,827

 

Term Loan, 5.48%, Maturing August 5, 2011

 

1,000,287

 

 

 

Sirona Dental Services GmbH & Co.

 

 

 

340,000

 

Term Loan, 4.61%, Maturing June 30, 2013

 

EUR       416,724

 

 

 

 

 

$

3,668,480

 

Food Products  1.7%

 

 

 

 

 

Acosta Sales Co., Inc.

 

 

 

1,246,859

 

Term Loan, 5.35%, Maturing August 13, 2010

 

1,264,394

 

 

 

Chiquita Brands, LLC

 

 

 

165,000

 

Term Loan, 5.84%, Maturing June 28, 2012

 

167,784

 

 

 

Doane Pet Care Co.

 

 

 

748,116

 

Term Loan, 7.41%, Maturing November 5, 2009

 

762,455

 

 

 

Dole Food Co., Inc.

 

 

 

246,258

 

Term Loan, 5.18%, Maturing April 18, 2012

 

249,298

 

 

 

Herbalife International, Inc.

 

 

 

770,000

 

Term Loan, 5.37%, Maturing December 21, 2010

 

775,775

 

 

 

Merisant Company

 

 

 

914,395

 

Term Loan, 5.38%, Maturing January 11, 2009

 

896,107

 

 

 

Michael Foods, Inc.

 

 

 

1,000,000

 

Term Loan, 6.59%, Maturing November 21, 2011

 

1,025,625

 

 

 

Nash-Finch Co.

 

 

 

500,000

 

Term Loan, 5.75%, Maturing November 12, 2010

 

505,938

 

 

 

The Meow Mix Company

 

 

 

383,158

 

Term Loan, 7.06%, Maturing July 13, 2011

 

389,305

 

 

 

 

 

$

6,036,681

 

Food Service  1.0%

 

 

 

 

 

Carrols Corp.

 

 

 

498,747

 

Term Loan, 6.00%, Maturing December 31, 2010

 

506,332

 

 

 

Denny’s, Inc.

 

 

 

995,004

 

Term Loan, 6.72%, Maturing September 21, 2009

 

1,021,745

 

 

 

Domino’s, Inc.

 

 

 

1,163,146

 

Term Loan, 5.25%, Maturing June 25, 2010

 

1,181,685

 

 

 

Jack in the Box, Inc.

 

 

 

982,886

 

Term Loan, 5.18%, Maturing January 8, 2011

 

995,479

 

 

 

 

 

$

3,705,241

 

 

7




 

 

 

Food/Drug Retailers  1.1%

 

 

 

 

 

General Nutrition Centers, Inc.

 

 

 

$

994,949

 

Term Loan, 6.50%, Maturing December 7, 2009

 

$

1,005,728

 

 

 

Rite Aid Corp.

 

 

 

1,238,759

 

Term Loan, 5.11%, Maturing September 22, 2009

 

1,250,630

 

 

 

The Jean Coutu Group (PJC), Inc.

 

 

 

1,492,481

 

Term Loan, 5.94%, Maturing July 30, 2011

 

1,518,134

 

 

 

 

 

$

3,774,492

 

Forest Products  1.8%

 

 

 

 

 

Boise Cascade Holdings, LLC

 

 

 

1,825,490

 

Term Loan, 5.25%, Maturing October 29, 2011

 

1,855,269

 

 

 

NewPage Corp.

 

 

 

965,000

 

Term Loan, 6.38%, Maturing May 2, 2011

 

984,300

 

 

 

RLC Industries Co.

 

 

 

1,518,145

 

Term Loan, 4.99%, Maturing February 24, 2010

 

1,526,368

 

 

 

Xerium Technologies, Inc.

 

 

 

1,590,483

 

Term Loan, 4.35%, Maturing May 18, 2012

 

EUR    1,943,954

 

 

 

 

 

$

6,309,891

 

Healthcare  4.4%

 

 

 

 

 

Alliance Imaging, Inc.

 

 

 

493,429

 

Term Loan, 5.87%, Maturing December 29, 2011

 

500,831

 

 

 

AMN Healthcare, Inc.

 

 

 

437,062

 

Term Loan, 6.49%, Maturing October 2, 2008

 

443,617

 

 

 

AMR HoldCo, Inc.

 

 

 

498,750

 

Term Loan, 5.67%, Maturing February 10, 2012

 

507,011

 

 

 

Blitz F04-506 GmbH

 

 

 

500,000

 

Term Loan, 5.11%, Maturing June 30, 2014

 

EUR       615,581

 

 

 

Carl Zeiss Topco GMBH

 

 

 

166,667

 

Term Loan, 6.24%, Maturing February 28, 2013

 

167,292

 

333,333

 

Term Loan, 6.74%, Maturing February 28, 2014

 

336,250

 

 

 

Colgate Medical, Ltd.

 

 

 

1,162,679

 

Term Loan, 5.48%, Maturing December 30, 2008

 

1,175,033

 

 

 

Community Health Systems, Inc.

 

 

 

994,987

 

Term Loan, 5.07%, Maturing August 19, 2011

 

1,009,602

 

 

 

Encore Medical IHC, Inc.

 

 

 

585,000

 

Term Loan, 6.40%, Maturing October 4, 2010

 

593,409

 

 

 

Envision Worldwide, Inc.

 

 

 

498,603

 

Term Loan, 8.56%, Maturing September 30, 2010

 

501,096

 

 

 

FHC Health Systems, Inc.

 

 

 

294,118

 

Term Loan, 8.91%, Maturing December 18, 2009

 

297,059

 

205,882

 

Term Loan, 11.91%, Maturing December 18, 2009

 

207,941

 

 

8




 

 

 

 

 

Healthsouth Corp.

 

 

 

$

446,875

 

Term Loan, 5.98%, Maturing June 14, 2007

 

$

452,950

 

53,125

 

Term Loan, 3.09%, Maturing March 21, 2010

 

53,847

 

 

 

Kinetic Concepts, Inc.

 

 

 

351,914

 

Term Loan, 5.24%, Maturing August 11, 2009

 

356,093

 

 

 

Knowledge Learning Corp.

 

 

 

955,556

 

Term Loan, 5.99%, Maturing January 7, 2012

 

962,722

 

 

 

Lifepoint Hospitals, Inc.

 

 

 

1,796,850

 

Term Loan, 5.01%, Maturing April 15, 2012

 

1,815,140

 

 

 

Medcath Holdings Corp.

 

 

 

497,487

 

Term Loan, 5.50%, Maturing July 2, 2011

 

503,084

 

 

 

National Mentor, Inc.

 

 

 

985,004

 

Term Loan, 5.73%, Maturing September 30, 2011

 

997,932

 

 

 

Select Medical Holding Corp.

 

 

 

498,750

 

Term Loan, 5.04%, Maturing February 24, 2012

 

501,400

 

 

 

Sirona Dental Systems GmbH

 

 

 

160,000

 

Term Loan, 4.61%, Maturing June 30, 2013

 

EUR       196,105

 

 

 

Talecris Biotherapeutics, Inc.

 

 

 

249,375

 

Term Loan, 6.54%, Maturing March 31, 2010

 

249,998

 

 

 

Team Health, Inc.

 

 

 

500,000

 

Term Loan, 6.24%, Maturing March 23, 2011

 

500,000

 

 

 

Vanguard Health Holding Co., LLC

 

 

 

746,241

 

Term Loan, 6.74%, Maturing September 23, 2011

 

759,300

 

 

 

VWR International, Inc.

 

 

 

1,576,667

 

Term Loan, 4.88%, Maturing April 7, 2011

 

EUR    1,933,052

 

 

 

 

 

$

15,636,345

 

Home Furnishings  0.6%

 

 

 

 

 

Jarden Corp.

 

 

 

497,500

 

Term Loan, 5.47%, Maturing January 24, 2012

 

502,253

 

 

 

Oreck Corp.

 

 

 

498,747

 

Term Loan, 6.24%, Maturing February 2, 2012

 

506,228

 

 

 

Sealy Mattress Co.

 

 

 

998,982

 

Term Loan, 5.13%, Maturing April 6, 2012

 

1,008,972

 

 

 

 

 

$

2,017,453

 

Industrial Equipment  0.9%

 

 

 

 

 

Alliance Laundry Holdings, LLC

 

 

 

350,606

 

Term Loan, 5.59%, Maturing January 27, 2012

 

356,303

 

 

 

Douglas Dynamics Holdings, Inc.

 

 

 

995,000

 

Term Loan, 5.48%, Maturing December 16, 2010

 

1,007,438

 

 

 

Gleason Corp.

 

 

 

468,418

 

Term Loan, 6.28%, Maturing July 27, 2011

 

473,492

 

 

 

MTD Products, Inc.

 

 

 

1,246,851

 

Term Loan, 5.13%, Maturing June 1, 2010

 

1,257,761

 

 

 

 

 

$

3,094,994

 

 

9




 

 

 

Insurance  0.7%

 

 

 

 

 

Conseco, Inc.

 

 

 

$

1,500,000

 

Term Loan, 6.99%, Maturing June 22, 2010

 

$

1,514,688

 

 

 

Hilb, Rogal & Hobbs Co.

 

 

 

972,612

 

Term Loan, 5.75%, Maturing December 15, 2011

 

980,515

 

 

 

 

 

$

2,495,203

 

Leisure Goods/Activities/Movies  3.2%

 

 

 

 

 

24 Hour Fitness Worldwide, Inc.

 

 

 

405,000

 

Term Loan, 6.78%, Maturing June 8, 2012

 

411,708

 

 

 

Cinemark, Inc.

 

 

 

1,476,300

 

Term Loan, 5.18%, Maturing March 31, 2011

 

1,497,337

 

 

 

Fender Musical Instruments Co.

 

 

 

250,000

 

Term Loan, 7.71%, Maturing March 30, 2012

 

253,125

 

 

 

Loews Cineplex Entertainment Corp.

 

 

 

2,020,201

 

Term Loan, 5.64%, Maturing July 30, 2011

 

2,036,772

 

 

 

Metro-Goldwyn-Mayer Holdings

 

 

 

2,165,000

 

Term Loan, 5.74%, Maturing April 8, 2012

 

2,190,980

 

 

 

Regal Cinemas Corp.

 

 

 

1,989,924

 

Term Loan, 5.24%, Maturing November 10, 2010

 

2,013,555

 

 

 

Six Flags Theme Parks, Inc.

 

 

 

1,493,715

 

Term Loan, 6.16%, Maturing June 30, 2008

 

1,516,121

 

 

 

Universal City Development Partners, Ltd.

 

 

 

995,000

 

Term Loan, 5.46%, Maturing June 9, 2011

 

1,008,266

 

 

 

WMG Acquisition Corp.

 

 

 

498,533

 

Term Loan, 5.45%, Maturing February 28, 2011

 

503,963

 

 

 

 

 

$

11,431,827

 

Lodging and Casinos  2.2%

 

 

 

 

 

CNL Hospitality Partners, L.P.

 

 

 

148,711

 

Term Loan, 5.85%, Maturing October 13, 2006

 

149,082

 

 

 

Isle of Capri Casinos, Inc.

 

 

 

1,990,000

 

Term Loan, 5.19%, Maturing February 4, 2012

 

2,013,942

 

 

 

Marina District Finance Co., Inc.

 

 

 

995,000

 

Term Loan, 4.99%, Maturing October 14, 2011

 

1,003,913

 

 

 

Pinnacle Entertainment, Inc.

 

 

 

1,000,000

 

Term Loan, 6.49%, Maturing August 27, 2010

 

1,015,000

 

 

 

Resorts International Holdings, LLC

 

 

 

721,617

 

Term Loan, 5.99%, Maturing April 26, 2012

 

731,088

 

194,513

 

Term Loan, 9.07%, Maturing April 26, 2013

 

196,002

 

 

 

Venetian Casino Resort, LLC

 

 

 

256,410

 

Term Loan, 0.00%, Maturing June 15, 2011 (2)

 

259,295

 

1,243,590

 

Term Loan, 5.24%, Maturing June 15, 2011

 

1,260,467

 

 

 

Wyndham International, Inc.

 

 

 

53,017

 

Term Loan, 3.58%, Maturing May 10, 2011

 

53,282

 

560,578

 

Term Loan, 6.63%, Maturing May 10, 2011

 

564,502

 

 

10




 

 

 

 

 

Wynn Las Vegas, LLC

 

 

 

$

500,000

 

Term Loan, 5.62%, Maturing December 14, 2011

 

$

506,063

 

 

 

 

 

$

7,752,636

 

Nonferrous Metals/Minerals  1.0%

 

 

 

 

 

Foundation Coal Corp.

 

 

 

961,170

 

Term Loan, 5.54%, Maturing July 30, 2011

 

978,658

 

 

 

Murray Energy Corp.

 

 

 

748,125

 

Term Loan, 6.49%, Maturing January 28, 2010

 

753,268

 

 

 

Novelis, Inc.

 

 

 

474,297

 

Term Loan, 4.96%, Maturing January 6, 2012

 

481,115

 

823,780

 

Term Loan, 4.96%, Maturing January 6, 2012

 

835,621

 

 

 

Trout Coal Holdings, LLC

 

 

 

500,000

 

Term Loan, 8.50%, Maturing March 23, 2012

 

502,657

 

 

 

 

 

$

3,551,319

 

Oil and Gas  2.5%

 

 

 

 

 

Dresser Rand Group, Inc.

 

 

 

976,902

 

Term Loan, 4.72%, Maturing October 29, 2011

 

EUR    1,197,718

 

 

 

Dynegy Holdings, Inc.

 

 

 

1,496,222

 

Term Loan, 7.34%, Maturing May 28, 2010

 

1,508,534

 

 

 

El Paso Corp.

 

 

 

1,239,960

 

Term Loan, 6.24%, Maturing November 23, 2009

 

1,256,524

 

 

 

Energy Transfer Company, L.P.

 

 

 

515,000

 

Term Loan, 6.47%, Maturing June 16, 2012

 

522,339

 

 

 

Kerr-McGee Corp.

 

 

 

510,000

 

Term Loan, 5.71%, Maturing May 24, 2007

 

513,825

 

925,000

 

Term Loan, 5.79%, Maturing May 24, 2011

 

942,081

 

 

 

LB Pacific, L.P.

 

 

 

718,200

 

Term Loan, 6.15%, Maturing March 3, 2012

 

728,524

 

 

 

Lyondell-Citgo Refining, L.P.

 

 

 

1,980,000

 

Term Loan, 5.51%, Maturing May 21, 2007

 

2,010,938

 

 

 

 

 

$

8,680,483

 

Publishing  3.4%

 

 

 

 

 

American Media Operations, Inc.

 

 

 

997,396

 

Term Loan, 6.25%, Maturing April 1, 2008

 

1,010,903

 

 

 

CBD Media, LLC

 

 

 

947,712

 

Term Loan, 5.84%, Maturing December 31, 2009

 

962,520

 

 

 

Dex Media East, LLC

 

 

 

1,906,232

 

Term Loan, 5.08%, Maturing May 8, 2009

 

1,933,873

 

 

 

Dex Media West, LLC

 

 

 

934,548

 

Term Loan, 5.13%, Maturing March 9, 2010

 

948,619

 

 

 

Herald Media, Inc.

 

 

 

498,741

 

Term Loan, 5.56%, Maturing July 22, 2011

 

503,105

 

 

 

Liberty Group Operating, Inc.

 

 

 

985,031

 

Term Loan, 5.63%, Maturing February 28, 2012

 

995,086

 

 

11




 

 

 

 

 

Nebraska Book Co., Inc.

 

 

 

$

748,106

 

Term Loan, 5.88%, Maturing March 4, 2011

 

$

758,393

 

 

 

R.H. Donnelley Corp.

 

 

 

1,989,975

 

Term Loan, 5.20%, Maturing June 30, 2011

 

2,019,443

 

 

 

SP Newsprint Co.

 

 

 

652,602

 

Term Loan, 3.43%, Maturing January 9, 2010

 

657,904

 

277,356

 

Term Loan, 5.74%, Maturing January 9, 2010

 

281,690

 

 

 

World Directories ACQI Corp.

 

 

 

1,500,000

 

Term Loan, 5.38%, Maturing November 29, 2013

 

EUR    1,837,006

 

 

 

 

 

$

11,908,542

 

Radio and Television  1.7%

 

 

 

 

 

Adams Outdoor Advertising, L.P.

 

 

 

498,750

 

Term Loan, 5.64%, Maturing October 15, 2011

 

506,543

 

 

 

ALM Media Holdings, Inc.

 

 

 

498,750

 

Term Loan, 5.99%, Maturing March 5, 2010

 

499,997

 

 

 

DirecTV Holdings, LLC

 

 

 

836,667

 

Term Loan, 4.91%, Maturing April 13, 2013

 

846,303

 

 

 

Nexstar Broadcasting, Inc.

 

 

 

394,048

 

Term Loan, 5.24%, Maturing October 1, 2012

 

397,003

 

415,952

 

Term Loan, 5.24%, Maturing October 1, 2012

 

419,938

 

 

 

PanAmSat Corp.

 

 

 

359,864

 

Term Loan, 5.16%, Maturing August 20, 2010

 

364,137

 

188,162

 

Term Loan, 5.16%, Maturing August 20, 2010

 

191,321

 

 

 

Raycom TV Broadcasting, Inc.

 

 

 

1,000,000

 

Term Loan, 5.50%, Maturing February 24, 2012

 

1,010,000

 

 

 

Spanish Broadcasting System

 

 

 

300,000

 

Term Loan, 7.03%, Maturing June 10, 2013

 

304,313

 

 

 

TDF SA

 

 

 

305,762

 

Term Loan, 4.61%, Maturing March 11, 2013

 

EUR       375,959

 

305,762

 

Term Loan, 5.11%, Maturing March 11, 2014

 

EUR       376,825

 

388,476

 

Term Loan, 5.73%, Maturing March 11, 2015

 

EUR       480,120

 

 

 

Young Broadcasting, Inc.

 

 

 

250,000

 

Term Loan, 5.64%, Maturing November 3, 2012

 

252,604

 

 

 

 

 

$

6,025,063

 

Retailers (Except Food and Drug)  1.3%

 

 

 

 

 

Harbor Freight Tools USA, Inc.

 

 

 

997,489

 

Term Loan, 5.78%, Maturing July 15, 2010

 

1,010,456

 

 

 

Josten’s Corp.

 

 

 

979,381

 

Term Loan, 5.94%, Maturing October 4, 2010

 

995,296

 

 

 

Mapco Express, Inc.

 

 

 

250,000

 

Term Loan, 6.21%, Maturing April 28, 2011

 

254,375

 

 

 

Movie Gallery, Inc.

 

 

 

250,000

 

Term Loan, 6.49%, Maturing April 27, 2011

 

252,578

 

 

 

Oriental Trading Co., Inc.

 

 

 

486,490

 

Term Loan, 6.00%, Maturing August 4, 2010

 

489,531

 

12




 

 

 

 

 

Stewert Enterprises, Inc.

 

 

 

$

949,494

 

Term Loan, 5.01%, Maturing November 19, 2011

 

$

958,395

 

 

 

Travelcenters of America, Inc.

 

 

 

750,000

 

Term Loan, 5.09%, Maturing November 30, 2008

 

759,492

 

 

 

 

 

$

4,720,123

 

Surface Transport  0.1%

 

 

 

 

 

Sirva Worldwide, Inc.

 

 

 

500,000

 

Term Loan, 6.45%, Maturing December 1, 2010

 

483,334

 

 

 

 

 

$

483,334

 

Telecommunications  4.5%

 

 

 

 

 

Alaska Communications Systems Holdings, Inc.

 

 

 

500,000

 

Term Loan, 5.49%, Maturing February 1, 2011

 

507,552

 

 

 

Centennial Cellular Operating Co., LLC

 

 

 

746,222

 

Term Loan, 5.68%, Maturing February 9, 2011

 

758,414

 

 

 

Consolidated Communications, Inc.

 

 

 

773,431

 

Term Loan, 5.77%, Maturing July 27, 2015

 

785,999

 

 

 

Fairpoint Communications, Inc.

 

 

 

2,000,000

 

Term Loan, 5.55%, Maturing February 8, 2012

 

2,028,750

 

 

 

Intelsat Ltd.

 

 

 

996,247

 

Term Loan, 5.25%, Maturing July 28, 2011

 

1,006,583

 

 

 

Iowa Telecommunications Services, Inc.

 

 

 

1,250,000

 

Term Loan, 5.50%, Maturing November 23, 2011

 

1,268,945

 

 

 

NTelos, Inc.

 

 

 

497,500

 

Term Loan, 5.99%, Maturing February 18, 2011

 

499,179

 

 

 

Qwest Corp.

 

 

 

800,000

 

Term Loan, 8.10%, Maturing June 4, 2007

 

827,438

 

 

 

Satbirds Finance SARL

 

 

 

500,000

 

Term Loan, 4.90%, Maturing April 4, 2013

 

EUR       605,807

 

500,000

 

Term Loan, 4.90%, Maturing April 4, 2013

 

EUR       606,945

 

 

 

SBA Senior Finance, Inc.

 

 

 

997,481

 

Term Loan, 5.58%, Maturing October 31, 2008

 

1,013,483

 

 

 

Spectrasite Communications, Inc.

 

 

 

995,000

 

Term Loan, 4.91%, Maturing May 19, 2012

 

1,005,468

 

 

 

Stratos Global Corp.

 

 

 

500,000

 

Term Loan, 5.74%, Maturing December 3, 2010

 

505,469

 

 

 

Syniverse Holdings, Inc.

 

 

 

497,500

 

Term Loan, 5.10%, Maturing February 15, 2012

 

501,231

 

 

 

Triton PCS, Inc.

 

 

 

748,120

 

Term Loan, 6.74%, Maturing November 18, 2009

 

752,796

 

 

 

Valor Telecom Enterprise, LLC

 

 

 

1,208,333

 

Term Loan, 5.49%, Maturing February 14, 2012

 

1,224,409

 

 

 

Western Wireless Corp.

 

 

 

2,000,000

 

Term Loan, 6.90%, Maturing May 28, 2011

 

2,006,964

 

 

 

 

 

$

15,905,432

 

 

13




 

 

 

Utilities  2.0%

 

 

 

 

 

Cogentrix Delaware Holdings, Inc.

 

 

 

$

1,773,173

 

Term Loan, 5.24%, Maturing January 14, 2012

 

$

1,795,893

 

 

 

Covanta Energy Corp.

 

 

 

248,780

 

Term Loan, 3.36%, Maturing June 24, 2012

 

252,668

 

201,220

 

Term Loan, 6.46%, Maturing June 24, 2012

 

204,741

 

250,000

 

Term Loan, 8.96%, Maturing June 24, 2013

 

250,469

 

 

 

KGen, LLC

 

 

 

189,525

 

Term Loan, 6.12%, Maturing August 5, 2011

 

188,577

 

 

 

NRG Energy, Inc.

 

 

 

546,875

 

Term Loan, 3.39%, Maturing December 24, 2011

 

553,760

 

699,609

 

Term Loan, 5.37%, Maturing December 24, 2011

 

708,417

 

 

 

Pike Electric, Inc.

 

 

 

750,000

 

Term Loan, 5.63%, Maturing July 1, 2012

 

759,375

 

 

 

Plains Resources, Inc.

 

 

 

497,500

 

Term Loan, 5.49%, Maturing December 17, 2010

 

503,097

 

 

 

Reliant Energy, Inc.

 

 

 

496,877

 

Term Loan, 6.07%, Maturing December 22, 2010

 

503,126

 

 

 

Texas Genco, LLC

 

 

 

438,462

 

Term Loan, 5.41%, Maturing December 14, 2011

 

445,548

 

1,056,231

 

Term Loan, 5.41%, Maturing December 14, 2011

 

1,073,301

 

 

 

 

 

$

7,238,972

 

Total Senior Floating Rate Interests
(identified cost $219,602,191)

 

$

217,647,105

 

 

Mortgage Pass-Throughs — 42.1%

Principal

 

 

 

 

 

Amount

 

 

 

 

 

(000’s omitted)

 

Security

 

Value

 

 

 

Federal Home Loan Mortgage Corp.:

 

 

 

$

10,123

 

7.00%, with maturity at 2013 (3)

 

$

10,590,020

 

18,896

 

8.00%, with various maturities to 2031 (3)

 

20,455,471

 

9,525

 

8.50%, with maturity at 2031

 

10,497,425

 

1,554

 

9.00%, with maturity at 2031

 

1,735,489

 

602

 

9.50%, with maturity at 2017

 

672,827

 

3,761

 

11.50%, with maturity at 2019

 

4,326,707

 

 

 

 

 

$

48,277,939

 

 

 

Federal National Mortgage Association:

 

 

 

5,022

 

6.00%, with maturity at 2026

 

5,158,896

 

19,612

 

6.50%, with maturity at 2018 (3)

 

20,331,865

 

7,152

 

7.50%, with maturity at 2028

 

7,664,235

 

3,638

 

8.00%, with various maturities to 2023

 

3,944,985

 

807

 

8.50%, with maturity at 2027

 

884,714

 

14




 

 

 

$

712

 

9.00%, with maturity at 2028

 

$

787,916

 

8,746

 

9.50%, with maturity at 2031

 

9,782,290

 

5,591

 

10.00%, with various maturities to 2031

 

6,386,149

 

 

 

 

 

$

54,941,050

 

 

 

Government National Mortgage Association:

 

 

 

1,389

 

6.50%, with maturity at 2024

 

1,448,860

 

1,346

 

8.00%, with maturity at 2017

 

1,452,345

 

7,305

 

9.00%, with maturity at 2026

 

8,157,329

 

 

 

 

 

$

11,058,534

 

 

 

Collateralized Mortgage Obligations:

 

 

 

5,605

 

Federal Home Loan Mortgage Corp., Series 2137, Class Z, 6.00%, 3/15/29

 

5,790,402

 

6,726

 

Federal Home Loan Mortgage Corp., Series 2167, Class BZ, 7.00%, 6/15/29

 

7,082,217

 

1,607

 

Federal Home Loan Mortgage Corp., Series 2214, Class NC, 11.058%, 8/15/21

 

1,814,163

 

529

 

Federal National Mortgage Association, Series 1989-89, Class H, 9.00%, 11/25/19

 

575,965

 

1,338

 

Federal National Mortgage Association, Series 1991-122, Class N, 7.50%, 9/25/21

 

1,410,107

 

8,970

 

Federal National Mortgage Association, Series 1993-84, Class M, 7.50%, 6/25/23

 

9,372,329

 

3,029

 

Federal National Mortgage Association, Series 1997-38, Class N, 8.00%, 5/20/27

 

3,220,192

 

5,213

 

Federal National Mortgage Association, Series G-33, Class PT, 7.00%, 10/25/21

 

5,446,010

 

 

 

 

 

$

34,711,385

 

Total Mortgage Pass-Throughs
(identified cost $149,956,984)

 

$

148,988,908

 

 

15




 

 

Corporate Bonds & Notes — 0.8%

Financial Intermediaries  0.1%

 

 

 

 

 

Centurion CDO 9 Ltd., Series 2005-9A

 

 

 

$

500

 

0.00%, 7/17/19

 

$

500,000

 

 

 

 

 

$

500,000

 

Radio and Television  0.6%

 

 

 

 

 

Emmis Communications Corp., Sr. Notes, Class A, Variable Rate

 

 

 

1,000

 

9.314%, 6/15/12 (4)

 

1,006,250

 

 

 

Paxson Communications Corp., Variable Rate

 

 

 

1,000

 

6.349%, 1/15/10 (4)

 

1,005,000

 

 

 

 

 

$

2,011,250

 

Telecommunications  0.1%

 

 

 

 

 

Qwest Corp., Sr. Notes, Variable Rate

 

 

 

200

 

6.671%, 6/15/13 (4)

 

210,000

 

 

 

 

 

$

210,000

 

Total Corporate Bonds & Notes
(identified cost $2,709,481)

 

$

2,721,250

 

 

Sovereign Issues — 2.2%

$

16,246,000

 

Republic of Colombia, 11.75%, 3/1/10

 

COP     7,632,881

 

Total Sovereign Issues
(identified cost $7,374,088)

 

$

7,632,881

 

 

Commercial Paper — 2.8%

Principal

 

Maturity

 

 

 

 

 

 

 

Amount

 

Date

 

Borrower

 

Rate

 

Amount

 

$

4,633,000

 

08/01/05

 

Barclays US Funding, LLC

 

3.25

%

$

4,633,000

 

5,284,000

 

08/01/05

 

General Electric Capital Corp.

 

3.29

%

5,284,000

 

Total Commercial Paper
(at amortized cost $9,917,000)

 

 

 

$

9,917,000

 

 

16




 

 

Short-Term Investments — 0.7%

Principal

 

Maturity

 

 

 

 

 

 

 

Amount

 

Date

 

Borrower

 

Rate

 

Amount

 

2,450,000

 

08/01/05

 

Investors Bank and Trust Company Time Deposit

 

3.30

%

$

2,450,000

 

Total Short-Term Investments
(at amortized cost $2,450,000)

 

 

 

$

2,450,000

 

Gross Investments  110.1%
(identified cost $392,009,744)

 

 

 

$

389,357,144

 

Less Unfunded Loan Commitments  (0.1)%

 

 

 

$

(295,364

)

Net Investments  110.0%
(identified cost $391,714,380)

 

 

 

$

389,061,780

 

Other Assets, Less Liabilities  (10.0)%

 

 

 

$

(35,301,508

)

Net Assets  100.0%

 

 

 

$

353,760,272

 

 

COP

Colombian Peso

EUR

Euro

GBP

British Pound

(1)

 

Senior floating-rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the senior floating-rate interests will have an expected average life of approximately two to three years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

(2)

 

Unfunded loan commitments. The Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrower’s discretion.

(3)

 

All or a portion of these securities were on loan at July 31, 2005.

(4)

 

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, 2005, the aggregate value of the securities is $2,221,250 or 0.6% of the Fund’s net assets.

 

17




 

 

A summary of financial instruments at July 31, 2005 is as follows:

Forward Foreign Currency Exchange Contracts

Sales

 

 

 

 

 

 

Net Unrealized

 

Settlement

 

 

 

 

 

Appreciation

 

Date(s)

 

Deliver

 

In Exchange For

 

(Depreciation)

 

8/22/05

 

British Pound Sterling
2,005,926

 

United States Dollar
3,502,457

 

 

$

(27,157

)

 

8/22/05

 

Euro
22,850,000

 

United States Dollar
27,573,933

 

 

(203,194

)

 

8/29/05

 

Euro
8,570,000

 

United States Dollar
10,348,104

 

 

(72,269

)

 

8/31/05

 

Euro
5,500,000

 

United States Dollar
6,624,723

 

 

(63,312

)

 

8/11/05

 

Japanese Yen
1,200,000,000

 

United States Dollar
10,740,081

 

 

25,538

 

 

 

 

 

 

 

 

 

$

(340,394

)

 

 

Purchases

 

 

 

 

 

 

Net Unrealized

 

Settlement

 

 

 

 

 

Appreciation

 

Date(s)

 

In Exchange For

 

Deliver

 

(Depreciation)

 

8/25/05

 

Euro
2,683,026

 

Czech Koruna
80,875,800

 

 

$

1,383

 

 

8/22/05

 

Icelandic Krona
545,174,800

 

Euro
6,921,976

 

 

(7,422

)

 

8/29/05

 

Indonesian Rupiah
150,000,000,000

 

United States Dollar
15,177,578

 

 

39,635

 

 

8/05/05

 

Polish Zloty
17,663,000

 

Euro
4,387,560

 

 

(54,632

)

 

8/22/05

 

Romanian Leu
21,068,900

 

Euro
5,900,000

 

 

91,556

 

 

8/29/05

 

Romanian Leu
10,646,900

 

Euro
2,998,016

 

 

34,522

 

 

8/08/05

 

Slovakia Koruna
737,548,840

 

Euro
19,262,682

 

 

(408,557

)

 

8/08/05

 

Turkish Lira
10,097,900

 

United States Dollar
7,413,479

 

 

190,746

 

 

8/22/05

 

Turkish Lira
10,000,000

 

United States Dollar
7,413,448

 

 

84,998

 

 

 

 

 

 

 

 

 

$

(27,771

)

 

 

18




 

 

Credit Default Swaps

Notional

 

Expiration

 

 

 

Net Unrealized

 

Amount

 

Date

 

Description

 

Appreciation

 

10,000,000 USD

 

3/20/2010

 

Agreement with Credit Suisse First Boston dated 3/05/2005 whereby the Fund will pay 2.01% per year times the notional amount. In exchange for that periodic payment, upon a default event in Turkey, Credit Suisse First Boston agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Turkey to Credit Suisse First Boston.

 

 

$

136,630

 

 

10,000,000 USD

 

3/20/2010

 

Agreement with JP Morgan Chase Bank dated 3/05/2005 whereby the Fund will pay 2.00% per year times the notional amount. In exchange for that periodic payment, upon a default event in Turkey, JP Morgan Chase Bank agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Turkey to JP Morgan Chase Bank.

 

 

$

140,647

 

 

 

At July 31, 2005, the Fund had sufficient cash and/or securities to cover commitments under these contracts.

The cost and unrealized appreciation (depreciation) in value of the investments owned by the Fund at July 31, 2005, as computed on a federal income tax basis, were as follows:

Aggregate cost

 

$

391,881,207

 

Gross unrealized appreciation

 

$

784,248

 

Gross unrealized depreciation

 

(3,603,675

)

Net unrealized depreciation

 

$

(2,819,427

)

 

The net unrealized appreciation on foreign currency at July 31, 2005 on a federal income tax basis was $2,437.

19




Item 2. Controls and Procedures

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

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




Signatures

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

Eaton Vance Short Duration Diversified Income Fund

By:

 

/s/ Thomas E. Faust Jr.

 

 

Thomas E. Faust Jr.

 

 

President and Principal Executive Officer

Date:

 

September 22, 2005

 

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

By:

 

/s/ Thomas E. Faust Jr.

 

 

Thomas E. Faust Jr.

 

 

President and Principal Executive Officer

Date:

 

September 22, 2005

By:

 

/s/ James L. O’Connor

 

 

James L. O’Connor

 

 

Treasurer and Principal Financial Officer

Date:

 

September 22, 2005