Edgar Filing: Eaton Vance Short Duration Diversified Income Fund

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number		811-21563
Eaton Vance Short Duration Diversified Income Fund
(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts		02109
(Address of Principal Executive Offices)		(Zipcode)
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:		January 31, 2006

Item 1. Schedule of Investments

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

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior, Floating Rate Interests — 79.7% (1)

Principal Amount			Borrower/Tranche Description	Value
Aerospace and Defense — 1.6%
			Delta Air Lines, Inc.
$	425,000		Term Loan, 13.51%, Maturing March 16, 2008	$	439,078
			Hexcel Corp.
822,222			Term Loan, 6.30%, Maturing March 1, 2012	831,129
			K&F Industries, Inc.
613,672			Term Loan, 6.87%, Maturing November 18, 2012	621,343
			Mid-Western Aircraft Systems, Inc.
1,853,615			Term Loan, 6.85%, Maturing December 31, 2011	1,880,841
			Standard Aero Holdings, Inc.
711,966			Term Loan, 6.89%, Maturing August 24, 2012	707,961
			Vought Aircraft Industries, Inc.
181,818			Term Loan, 6.89%, Maturing December 22, 2010	184,091
810,481			Term Loan, 7.07%, Maturing December 22, 2011	819,194
				$	5,483,637
Air Transport — 0.3%
			United Airlines, Inc.
200,000			DIP Loan, 0.75%, Maturing March 31, 2006 (2)	200,625
722,935			Term Loan, 8.62%, Maturing December 31, 2006	728,808
				$	929,433
Automotive — 4.4%
			Accuride Corp.
753,864			Term Loan, 6.55%, Maturing January 31, 2012	763,947
			Affina Group, Inc.
888,482			Term Loan, 7.67%, Maturing November 30, 2011	883,595
			Axletech International Holding, Inc.
425,000			Term Loan, 10.95%, Maturing April 21, 2013	428,010
			CSA Acquisition Corp.
379,500			Term Loan, 6.56%, Maturing December 23, 2011	381,113
610,500			Term Loan, 6.56%, Maturing December 23, 2011	613,095
			Dayco Europe S.R.I.
921,582		EUR	Term Loan, 4.90%, Maturing June 21, 2010	1,121,875
			Delphi Corp.
500,000			Term Loan, 7.38%, Maturing October 8, 2007	507,708
			Dura Operating Corp.
647,000			Term Loan, 7.94%, Maturing May 3, 2011	648,617
			Exide Technologies
1,469,860		EUR	Term Loan, 7.74%, Maturing May 5, 2010	1,798,237
			Federal-Mogul Corp.
500,000			DIP Loan, 6.56%, Maturing December 9, 2006	502,500
361,345			Term Loan, 6.81%, Maturing December 9, 2006	336,842
420,728			Term Loan, 7.06%, Maturing December 9, 2006	394,302

			Goodyear Tire & Rubber Co.
$	635,000		Term Loan, 7.06%, Maturing April 30, 2010	$	642,210
500,000			Term Loan, 7.81%, Maturing March 1, 2011	502,250
			R.J. Tower Corp.
370,000			DIP Revolving Loan, 7.25%, Maturing February 2, 2007	377,929
			Tenneco Automotive, Inc.
963,141			Term Loan, 6.63%, Maturing December 12, 2009	979,033
418,922			Term Loan, 6.64%, Maturing December 12, 2010	425,834
			The Goodyear Dunlop Tires
1,000,000		EUR	Term Loan, 4.52%, Maturing April 30, 2010	1,221,282
			Trimas Corp.
887,030			Term Loan, 8.38%, Maturing December 31, 2009	894,792
			TRW Automotive, Inc.
990,000			Term Loan, 6.00%, Maturing October 31, 2010	994,207
990,000			Term Loan, 6.25%, Maturing June 30, 2012	991,719
				$	15,409,097
Beverage and Tobacco — 1.0%
			Alliance One International, Inc.
248,125			Term Loan, 8.03%, Maturing May 13, 2010	249,055
			Constellation Brands, Inc.
1,174,167			Term Loan, 5.90%, Maturing November 30, 2011	1,189,358
			Culligan International Co.
495,000			Term Loan, 6.97%, Maturing September 30, 2011	501,909
			National Dairy Holdings, L.P.
496,250			Term Loan, 6.57%, Maturing March 15, 2012	499,041
			National Distribution Company
250,000			Term Loan, 11.06%, Maturing June 22, 2010	250,625
			Southern Wine & Spirits of America, Inc.
992,500			Term Loan, 6.03%, Maturing June 1, 2012	1,002,270
				$	3,692,258
Building and Development — 4.2%
			Biomed Realty, L.P.
660,000			Term Loan, 6.64%, Maturing May 31, 2010	661,650
			Epco / Fantome, LLC
500,000			Term Loan, 7.57%, Maturing November 23, 2010	500,625
			Gables GP, Inc.
402,276			Term Loan, 6.16%, Maturing September 30, 2006	404,874
			General Growth Properties, Inc.
1,657,313			Term Loan, 6.22%, Maturing November 12, 2007	1,660,248
			Hovstone Holdings, LLC
265,000			Term Loan, 6.78%, Maturing February 28, 2009	265,662
			Kyle Acquisition Group, LLC
115,371			Term Loan, 6.50%, Maturing July 20, 2010	116,164

			LNR Property Corp.
$	1,469,955		Term Loan, 7.28%, Maturing February 3, 2008	$	1,482,588
			MAAX Corp.
634,116			Term Loan, 7.51%, Maturing June 4, 2011	615,093
			Mueller Group, Inc.
623,438			Term Loan, 6.75%, Maturing October 3, 2012	631,620
			NCI Building Systems, Inc.
744,201			Term Loan, 5.85%, Maturing June 18, 2010	749,085
			Newkirk Master, L.P.
773,008			Term Loan, 6.14%, Maturing August 11, 2008	779,772
			Nortek, Inc.
992,462			Term Loan, 6.95%, Maturing August 27, 2011	1,001,457
			Panolam Industries Holdings, Inc.
199,500			Term Loan, 7.28%, Maturing September 30, 2012	202,492
			Stile Acquisition Corp.
937,114			Term Loan, 6.63%, Maturing April 6, 2013	915,346
			Stile U.S. Acquisition Corp.
938,711			Term Loan, 6.63%, Maturing April 6, 2013	916,905
			Sugarloaf Mills, L.P.
1,000,000			Term Loan, 6.26%, Maturing April 7, 2007	1,005,000
			The Woodlands Community Property Co.
1,000,000			Term Loan, 6.78%, Maturing November 30, 2007	1,007,500
			Tru 2005 Re Holding Co.
1,325,000			Term Loan, 7.39%, Maturing December 9, 2008	1,319,756
			Trustreet Properties, Inc.
385,000			Term Loan, 6.39%, Maturing April 8, 2010	388,850
				$	14,624,687
Business Equipment and Services — 2.7%
			Acco Brands Corp.
1,484,962			Term Loan, 6.25%, Maturing August 17, 2012	1,504,638
			Affinion Group, Inc.
546,977			Term Loan, 7.10%, Maturing October 17, 2012	544,242
			Buhrmann US, Inc.
1,994,937		EUR	Term Loan, 4.22%, Maturing December 23, 2010	2,434,564
			DynCorp International, LLC
496,250			Term Loan, 7.13%, Maturing February 11, 2011	501,419
			Global Imaging Systems, Inc.
494,975			Term Loan, 5.99%, Maturing May 10, 2010	498,687
			Protection One, Inc.
196,411			Term Loan, 7.44%, Maturing April 18, 2011	198,497
			Sungard Data Systems, Inc.
2,989,987			Term Loan, 6.81%, Maturing February 11, 2013	3,024,247
			Williams Scotsman, Inc.
930,000			Term Loan, 6.91%, Maturing June 28, 2010	942,594
				$	9,648,888

Cable and Satellite Television — 5.0%
			Adelphia Communications Corp.
$	497,364		DIP Loan, 6.31%, Maturing March 31, 2006	$	499,851
			Canadian Cable Acquisition
497,500			Term Loan, 9.50%, Maturing July 27, 2011	504,341
			Cebridge Connections, Inc.
997,462			Term Loan, 10.43%, Maturing February 23, 2010	1,034,867
			Charter Communications Operating, LLC
2,496,896			Term Loan, 7.67%, Maturing April 27, 2010	2,510,207
997,468			Term Loan, 7.92%, Maturing April 27, 2011	1,005,573
			Eno (Altice One)
500,000		EUR	Term Loan, 4.88%, Maturing December 31, 2013	613,221
500,000		EUR	Term Loan, 5.38%, Maturing December 31, 2014	615,878
			Iesy Hessen GmbH and Co., KG
2,000,000		EUR	Term Loan, 5.21%, Maturing February 14, 2013	2,442,960
			NTL Investment Holdings Ltd.
1,000,000		GBP	Term Loan, 7.61%, Maturing April 13, 2011	1,780,371
			PKS Media (Netherlands) B.V.
500,000		EUR	Term Loan, 4.89%, Maturing October 5, 2013	606,801
1,000,000		EUR	Term Loan, 5.14%, Maturing October 5, 2013	1,228,071
1,000,000		EUR	Term Loan, 5.64%, Maturing October 5, 2014	1,233,646
			UGS Corp.
1,800,453			Term Loan, 6.55%, Maturing March 31, 2012	1,825,209
			UPC Broadband Holdings B.V.
1,500,000		EUR	Term Loan, 5.24%, Maturing September 30, 2012	1,818,718
				$	17,719,714
Chemicals and Plastics — 5.5%
			Basell Af S.A.R.L.
208,333			Term Loan, 6.91%, Maturing August 1, 2013	211,784
41,667			Term Loan, 6.91%, Maturing August 1, 2013	42,295
208,333			Term Loan, 7.67%, Maturing August 1, 2014	211,784
41,667			Term Loan, 7.67%, Maturing August 1, 2014	42,325
			Brenntag Holding GmbH and Co.
1,000,778		EUR	Term Loan, 7.35%, Maturing December 23, 2013	1,230,435
			Celanese Holdings, LLC
1,983,020		EUR	Term Loan, 4.74%, Maturing April 6, 2011	2,432,061
992,983			Term Loan, 6.53%, Maturing April 6, 2011	1,004,774
			Gentek, Inc.
706,221			Term Loan, 7.09%, Maturing February 25, 2011	713,019
			Hercules, Inc.
860,155			Term Loan, 6.31%, Maturing October 8, 2010	871,444
			Hexion Specialty Chemicals, Inc.
35,000			Term Loan, 4.29%, Maturing May 31, 2012	35,558
209,647			Term Loan, 7.06%, Maturing May 31, 2012	212,988
152,534			Term Loan, 7.13%, Maturing May 31, 2012	154,965

			Huntsman International, LLC
$	1,380,881		Term Loan, 6.23%, Maturing August 16, 2012	$	1,389,944
			Innophos, Inc.
710,187			Term Loan, 6.80%, Maturing August 13, 2010	720,248
			Invista B.V.
632,697			Term Loan, 6.38%, Maturing April 29, 2011	640,342
321,620			Term Loan, 6.38%, Maturing April 29, 2011	325,506
			Kraton Polymer, LLC
744,304			Term Loan, 7.02%, Maturing December 23, 2010	755,468
			Nalco Co.
2,000,000			Term Loan, 6.56%, Maturing November 4, 2010	2,027,876
			PQ Corp.
992,500			Term Loan, 6.56%, Maturing February 11, 2012	1,005,527
			Professional Paint, Inc.
240,385			Term Loan, 7.29%, Maturing September 30, 2011	242,187
			Rockwood Specialties Group
1,485,000		EUR	Term Loan, 5.29%, Maturing July 30, 2012	1,823,522
			Sigmakalon (BC) Holdco B.V.
8,871		EUR	Term Loan, 5.24%, Maturing September 9, 2013	10,771
173,632		EUR	Term Loan, 5.24%, Maturing September 9, 2013	210,826
317,498		EUR	Term Loan, 5.24%, Maturing September 9, 2013	385,511
107,857		EUR	Term Loan, 5.74%, Maturing September 9, 2014	131,598
30,222		EUR	Term Loan, 5.74%, Maturing September 9, 2014	36,790
26,409		EUR	Term Loan, 5.74%, Maturing September 9, 2014	32,222
335,513		EUR	Term Loan, 5.74%, Maturing September 9, 2014	409,365
1,000,000		EUR	Term Loan, 7.99%, Maturing September 9, 2015	1,202,916
			Solo Cup Co.
940,032			Term Loan, 7.03%, Maturing February 27, 2011	949,628
				$	19,463,679
Clothing/Textiles — 0.1%
			St. John Knits International, Inc.
152,907			Term Loan, 7.06%, Maturing March 23, 2012	155,200
			The William Carter Co.
215,016			Term Loan, 6.49%, Maturing July 14, 2012	217,524
				$	372,724
Conglomerates — 2.2%
			Amsted Industries, Inc.
477,276			Term Loan, 7.10%, Maturing October 15, 2010	484,634
			Bushnell Performance Optics
498,780			Term Loan, 7.53%, Maturing August 19, 2011	503,976
			Euramax International, Inc.
167,105			Term Loan, 11.54%, Maturing June 28, 2013	157,914
82,895			Term Loan, 11.54%, Maturing June 28, 2013	78,336
			Goodman Global Holdings, Inc.
445,936			Term Loan, 6.94%, Maturing December 23, 2011	452,904

			Jarden Corp.
$	266,809		Term Loan, 6.28%, Maturing January 24, 2012	$	268,077
474,052			Term Loan, 6.53%, Maturing January 24, 2012	478,158
			Johnson Diversey, Inc.
1,629,963			Term Loan, 6.78%, Maturing December 16, 2011	1,646,670
			Polymer Group, Inc.
1,350,000			Term Loan, 6.77%, Maturing November 22, 2012	1,366,031
			PP Acquisition Corp.
1,052,888			Term Loan, 7.53%, Maturing November 12, 2011	1,048,062
			Rexnord Corp.
625,422			Term Loan, 6.49%, Maturing December 31, 2011	633,501
			US Investigations Services, Inc.
673,313			Term Loan, 7.00%, Maturing October 14, 2012	677,942
				$	7,796,205
Containers and Glass Products — 4.3%
			Berry Plastics Corp.
1,246,026			Term Loan, 6.45%, Maturing December 2, 2011	1,263,938
			Crown Americas, Inc.
1,000,000		EUR	Term Loan, 4.12%, Maturing November 15, 2012	1,214,300
			Graham Packaging Holdings Co.
1,237,500			Term Loan, 6.84%, Maturing October 7, 2011	1,254,184
500,000			Term Loan, 8.81%, Maturing April 7, 2012	512,291
			Graphic Packaging International, Inc.
2,394,279			Term Loan, 6.98%, Maturing August 8, 2010	2,433,935
			JSG Acquisitions
1,250,000		EUR	Term Loan, 5.14%, Maturing December 31, 2014	1,517,116
1,250,000		EUR	Term Loan, 5.64%, Maturing December 31, 2014	1,517,116
			Owens-Illinois, Inc.
1,169,682		EUR	Term Loan, 4.14%, Maturing April 1, 2008	1,429,667
			Pregis Corp.
997,500			Term Loan, 6.82%, Maturing October 12, 2011	1,005,917
			Smurfit-Stone Container Corp.
428,496			Term Loan, 4.29%, Maturing November 1, 2010	433,130
1,565,087			Term Loan, 6.71%, Maturing November 1, 2011	1,582,303
827,043			Term Loan, 6.73%, Maturing November 1, 2011	836,141
				$	15,000,038
Cosmetics/Toiletries — 0.5%
			American Safety Razor Co.
464,028			Term Loan, 7.15%, Maturing February 28, 2012	470,988
			Prestige Brands, Inc.
744,410			Term Loan, 6.34%, Maturing April 6, 2011	751,855
			Revlon Consumer Products Corp.
656,250			Term Loan, 10.23%, Maturing July 9, 2010	676,860
				$	1,899,703

Drugs — 0.5%
			Patheon, Inc.
$	600,000		Term Loan, 6.91%, Maturing December 14, 2011	$	603,750
			Warner Chilcott Corp.
780,708			Term Loan, 7.14%, Maturing January 18, 2012	785,038
314,587			Term Loan, 7.28%, Maturing January 18, 2012	316,332
145,330			Term Loan, 7.28%, Maturing January 18, 2012	146,136
				$	1,851,256
Ecological Services and Equipment — 0.7%
			Allied Waste Industries, Inc.
200,676			Term Loan, 2.31%, Maturing January 15, 2012	202,545
516,879			Term Loan, 6.35%, Maturing January 15, 2012	521,482
			Envirocare of Utah, LLC
306,591			Term Loan, 7.38%, Maturing April 15, 2010	310,679
			Environmental Systems Products Holdings, Inc.
619,178			Term Loan, 8.07%, Maturing December 12, 2008	630,982
			Sensus Metering Systems, Inc.
53,627			Term Loan, 6.81%, Maturing December 17, 2010	54,213
414,818			Term Loan, 6.84%, Maturing December 17, 2010	419,355
			Synagro Technologies, Inc.
37,857			Term Loan, 6.75%, Maturing June 21, 2012	37,952
227,143			Term Loan, 6.86%, Maturing June 21, 2012	228,279
				$	2,405,487
Electronics/Electrical — 1.5%
			AMI Semiconductor, Inc.
253,089			Term Loan, 6.06%, Maturing April 1, 2012	254,776
			Aspect Software, Inc.
750,000			Term Loan, 6.56%, Maturing September 22, 2010	757,031
			Avago Technologies Finance PTE
400,000			Term Loan, 6.85%, Maturing December 1, 2012	401,438
			Security Co., Inc.
744,341			Term Loan, 9.50%, Maturing June 30, 2010	749,923
			Spectrum Brands, Inc.
2,000,000		EUR	Term Loan, 4.77%, Maturing February 7, 2012	2,435,684
			Telcordia Technologies, Inc.
671,184			Term Loan, 6.91%, Maturing September 15, 2012	664,053
				$	5,262,905
Equipment Leasing — 0.6%
			Ashtead Group, PLC
990,000			Term Loan, 6.13%, Maturing November 12, 2009	1,000,210
			Maxim Crane Works, L.P.
500,000			Term Loan, 9.94%, Maturing January 28, 2012	513,958

			United Rentals, Inc.
$	84,034		Term Loan, 4.39%, Maturing February 14, 2011	$	85,084
412,815			Term Loan, 6.79%, Maturing February 14, 2011	417,975
				$	2,017,227
Financial Intermediaries — 1.9%
			AIMCO Properties, L.P.
300,000			Term Loan, 6.35%, Maturing November 2, 2009	304,219
1,500,000			Term Loan, 6.42%, Maturing November 2, 2009	1,522,969
			Ameritrade Holding Corp.
1,300,000			Term Loan, 6.04%, Maturing December 31, 2012	1,308,287
			Blitz F04-506 GmbH
500,000		EUR	Term Loan, 5.46%, Maturing June 30, 2014	616,068
			Fidelity National Information Solutions, Inc.
2,726,367			Term Loan, 6.19%, Maturing March 9, 2013	2,745,452
			The Macerich Partnership, L.P.
260,000			Term Loan, 5.94%, Maturing April 25, 2010	261,896
				$	6,758,891
Food Products — 1.9%
			Acosta, Inc.
1,275,000			Term Loan, 6.82%, Maturing December 6, 2012	1,289,344
			American Seafoods Group, LLC
987,500			Term Loan, 6.28%, Maturing September 30, 2011	1,001,695
			BF Bolthouse HoldCo LLC
375,000			Term Loan, 9.92%, Maturing December 16, 2013	384,219
			Chiquita Brands, LLC
912,295			Term Loan, 6.56%, Maturing June 28, 2012	923,129
			Doane Pet Care Co.
199,500			Term Loan, 6.77%, Maturing October 21, 2012	202,368
			Dole Food Company, Inc.
245,023			Term Loan, 6.06%, Maturing April 18, 2012	246,336
			Herbalife International, Inc.
448,867			Term Loan, 6.39%, Maturing December 21, 2010	453,168
			Michael Foods, Inc.
250,000			Term Loan, 6.66%, Maturing November 21, 2010	253,489
			Nash-Finch Co.
500,000			Term Loan, 6.81%, Maturing November 12, 2010	503,750
			Reddy Ice Group, Inc.
925,000			Term Loan, 6.32%, Maturing August 9, 2012	934,540
			The Meow Mix Company
351,579			Term Loan, 7.74%, Maturing July 13, 2011	357,072
				$	6,549,110
Food Service — 1.0%
			Carrols Corp.
482,570			Term Loan, 7.00%, Maturing December 31, 2010	489,809

			Denny’s, Inc.
$	990,009		Term Loan, 7.61%, Maturing September 30, 2009	$	1,009,603
			Domino’s, Inc.
1,040,195			Term Loan, 6.06%, Maturing June 25, 2010	1,052,548
			Jack in the Box, Inc.
977,896			Term Loan, 5.92%, Maturing January 8, 2011	988,286
				$	3,540,246
Food/Drug Retailers — 1.1%
			General Nutrition Centers, Inc.
989,899			Term Loan, 7.49%, Maturing December 7, 2009	1,003,820
			Giant Eagle, Inc.
450,000			Term Loan, 5.98%, Maturing November 7, 2012	452,742
			Roundy’s Supermarkets, Inc.
825,000			Term Loan, 7.46%, Maturing November 3, 2011	822,937
			The Jean Coutu Group (PJC), Inc.
1,456,302			Term Loan, 6.94%, Maturing July 30, 2011	1,475,316
				$	3,754,815
Forest Products — 2.1%
			Boise Cascade Holdings, LLC
2,385,185			Term Loan, 6.29%, Maturing October 29, 2011	2,419,770
			Buckeye Technologies, Inc.
598,477			Term Loan, 6.28%, Maturing March 15, 2008	603,838
			NewPage Corp.
960,175			Term Loan, 7.56%, Maturing May 2, 2011	972,177
			RLC Industries Co.
1,441,277			Term Loan, 6.03%, Maturing February 24, 2010	1,449,384
			Xerium Technologies, Inc.
1,586,507		EUR	Term Loan, 4.74%, Maturing May 18, 2012	1,943,352
				$	7,388,521
Healthcare — 5.0%
			Accellent, Inc.
600,000			Term Loan, 6.39%, Maturing November 22, 2012	605,250
			Alliance Imaging, Inc.
493,429			Term Loan, 7.13%, Maturing December 29, 2011	494,725
			AMR HoldCo, Inc.
354,643			Term Loan, 6.71%, Maturing February 10, 2012	359,076
			Carl Zeiss Topco GMBH
166,667			Term Loan, 6.95%, Maturing February 28, 2013	168,125
333,333			Term Loan, 7.45%, Maturing February 28, 2014	335,833
500,000			Term Loan, 9.70%, Maturing August 31, 2014	509,375
			Colgate Medical, Ltd.
282,297			Term Loan, 6.60%, Maturing December 30, 2008	283,885
			Community Health Systems, Inc.
989,975			Term Loan, 6.16%, Maturing August 19, 2011	1,004,103

			Concentra Operating Corp.
$	1,072,313		Term Loan, 6.69%, Maturing September 30, 2011	$	1,086,834
			Davita, Inc.
1,720,688			Term Loan, 6.76%, Maturing October 5, 2012	1,747,281
			Encore Medical IHC, Inc.
542,163			Term Loan, 7.49%, Maturing October 4, 2010	548,263
			FHC Health Systems, Inc.
294,118			Term Loan, 10.41%, Maturing December 18, 2009	300,000
205,882			Term Loan, 12.41%, Maturing December 18, 2009	210,000
			Healthsouth Corp.
444,641			Term Loan, 7.07%, Maturing June 14, 2007	446,725
53,125			Term Loan, 2.50%, Maturing March 21, 2010	53,374
			Kinetic Concepts, Inc.
332,884			Term Loan, 6.28%, Maturing August 11, 2010	336,906
			Lifecare Holdings, Inc.
224,438			Term Loan, 6.65%, Maturing August 11, 2012	203,350
			Lifepoint Hospitals, Inc.
1,653,993			Term Loan, 6.19%, Maturing April 15, 2012	1,665,939
			Moinlycke
500,000		EUR	Term Loan, 4.98%, Maturing November 4, 2013	616,144
500,000		EUR	Term Loan, 5.48%, Maturing November 4, 2014	618,921
			National Mentor, Inc.
946,877			Term Loan, 6.81%, Maturing September 30, 2011	959,304
			Select Medical Holding Corp.
496,250			Term Loan, 6.12%, Maturing February 24, 2012	492,115
			Sirona Dental Services GmbH
340,000		EUR	Term Loan, 4.98%, Maturing June 30, 2013	417,550
160,000		EUR	Term Loan, 4.96%, Maturing June 30, 2013	196,494
			Talecris Biotherapeutics, Inc.
248,125			Term Loan, 7.63%, Maturing March 31, 2010	247,505
			Vanguard Health Holding Co., LLC
744,375			Term Loan, 6.95%, Maturing September 23, 2011	754,765
			Ventiv Health, Inc.
997,500			Term Loan, 6.03%, Maturing October 5, 2011	1,004,358
			VWR International, Inc.
1,576,667		EUR	Term Loan, 5.26%, Maturing April 7, 2011	1,934,090
				$	17,600,290
Home Furnishings — 0.4%
			Oreck Corp.
496,241			Term Loan, 7.28%, Maturing February 2, 2012	501,823
			Sealy Mattress Co.
840,266			Term Loan, 6.14%, Maturing April 6, 2012	850,507
				$	1,352,330

Industrial Equipment — 0.9%
		Alliance Laundry Holdings, LLC
$	318,242	Term Loan, 6.73%, Maturing January 27, 2012	$	322,817
		Douglas Dynamics Holdings, Inc.
990,008		Term Loan, 6.28%, Maturing December 16, 2010	997,433
		Gleason Corp.
420,147		Term Loan, 6.97%, Maturing July 27, 2011	425,399
		MTD Products, Inc.
1,240,554		Term Loan, 6.19%, Maturing June 1, 2010	1,251,409
			$	2,997,058
Insurance — 0.6%
		ARG Holding, Inc.
400,000		Term Loan, 7.22%, Maturing November 30, 2011	404,750
		Conseco, Inc.
875,526		Term Loan, 6.47%, Maturing June 22, 2010	883,187
		Hilb, Rogal & Hobbs Co.
967,725		Term Loan, 6.81%, Maturing June 30, 2007	978,007
			$	2,265,944
Leisure Goods/Activities/Movies — 3.1%
		24 Hour Fitness Worldwide, Inc.
405,000		Term Loan, 7.62%, Maturing June 8, 2012	410,738
		Cinemark, Inc.
1,468,825		Term Loan, 6.53%, Maturing March 31, 2011	1,490,490
		Fender Musical Instruments Co.
250,000		Term Loan, 8.72%, Maturing March 30, 2012	251,250
		Metro-Goldwyn-Mayer Holdings, Inc.
2,165,000		Term Loan, 6.78%, Maturing April 8, 2012	2,189,848
		Regal Cinemas Corp.
2,977,311		Term Loan, 6.53%, Maturing November 10, 2010	3,014,899
		Six Flags Theme Parks, Inc.
1,486,171		Term Loan, 6.95%, Maturing June 30, 2009	1,505,330
		Universal City Development Partners, Ltd.
990,000		Term Loan, 6.50%, Maturing June 9, 2011	1,002,581
		WMG Acquisition Corp.
994,122		Term Loan, 6.50%, Maturing February 28, 2011	1,004,762
			$	10,869,898
Lodging and Casinos — 3.6%
		Alliance Gaming Corp.
997,213		Term Loan, 8.18%, Maturing September 4, 2009	998,772
		Ameristar Casinos, Inc.
275,000		Term Loan, 5.87%, Maturing November 10, 2012	277,535

			Columbia Entertainment
$	498,750		Term Loan, 7.03%, Maturing October 24, 2011	$	502,647
			Gala Electric Casinos, Ltd.
875,000		GBP	Term Loan, 7.17%, Maturing December 12, 2013	1,563,388
875,000		GBP	Term Loan, 7.67%, Maturing December 12, 2014	1,569,618
			Isle of Capri Casinos, Inc.
1,980,000			Term Loan, 6.29%, Maturing February 4, 2011	2,005,740
			Marina District Finance Co., Inc.
990,000			Term Loan, 6.31%, Maturing October 20, 2011	996,961
			Penn National Gaming, Inc.
1,411,463			Term Loan, 6.34%, Maturing October 3, 2012	1,431,752
			Pinnacle Entertainment, Inc.
225,000			Term Loan, 0.50%, Maturing December 14, 2011 (2)	225,984
200,000			Term Loan, 6.49%, Maturing December 14, 2011	201,958
			Resorts International Holdings, LLC
718,030			Term Loan, 7.53%, Maturing April 26, 2012	706,003
187,612			Term Loan, 12.03%, Maturing April 26, 2013	169,977
			Venetian Casino Resort, LLC
1,243,590			Term Loan, 6.28%, Maturing June 15, 2011	1,255,929
256,410			Term Loan, 6.28%, Maturing June 15, 2011	258,954
			Wynn Las Vegas, LLC
500,000			Term Loan, 6.69%, Maturing December 14, 2011	505,813
				$	12,671,031
Nonferrous Metals/Minerals — 1.3%
			Alpha Natural Resources, LLC
500,000			Term Loan, 6.32%, Maturing October 26, 2012	502,604
			Foundation Coal Corp.
836,343			Term Loan, 6.35%, Maturing July 30, 2011	851,559
			International Mill Service, Inc.
498,750			Term Loan, 7.28%, Maturing December 31, 2010	506,231
			Murray Energy Corp.
744,375			Term Loan, 7.56%, Maturing January 28, 2010	746,701
			Novelis, Inc.
394,194			Term Loan, 6.01%, Maturing January 6, 2012	399,306
684,652			Term Loan, 6.01%, Maturing January 6, 2012	693,532
			Pinnoak Resources, LLC
500,000			Term Loan, 7.89%, Maturing November 22, 2012	503,750
			Trout Coal Holdings, LLC
500,000			Term Loan, 10.83%, Maturing March 23, 2012	500,000
				$	4,703,683

Oil and Gas — 3.3%
			Coffeyville Resources, LLC
$	400,601		Term Loan, 3.87%, Maturing June 24, 2011	$	406,235
597,901			Term Loan, 7.07%, Maturing June 24, 2012	606,309
			Dresser Rand Group, Inc.
976,902		EUR	Term Loan, 4.71%, Maturing October 29, 2011	1,192,183
			El Paso Corp.
1,000,000			Term Loan, 4.29%, Maturing November 23, 2009	1,005,417
1,229,920			Term Loan, 7.31%, Maturing November 23, 2009	1,239,742
			Epco Holdings, Inc.
990,000			Term Loan, 6.78%, Maturing August 18, 2010	1,004,618
			Key Energy Services, Inc.
500,000			Term Loan, 7.68%, Maturing June 30, 2012	507,709
			LB Pacific, L.P.
714,600			Term Loan, 7.09%, Maturing March 3, 2012	725,319
			Lyondell-Citgo Refining, L.P.
1,970,000			Term Loan, 6.53%, Maturing May 21, 2007	1,989,700
			Petroleum Geo-Services ASA
775,000			Term Loan, 7.00%, Maturing December 16, 2012	785,414
			Targa Resources, Inc.
390,000			Term Loan, 6.83%, Maturing October 31, 2007	391,463
87,903			Term Loan, 4.40%, Maturing October 31, 2012	88,892
545,729			Term Loan, 6.74%, Maturing October 31, 2012	551,868
			Universal Compression, Inc.
997,489			Term Loan, 6.03%, Maturing February 15, 2012	1,009,335
				$	11,504,204
Publishing — 4.9%
			CBD Media, LLC
862,745			Term Loan, 6.99%, Maturing December 31, 2009	875,956
			Dex Media East, LLC
1,830,316			Term Loan, 6.19%, Maturing May 8, 2009	1,848,100
			Dex Media West, LLC
859,482			Term Loan, 6.25%, Maturing March 9, 2010	868,435
			Hanley-Wood, LLC
53,338			Term Loan, 1.13%, Maturing August 1, 2012 (2)	53,627
446,662			Term Loan, 6.56%, Maturing August 1, 2012	449,082
			Herald Media, Inc.
494,678			Term Loan, 7.28%, Maturing July 22, 2011	497,152
			Liberty Group Operating, Inc.
980,094			Term Loan, 6.69%, Maturing February 28, 2012	989,650
			Nebraska Book Co., Inc.
744,318			Term Loan, 6.52%, Maturing March 4, 2011	747,575
			R.H. Donnelley Corp.
1,979,950			Term Loan, 6.26%, Maturing June 30, 2011	1,997,274
			Seat Pagine Gialle Spa
2,000,000		EUR	Term Loan, 4.85%, Maturing May 25, 2012	2,454,142

			SP Newsprint Co.
$	652,602		Term Loan, 4.56%, Maturing January 9, 2010	$	662,391
252,321			Term Loan, 6.81%, Maturing January 9, 2010	256,105
			World Directories ACQI Corp.
500,000		EUR	Term Loan, 5.20%, Maturing November 29, 2012	611,511
2,000,000		EUR	Term Loan, 5.70%, Maturing November 29, 2013	2,454,545
			Xsys, Inc.
1,000,000		EUR	Term Loan, 4.76%, Maturing September 27, 2014	1,229,985
			YBR Acquisition BV
450,000		EUR	Term Loan, 5.15%, Maturing June 30, 2013	553,915
450,000		EUR	Term Loan, 5.65%, Maturing June 30, 2014	556,129
				$	17,105,574
Radio and Television — 3.7%
			Adams Outdoor Advertising, L.P.
466,132			Term Loan, 6.62%, Maturing November 18, 2012	473,124
			ALM Media Holdings, Inc.
496,250			Term Loan, 7.03%, Maturing March 5, 2010	496,457
			Blockcommunications, Inc.
275,000			Term Loan, 6.53%, Maturing December 22, 2011	278,781
			DirecTV Holdings, LLC
836,667			Term Loan, 6.01%, Maturing April 13, 2013	846,275
			Entravision Communications Corp.
324,188			Term Loan, 6.03%, Maturing September 29, 2013	326,686
			Nexstar Broadcasting, Inc.
393,063			Term Loan, 6.28%, Maturing October 1, 2012	395,438
400,118			Term Loan, 6.28%, Maturing October 1, 2012	402,536
			PanAmSat Corp.
359,864			Term Loan, 6.31%, Maturing August 20, 2010	363,606
188,162			Term Loan, 6.31%, Maturing August 20, 2010	190,118
1,500,000			Term Loan, 6.49%, Maturing August 20, 2011	1,519,500
			Paxson Communcations Corp.
850,000			Term Loan, 7.78%, Maturing January 15, 2012	852,656
			Rainbow National Services, LLC
496,250			Term Loan, 7.19%, Maturing March 31, 2012	502,556
			Raycom TV Broadcasting, Inc.
1,000,000			Term Loan, 6.56%, Maturing February 24, 2012	1,003,750
			SFX Entertainment
450,000			Term Loan, 6.76%, Maturing June 21, 2013	450,703
			Spanish Broadcasting System, Inc.
300,000			Term Loan, 8.02%, Maturing June 10, 2013	304,562
			TDF SA
1,305,762		EUR	Term Loan, 4.42%, Maturing March 11, 2013	1,605,721
305,762		EUR	Term Loan, 5.17%, Maturing March 11, 2014	377,404
388,476		EUR	Term Loan, 5.79%, Maturing March 11, 2015	480,719
			Telewest Global Finance, LLC
1,000,000		GBP	Term Loan, 6.84%, Maturing December 22, 2012	1,776,239

		Young Broadcasting, Inc.
$	248,750	Term Loan, 6.70%, Maturing November 3, 2012	$	249,333
			$	12,896,164
Rail Industries — 0.1%
		Railamerica, Inc.
471,374		Term Loan, 6.69%, Maturing September 29, 2011	478,838
			$	478,838
Retailers (Except Food and Drug) — 2.7%
		Alimentation Couche-Tard, Inc.
981,864		Term Loan, 6.31%, Maturing December 17, 2010	994,138
		Coinmach Laundry Corp.
1,125,000		Term Loan, 3.58%, Maturing December 15, 2012 (2)	1,142,812
		Harbor Freight Tools USA, Inc.
915,473		Term Loan, 6.94%, Maturing July 15, 2010	926,001
		Josten’s Corp.
967,533		Term Loan, 6.78%, Maturing October 4, 2010	981,642
		Mapco Express, Inc.
498,123		Term Loan, 7.26%, Maturing April 28, 2011	504,661
		Mauser Werke GMBH & Co. KG
375,000		Term Loan, 7.14%, Maturing December 3, 2011	377,344
		Movie Gallery, Inc.
248,750		Term Loan, 8.28%, Maturing April 27, 2011	238,089
		Neiman Marcus Group, Inc.
237,342		Term Loan, 6.95%, Maturing April 5, 2013	240,229
		Oriental Trading Co., Inc.
472,980		Term Loan, 6.81%, Maturing August 4, 2010	476,331
		Savers, Inc.
997,468		Term Loan, 7.61%, Maturing August 4, 2009	1,008,066
		School Specialty, Inc.
600,000		Term Loan, 8.50%, Maturing April 12, 2006	600,750
		Sears Canada, Inc.
300,000		Term Loan, 0.75%, Maturing December 22, 2012 (2)	302,625
		Stewert Enterprises, Inc.
944,494		Term Loan, 5.99%, Maturing November 19, 2011	954,529
		Travelcenters of America, Inc.
750,000		Term Loan, 6.28%, Maturing November 30, 2008	758,719
			$	9,505,936
Steel — 0.1%
		Gibraltar Industries, Inc.
300,000		Term Loan, 6.28%, Maturing December 8, 2010	302,250
			$	302,250
Surface Transport — 0.1%
		Sirva Worldwide, Inc.
410,885		Term Loan, 8.52%, Maturing December 1, 2010	395,477
			$	395,477

Telecommunications — 4.9%
			AAT Communications Corp.
$	1,500,000		Term Loan, 7.16%, Maturing July 29, 2013	$	1,519,062
			Alaska Communications Systems Holdings, Inc.
500,000			Term Loan, 6.53%, Maturing February 11, 2012	505,688
			Cellular South, Inc.
997,468			Term Loan, 6.37%, Maturing May 4, 2011	1,009,937
			Centennial Cellular Operating Co., LLC
692,695			Term Loan, 6.62%, Maturing February 9, 2011	702,893
			Cincinnati Bell, Inc.
498,750			Term Loan, 5.90%, Maturing August 31, 2012	502,880
			Consolidated Communications, Inc.
1,773,431			Term Loan, 6.24%, Maturing April 14, 2011	1,795,599
			Fairpoint Communications, Inc.
2,000,000			Term Loan, 6.31%, Maturing February 8, 2012	2,007,000
			Hawaiian Telcom Communications, Inc.
500,000			Term Loan, 6.78%, Maturing October 31, 2012	504,844
			Intelsat, Ltd.
991,241			Term Loan, 6.31%, Maturing July 28, 2011	1,002,083
			Iowa Telecommunications Services
1,250,000			Term Loan, 6.30%, Maturing November 23, 2011	1,264,844
			Madison River Capital, LLC
1,000,000			Term Loan, 6.80%, Maturing July 31, 2012	1,010,313
			NTelos, Inc.
495,000			Term Loan, 7.07%, Maturing February 18, 2011	500,197
			Qwest Corp.
800,000			Term Loan, 9.22%, Maturing June 4, 2007	820,150
			Satbirds Finance SARL
500,000		EUR	Term Loan, 5.09%, Maturing April 4, 2013	609,553
500,000		EUR	Term Loan, 5.09%, Maturing April 4, 2013	609,496
			Stratos Global Corp.
495,000			Term Loan, 6.81%, Maturing December 3, 2010	495,000
			Syniverse Holdings, Inc.
371,511			Term Loan, 6.28%, Maturing February 15, 2012	375,226
			Triton PCS, Inc.
744,361			Term Loan, 7.82%, Maturing November 18, 2009	748,455
			Valor Telecom Enterprise, LLC
1,208,333			Term Loan, 6.04%, Maturing February 14, 2012	1,213,903
				$	17,197,123
Utilities — 1.9%
			Allegheny Energy Supply Co., LLC
880,311			Term Loan, 5.63%, Maturing July 21, 2011	889,114
			Cogentrix Delaware Holdings, Inc.
1,055,243			Term Loan, 6.28%, Maturing April 14, 2012	1,068,214
			Covanta Energy Corp.
$	248,780		Term Loan, 4.53%, Maturing June 24, 2012	$	252,823

167,790	Term Loan, 7.52%, Maturing June 24, 2012	170,516
250,000	Term Loan, 10.03%, Maturing June 24, 2013	254,844
	Energy Transfer Company, L.P.
511,138	Term Loan, 7.44%, Maturing June 16, 2012	512,895
	KGen, LLC
188,575	Term Loan, 7.15%, Maturing August 5, 2011	188,575
	NRG Energy, Inc.
546,875	Term Loan, 4.43%, Maturing December 24, 2011	548,869
	Pike Electric, Inc.
507,353	Term Loan, 6.25%, Maturing July 1, 2012	513,695
	Plains Resources, Inc.
496,256	Term Loan, 6.40%, Maturing August 12, 2011	502,770
	Reliant Energy, Inc.
456,184	Term Loan, 6.09%, Maturing December 22, 2010	455,863
	Texas Genco, LLC
1,050,923	Term Loan, 6.47%, Maturing December 14, 2011	1,052,894
435,173	Term Loan, 6.47%, Maturing December 14, 2011	435,989
		$	6,847,061
Total Senior, Floating Rate Interests (identified cost $281,240,255)		$	280,261,382

Mortgage Pass-Throughs — 54.2%

Principal
Amount
(000’s omitted)		Security	Value
		Federal Home Loan Mortgage Corp.:
$	13,054	7.00%, with maturity at 2013 (3)	$	13,482,631
24,008		8.00%, with various maturities to 2031 (3)	25,814,649
12,798		8.50%, with various maturities to 2031 (3)	13,984,212
1,348		9.00%, with maturity at 2031	1,486,273
1,437		9.50%, with various maturities to 2022	1,599,936
3,255		11.50%, with maturity at 2019 (3)	3,688,067
			$	60,055,768
		Federal National Mortgage Association:
16,262		6.50%, with maturity at 2018 (3)	16,666,805
3,423		7.00%, with maturity at 2014	3,518,665
7,573		7.50%, with various maturities to 2028 (3)	8,028,130
4,036		8.00%, with various maturities to 2023	4,332,139
2,189		8.50%, with maturity at 2027	2,385,098
1,822		9.00%, with various maturities to 2028	2,012,392
11,912		9.50%, with various maturities to 2031 (3)	13,321,538
4,855		10.00%, with various maturities to 2031 (3)	5,480,146
			$	55,744,913
		Government National Mortgage Association:
$	9,582	7.50%, with maturity at 2022 (3)	$	10,269,199
12,618		8.00%, with various maturities to 2027	13,647,304

6,399	9.00%, with maturity at 2026 (3)	7,117,386
1,869	11.00%, with maturity at 2018	2,123,247
		$	33,157,136
	Collateralized Mortgage Obligations:
4,773	Federal Home Loan Mortgage Corp., Series 2137, Class Z, 6.00%, 3/15/29 (3)	4,883,231
5,764	Federal Home Loan Mortgage Corp., Series 2167, Class BZ, 7.00%, 6/15/29 (3)	5,996,606
1,364	Federal Home Loan Mortgage Corp., Series 2214, Class NC, 11.052%, 8/15/21	1,516,371
8,035	Federal Home Loan Mortgage Corp., Series 2182, Class ZB, 8.00%, 9/15/29 (3)	8,586,531
457	Federal National Mortgage Association, Series 1989-89, Class H, 9.00%, 11/25/19	495,696
1,085	Federal National Mortgage Association, Series 1991-122, Class N, 7.50%, 9/25/21	1,139,971
8,179	Federal National Mortgage Association, Series 1993-84, Class M, 7.50%, 6/25/23 (3)	8,595,984
2,693	Federal National Mortgage Association, Series 1997-28, Class ZA, 7.50%, 4/20/27	2,864,841
2,492	Federal National Mortgage Association, Series 1997-38, Class N, 8.00%, 5/20/27	2,661,174
4,476	Federal National Mortgage Association, Series G-33, Class PT, 7.00%, 10/25/21 (3)	4,629,115
		$	41,369,520
Total Mortgage Pass-Throughs (identified cost $191,908,929)		$	190,327,337

Corporate Bonds & Notes — 2.3%

Principal
Amount
(000’s omitted)			Security	Value
Financial Intermediaries — 0.2%
			Centurion CDO 9 Ltd., Series 2005-9A
$	500		9.35%, 7/17/19	$	497,150
				$	497,150
Index Linked Notes — 2.0%
			CSFB Egyptian Credit Linked Note
28,890		EGP	0.00%, 2/28/06	5,010,406
			JP Morgan Chilean Inflation Linked Note
2,000			7.433%, 11/17/15	2,117,600
				$	7,128,006
Radio and Television — 0.1%
			Emmis Communications Corp., Sr. Notes, Class A, Variable Rate
343			10.366%, 6/15/12	345,000
				$	345,000
Telecommunications — 0.0%
			Qwest Corp., Sr. Notes, Variable Rate
200			7.741%, 6/15/13 (4)	216,750
				$	216,750
Total Corporate Bonds & Notes (identified cost $8,056,212)				$	8,186,906

Sovereign Issues — 1.9%

Principal
Amount
(000’s omitted)			Security	Value
			Federal Republic of Brazil
$	4,204	BRL	12.50%, 1/5/16	1,945,637
			Indonesia Recapitalization Bond
35,000,000		IDR	12.25%, 7/15/07	3,701,747
			Socialist Republic of Vietnam
1,000			6.875%, 1/15/16 (4)	1,032,500
Total Sovereign Issues (identified cost $6,211,674)				$	6,679,884

Commercial Paper — 1.4%

Principal		Maturity
Amount		Date	Borrower	Rate		Amount
$	4,779,000	02/01/06	HSBC Finance Corp.	4.50	%	$	4,779,000
Total Commercial Paper (at amortized cost $4,779,000)						$	4,779,000

Short-Term Investments — 1.1%

Principal		Maturity
Amount		Date	Borrower	Rate		Amount
$	3,940,000	02/01/06	Investors Bank and Trust Company Time Deposit	4.51	%	$	3,940,000
Total Short-Term Investments (at amortized cost $3,940,000)						$	3,940,000
Gross Investments — 140.6% (identified cost $496,136,070)						$	494,174,509
Less Unfunded Loan Commitments — (0.4)%						$	(1,449,390	)
Net Investments — 140.2% (identified cost $494,686,680)						$	492,725,119
Other Assets, Less Liabilities — (40.2)%						$	(141,257,297	)
Net Assets — 100.0%						$	351,467,822

BRL	—	Brazilian Real
EGP	—	Egyptian Pound
EUR	—	Euro
GBP	—	British Pound
IDR	—	Indonesian Rupiah

(1)		Senior floating-rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the senior floating-rate interests will have an expected average life of approximately two to three years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.
(2)		Unfunded loan commitments. The Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrower’s discretion.
(3)		All or a portion of these securities were on loan at January 31, 2006.
(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 January 31, 2006, the aggregate value of the securities is $1,249,250 or 0.4% of the Fund’s net assets.

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

Futures Contracts

Expiration				Aggregate						Net Unrealized
Date	Contracts	Position		Cost			Value			Depreciation
03/06	8 Japan 10 Year Bond		Short	$	(9,352,069	)	$	(9,356,853	)		$	(4,784	)

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

Forward Foreign Currency Exchange Contracts

Sales

Settlement Date(s)	Deliver	In Exchange For	Net Unrealized Appreciation (Depreciation)
2/23/06	British Pound Sterling 3,765,538	United States Dollar 6,632,261		$	(60,672	)
2/07/06	Canadian Dollar 4,097,000	United States Dollar 3,560,968		(23,130		)
2/17/06	Chilean Peso 1,093,000,000	United States Dollar 2,087,232		11,984
2/02/06	Euro 2,913,000	United States Dollar 3,534,926		(2,330		)
2/23/06	Euro 41,772,930	United States Dollar 50,657,614		(131,477		)
2/10/06	Japanese Yen 1,580,600,000	United States Dollar 13,697,894		182,446
2/13/06	Peruvian New Sol 11,958,000	United States Dollar 3,469,003		(135,965		)
				$	(159,144	)

Purchases

			Net Unrealized
Settlement			Appreciation
Date(s)	Acquire	In Exchange For	(Depreciation)
2/07/06	Canadian Dollar 4,097,000	United States Dollar 3,564,918		$	19,180
2/02/06	Euro 2,913,000	United States Dollar 3,523,996		13,260
2/03/06	Euro 5,372,142	Slovakia Koruna 200,000,000		22,072
2/08/06	Euro 2,900,000	United States Dollar 3,567,145		(44,401		)
2/16/06	Euro 2,913,000	United States Dollar 3,537,926		2,316
2/17/06	Icelandic Kroner 150,144,000	Euro 2,000,451		(32,564		)

2/27/06	Icelandic Kroner 545,174,800	Euro 7,227,895	(93,652	)
2/06/06	Indonesian Rupiah 98,000,000,000	United States Dollar 10,312,533	117,913
2/13/06	Indonesian Rupiah 37,000,000,000	United States Dollar 3,950,881	(19,498	)
2/02/06	Philippine Peso 185,000,000	United States Dollar 3,497,760	49,700
2/06/06	Republic of Korea Won 6,900,000,000	United States Dollar 6,998,894	154,542
10/27/06	Romanian Leu 28,500,000	Euro 7,730,849	(85,088	)
2/10/06	Singapore Dollar 10,300,000	United States Dollar 6,354,102	(5,461	)
2/14/06	Slovakia Koruna 111,000,000	Euro 2,846,592	151,176
2/17/06	Slovakia Koruna 737,548,840	Euro 19,663,250	93,557
2/09/06	Turkish Lira 13,996,000	United States Dollar 10,420,669	137,296
2/21/06	Turkish Lira 10,097,900	United States Dollar 7,497,142	97,630
			$577,978

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

Credit Default Swaps

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

Notional Amount	Expiration Date	Description	Net Unrealized Depreciation
10,000,000 USD	3/20/2010	Agreement with Credit Suisse First Boston dated 3/05/2005 whereby the Fund will pay 2.01% per year times the notional amount. In exchange for that periodic payment, upon a default event involving Turkish sovereign issues, Credit Suisse First Boston agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Turkey to Credit Suisse First Boston.		$	(237,212	)
10,000,000 USD	3/20/2010	Agreement with JP Morgan Chase Bank dated 3/05/2005 whereby the Fund will pay 2.00% per year times the notional amount. In exchange for that periodic payment, upon a default event involving Turkish sovereign issues, JP Morgan Chase Bank agrees to pay the Fund the notional amount of the swap. To receive that payment, the Fund must deliver a bond (with par value equal to the notional amount of the swap) issued by Turkey to JP Morgan Chase Bank.		$	(233,554	)

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

Aggregate cost	$	495,453,238
Gross unrealized appreciation	$	1,797,550
Gross unrealized depreciation	(4,525,669		)
Net unrealized depreciation	$	(2,728,119	)

The unrealized depreciation on foreign currency, swaps, futures and forward contracts at January 31, 2006 on a federal income tax basis was $55,448.

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:		March 17, 2006

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

By:		/s/ Thomas E. Faust Jr.
		Thomas E. Faust Jr.
		President and Principal Executive Officer
Date:		March 17, 2006
By:		/s/ Barbara E. Campbell
		Barbara E. Campbell
		Treasurer and Principal Financial Officer
Date:		March 17, 2006