Eaton Vance Mutual Funds Trust

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

Cost for federal income taxes is the same.


Eaton Vance U.S. Government Money Market Fund	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Government-Backed Corporate Bonds⁽¹⁾ — 0.6%


Principal
Amount
(000’s omitted)		Security	Value
Banks and Money Services — 0.6%
$	1,000	Citibank, 0.303%, 7/12/11⁽²⁾	$	1,000,619
	500	JPMorgan Chase & Co., 0.433%, 4/1/11⁽²⁾		500,202

			$	1,500,821


Total Government-Backed Corporate Bonds (amortized cost $1,500,821)			$	1,500,821

U.S. Government Agency Obligations — 72.4%


Principal
Amount
(000’s omitted)		Security	Value
		Federal Home Loan Bank:
$	1,005	0.21%, 3/14/11	$	1,004,988
	2,890	1.625%, 3/16/11		2,893,768
	1,500	0.25%, 5/27/11⁽²⁾		1,500,000
	3,900	0.25%, 5/27/11⁽²⁾		3,899,366
	670	0.27%, 5/27/11⁽²⁾		670,000
	1,350	0.40%, 10/3/11		1,350,000
	1,500	0.40%, 11/18/11		1,500,000
	2,000	0.29%, 12/16/11⁽²⁾		2,000,000
	2,000	0.50%, 12/29/11		2,000,000
	2,500	0.27%, 1/24/12⁽²⁾		2,500,000
	7,090	Discount Note, 0.15%, 2/2/11		7,089,970
	5,346	Discount Note, 0.175%, 2/2/11		5,345,974
	3,194	Discount Note, 0.15%, 2/4/11		3,193,960
	4,104	Discount Note, 0.155%, 2/11/11		4,103,823
	3,193	Discount Note, 0.16%, 3/2/11		3,192,588
	1,074	Discount Note, 0.16%, 3/11/11		1,073,819
	4,545	Discount Note, 0.165%, 3/16/11		4,544,104
	15,000	Discount Note, 0.175%, 3/16/11		14,996,865
	5,000	Discount Note, 0.165%, 3/23/11		4,998,854
	3,672	Discount Note, 0.175%, 4/8/11		3,670,822
	496	Discount Note, 0.17%, 4/15/11		495,829
	3,900	Discount Note, 0.18%, 4/15/11		3,898,576
	1,000	Discount Note, 0.19%, 5/11/11		999,478

			$	76,922,784

		Federal Home Loan Mortgage Corp.:
$	1,610	0.363%, 4/1/11⁽²⁾	$	1,610,550
	500	0.216%, 8/5/11⁽²⁾		500,233
	1,850	0.16%, 11/9/11⁽²⁾		1,848,699
	4,000	0.17%, 1/25/12⁽²⁾		3,996,810
	295	Discount Note, 0.19%, 2/8/11		294,989
	2,000	Discount Note, 0.20%, 2/15/11		1,999,844
	1,100	Discount Note, 0.155%, 2/18/11		1,099,919
	2,500	Discount Note, 0.16%, 2/22/11		2,499,767
	2,500	Discount Note, 0.145%, 2/24/11		2,499,768
	6,100	Discount Note, 0.16%, 3/7/11		6,099,078
	1,909	Discount Note, 0.165%, 3/7/11		1,908,703
	7,500	Discount Note, 0.17%, 3/8/11		7,498,760
	3,088	Discount Note, 0.17%, 4/4/11		3,087,096
	1,500	Discount Note, 0.18%, 4/18/11		1,499,430
	1,934	Discount Note, 0.17%, 4/21/11		1,933,279


Principal
Amount
(000’s omitted)		Security	Value
$	2,500	Discount Note, 0.19%, 5/2/11	$	2,498,812
	3,989	Discount Note, 0.18%, 5/3/11		3,987,185
	4,600	Discount Note, 0.18%, 5/9/11		4,597,769
	10,007	Discount Note, 0.18%, 5/23/11		10,001,446
	255	Discount Note, 0.23%, 8/17/11		254,679

			$	59,716,816

		Federal National Mortgage Association:
$	2,500	4.50%, 2/15/11	$	2,503,940
	580	0.166%, 5/13/11⁽²⁾		579,847
	853	Discount Note, 0.17%, 2/1/11		853,000
	2,100	Discount Note, 0.15%, 2/2/11		2,099,991
	9,308	Discount Note, 0.18%, 2/9/11		9,307,628
	6,429	Discount Note, 0.17%, 2/14/11		6,428,605
	1,207	Discount Note, 0.12%, 2/17/11		1,206,936
	1,500	Discount Note, 0.29%, 2/17/11		1,499,807
	5,000	Discount Note, 0.17%, 3/1/11		4,999,339
	3,250	Discount Note, 0.18%, 4/6/11		3,248,960
	700	Discount Note, 0.19%, 4/11/11		699,745
	900	Discount Note, 0.19%, 4/13/11		899,663
	2,157	Discount Note, 0.18%, 4/25/11		2,156,105
	3,683	Discount Note, 0.19%, 4/26/11		3,681,367
	1,001	Discount Note, 0.19%, 5/16/11		1,000,451
	50	Discount Note, 0.32%, 8/1/11		49,920

			$	41,215,304


Total U.S. Government Agency Obligations (amortized cost $177,854,904)			$	177,854,904

U.S. Treasury Obligations — 27.0%


Principal
Amount
(000’s omitted)		Security	Value
$	3,984	U.S. Treasury Bill, 0.155%, 2/3/11	$	3,983,966
	2,500	U.S. Treasury Bill, 0.175%, 2/3/11		2,499,976
	8,953	U.S. Treasury Bill, 0.15%, 2/17/11		8,952,403
	5,775	U.S. Treasury Bill, 0.17%, 3/10/11		5,773,991
	15,000	U.S. Treasury Bill, 0.157%, 3/17/11		14,997,122
	684	U.S. Treasury Bill, 0.17%, 4/7/11		683,790
	3,570	U.S. Treasury Bill, 0.148%, 4/14/11		3,568,943
	4,895	U.S. Treasury Bill, 0.153%, 4/21/11		4,893,356
	10,000	U.S. Treasury Bill, 0.163%, 5/12/11		9,995,486
	10,000	U.S. Treasury Bill, 0.185%, 6/23/11		9,992,703
	1,000	U.S. Treasury Bill, 0.195%, 7/28/11		999,041


Total U.S. Treasury Obligations (amortized cost $66,340,777)			$	66,340,777


Total Investments — 100.0% (amortized cost $245,696,502)⁽³⁾			$	245,696,502


Other Assets, Less Liabilities — 0.0%⁽⁴⁾			$	(31,235	)


Net Assets — 100.0%			$	245,665,267


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

(1)		Bonds are guaranteed by the Federal Deposit Insurance Corporation (FDIC) Temporary Liquidity Guarantee Program. The program provides for the payment of principal and interest by the FDIC in the event of default by the issuer through the earlier of the maturity date of the bond or December 31, 2012, the expiration date of the program.

(2)		Variable rate security. The stated interest rate represents the rate in effect at January 31, 2011.

(3)		Cost for federal income taxes is the same.

(4)		Amount is less than 0.05%.

The Fund did not have any open financial instruments at January 31, 2011.

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. For example, money market securities are valued using amortized cost, in accordance with rules under the 1940 Act. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2.

At January 31, 2011, the hierarchy of inputs used in valuing the Fund’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs

Asset Description	(Level 1)		(Level 2)		(Level 3)		Total

Government-Backed Corporate Bonds	$	—	$	1,500,821	$	—	$	1,500,821
U.S. Government Agency Obligations		—		177,854,904		—		177,854,904
U.S. Treasury Obligations		—		66,340,777		—		66,340,777


Total	$	—	$	245,696,502	$	—	$	245,696,502

The Fund held no investments or other financial instruments as of October 31, 2010 whose fair value was determined using Level 3 inputs. At January 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.

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.

Eaton Vance Tax-Managed Equity Asset Allocation Fund as of January 31, 2011 (Unaudited)

Eaton Vance Tax-Managed Equity Asset Allocation Fund (the Fund), a diversified series of Eaton Vance Mutual Funds Trust, pursues its investment objective by investing in one or more registered investment companies (each a Portfolio) managed by Eaton Vance Management or its affiliates. The Fund owns a pro rata interest in the net assets of each Portfolio in which it invests. At January 31, 2011, the Fund owned 1.5% of Tax-Managed Growth Portfolio’s outstanding interests, 5.8% of Tax-Managed Value Portfolio’s outstanding interests, 51.3% of Tax-Managed International Equity Portfolio’s outstanding interests, 44.0% of Tax-Managed Multi-Cap Growth Portfolio’s outstanding interests, 19.7% of Tax-Managed Small-Cap Portfolio’s outstanding interests, 48.0% of Tax-Managed Small-Cap Value Portfolio’s outstanding interests and 38.2% of Tax-Managed Mid-Cap Core Portfolio’s outstanding interests. The Fund’s Schedule of Investments at January 31, 2011 is set forth below.


Investments in Affiliated Portfolios	Value			% of Net Assets

Tax-Managed Growth Portfolio (identified cost, $137,172,434)	$	133,605,300			26.7	%

Tax-Managed Value Portfolio (identified cost, $77,195,064)		123,020,554			24.6

Tax-Managed International Equity Portfolio (identified cost, $72,292,484)		80,382,584			16.1

Tax-Managed Multi-Cap Growth Portfolio (identified cost, $44,990,813)		54,375,061			10.9

Tax-Managed Small-Cap Portfolio (identified cost, $32,586,835)		37,236,472			7.4

Tax-Managed Small-Cap Value Portfolio (identified cost, $29,401,325)		37,195,890			7.4

Tax-Managed Mid-Cap Core Portfolio (identified cost, $20,821,814)		35,497,027			7.1


Total Investments in Affiliated Portfolios (identified cost, $414,460,769)	$	501,312,888			100.2	%


Other Assets, Less Liabilities	$	(1,007,104	)		(0.2	)%


Net Assets	$	500,305,784			100.0	%


	•	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, 2011 and October 31, 2010, the Fund’s investments in the Portfolios were valued based on Level 1 inputs.

A copy of each Portfolio’s Form N-Q (containing a Portfolio of Investments) is available on the EDGAR database on the Securities and Exchange Commission’s website (www.sec.gov), at the Commission’s public reference room in Washington, DC (call 1-800-732-0330 for information on the operation of the public reference room) or by calling the Fund’s principal underwriter, Eaton Vance Distributors, Inc., at 1-800-262-1122.

Eaton Vance Multi-Strategy Absolute Return Fund as of January 31, 2011 (Unaudited)

Eaton Vance Multi-Strategy Absolute Return Fund (the Fund), a diversified series of Eaton Vance Mutual Funds Trust, pursues its investment objective by investing in one or more registered investment companies (each a Portfolio) managed by Eaton Vance Management or its affiliates. The Fund owns a pro rata interest in the net assets of each Portfolio in which it invests. At January 31, 2011, the Fund owned 0.6% of Boston Income Portfolio’s outstanding interests, 1.2% of Floating Rate Portfolio’s outstanding interests, 8.3% of Global Macro Absolute Return Advantage Portfolio’s outstanding interests, 0.5% of Global Macro Portfolio’s outstanding interests, 0.5% of Government Obligations Portfolio’s outstanding interests, 2.8% of Investment Portfolio’s outstanding interests, 4.1% of Large-Cap Core Research Portfolio’s outstanding interests and 97.5% of Multi-Sector Option Strategy Portfolio’s outstanding interests. The Fund’s Schedule of Investments at January 31, 2011 is set forth below.


Investments in Affiliated Portfolios	Value		% of Net Assets

Boston Income Portfolio (identified cost, $24,395,099)	$	17,588,148		4.5	%

Floating Rate Portfolio (identified cost, $99,923,637)	$	97,601,545		24.8	%

Global Macro Absolute Return Advantage Portfolio (identified cost, $48,315,834)	$	48,151,222		12.2	%

Global Macro Portfolio (identified cost, $45,784,121)	$	48,298,468		12.3	%

Government Obligations Portfolio (identified cost, $945,209)	$	5,773,653		1.5	%

Investment Portfolio (identified cost, $13,997,055)	$	14,349,572		3.6	%

Large-Cap Core Research Portfolio (identified cost, $8,592,778)	$	9,236,219		2.3	%

Multi-Sector Option Strategy Portfolio (identified cost, $145,966,270)	$	149,281,758		37.9	%


Total Investments in Affiliated Portfolios (identified cost $387,920,003)	$	390,280,585		99.1	%


Other Assets, Less Liabilities	$	3,675,375		0.9	%


Net Assets	$	393,955,960		100.0	%


	•	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, 2011 and October 31, 2010, the Fund’s investments in the Portfolios were valued based on Level 1 inputs.


Global Dividend Income Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 96.8%


Security	Shares		Value
Aerospace & Defense — 2.3%
General Dynamics Corp.		140,000	$	10,556,000

			$	10,556,000

Beverages — 0.9%
PepsiCo, Inc.		65,000	$	4,180,150

			$	4,180,150

Capital Markets — 2.1%
Goldman Sachs Group, Inc. (The)		38,000	$	6,217,560
Invesco, Ltd.		130,000		3,216,200

			$	9,433,760

Chemicals — 1.3%
Air Liquide SA		45,800	$	5,713,714

			$	5,713,714

Commercial Banks — 6.3%
HSBC Holdings PLC ADR		142,000	$	7,758,880
PNC Financial Services Group, Inc.		131,000		7,860,000
U.S. Bancorp		302,907		8,178,489
Wells Fargo & Co.		145,000		4,700,900

			$	28,498,269

Communications Equipment — 2.0%
Telefonaktiebolaget LM Ericsson, Class B		715,000	$	8,815,102

			$	8,815,102

Computers & Peripherals — 1.8%
Hewlett-Packard Co.		180,000	$	8,224,200

			$	8,224,200

Construction & Engineering — 2.4%
Vinci SA		190,000	$	10,970,127

			$	10,970,127

Diversified Financial Services — 0.5%
JPMorgan Chase & Co.		50,000	$	2,247,000

			$	2,247,000

Diversified Telecommunication Services — 4.1%
AT&T, Inc.		172,530	$	4,748,026
France Telecom SA		200,000		4,362,025
Frontier Communications Corp.		421,272		3,863,064
Verizon Communications, Inc.		151,109		5,382,503

			$	18,355,618

Electric Utilities — 1.3%
American Electric Power Co., Inc.		170,000	$	6,065,600

			$	6,065,600

Energy Equipment & Services — 3.8%
Schlumberger, Ltd.		140,559	$	12,508,345
Seadrill, Ltd.		135,000		4,446,083

			$	16,954,428

Food & Staples Retailing — 1.9%
Wal-Mart Stores, Inc.		152,800	$	8,567,496

			$	8,567,496


Security	Shares		Value
Food Products — 2.2%
Nestle SA		187,587	$	10,134,532

			$	10,134,532

Health Care Equipment & Supplies — 1.6%
Covidien PLC		152,400	$	7,234,428

			$	7,234,428

Hotels, Restaurants & Leisure — 3.2%
Carnival Corp.		100,000	$	4,471,000
McDonald’s Corp.		136,400		10,048,588

			$	14,519,588

Household Durables — 1.6%
Whirlpool Corp.		83,000	$	7,096,500

			$	7,096,500

Household Products — 1.8%
Henkel AG & Co. KGaA, PFC Shares		135,000	$	8,213,884

			$	8,213,884

Independent Power Producers & Energy Traders — 1.4%
International Power PLC		900,000	$	6,084,030

			$	6,084,030

Industrial Conglomerates — 1.4%
Siemens AG		50,000	$	6,409,677

			$	6,409,677

Insurance — 5.2%
MetLife, Inc.		125,000	$	5,721,250
Progressive Corp.		75,000		1,485,750
Prudential Financial, Inc.		140,000		8,611,400
Zurich Financial Services AG		28,000		7,655,650

			$	23,474,050

IT Services — 5.2%
Accenture PLC, Class A		201,000	$	10,345,470
International Business Machines Corp.		79,781		12,924,522

			$	23,269,992

Media — 1.3%
Walt Disney Co. (The)		150,000	$	5,830,500

			$	5,830,500

Metals & Mining — 5.5%
BHP Billiton, Ltd. ADR		135,000	$	12,019,050
Southern Copper Corp.		190,000		8,515,800
Vale SA ADR		120,000		4,179,600

			$	24,714,450

Multi-Utilities — 4.0%
CMS Energy Corp.		275,000	$	5,362,500
National Grid PLC		250,000		2,217,176
PG&E Corp.		100,000		4,628,000
United Utilities Group PLC		650,000		5,658,133

			$	17,865,809

Multiline Retail — 1.9%
Target Corp.		158,817	$	8,707,936

			$	8,707,936

Oil, Gas & Consumable Fuels — 7.5%
Chevron Corp.		53,300	$	5,059,769
Exxon Mobil Corp.		53,529		4,318,720


Security	Shares		Value
Occidental Petroleum Corp.		43,160	$	4,172,709
Royal Dutch Shell PLC, Class A		275,000		9,688,674
Total SA		180,000		10,532,933

			$	33,772,805

Pharmaceuticals — 9.4%
Abbott Laboratories		158,000	$	7,135,280
AstraZeneca PLC		185,000		9,031,410
Johnson & Johnson		116,785		6,980,239
Merck & Co., Inc.		167,307		5,549,573
Novartis AG ADR		150,000		8,379,000
Pfizer, Inc.		295,000		5,374,900

			$	42,450,402

Real Estate Investment Trusts (REITs) — 0.7%
Annaly Capital Management, Inc.		175,000	$	3,120,250

			$	3,120,250

Road & Rail — 4.4%
Canadian Pacific Railway, Ltd.		150,000	$	10,069,500
Norfolk Southern Corp.		40,000		2,447,600
Union Pacific Corp.		75,000		7,097,250

			$	19,614,350

Software — 3.0%
Microsoft Corp.		310,000	$	8,594,750
Oracle Corp.		150,000		4,804,500

			$	13,399,250

Tobacco — 2.3%
Philip Morris International, Inc.		182,845	$	10,466,048

			$	10,466,048

Wireless Telecommunication Services — 2.5%
Vodafone Group PLC		4,000,000	$	11,226,396

			$	11,226,396


Total Common Stocks (identified cost $348,770,597)			$	436,186,341

Preferred Stocks — 1.0%


Security	Shares		Value
Commercial Banks — 0.5%
Bank of America Corp., 8.125%⁽¹⁾		350	$	369,399
Barclays Bank PLC, 7.434%⁽¹⁾⁽²⁾		100		99,230
BBVA International SA Unipersonal, 5.919%⁽¹⁾		120		93,045
Credit Agricole SA/London, 6.637%⁽¹⁾⁽²⁾		115		101,068
Farm Credit Bank of Texas, Series I, 10.00%		225		238,219
JPMorgan Chase & Co., 7.90%⁽¹⁾		350		385,670
KeyCorp Capital X, 8.00%		15,000		389,250
Lloyds Banking Group PLC, 6.657%^(1)(2)(3)		190		136,325
Morgan Stanley Capital Trust III, 6.25%		6,000		139,680
Royal Bank of Scotland Group PLC, Series F, 7.65%		5,000		109,750
Wells Fargo & Co., Class A, 7.50%		305		317,962

			$	2,379,598

Insurance — 0.2%
Aegon NV, 6.375%		5,000	$	107,700
AXA SA, 6.379%⁽¹⁾⁽²⁾		25		22,773
AXA SA, 6.463%⁽¹⁾⁽²⁾		95		84,885
Endurance Specialty Holdings, Ltd., Series A, 7.75%		5,000		130,550


Security	Shares		Value
ING Capital Funding Trust III, 3.903%⁽¹⁾		110	$	105,510
RenaissanceRe Holdings, Ltd., Series C, 6.08%		17,000		396,780

			$	848,198

Real Estate Investment Trusts (REITs) — 0.3%
CapLease, Inc., Series A, 8.125%		13,000	$	325,455
Developers Diversified Realty Corp., Series I, 7.50%		15,000		352,200
Regency Centers Corp., Series C, 7.45%		15,000		378,750
Vornado Realty, LP, 7.875%		7,000		188,160

			$	1,244,565


Total Preferred Stocks (identified cost $4,197,302)			$	4,472,361

Corporate Bonds & Notes — 0.6%


	Principal
	Amount
Security	(000’s omitted)		Value
Commercial Banks — 0.4%
American Express Co., 6.80% to 9/1/16, 9/1/66⁽¹⁾⁽⁴⁾	$	350	$	353,063
Citigroup Capital XXI, 8.30% to 12/21/37, 12/21/57, 12/21/77⁽⁴⁾⁽⁵⁾		350		367,062
Fifth Third Capital Trust IV, 6.50% to 4/15/17, 4/15/37, 4/15/67⁽⁴⁾⁽⁵⁾		400		395,000
SunTrust Capital VIII, 6.10% to 12/15/36, 12/1/66⁽⁴⁾		400		384,214

			$	1,499,339

Diversified Financial Services — 0.1%
General Electric Capital Corp., 6.375% to 11/15/17, 11/15/67⁽⁴⁾	$	330	$	334,537

			$	334,537

Insurance — 0.1%
MetLife, Inc., 10.75% to 8/1/34, 8/1/39, 8/1/69⁽⁴⁾⁽⁵⁾	$	250	$	347,782
XL Capital, Ltd., 6.50% to 4/15/17, 12/29/49⁽⁴⁾		250		228,450

			$	576,232

Pipelines — 0.0%⁽⁶⁾
Enterprise Products Operating, LLC, 7.00% to 6/1/17, 6/1/67⁽⁴⁾	$	110	$	109,694

			$	109,694


Total Corporate Bonds & Notes (identified cost $2,234,654)			$	2,519,802

Short-Term Investments — 1.5%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽⁷⁾	$	6,963	$	6,963,324


Total Short-Term Investments (identified cost $6,963,324)			$	6,963,324


Total Investments — 99.9% (identified cost $362,165,877)			$	450,141,828


Other Assets, Less Liabilities — 0.1%			$	608,959


Net Assets — 100.0%			$	450,750,787



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

ADR	-	American Depositary Receipt

PFC Shares	-	Preference Shares

(1)		Variable rate security. The stated interest rate represents the rate in effect at January 31, 2011.

(2)		Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At January 31, 2011, the aggregate value of these securities is $444,281 or 0.1% of the Portfolio’s net assets.

(3)		Non-income producing security.

(4)		Security converts to floating rate after the indicated fixed-rate coupon period.

(5)		The maturity dates shown are the scheduled maturity date and final maturity date, respectively. The scheduled maturity date is earlier than the final maturity date due to the possibility of earlier repayment.

(6)		Amount is less than 0.05%.

(7)		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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $3,034.

Country Concentration of Portfolio


	Percentage
Country	of Net Assets			Value
United States		68.4	%	$	308,119,088
United Kingdom		9.8			44,015,569
France		7.0			31,578,799
Switzerland		3.9			17,790,182
Germany		3.2			14,623,561
Ireland		2.3			10,345,470
Sweden		2.0			8,815,102
Bermuda		1.7			7,662,283
Cayman Islands		0.1			228,450

Long-Term Investments		98.4	%	$	443,178,504
Short-Term Investments				$	6,963,324

Total Investments				$	450,141,828

The Portfolio did not have any open financial instruments at January 31, 2011.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	368,381,327

Gross unrealized appreciation	$	82,161,878
Gross unrealized depreciation		(401,377	)

Net unrealized appreciation	$	81,760,501


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other			Significant
	Identical Assets		Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)		(Level 2)			(Level 3)		Total

Common Stocks
Consumer Discretionary	$	36,154,524	$	—		$	—	$	36,154,524
Consumer Staples		23,213,694		18,348,416			—		41,562,110
Energy		26,059,543		24,667,690			—		50,727,233
Financials		59,117,679		7,655,650			—		66,773,329
Health Care		40,653,420		9,031,410			—		49,684,830
Industrials		36,580,027		10,970,127			—		47,550,154
Information Technology		44,893,442		8,815,102			—		53,708,544
Materials		24,714,450		5,713,714			—		30,428,164
Telecommunication Services		13,993,593		15,588,421			—		29,582,014
Utilities		16,056,100		13,959,339			—		30,015,439


Total Common Stocks	$	321,436,472	$	114,749,869	*	$	—	$	436,186,341


Preferred Stocks
Financials	$	2,836,237	$	1,636,124		$	—	$	4,472,361


Total Preferred Stocks	$	2,836,237	$	1,636,124		$	—	$	4,472,361


Corporate Bonds & Notes	$	—	$	2,519,802		$	—	$	2,519,802
Short-Term Investments		—		6,963,324			—		6,963,324


Total Investments	$	324,272,709	$	125,869,119		$	—	$	450,141,828


*		Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

The Portfolio held no investments or other financial instruments as of October 31, 2010 whose fair value was determined using Level 3 inputs. At January 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.

For information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.


Emerging Markets Local Income Portfolio	as of January 31, 2011

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

Foreign Government Bonds — 63.5%


	Principal
Security	Amount		Value
Albania — 0.2%
Republic of Albania, 7.50%, 11/4/15	EUR	1,000,000	$	1,303,500


Total Albania			$	1,303,500

Bermuda — 0.2%
Government of Bermuda, 5.603%, 7/20/20⁽¹⁾	USD	900,000	$	943,356


Total Bermuda			$	943,356

Brazil — 5.1%
Nota Do Tesouro Nacional, 6.00%, 5/15/15⁽²⁾	BRL	457,177	$	269,885
Nota Do Tesouro Nacional, 10.00%, 1/1/12	BRL	6,142,000		3,613,506
Nota Do Tesouro Nacional, 10.00%, 1/1/13	BRL	3,250,000		1,861,143
Nota Do Tesouro Nacional, 10.00%, 1/1/14	BRL	20,289,000		11,359,854
Nota Do Tesouro Nacional, 10.00%, 1/1/17	BRL	10,405,000		5,541,599
Nota Do Tesouro Nacional, 10.00%, 1/1/21	BRL	9,400,000		4,773,779
Republic of Brazil, 10.25%, 1/10/28	BRL	620,000		372,867


Total Brazil			$	27,792,633

Chile — 1.4%
Government of Chile, 2.10%, 9/1/15⁽²⁾	CLP	85,908,040	$	173,160
Government of Chile, 3.00%, 1/1/15⁽²⁾	CLP	751,695,350		1,572,400
Government of Chile, 6.00%, 3/1/17	CLP	70,000,000		140,271
Government of Chile, 6.00%, 3/1/18	CLP	2,350,000,000		4,666,117
Government of Chile, 6.00%, 1/1/20	CLP	465,000,000		915,727


Total Chile			$	7,467,675

Colombia — 4.4%
Republic of Colombia, 7.75%, 4/14/21	COP	9,341,000,000	$	5,292,049
Republic of Colombia, 9.85%, 6/28/27	COP	8,093,000,000		5,203,479
Republic of Colombia, 12.00%, 10/22/15	COP	15,960,000,000		10,737,722
Titulos De Tesoreria B, 9.25%, 8/15/12	COP	1,749,800,000		1,001,877
Titulos De Tesoreria B, 11.00%, 5/18/11	COP	3,000,000,000		1,643,704


Total Colombia			$	23,878,831

Congo — 0.1%
Republic of Congo, 3.00%, 6/30/29	USD	756,200	$	457,501


Total Congo			$	457,501

Costa Rica — 0.0%⁽³⁾
Titulo Propiedad Ud, 1.00%, 1/12/22⁽²⁾	CRC	52,027,144	$	78,776
Titulo Propiedad Ud, 1.63%, 7/13/16⁽²⁾	CRC	5,844,936		10,524


Total Costa Rica			$	89,300

Dominican Republic — 0.5%
Dominican Republic, 16.00%, 7/10/20⁽¹⁾	DOP	38,000,000	$	1,066,256
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank, N.A.), 16.00%, 7/10/20⁽⁴⁾	DOP	67,800,000		1,886,913


Total Dominican Republic			$	2,953,169


	Principal
Security	Amount		Value
Egypt — 0.1%
Arab Republic of Egypt, 8.75%, 7/18/12⁽¹⁾⁽⁵⁾	EGP	1,690,000	$	266,434


Total Egypt			$	266,434

Georgia — 0.1%
Republic of Georgia, 7.50%, 4/15/13	USD	280,000	$	293,300


Total Georgia			$	293,300

Greece — 0.0%⁽³⁾
Hellenic Republic Government Bond, 6.10%, 8/20/15	EUR	225,000	$	242,422


Total Greece			$	242,422

Hungary — 7.4%
Hungary Government Bond, 5.50%, 2/12/14	HUF	1,525,600,000	$	7,358,735
Hungary Government Bond, 5.50%, 2/12/16	HUF	862,500,000		4,038,050
Hungary Government Bond, 6.00%, 10/24/12	HUF	538,920,000		2,681,011
Hungary Government Bond, 6.00%, 11/24/23	HUF	195,000,000		875,916
Hungary Government Bond, 6.50%, 6/24/19	HUF	579,100,000		2,764,219
Hungary Government Bond, 6.75%, 2/12/13	HUF	785,300,000		3,952,362
Hungary Government Bond, 6.75%, 2/24/17	HUF	1,554,520,000		7,674,108
Hungary Government Bond, 6.75%, 11/24/17	HUF	1,123,980,000		5,517,229
Hungary Government Bond, 7.25%, 6/12/12	HUF	322,000,000		1,627,299
Hungary Government Bond, 7.50%, 10/24/13	HUF	452,000,000		2,309,401
Hungary Government Bond, 7.50%, 11/12/20	HUF	256,300,000		1,298,479
Hungary Government Bond, 8.00%, 2/12/15	HUF	60,000,000		310,814


Total Hungary			$	40,407,623

Indonesia — 8.8%
Indonesia Government, 7.375%, 9/15/16	IDR	43,648,000,000	$	4,677,046
Indonesia Government, 8.25%, 7/15/21	IDR	4,730,000,000		501,192
Indonesia Government, 8.375%, 9/15/26	IDR	14,100,000,000		1,404,857
Indonesia Government, 9.00%, 9/15/13	IDR	26,300,000,000		3,007,094
Indonesia Government, 9.00%, 9/15/18	IDR	42,550,000,000		4,824,769
Indonesia Government, 9.50%, 6/15/15	IDR	33,485,000,000		3,902,379
Indonesia Government, 9.50%, 7/15/23	IDR	35,245,000,000		3,914,813
Indonesia Government, 9.50%, 7/15/31	IDR	25,804,000,000		2,705,741
Indonesia Government, 9.75%, 5/15/37	IDR	28,656,000,000		2,992,918
Indonesia Government, 10.00%, 7/15/17	IDR	10,200,000,000		1,220,238
Indonesia Government, 10.00%, 9/15/24	IDR	22,100,000,000		2,515,805
Indonesia Government, 10.00%, 2/15/28	IDR	8,560,000,000		948,431
Indonesia Government, 10.25%, 7/15/27	IDR	22,325,000,000		2,525,997
Indonesia Government, 10.50%, 8/15/30	IDR	24,610,000,000		2,818,536
Indonesia Government, 10.50%, 7/15/38	IDR	10,900,000,000		1,216,733
Indonesia Government, 11.00%, 11/15/20	IDR	14,560,000,000		1,842,567
Indonesia Government, 11.00%, 9/15/25	IDR	16,440,000,000		2,003,967
Indonesia Government, 11.25%, 5/15/14	IDR	16,743,000,000		2,032,045
Indonesia Government, 11.50%, 9/15/19	IDR	25,200,000,000		3,255,897


Total Indonesia			$	48,311,025

Israel — 0.1%
Israel Government Bond, 3.00%, 10/31/19⁽²⁾	ILS	565,068	$	165,590
Israel Government Bond, 5.00%, 4/30/15⁽²⁾	ILS	1,433,775		452,890


Total Israel			$	618,480


	Principal
Security	Amount		Value
Macedonia — 0.1%
Republic of Macedonia, 4.625%, 12/8/15	EUR	280,000	$	361,545


Total Macedonia			$	361,545

Malaysia — 5.3%
Malaysian Government, 2.509%, 8/27/12	MYR	3,800,000	$	1,232,444
Malaysian Government, 3.21%, 5/31/13	MYR	5,925,000		1,938,173
Malaysian Government, 3.502%, 5/31/27	MYR	4,125,000		1,203,085
Malaysian Government, 3.70%, 5/15/13	MYR	6,355,000		2,101,399
Malaysian Government, 3.741%, 2/27/15	MYR	24,076,000		7,958,260
Malaysian Government, 3.756%, 4/28/11	MYR	10,900,000		3,572,644
Malaysian Government, 4.012%, 9/15/17	MYR	9,770,000		3,249,946
Malaysian Government, 4.24%, 2/7/18	MYR	15,775,000		5,309,670
Malaysian Government, 4.378%, 11/29/19	MYR	3,750,000		1,262,807
Malaysian Government, 4.498%, 4/15/30	MYR	3,480,000		1,121,178


Total Malaysia			$	28,949,606

Mexico — 4.4%
Government of Mexico, 7.25%, 12/15/16	MXN	20,800,000	$	1,771,198
Government of Mexico, 7.50%, 6/3/27	MXN	30,480,000		2,443,224
Government of Mexico, 7.75%, 12/14/17	MXN	9,500,000		827,520
Government of Mexico, 8.00%, 12/19/13	MXN	35,400,000		3,089,914
Government of Mexico, 8.00%, 6/11/20	MXN	21,018,000		1,836,368
Government of Mexico, 8.50%, 12/13/18	MXN	6,832,600		618,256
Government of Mexico, 8.50%, 11/18/38	MXN	16,600,000		1,409,614
Government of Mexico, 9.00%, 12/20/12	MXN	39,000,000		3,428,374
Government of Mexico, 9.50%, 12/18/14	MXN	23,060,000		2,120,661
Government of Mexico, 10.00%, 12/5/24	MXN	44,710,000		4,453,678
Government of Mexico, 10.00%, 11/20/36	MXN	23,470,000		2,325,138


Total Mexico			$	24,323,945

Montenegro — 0.5%
Republic of Montenegro, 7.875%, 9/14/15	EUR	2,000,000	$	2,858,101


Total Montenegro			$	2,858,101

Pakistan — 0.1%
Republic of Pakistan, 7.125%, 3/31/16⁽⁶⁾	USD	896,000	$	771,488


Total Pakistan			$	771,488

Peru — 2.1%
Republic of Peru, 6.90%, 8/12/37	PEN	2,700,000	$	1,003,776
Republic of Peru, 6.90%, 8/12/37⁽¹⁾	PEN	2,367,000		879,977
Republic of Peru, 6.95%, 8/12/31	PEN	2,000,000		753,646
Republic of Peru, 7.84%, 8/12/20	PEN	7,570,000		3,119,824
Republic of Peru, 7.84%, 8/12/20	PEN	1,130,000		465,707
Republic of Peru, 8.20%, 8/12/26	PEN	4,950,000		2,119,922
Republic of Peru, 8.60%, 8/12/17	PEN	5,305,000		2,264,297
Republic of Peru, 9.91%, 5/5/15	PEN	1,760,000		762,963


Total Peru			$	11,370,112

Philippines — 1.1%
Philippine Government International Bond, 4.95%, 1/15/21	PHP	139,000,000	$	3,168,274
Philippine Government International Bond, 6.25%, 1/14/36	PHP	150,000,000		3,092,821


Total Philippines			$	6,261,095


	Principal
Security	Amount		Value
Poland — 1.0%
Poland Government Bond, 3.00%, 8/24/16⁽²⁾	PLN	1,800,728	$	640,821
Poland Government Bond, 4.75%, 4/25/12	PLN	2,010,000		701,225
Poland Government Bond, 5.25%, 10/25/17	PLN	3,575,000		1,191,015
Poland Government Bond, 5.75%, 9/23/22	PLN	5,420,000		1,780,491
Poland Government Bond, 6.25%, 10/24/15	PLN	2,900,000		1,031,313


Total Poland			$	5,344,865

South Africa — 5.5%
Republic of South Africa, 2.50%, 1/31/17⁽²⁾	ZAR	6,016,921	$	857,903
Republic of South Africa, 2.60%, 3/31/28⁽²⁾	ZAR	6,129,295		842,999
Republic of South Africa, 2.75%, 1/31/22⁽²⁾	ZAR	3,189,788		446,444
Republic of South Africa, 5.50%, 12/7/23⁽²⁾	ZAR	2,913,584		528,682
Republic of South Africa, 6.25%, 3/31/36	ZAR	22,825,000		2,397,137
Republic of South Africa, 6.75%, 3/31/21	ZAR	45,745,000		5,577,343
Republic of South Africa, 7.00%, 2/28/31	ZAR	12,700,000		1,480,437
Republic of South Africa, 7.25%, 1/15/20	ZAR	30,500,000		3,880,579
Republic of South Africa, 7.50%, 1/15/14	ZAR	5,070,000		708,665
Republic of South Africa, 8.25%, 9/15/17	ZAR	19,430,000		2,691,965
Republic of South Africa, 8.75%, 12/21/14	ZAR	10,290,000		1,481,076
Republic of South Africa, 10.50%, 12/21/26	ZAR	30,356,000		4,861,372
Republic of South Africa, 13.50%, 9/15/15	ZAR	24,525,000		4,144,596


Total South Africa			$	29,899,198

Sri Lanka — 0.2%
Republic of Sri Lanka, 6.25%, 10/4/20⁽¹⁾	USD	950,000	$	950,000


Total Sri Lanka			$	950,000

Taiwan — 0.5%
Taiwan Government Bond, 0.25%, 10/21/11	TWD	12,500,000	$	429,933
Taiwan Government Bond, 0.25%, 2/10/12	TWD	74,400,000		2,556,867


Total Taiwan			$	2,986,800

Thailand — 4.2%
Bank of Thailand, 3.625%, 5/2/11	THB	22,000,000	$	714,653
Kingdom of Thailand, 3.875%, 6/13/19	THB	93,235,000		3,074,845
Kingdom of Thailand, 4.50%, 4/9/24	THB	61,371,000		2,077,309
Kingdom of Thailand, 4.75%, 12/20/24	THB	30,000,000		1,037,591
Kingdom of Thailand, 5.125%, 3/13/18	THB	86,300,000		3,048,612
Kingdom of Thailand, 5.25%, 5/12/14	THB	275,409,000		9,434,329
Kingdom of Thailand, 5.67%, 3/13/28	THB	92,500,000		3,532,737


Total Thailand			$	22,920,076

Turkey — 9.2%
Turkey Government Bond, 0.00%, 4/25/12	TRY	19,569,000	$	11,103,634
Turkey Government Bond, 0.00%, 8/8/12	TRY	11,410,000		6,333,974
Turkey Government Bond, 8.00%, 10/9/13	TRY	7,015,000		4,319,355
Turkey Government Bond, 10.00%, 1/9/13	TRY	8,595,000		5,519,400
Turkey Government Bond, 10.00%, 4/10/13	TRY	7,165,000		4,615,306
Turkey Government Bond, 10.00%, 6/17/15	TRY	7,800,000		4,989,511
Turkey Government Bond, 10.50%, 1/15/20	TRY	6,051,000		4,014,640
Turkey Government Bond, 11.00%, 8/6/14	TRY	9,221,000		6,139,038
Turkey Government Bond, 14.00%, 9/26/12	TRY	1,790,000		1,213,768
Turkey Government Bond, 16.00%, 3/7/12	TRY	1,270,000		855,664
Turkey Government Bond, 16.00%, 8/28/13	TRY	1,330,000		974,043


Total Turkey			$	50,078,333


	Principal
Security	Amount		Value
Uruguay — 0.1%
Republic of Uruguay, 5.00%, 9/14/18⁽²⁾	UYU	14,179,179	$	812,290


Total Uruguay			$	812,290

Venezuela — 0.8%
Bolivarian Republic of Venezuela, 7.00%, 3/31/38⁽⁶⁾	USD	6,137,000	$	3,421,377
Bolivarian Republic of Venezuela, 9.25%, 5/7/28⁽⁶⁾	USD	1,368,100		923,468


Total Venezuela			$	4,344,845


Total Foreign Government Bonds (identified cost $352,593,014)			$	347,257,548

Collateralized Mortgage Obligations — 0.9%


	Principal
Security	Amount		Value
Federal National Mortgage Association:
Series 2001-56, Class KZ, 6.50%, 10/25/31	$	4,639,575	$	5,142,832


Total Collateralized Mortgage Obligations (identified cost $5,248,520)			$	5,142,832

Mortgage Pass-Throughs — 5.5%


	Principal
Security	Amount		Value
Federal Home Loan Mortgage Corp.:
6.50%, with maturity at 2024	$	4,749,244	$	5,333,220
7.00%, with maturity at 2032		3,376,930		3,843,160
7.50%, with maturity at 2034		735,281		855,791

			$	10,032,171

Federal National Mortgage Association:
2.904%, with maturity at 2035⁽⁷⁾⁽⁸⁾	$	1,686,329	$	1,766,265
4.447%, with maturity at 2035⁽⁷⁾		1,447,577		1,566,551
5.00%, with maturity at 2017		7,244,078		7,740,417
6.00%, with maturity at 2032		1,030,939		1,119,868
6.50%, with various maturities to 2033⁽⁸⁾		3,582,492		3,960,320
7.00%, with various maturities to 2033		2,075,143		2,356,687
8.50%, with maturity at 2032		1,201,523		1,444,705

			$	19,954,813


Total Mortgage Pass-Throughs (identified cost $29,226,672)			$	29,986,984

U.S. Government Agency Obligations — 1.3%


	Principal
Security	Amount		Value
Federal Home Loan Bank:
4.50%, 9/13/19	$	4,000,000	$	4,231,828
5.25%, 12/9/22		2,700,000		2,992,035


Total U.S. Government Agency Obligations (identified cost $7,825,458)			$	7,223,863

Precious Metals — 0.6%


	Troy
Description	Ounces		Value
Gold		2,421	$	3,223,250


Total Precious Metals (identified cost $3,255,929)			$	3,223,250

Currency Options Purchased — 0.0%⁽³⁾

Principal

Amount of

Contracts

Strike

Expiration

Description

(000’s omitted)

Price

Date

Value

Euro Put Option

EUR

5,600

EUR

1.22

5/11/11

20,364

Euro Put Option

EUR

6,566

EUR

1.17

5/3/12

149,600

Total Currency Options Purchased
(identified cost $591,330)

169,964

Put Options Purchased — 0.1%

Number

Strike

Expiration

Description

of Contracts

Price

Date

Value

KOSPI 200 Index

28,650,000

KRW

205

10/13/11

54,772

KOSPI 200 Index

28,650,000

KRW

200

10/11/12

159,205

Light Sweet Crude Oil Future 12/11

USD

11/15/11

22,500

Total Put Options Purchased
(identified cost $547,687)

236,477

Short-Term Investments — 23.5%

Foreign Government Securities — 17.1%


	Principal
	Amount
Security	(000’s omitted)		Value
Brazil — 1.1%
Letras Do Tesouro Nacional, 0.00%, 7/1/11	BRL	10,400	$	5,951,318


Total Brazil			$	5,951,318

Croatia — 1.9%
Croatia Treasury Bill, 0.00%, 3/31/11	EUR	440	$	601,089
Croatia Treasury Bill, 0.00%, 4/7/11	EUR	525		716,971
Croatia Treasury Bill, 0.00%, 5/5/11	EUR	341		465,017
Croatia Treasury Bill, 0.00%, 6/2/11	EUR	700		952,990
Croatia Treasury Bill, 0.00%, 6/16/11	EUR	819		1,113,978
Croatia Treasury Bill, 0.00%, 8/25/11	EUR	307		415,340
Croatia Treasury Bill, 0.00%, 9/8/11	EUR	592		799,935
Croatia Treasury Bill, 0.00%, 9/15/11	EUR	3,467		4,681,765
Croatia Treasury Bill, 0.00%, 9/22/11	EUR	540		728,732


Total Croatia			$	10,475,817

Egypt — 1.4%
Egypt Treasury Bill, 0.00%, 5/24/11⁽⁵⁾	EGP	1,700	$	274,710
Egypt Treasury Bill, 0.00%, 6/14/11⁽⁵⁾	EGP	350		56,172
Egypt Treasury Bill, 0.00%, 6/28/11⁽⁵⁾	EGP	10,850		1,732,959
Egypt Treasury Bill, 0.00%, 7/12/11⁽⁵⁾	EGP	15,750		2,503,947
Egypt Treasury Bill, 0.00%, 7/26/11⁽⁵⁾	EGP	12,950		2,049,345
Egypt Treasury Bill, 0.00%, 8/2/11⁽⁵⁾	EGP	1,900		299,964
Egypt Treasury Bill, 0.00%, 8/9/11⁽⁵⁾	EGP	4,700		740,281


Total Egypt			$	7,657,378


	Principal
	Amount
Security	(000’s omitted)		Value
Georgia — 0.3%
Bank of Georgia Promissory Note, 9.00%, 12/7/11	USD	1,500	$	1,500,000


Total Georgia			$	1,500,000

Hong Kong — 1.9%
Hong Kong Treasury Bill, 0.00%, 2/9/11	HKD	34,000	$	4,360,823
Hong Kong Treasury Bill, 0.00%, 3/9/11	HKD	3,500		448,875
Hong Kong Treasury Bill, 0.00%, 5/11/11	HKD	34,000		4,358,956
Hong Kong Treasury Bill, 0.00%, 7/20/11	HKD	9,500		1,217,317


Total Hong Kong			$	10,385,971

Iceland — 0.0%⁽³⁾
Iceland Treasury Bill, 0.00%, 2/15/11	ISK	3,129	$	22,908
Iceland Treasury Bill, 0.00%, 3/15/11	ISK	12,599		91,942
Iceland Treasury Bill, 0.00%, 4/15/11	ISK	7,605		55,388


Total Iceland			$	170,238

Israel — 3.9%
Israel Treasury Bill, 0.00%, 3/2/11	ILS	5,394	$	1,451,680
Israel Treasury Bill, 0.00%, 4/6/11	ILS	27,948		7,505,679
Israel Treasury Bill, 0.00%, 5/4/11	ILS	4,556		1,221,238
Israel Treasury Bill, 0.00%, 6/1/11	ILS	17,435		4,663,563
Israel Treasury Bill, 0.00%, 7/6/11	ILS	1,746		465,851
Israel Treasury Bill, 0.00%, 11/2/11	ILS	22,957		6,069,472


Total Israel			$	21,377,483

Kazakhstan — 1.3%
Kazakhstan National Bank, 0.00%, 3/11/11	KZT	146,100	$	993,408
Kazakhstan National Bank, 0.00%, 3/18/11	KZT	86,300		586,692
Kazakhstan National Bank, 0.00%, 4/8/11	KZT	134,000		910,405
Kazakhstan National Bank, 0.00%, 4/15/11	KZT	55,581		377,530
Kazakhstan National Bank, 0.00%, 4/29/11	KZT	485,160		3,293,701
Kazakhstan National Bank, 0.00%, 7/22/11	KZT	164,968		1,115,068


Total Kazakhstan			$	7,276,804

Lebanon — 1.2%
Lebanon Treasury Bill, 0.00%, 2/3/11	LBP	239,940	$	159,857
Lebanon Treasury Bill, 0.00%, 2/17/11	LBP	633,470		421,421
Lebanon Treasury Bill, 0.00%, 3/31/11	LBP	1,370,150		907,321
Lebanon Treasury Bill, 0.00%, 4/14/11	LBP	2,215,440		1,464,745
Lebanon Treasury Bill, 0.00%, 6/30/11	LBP	386,000		252,849
Lebanon Treasury Bill, 0.00%, 7/28/11	LBP	1,727,060		1,151,398
Lebanon Treasury Bill, 0.00%, 8/11/11	LBP	72,000		46,909
Lebanon Treasury Bill, 0.00%, 9/22/11	LBP	192,250		124,544
Lebanon Treasury Bill, 0.00%, 10/6/11	LBP	3,479,130		2,249,482


Total Lebanon			$	6,778,526

Malaysia — 0.6%
Malaysia Treasury Bill, 0.00%, 3/2/11	MYR	6,000	$	1,955,375
Malaysia Treasury Bill, 0.00%, 5/10/11	MYR	3,612		1,170,941


Total Malaysia			$	3,126,316


	Principal
	Amount
Security	(000’s omitted)		Value
Serbia — 0.1%
Serbia Treasury Bill, 0.00%, 12/13/11	RSD	37,420	$	433,979


Total Serbia			$	433,979

South Korea — 0.9%
Korea Monetary Stabilization Bond, 0.00%, 2/1/11	KRW	1,274,200	$	1,136,274
Korea Monetary Stabilization Bond, 0.00%, 4/12/11	KRW	645,650		572,653
Korea Monetary Stabilization Bond, 0.00%, 4/26/11	KRW	2,487,310		2,203,287
Korea Monetary Stabilization Bond, 0.00%, 5/17/11	KRW	637,100		563,350
Korea Monetary Stabilization Bond, 3.20%, 2/23/11	KRW	176,810		157,725
Korea Monetary Stabilization Bond, 3.40%, 3/24/11	KRW	236,190		210,798


Total South Korea			$	4,844,087

Sri Lanka — 0.5%
Sri Lanka Treasury Bill, 0.00%, 3/11/11	LKR	15,980	$	142,769
Sri Lanka Treasury Bill, 0.00%, 3/18/11	LKR	9,720		86,724
Sri Lanka Treasury Bill, 0.00%, 3/25/11	LKR	14,370		128,040
Sri Lanka Treasury Bill, 0.00%, 4/29/11	LKR	180,600		1,598,399
Sri Lanka Treasury Bill, 0.00%, 7/15/11	LKR	60,920		531,156
Sri Lanka Treasury Bill, 0.00%, 8/5/11	LKR	22,030		191,294


Total Sri Lanka			$	2,678,382

Turkey — 0.5%
Turkey Government Bond, 0.00%, 5/11/11	TRY	285	$	174,470
Turkey Government Bond, 0.00%, 11/16/11	TRY	4,630		2,727,558


Total Turkey			$	2,902,028

Uruguay — 1.1%
Uruguay Treasury Bill, 0.00%, 2/10/11	UYU	6,235	$	316,748
Uruguay Treasury Bill, 0.00%, 2/18/11	UYU	32,000		1,623,337
Uruguay Treasury Bill, 0.00%, 3/1/11	UYU	11,875		601,207
Uruguay Treasury Bill, 0.00%, 3/3/11	UYU	6,786		343,422
Uruguay Treasury Bill, 0.00%, 4/13/11	UYU	12,435		624,503
Uruguay Treasury Bill, 0.00%, 5/25/11	UYU	12,500		622,233
Uruguay Treasury Bill, 0.00%, 6/15/11	UYU	8,600		426,074
Uruguay Treasury Bill, 0.00%, 8/11/11	UYU	12,355		604,911
Uruguay Treasury Bill, 0.00%, 8/30/11	UYU	5,327		259,700
Uruguay Treasury Bill, 0.00%, 9/16/11	UYU	6,200		301,083
Uruguay Treasury Bill, 0.00%, 10/21/11	UYU	6,725		323,892


Total Uruguay			$	6,047,110

Zambia — 0.4%
Zambia Treasury Bill, 0.00%, 3/14/11	ZMK	1,150,000	$	237,007
Zambia Treasury Bill, 0.00%, 6/13/11	ZMK	1,245,000		253,074
Zambia Treasury Bill, 0.00%, 9/12/11	ZMK	1,515,000		301,767
Zambia Treasury Bill, 0.00%, 10/10/11	ZMK	2,910,000		576,805
Zambia Treasury Bill, 0.00%, 12/12/11	ZMK	2,960,000		578,136


Total Zambia			$	1,946,789


Total Foreign Government Securities (identified cost $93,614,913)			$	93,552,226

U.S. Treasury Obligations — 0.3%


	Principal
	Amount
Security	(000’s omitted)		Value
United States Treasury Bill, 0.00%, 2/3/11⁽⁸⁾	$	1,000	$	999,994
United States Treasury Bill, 0.00%, 7/28/11		267		266,697


Total U.S. Treasury Obligations (identified cost $1,266,649)			$	1,266,691

Other Securities — 6.1%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽⁹⁾	$	33,459	$	33,458,919


Total Other Securities (identified cost $33,458,919)			$	33,458,919


Total Short-Term Investments (identified cost $128,340,481)			$	128,277,836


Total Investments — 95.4% (identified cost $527,629,091)			$	521,518,754


Other Assets, Less Liabilities — 4.6%			$	25,398,659


Net Assets — 100.0%			$	546,917,413


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

BRL	-	Brazilian Real
CLP	-	Chilean Peso
COP	-	Colombian Peso
CRC	-	Costa Rican Colon
DOP	-	Dominican Peso
EGP	-	Egyptian Pound
EUR	-	Euro
HKD	-	Hong Kong Dollar
HUF	-	Hungarian Forint
IDR	-	Indonesian Rupiah
ILS	-	Israeli Shekel
ISK	-	Icelandic Krona
KRW	-	South Korean Won
KZT	-	Kazak Tenge
LBP	-	Lebanese Pound
LKR	-	Sri Lankan Rupee
MXN	-	Mexican Peso
MYR	-	Malaysian Ringgit
PEN	-	Peruvian New Sol
PHP	-	Philippine Peso
PLN	-	Polish Zloty
RSD	-	Serbian Dinar
THB	-	Thailand Baht
TRY	-	New Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
UYU	-	Uruguayan Peso
ZAR	-	South African Rand
ZMK	-	Zambian Kwacha

(1)		Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At January 31, 2011, the aggregate value of these securities is $4,106,023 or 0.8% of the Portfolio’s net assets.
(2)		Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.
(3)		Amount is less than 0.05%.
(4)		Security represents a structured security whose market value and interest rate are linked to the performance of the underlying security.
(5)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.
(6)		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.
(7)		Adjustable rate mortgage security. Rate shown is the rate at January 31, 2011.


(8)				Security (or a portion thereof) has been pledged to cover collateral requirements on open financial contracts.
(9)				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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $15,031.

Basis for Consolidation

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance EMLIP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and principal investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at January 31, 2011 were $4,089,419 or 0.7% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investment includes positions of the Portfolio and the Subsidiary.

A summary of open financial instruments at January 31, 2011 is as follows:

Forward Foreign Currency Exchange Contracts

Sales


				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
2/14/11	Euro 9,681,672	United States Dollar 12,555,288	Citigroup Global Markets	$	(698,300	)
2/14/11	Euro 1,570,000	United States Dollar 2,050,059	Goldman Sachs, Inc.		(99,171	)
2/16/11	South African Rand 899,413	United States Dollar 126,857	Credit Suisse		2,031
2/24/11	Euro 189,000	United States Dollar 258,643	Goldman Sachs, Inc.		(52	)
2/24/11	Euro 7,651,529	United States Dollar 10,257,564	JPMorgan Chase Bank		(215,524	)
3/2/11	Israeli Shekel 3,100,000	United States Dollar 812,475	Deutsche Bank		(23,070	)
3/11/11	Sri Lankan Rupee 15,980,000	United States Dollar 131,523	HSBC Bank USA		(11,999	)
3/18/11	Sri Lankan Rupee 9,720,000	United States Dollar 79,869	HSBC Bank USA		(7,413	)
3/21/11	Euro 158,872	United States Dollar 210,028	Goldman Sachs, Inc.		(7,365	)
3/25/11	Sri Lankan Rupee 14,370,000	United States Dollar 118,711	Standard Chartered Bank		(10,301	)
3/31/11	Euro 440,000	United States Dollar 593,472	HSBC Bank USA		(8,529	)
4/6/11	Israeli Shekel 2,443,000	United States Dollar 656,315	Barclays Bank PLC		(1,942	)
4/6/11	Israeli Shekel 2,440,000	United States Dollar 655,385	Citigroup Global Markets		(2,062	)
4/6/11	Israeli Shekel 4,883,000	United States Dollar 1,312,282	Deutsche Bank		(3,422	)
4/7/11	Euro 525,000	United States Dollar 703,432	HSBC Bank USA		(14,802	)
4/29/11	Sri Lankan Rupee 130,200,000	United States Dollar 1,156,819	HSBC Bank USA		(10,522	)
4/29/11	Sri Lankan Rupee 50,400,000	United States Dollar 447,403	Standard Chartered Bank		(4,470	)
5/4/11	Israeli Shekel 1,696,000	United States Dollar 454,022	Barclays Bank PLC		(2,834	)
5/4/11	Israeli Shekel 2,860,000	United States Dollar 760,032	Citigroup Global Markets		(10,375	)
5/5/11	Euro 341,000	United States Dollar 446,846	HSBC Bank USA		(19,483	)
6/1/11	Israeli Shekel 4,955,000	United States Dollar 1,353,271	Barclays Bank PLC		18,911


				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
6/2/11	Euro 700,000	United States Dollar 856,310	HSBC Bank USA	$	(100,531	)
6/16/11	Euro 819,000	United States Dollar 1,009,999	Citigroup Global Markets		(109,252	)
7/6/11	Israeli Shekel 1,746,000	United States Dollar 472,467	Deutsche Bank		2,445
7/15/11	Sri Lankan Rupee 60,920,000	United States Dollar 512,665	HSBC Bank USA		(32,279	)
8/5/11	Sri Lankan Rupee 22,030,000	United States Dollar 189,505	HSBC Bank USA		(7,436	)
8/25/11	Euro 307,000	United States Dollar 386,851	Deutsche Bank		(32,179	)
9/8/11	Euro 592,000	United States Dollar 751,745	Citigroup Global Markets		(56,050	)
9/15/11	Euro 3,467,000	United States Dollar 4,502,038	Deutsche Bank		(228,062	)
9/22/11	Euro 540,000	United States Dollar 707,697	Goldman Sachs, Inc.		(28,929	)
11/2/11	Israeli Shekel 19,627,000	United States Dollar 5,368,435	Barclays Bank PLC		90,587
11/2/11	Israeli Shekel 1,500,000	United States Dollar 405,351	Deutsche Bank		1,989

				$	(1,630,391	)

Purchases


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
2/3/11	Serbian Dinar 34,253,000	Euro 322,078	HSBC Bank USA	$	7,531
2/4/11	Czech Koruna 33,337,000	Euro 1,357,060	Deutsche Bank		28,472
2/4/11	Czech Koruna 25,900,000	Euro 1,056,238	Deutsche Bank		19,495
2/4/11	Serbian Dinar 17,127,000	Euro 160,745	Standard Bank		4,111
2/4/11	South African Rand 29,700,000	United States Dollar 4,215,816	Bank of America		(86,215	)
2/7/11	Czech Koruna 53,630,000	Euro 2,157,229	Barclays Bank PLC		81,303
2/7/11	Czech Koruna 46,978,208	Euro 1,888,928	HSBC Bank USA		72,228
2/7/11	Serbian Dinar 25,627,000	Euro 239,058	JPMorgan Chase Bank		7,871
2/7/11	Zambian Kwacha 2,455,000,000	United States Dollar 509,336	Citigroup Global Markets		(2,142	)
2/7/11	Zambian Kwacha 791,000,000	United States Dollar 164,108	JPMorgan Chase Bank		(690	)
2/7/11	Zambian Kwacha 1,567,000,000	United States Dollar 323,734	Standard Bank		3
2/7/11	Zambian Kwacha 291,600,000	United States Dollar 60,245	Standard Bank		(2	)
2/7/11	Zambian Kwacha 941,000,000	United States Dollar 195,634	Standard Chartered Bank		(1,227	)
2/8/11	Czech Koruna 55,600,000	Euro 2,276,916	Bank of America		28,929
2/10/11	Indian Rupee 50,040,000	United States Dollar 1,098,573	Barclays Bank PLC		(10,510	)


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
2/10/11	Mexican Peso 11,903,502	United States Dollar 982,210	HSBC Bank USA	$	(1,633	)
2/10/11	Polish Zloty 45,772,000	Euro 11,721,983	Credit Suisse		(115,790	)
2/10/11	Serbian Dinar 13,950,000	Euro 133,149	Deutsche Bank		(2	)
2/10/11	Serbian Dinar 40,198,300	Euro 384,489	Deutsche Bank		(1,110	)
2/10/11	South African Rand 29,480,000	United States Dollar 4,232,227	Bank of America		(137,023	)
2/10/11	South Korean Won 1,168,000,000	United States Dollar 1,038,361	Credit Suisse		2,969
2/10/11	Thai Baht 615,825,000	United States Dollar 20,388,181	Citigroup Global Markets		(455,298	)
2/14/11	New Turkish Lira 14,095,238	United States Dollar 8,937,441	Citigroup Global Markets		(168,464	)
2/14/11	Russian Ruble 645,511,000	United States Dollar 21,082,729	HSBC Bank USA		559,624
2/14/11	Serbian Dinar 25,925,000	Euro 243,313	HSBC Bank USA		5,275
2/14/11	South Korean Won 1,350,600,000	United States Dollar 1,203,958	Standard Chartered Bank		(15	)
2/14/11	Taiwan Dollar 15,840,000	United States Dollar 544,199	Barclays Bank PLC		1,415
2/15/11	Taiwan Dollar 15,020,000	United States Dollar 517,431	Credit Suisse		(52	)
2/17/11	Colombian Peso 1,100,000,000	United States Dollar 590,604	Credit Suisse		(1,011	)
2/18/11	Malaysian Ringgit 28,192,000	United States Dollar 9,197,742	Barclays Bank PLC		10,816
2/18/11	Serbian Dinar 19,210,000	Euro 182,154	Barclays Bank PLC		1,075
2/18/11	Serbian Dinar 43,440,000	Euro 409,429	Citigroup Global Markets		5,828
2/18/11	Serbian Dinar 19,076,000	Euro 179,877	Credit Suisse		2,446
2/18/11	Serbian Dinar 30,690,000	Euro 290,213	Deutsche Bank		2,811
2/18/11	Serbian Dinar 37,222,000	Euro 351,588	JPMorgan Chase Bank		3,947
2/18/11	Swedish Krona 13,000,000	Euro 1,448,952	Goldman Sachs, Inc.		30,921
2/22/11	Indian Rupee 96,573,000	United States Dollar 2,107,660	Standard Chartered Bank		(13,256	)
2/22/11	Indonesian Rupiah 5,891,800,000	United States Dollar 644,899	Citigroup Global Markets		3,101
2/22/11	Norwegian Krone 14,564,882	Euro 1,839,534	HSBC Bank USA		1,432
2/24/11	Indonesian Rupiah 22,000,000,000	United States Dollar 2,409,903	Standard Chartered Bank		8,553
2/24/11	Malaysian Ringgit 18,037,500	United States Dollar 5,897,499	Barclays Bank PLC		(5,779	)
2/24/11	Malaysian Ringgit 18,037,500	United States Dollar 5,897,692	Goldman Sachs, Inc.		(5,972	)
2/24/11	Russian Ruble 62,400,000	United States Dollar 2,081,388	Barclays Bank PLC		9,162
2/24/11	Thai Baht 331,700,000	United States Dollar 10,843,945	JPMorgan Chase Bank		(107,511	)
2/28/11	Czech Koruna 34,902,000	Euro 1,438,961	Goldman Sachs, Inc.		5,076


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
2/28/11	Swedish Krona 31,216,800	Euro 3,475,794	Standard Chartered Bank	$	77,843
2/28/11	Thai Baht 64,200,000	United States Dollar 2,127,237	Credit Suisse		(49,215	)
2/28/11	Thai Baht 84,000,000	United States Dollar 2,725,945	Standard Chartered Bank		(7,038	)
3/2/11	Brazilian Real 36,460,000	United States Dollar 21,688,180	Goldman Sachs, Inc.		36,184
3/2/11	Brazilian Real 4,520,000	United States Dollar 2,671,395	Goldman Sachs, Inc.		21,807
3/2/11	Israeli Shekel 4,156,847	United States Dollar 1,160,141	Credit Suisse		(39,742	)
3/7/11	Mexican Peso 32,250,000	United States Dollar 2,610,596	HSBC Bank USA		40,485
3/7/11	South Korean Won 440,000,000	United States Dollar 391,163	Bank of America		703
3/10/11	Polish Zloty 5,840,000	United States Dollar 1,908,325	Goldman Sachs, Inc.		119,677
3/10/11	Polish Zloty 80,645,720	United States Dollar 26,145,476	JPMorgan Chase Bank		1,859,598
3/14/11	Indian Rupee 37,500,000	United States Dollar 818,599	Credit Suisse		(8,488	)
3/15/11	Serbian Dinar 16,525,000	Euro 151,647	Barclays Bank PLC		6,413
3/16/11	Serbian Dinar 16,430,000	Euro 151,989	Barclays Bank PLC		4,663
3/17/11	Serbian Dinar 23,125,000	Euro 215,337	Barclays Bank PLC		4,553
3/17/11	Serbian Dinar 18,495,000	Euro 172,287	HSBC Bank USA		3,553
3/18/11	Malaysian Ringgit 15,858,000	United States Dollar 5,167,155	Citigroup Global Markets		9,994
3/18/11	Serbian Dinar 19,420,000	Euro 182,176	Citigroup Global Markets		1,927
3/18/11	Serbian Dinar 18,160,000	Euro 170,725	Credit Suisse		1,298
3/18/11	Serbian Dinar 18,215,000	Euro 170,712	HSBC Bank USA		2,026
3/18/11	Swedish Krona 21,110,000	Euro 2,348,779	Standard Chartered Bank		53,202
3/21/11	Norwegian Krone 14,000,000	Euro 1,784,349	Goldman Sachs, Inc.		(23,309	)
3/21/11	Serbian Dinar 47,610,000	Euro 449,787	Citigroup Global Markets		(66	)
3/29/11	Indian Rupee 32,000,000	United States Dollar 699,224	Deutsche Bank		(9,792	)
3/29/11	Indian Rupee 37,200,000	United States Dollar 812,937	Standard Chartered Bank		(11,472	)
3/29/11	South Korean Won 550,000,000	United States Dollar 476,067	Bank of America		13,126
3/29/11	South Korean Won 562,000,000	United States Dollar 486,475	Credit Suisse		13,392
3/30/11	Malaysian Ringgit 6,300,000	United States Dollar 2,030,032	HSBC Bank USA		25,931
3/31/11	Polish Zloty 11,476,000	Euro 2,874,389	HSBC Bank USA		45,205
4/5/11	South African Rand 15,496,614	United States Dollar 2,318,464	Goldman Sachs, Inc.		(183,432	)
4/6/11	Indian Rupee 74,100,000	United States Dollar 1,628,750	Barclays Bank PLC		(34,590	)


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
4/6/11	Indonesian Rupiah 1,538,500,000	United States Dollar 170,982	Barclays Bank PLC	$	(3,138	)
4/6/11	Indonesian Rupiah 1,880,500,000	United States Dollar 208,968	Credit Suisse		(3,813	)
4/6/11	Indonesian Rupiah 1,880,500,000	United States Dollar 208,991	Deutsche Bank		(3,836	)
4/6/11	Indonesian Rupiah 1,538,500,000	United States Dollar 170,944	Standard Chartered Bank		(3,100	)
4/6/11	Polish Zloty 8,490,000	United States Dollar 2,793,177	Barclays Bank PLC		148,182
4/6/11	Polish Zloty 22,597,883	Euro 5,755,663	Goldman Sachs, Inc.		(45,194	)
4/6/11	Serbian Dinar 26,033,000	Euro 239,054	HSBC Bank USA		7,951
4/7/11	Swedish Krona 9,790,000	Euro 1,087,560	Credit Suisse		26,113
4/7/11	Swedish Krona 10,778,000	Euro 1,201,258	Credit Suisse		23,355
4/7/11	Swedish Krona 4,340,000	Euro 486,585	Goldman Sachs, Inc.		5,475
4/11/11	Malaysian Ringgit 1,240,000	United States Dollar 401,919	Credit Suisse		2,533
4/11/11	Malaysian Ringgit 1,240,000	United States Dollar 401,854	Deutsche Bank		2,598
4/11/11	Malaysian Ringgit 1,240,000	United States Dollar 401,958	Goldman Sachs, Inc.		2,494
4/11/11	Malaysian Ringgit 1,220,000	United States Dollar 395,449	JPMorgan Chase Bank		2,480
4/11/11	Malaysian Ringgit 8,950,000	United States Dollar 2,921,018	Standard Chartered Bank		(1,786	)
4/12/11	Indonesian Rupiah 2,875,000,000	United States Dollar 315,934	Barclays Bank PLC		(2,668	)
4/12/11	Indonesian Rupiah 2,875,000,000	United States Dollar 316,004	Credit Suisse		(2,737	)
4/12/11	Indonesian Rupiah 2,875,000,000	United States Dollar 316,212	Deutsche Bank		(2,946	)
4/12/11	Malaysian Ringgit 7,320,000	United States Dollar 2,377,086	Barclays Bank PLC		10,361
4/13/11	Czech Koruna 33,030,000	Euro 1,345,856	Goldman Sachs, Inc.		26,671
4/13/11	Israeli Shekel 7,100,000	United States Dollar 2,000,899	Credit Suisse		(87,963	)
4/13/11	Malaysian Ringgit 11,500,000	United States Dollar 3,723,370	HSBC Bank USA		27,205
4/13/11	Polish Zloty 10,680,000	Euro 2,723,100	Bank of America		(27,149	)
4/13/11	Serbian Dinar 25,460,000	Euro 233,792	Citigroup Global Markets		6,855
4/14/11	Mexican Peso 207,900,000	United States Dollar 16,927,211	JPMorgan Chase Bank		111,479
4/14/11	Serbian Dinar 32,835,000	Euro 304,310	HSBC Bank USA		4,849
4/14/11	Serbian Dinar 7,475,000	Euro 69,245	JPMorgan Chase Bank		1,148
4/15/11	Serbian Dinar 38,875,000	Euro 357,833	Citigroup Global Markets		8,898
4/18/11	Serbian Dinar 19,418,000	Euro 179,880	Citigroup Global Markets		2,583
4/19/11	Indonesian Rupiah 3,780,000,000	United States Dollar 410,646	Credit Suisse		642


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
4/21/11	Indonesian Rupiah 17,270,000,000	United States Dollar 1,881,264	Standard Bank	$	(2,941	)
4/21/11	Serbian Dinar 33,685,000	Euro 313,933	HSBC Bank USA		1,377
4/26/11	Serbian Dinar 57,600,000	Euro 538,569	Credit Suisse		(1,518	)
5/26/11	Yuan Renminbi 4,609,500	United States Dollar 700,000	Bank of America		2,474
5/26/11	Yuan Renminbi 9,223,200	United States Dollar 1,400,000	Barclays Bank PLC		5,589
5/26/11	Yuan Renminbi 4,610,200	United States Dollar 700,000	Citigroup Global Markets		2,581
6/3/11	Yuan Renminbi 1,950,000	United States Dollar 294,740	Bank of America		2,596
6/3/11	Yuan Renminbi 1,950,000	United States Dollar 294,606	Deutsche Bank		2,729
6/15/11	Yuan Renminbi 1,800,000	United States Dollar 272,521	Citigroup Global Markets		2,167
6/15/11	Yuan Renminbi 3,800,000	United States Dollar 574,887	HSBC Bank USA		5,010
8/2/11	Brazilian Real 13,500,000	United States Dollar 7,721,787	HSBC Bank USA		18,595
8/9/11	Yuan Renminbi 2,470,000	United States Dollar 369,263	Goldman Sachs, Inc.		9,054
8/24/11	Yuan Renminbi 1,920,000	United States Dollar 287,511	Bank of America		6,815
10/12/11	Yuan Renminbi 2,000,000	United States Dollar 309,191	Deutsche Bank		(1,747	)
10/12/11	Yuan Renminbi 13,300,000	United States Dollar 2,048,991	JPMorgan Chase Bank		(4,492	)
10/13/11	Zambian Kwacha 749,000,000	United States Dollar 152,143	Standard Chartered Bank		(2,403	)
11/28/11	Yuan Renminbi 4,545,800	United States Dollar 700,000	Barclays Bank PLC		598
11/28/11	Yuan Renminbi 4,547,550	United States Dollar 700,000	JPMorgan Chase Bank		868
11/28/11	Yuan Renminbi 9,093,000	United States Dollar 1,400,000	Standard Chartered Bank		1,412
12/8/11	Russian Ruble 296,460,000	United States Dollar 9,187,573	HSBC Bank USA		415,473
12/13/11	Mexican Peso 217,378,684	United States Dollar 16,856,874	HSBC Bank USA		526,436
12/30/11	Yuan Renminbi 6,600,000	United States Dollar 1,020,882	Bank of America		(1,943	)
1/19/12	Yuan Renminbi 780,000	United States Dollar 123,223	Barclays Bank PLC		(2,673	)
1/30/12	Yuan Renminbi 4,190,000	United States Dollar 648,828	Bank of America		(877	)
1/30/12	Yuan Renminbi 14,416,000	United States Dollar 2,234,935	Barclays Bank PLC		(5,614	)
6/18/12	Yuan Renminbi 1,990,000	United States Dollar 299,248	Goldman Sachs, Inc.		10,780
11/13/12	Yuan Renminbi 10,940,000	United States Dollar 1,743,426	Bank of America		(25,544	)

				$	2,967,472

At January 31, 2011, closed forward foreign currency purchases and sales contracts excluded above amounted to a receivable of $1,870,465 and a payable of $375,923.

Futures Contracts


									Net Unrealized
Expiration			Aggregate						Appreciation
Date	Contracts	Position	Cost			Value			(Depreciation)
2/11	34 Brent Crude Oil	Short	$	(3,285,280	)	$	(3,434,340	)	$	(149,060	)
2/11	34 Light Sweet Crude Oil	Long		2,959,350			3,134,460			175,110
3/11	12 Euro-Bobl	Short		(1,942,054	)		(1,919,330	)		22,724
3/11	18 Euro-Bund	Short		(3,094,116	)		(3,049,536	)		44,580
3/11	10 Euro-Buxl	Short		(1,475,993	)		(1,441,441	)		34,552
3/11	5 Japan 10-Year Bond	Short		(8,566,642	)		(8,529,483	)		37,159
3/11	17 U.S. 2-Year Treasury Note	Short		(3,720,079	)		(3,726,187	)		(6,108	)
3/11	42 U.S. 5-Year Treasury Note	Short		(4,944,935	)		(4,973,391	)		(28,456	)
3/11	55 U.S. 10-Year Treasury Note	Short		(6,607,217	)		(6,643,829	)		(36,612	)
3/11	74 U.S. 30-Year Treasury Bond	Short		(8,852,250	)		(8,926,250	)		(74,000	)

									$	19,889


•	Euro-Bobl: Medium-term debt securities issued by the Federal Republic of Germany with a term to maturity of 4.5 to 5 years.

•	Euro-Bund: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 8.5 to 10.5 years.

•	Euro-Buxl: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 24 to 35 years.

•	Japan 10-Year Bond: Japanese Government Bonds (JGB) having a maturity of 7 years or more but less than 11 years.

Interest Rate Swaps


	Notional		Portfolio						Net Unrealized
	Amount		Pays/Receives	Floating	Annual			Termination	Appreciation
Counterparty	(000’s omitted)		Floating Rate	Rate Index	Fixed Rate			Date	(Depreciation)
Bank of America	ILS	640	Receive	3-month ILS TELBOR		4.20	%	11/19/14	$	(346	)
Bank of America	ILS	600	Receive	3-month ILS TELBOR		4.54		1/6/15		(1,726	)
Bank of America	MXN	26,000	Pay	Mexican Interbank Deposit Rate		6.46		9/24/20		(168,575	)
Bank of America	PLN	10,700	Pay	6-month PLN WIBOR		4.88		9/14/14		(63,636	)
Bank of America	PLN	3,600	Pay	6-month PLN WIBOR		4.95		9/14/20		(70,728	)
Barclays Bank PLC	ILS	303	Receive	3-month ILS TELBOR		5.15		3/5/20		(3,144	)
Barclays Bank PLC	ILS	303	Receive	3-month ILS TELBOR		5.16		3/8/20		(3,182	)
Barclays Bank PLC	MYR	26,000	Pay	3-month MYR KLIBOR		3.39		11/23/13		(42,554	)
Barclays Bank PLC	MYR	18,000	Pay	3-month MYR KLIBOR		3.70		10/19/15		(88,518	)
Barclays Bank PLC	MYR	10,000	Pay	3-month MYR KLIBOR		4.13		10/19/20		(168,593	)
Barclays Bank PLC	PLN	8,000	Pay	6-month PLN WIBOR		5.42		6/1/14		74,244
Barclays Bank PLC	PLN	14,300	Pay	6-month PLN WIBOR		5.02		7/30/14		46,277
Barclays Bank PLC	PLN	24,000	Pay	6-month PLN WIBOR		5.18		11/9/14		(79,042	)
Barclays Bank PLC	PLN	2,300	Pay	6-month PLN WIBOR		5.36		7/30/20		(3,497	)
Barclays Bank PLC	THB	143,000	Pay	6-month THBFIX		3.34		2/16/15		28,514
Barclays Bank PLC	THB	149,550	Pay	6-month THBFIX		3.21		10/4/20		(346,477	)
Barclays Bank PLC	ZAR	53,700	Pay	3-month JIBOR		7.41		9/24/20		(544,343	)
Citigroup Global Markets	MXN	50,000	Pay	Mexican Interbank Deposit Rate		9.08		8/6/13		324,416
Citigroup Global Markets	MXN	48,000	Pay	Mexican Interbank Deposit Rate		6.86		11/10/20		(204,274	)
Citigroup Global Markets	THB	69,000	Pay	6-month THBFIX		3.40		1/14/15		3,962
Credit Suisse	MXN	42,000	Pay	Mexican Interbank Deposit Rate		6.24		7/31/15		(46,863	)
Credit Suisse	MXN	45,000	Pay	Mexican Interbank Deposit Rate		5.84		10/1/15		(121,050	)
Credit Suisse	MXN	41,500	Pay	Mexican Interbank Deposit Rate		6.36		10/23/20		(296,847	)
Credit Suisse	PLN	10,000	Pay	6-month PLN WIBOR		5.17		6/15/12		103,007
Deutsche Bank	MYR	10,800	Pay	3-month MYR KLIBOR		4.38		11/23/20		(108,054	)
Deutsche Bank	PLN	5,400	Pay	6-month PLN WIBOR		4.85		4/23/14		14,175
Deutsche Bank	PLN	3,100	Pay	6-month PLN WIBOR		5.11		4/23/17		(5,663	)
HSBC Bank USA	MXN	44,030	Pay	Mexican Interbank Deposit Rate		7.28		12/23/20		(80,468	)
HSBC Bank USA	THB	262,000	Pay	6-month THBFIX		2.67		10/21/15		(307,545	)
HSBC Bank USA	THB	94,300	Pay	6-month THBFIX		3.26		8/19/20		(190,746	)
HSBC Bank USA	THB	159,000	Pay	6-month THBFIX		3.50		11/25/20		(257,545	)
JPMorgan Chase Bank	BRL	41,183	Pay	Brazilian Interbank Deposit Rate		11.41		7/2/12		(378,543	)

Notional

Portfolio

Net Unrealized

Amount

Pays/Receives

Floating

Annual

Termination

Appreciation

Counterparty

(000’s omitted)

Floating Rate

Rate Index

Fixed Rate

Date

(Depreciation)

JPMorgan Chase Bank

MXN

50,500

Pay

Mexican Interbank Deposit Rate

5.31

9/19/12

(4,622

)

JPMorgan Chase Bank

PLN

16,600

Pay

6-month PLN WIBOR

4.75

10/11/13

(70,200

)

JPMorgan Chase Bank

PLN

31,500

Pay

6-month PLN WIBOR

5.06

11/26/13

(62,669

)

JPMorgan Chase Bank

PLN

16,200

Pay

6-month PLN WIBOR

4.93

10/13/17

(235,862

)

JPMorgan Chase Bank

PLN

9,900

Pay

6-month PLN WIBOR

4.91

10/11/18

(171,581

)

JPMorgan Chase Bank

THB

108,000

Pay

6-month THBFIX

3.22

10/21/20

(252,432

)

JPMorgan Chase Bank

ZAR

36,500

Pay

3-month JIBOR

9.05

10/12/15

253,045

Standard Chartered Bank

BRL

19,000

Pay

Brazilian Interbank Deposit Rate

12.12

1/2/13

(138,600

)

(3,670,285

)


BRL	-	Brazilian Real

ILS	-	Israeli Shekel

MXN	-	Mexican Peso

MYR	-	Malaysian Ringgit

PLN	-	Polish Zloty

THB	-	Thailand Baht

ZAR	-	South African Rand

Credit Default Swaps — Sell Protection


		Notional		Contract				Current			Net Unrealized
		Amount*		Annual			Termination	Market Annual			Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate**			Date	Fixed Rate***			(Depreciation)
Iceland	JPMorgan Chase Bank	$	500		1.75	%	3/20/18		2.97	%	$	(33,959	)
Iceland	JPMorgan Chase Bank		200		2.10		3/20/23		2.80			(10,773	)
Iceland	JPMorgan Chase Bank		200		2.45		3/20/23		2.80			(5,021	)
South Africa	Bank of America		525		1.00	⁽¹⁾	12/20/15		1.34			(3,200	)
South Africa	Bank of America		775		1.00	⁽¹⁾	12/20/15		1.34			(5,018	)
South Africa	Barclays Bank PLC		565		1.00	⁽¹⁾	12/20/15		1.34			(2,885	)
South Africa	Barclays Bank PLC		750		1.00	⁽¹⁾	12/20/15		1.34			(3,888	)
South Africa	Credit Suisse		840		1.00	⁽¹⁾	12/20/15		1.34			5,232
South Africa	Credit Suisse		790		1.00	⁽¹⁾	12/20/15		1.34			(3,376	)
South Africa	Credit Suisse		775		1.00	⁽¹⁾	12/20/15		1.34			(3,947	)
South Africa	Deutsche Bank		500		1.00	⁽¹⁾	9/20/15		1.30			5,081
South Africa	Deutsche Bank		610		1.00	⁽¹⁾	12/20/15		1.34			(3,115	)
South Africa	Goldman Sachs, Inc.		820		1.00	⁽¹⁾	12/20/15		1.34			(3,504	)
South Africa	Goldman Sachs, Inc.		815		1.00	⁽¹⁾	12/20/15		1.34			(3,788	)
South Africa	JPMorgan Chase Bank		1,500		1.00	⁽¹⁾	9/20/15		1.30			2,276

											$	(69,885	)

Credit Default Swaps — Buy Protection


		Notional		Contract				Net Unrealized
		Amount		Annual			Termination	Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate**			Date	(Depreciation)
Austria	Barclays Bank PLC	$	300		0.44	%	12/20/13	$	1,498
Austria	Barclays Bank PLC		200		1.42		3/20/14		(5,060	)
Brazil	Bank of America		350		1.00	⁽¹⁾	6/20/20		767
Brazil	Bank of America		825		1.00	⁽¹⁾	6/20/20		(5,624	)
Brazil	Bank of America		2,900		1.00	⁽¹⁾	12/20/20		24,242
Brazil	Bank of America		883		1.00	⁽¹⁾	12/20/20		2,675
Brazil	Bank of America		387		1.00	⁽¹⁾	12/20/20		1,484
Brazil	Bank of America		120		1.00	⁽¹⁾	12/20/20		648
Brazil	Barclays Bank PLC		450		1.65		9/20/19		(9,472	)
Brazil	Barclays Bank PLC		770		1.00	⁽¹⁾	12/20/20		1,671
Brazil	Citigroup Global Markets		190		1.00	⁽¹⁾	12/20/20		949
Brazil	Deutsche Bank		1,600		1.00	⁽¹⁾	12/20/20		26,169
Brazil	Deutsche Bank		190		1.00	⁽¹⁾	12/20/20		183
Brazil	HSBC Bank USA		160		1.00	⁽¹⁾	12/20/20		799
Brazil	Standard Chartered		800		1.00	⁽¹⁾	12/20/20		8,401
Brazil	Standard Chartered		150		1.00	⁽¹⁾	12/20/20		749


		Notional		Contract				Net Unrealized
		Amount		Annual			Termination	Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate**			Date	(Depreciation)
Egypt	Bank of America	$	550		1.00	%⁽¹⁾	9/20/15	$	48,714
Egypt	Barclays Bank PLC		125		1.00	⁽¹⁾	6/20/15		11,221
Egypt	Citigroup Global Markets		650		1.00	⁽¹⁾	12/20/15		48,360
Egypt	Citigroup Global Markets		100		1.00	⁽¹⁾	6/20/20		12,660
Egypt	Citigroup Global Markets		100		1.00	⁽¹⁾	6/20/20		12,136
Egypt	Credit Suisse		1,085		1.00	⁽¹⁾	12/20/15		80,719
Egypt	Credit Suisse		375		1.00	⁽¹⁾	12/20/15		29,457
Egypt	Deutsche Bank		250		1.00	⁽¹⁾	6/20/15		22,538
Egypt	Deutsche Bank		150		1.00	⁽¹⁾	6/20/15		11,671
Egypt	Deutsche Bank		100		1.00	⁽¹⁾	6/20/15		7,186
Egypt	Deutsche Bank		100		1.00	⁽¹⁾	6/20/15		7,010
Egypt	Deutsche Bank		125		1.00	⁽¹⁾	9/20/15		9,501
Egypt	Deutsche Bank		1,400		1.00	⁽¹⁾	12/20/15		127,143
Egypt	Deutsche Bank		930		1.00	⁽¹⁾	12/20/15		74,714
Egypt	Deutsche Bank		100		1.00	⁽¹⁾	6/20/20		12,597
Egypt	Deutsche Bank		50		1.00	⁽¹⁾	6/20/20		6,305
Egypt	JPMorgan Chase Bank		100		1.00	⁽¹⁾	6/20/15		7,114
Greece	Citigroup Global Markets		225		1.00	⁽¹⁾	6/20/15		32,251
Guatemala	Citigroup Global Markets		458		1.00	⁽¹⁾	9/20/20		(322	)
Lebanon	Barclays Bank PLC		200		1.00	⁽¹⁾	12/20/14		7,296
Lebanon	Citigroup Global Markets		250		3.30		9/20/14		730
Lebanon	Citigroup Global Markets		200		1.00	⁽¹⁾	12/20/14		7,115
Lebanon	Citigroup Global Markets		150		1.00	⁽¹⁾	12/20/14		5,652
Lebanon	Citigroup Global Markets		100		1.00	⁽¹⁾	12/20/14		3,648
Lebanon	Credit Suisse		300		1.00	⁽¹⁾	3/20/15		13,221
Lebanon	Credit Suisse		100		1.00	⁽¹⁾	3/20/15		4,373
Lebanon	Credit Suisse		1,000		1.00	⁽¹⁾	12/20/15		37,776
Lebanon	Credit Suisse		840		1.00	⁽¹⁾	12/20/15		28,361
Lebanon	Credit Suisse		350		1.00	⁽¹⁾	12/20/15		13,286
Lebanon	Deutsche Bank		100		1.00	⁽¹⁾	3/20/15		4,824
Lebanon	Deutsche Bank		1,140		1.00	⁽¹⁾	12/20/15		39,420
Lebanon	Deutsche Bank		865		1.00	⁽¹⁾	12/20/15		29,603
Malaysia	Bank of America		200		0.83		12/20/14		(1,765	)
Malaysia	Barclays Bank PLC		300		2.40		3/20/14		(18,035	)
Malaysia	Barclays Bank PLC		400		0.82		12/20/14		(3,373	)
Malaysia	Citigroup Global Markets		300		2.45		3/20/14		(18,518	)
Philippines	Bank of America		700		1.00	⁽¹⁾	12/20/15		(4,989	)
Philippines	Barclays Bank PLC		500		1.70		12/20/14		(12,291	)
Philippines	Barclays Bank PLC		300		1.84		12/20/14		(9,007	)
Philippines	Barclays Bank PLC		100		1.85		12/20/14		(3,041	)
Philippines	Barclays Bank PLC		142		1.00	⁽¹⁾	3/20/15		(2,733	)
Philippines	Citigroup Global Markets		200		1.84		12/20/14		(6,005	)
Philippines	Citigroup Global Markets		100		1.86		12/20/14		(3,080	)
Philippines	Deutsche Bank		150		1.00	⁽¹⁾	3/20/15		(3,198	)
Philippines	HSBC Bank USA		600		1.00	⁽¹⁾	9/20/15		(7,777	)
Philippines	JPMorgan Chase Bank		400		1.69		12/20/14		(9,677	)
Philippines	JPMorgan Chase Bank		142		1.00	⁽¹⁾	3/20/15		(2,733	)
Russia	Bank of America		540		1.00	⁽¹⁾	6/20/15		(17,271	)
Russia	Bank of America		860		1.00	⁽¹⁾	12/20/20		(1,839	)
Russia	Barclays Bank PLC		500		1.00	⁽¹⁾	12/20/20		(686	)
Russia	Citigroup Global Markets		100		1.00	⁽¹⁾	6/20/15		275
Russia	Credit Suisse		200		1.00	⁽¹⁾	3/20/15		376
Russia	Credit Suisse		300		1.00	⁽¹⁾	6/20/15		1,049
Russia	Deutsche Bank		490		1.00	⁽¹⁾	12/20/20		(1,048	)
South Africa	Bank of America		300		1.00	⁽¹⁾	12/20/19		1,278
South Africa	Bank of America		775		1.00	⁽¹⁾	12/20/20		11,007
South Africa	Bank of America		525		1.00	⁽¹⁾	12/20/20		5,519
South Africa	Barclays Bank PLC		300		1.00	⁽¹⁾	12/20/19		(651	)
South Africa	Barclays Bank PLC		100		1.00	⁽¹⁾	3/20/20		1,072
South Africa	Barclays Bank PLC		750		1.00	⁽¹⁾	12/20/20		9,053


		Notional		Contract				Net Unrealized
		Amount		Annual			Termination	Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate**			Date	(Depreciation)
South Africa	Barclays Bank PLC	$	565		1.00	%⁽¹⁾	12/20/20	$	8,104
South Africa	Citigroup Global Markets		150		1.00	⁽¹⁾	12/20/19		(1,304	)
South Africa	Citigroup Global Markets		100		1.00	⁽¹⁾	3/20/20		(974	)
South Africa	Credit Suisse		100		1.00	⁽¹⁾	3/20/20		720
South Africa	Credit Suisse		100		1.00	⁽¹⁾	3/20/20		(147	)
South Africa	Credit Suisse		775		1.00	⁽¹⁾	12/20/20		9,141
South Africa	Credit Suisse		790		1.00	⁽¹⁾	12/20/20		7,691
South Africa	Credit Suisse		840		1.00	⁽¹⁾	12/20/20		(8	)
South Africa	Deutsche Bank		500		1.00	⁽¹⁾	9/20/20		(2,075	)
South Africa	Deutsche Bank		610		1.00	⁽¹⁾	12/20/20		7,774
South Africa	Goldman Sachs, Inc.		815		1.00	⁽¹⁾	12/20/20		9,735
South Africa	Goldman Sachs, Inc.		820		1.00	⁽¹⁾	12/20/20		9,259
South Africa	JPMorgan Chase Bank		100		1.00	⁽¹⁾	12/20/19		(1,101	)
South Africa	JPMorgan Chase Bank		100		1.00	⁽¹⁾	12/20/19		(2,231	)
South Africa	JPMorgan Chase Bank		100		1.00	⁽¹⁾	3/20/20		790
South Africa	JPMorgan Chase Bank		100		1.00	⁽¹⁾	3/20/20		649
South Africa	JPMorgan Chase Bank		100		1.00	⁽¹⁾	3/20/20		(906	)
Spain	Barclays Bank PLC		167		1.00	⁽¹⁾	9/20/20		2,614
Spain	Barclays Bank PLC		700		1.00	⁽¹⁾	12/20/20		7,568
Spain	Barclays Bank PLC		690		1.00	⁽¹⁾	12/20/20		6,153
Spain	Barclays Bank PLC		300		1.00	⁽¹⁾	12/20/20		3,133
Spain	Citigroup Global Markets		300		1.00	⁽¹⁾	3/20/20		24,287
Spain	Citigroup Global Markets		300		1.00	⁽¹⁾	3/20/20		16,330
Spain	Deutsche Bank		300		1.00	⁽¹⁾	3/20/20		24,705
Spain	Deutsche Bank		300		1.00	⁽¹⁾	3/20/20		16,330
Spain	Deutsche Bank		550		1.00	⁽¹⁾	6/20/20		22,760
Spain	Deutsche Bank		3,265		1.00	⁽¹⁾	12/20/20		76,779
Spain	Deutsche Bank		670		1.00	⁽¹⁾	12/20/20		5,975
Spain	Goldman Sachs, Inc.		193		1.00	⁽¹⁾	9/20/20		2,634
Thailand	Barclays Bank PLC		400		0.97		9/20/19		13,565
Thailand	Citigroup Global Markets		400		0.86		12/20/14		3,404
Thailand	Citigroup Global Markets		200		0.95		9/20/19		7,082
Thailand	JPMorgan Chase Bank		200		0.87		12/20/14		1,624
Uruguay	Citigroup Global Markets		100		1.00	⁽¹⁾	6/20/20		(464	)
Uruguay	Deutsche Bank		100		1.00	⁽¹⁾	6/20/20		(296	)
Banco Comercial Portugues, S.A.	JPMorgan Chase Bank		110		1.00	⁽¹⁾	3/20/15		31,772
Banco de Sabadell, S.A.	JPMorgan Chase Bank		110		3.00	⁽¹⁾	3/20/15		17,640
Citibank Corp.	Bank of America		490		1.00	⁽¹⁾	9/20/20		(10,171	)
Citibank Corp.	JPMorgan Chase Bank		490		1.00	⁽¹⁾	9/20/20		(11,917	)
Erste Group Bank AG	Barclays Bank PLC		110		1.00	⁽¹⁾	3/20/15		1,379
ING Verzekeringen N.V.	JPMorgan Chase Bank		110		1.00	⁽¹⁾	3/20/15		3,951
OAO Gazprom	Barclays Bank PLC		150		1.00	⁽¹⁾	6/20/15		(2,250	)
OAO Gazprom	Deutsche Bank		150		1.00	⁽¹⁾	6/20/15		(2,306	)
OAO Gazprom	Deutsche Bank		100		1.00	⁽¹⁾	9/20/20		(1,639	)
OAO Gazprom	Deutsche Bank		100		1.00	⁽¹⁾	9/20/20		(2,006	)
OAO Gazprom	Goldman Sachs, Inc.		100		1.00	⁽¹⁾	9/20/20		(1,707	)
OAO Gazprom	Goldman Sachs, Inc.		390		1.00	⁽¹⁾	9/20/20		(8,929	)
Rabobank Nederland N.V.	JPMorgan Chase Bank		110		1.00	⁽¹⁾	3/20/15		313
Raiffeisen Zentralbank	Barclays Bank PLC		110		1.00	⁽¹⁾	3/20/15		688
iTraxx Europe Senior Financials 5-Year Index	Bank of America	EUR	460		1.00	⁽¹⁾	12/20/15		(4,828	)
iTraxx Europe Senior Financials 5-Year Index	Credit Suisse	EUR	460		1.00	⁽¹⁾	12/20/15		(4,955	)

Notional

Contract

Net Unrealized

Amount

Annual

Termination

Appreciation

Reference Entity

Counterparty

(000’s omitted)

Fixed Rate**

Date

(Depreciation)

iTraxx Europe
Subordinated Financials 5-Year Index

Bank of America

EUR

1,250

1.00

%⁽¹⁾

12/20/15

2,994

iTraxx Europe Subordinated Financials 5-Year Index

Citigroup Global Markets

EUR

100

1.00

⁽¹⁾

12/20/15

5,987

iTraxx Europe Subordinated Financials 5-Year Index

Credit Suisse

EUR

1,150

1.00

⁽¹⁾

12/20/15

70,178

iTraxx Europe Subordinated Financials 5-Year Index

Goldman Sachs, Inc.

EUR

200

1.00

⁽¹⁾

12/20/15

11,974

iTraxx Europe Subordinated Financials 5-Year Index

JPMorgan Chase Bank

EUR

400

1.00

⁽¹⁾

12/20/15

24,190

1,107,929


*	If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At January 31, 2011, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $10,165,000.

**	The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) annually 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.


EUR		-		Euro

Cross-Currency Swaps

Notional Amount

on Fixed Rate

on Floating Rate

(Currency Received)

(Currency Delivered)

Floating

Fixed

Termination

Net Unrealized

Counterparty

(000’s omitted)

Rate

Date

Appreciation

Deutsche Bank

COP

5,200,000

2,728

6 Month USD-
LIBOR-BBA

3.32

12/17/13

13,838

13,838


COP		-		Colombian Peso

The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered.

At January 31, 2011, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:

Commodity Risk: The Portfolio invests in commodities-linked derivative investments, including commodity futures contracts and options thereon, that provide exposure to the investment returns of certain commodities. Commodities-related investments are used to enhance return.

Credit Risk: The Portfolio enters into credit default swap contracts to manage its credit risk, to gain a particular exposure to credit risk, or to enhance return.

Equity Risk: The Portfolio enters into equity index options to enhance return.

Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, currency options and cross currency swaps to enhance return or to hedge against fluctuations in currency exchange rates. It also enters into forward foreign currency exchange contracts as a substitute for the purchase or sale of securities or currencies.

Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including futures, options on futures, interest rate swaps and cross currency swaps to enhance return, to change the overall duration of the portfolio, or to hedge against fluctuations in securities prices due to interest rates.

The fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at January 31, 2011 was as follows:


		Fair Value
		Asset		Liability
Risk	Derivative	Derivatives		Derivatives
Commodity	Futures Contracts*	$	175,110	$	(149,060	)
Commodity	Put Options Purchased		22,500

		$	197,610	$	(149,060	)


Credit	Credit Default Swaps	$	1,328,927	$	(290,883	)

		$	1,328,927	$	(290,883	)


Equity	Put Options Purchased	$	213,977	$	—

		$	213,977	$	—


Foreign Exchange	Currency Options Purchased	$	169,964	$	—
Foreign Exchange	Forward Foreign Currency Exchange Contracts		6,668,828		(3,837,205	)

		$	6,838,792	$	(3,837,205	)


Interest Rate	Cross-Currency Swaps	$	13,838	$	—
Interest Rate	Futures Contracts*		139,015		(145,176	)
Interest Rate	Interest Rate Swaps		847,640		(4,517,925	)

		$	1,000,493	$	(4,663,101	)


*		Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	529,291,372

Gross unrealized appreciation	$	9,647,895
Gross unrealized depreciation		(17,420,513	)

Net unrealized depreciation	$	(7,772,618	)


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for			Significant Other			Significant
	Identical Assets			Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)			(Level 2)			(Level 3)		Total

Foreign Government Bonds	$	—		$	346,991,114		$	266,434	$	347,257,548
Collateralized Mortgage Obligations		—			5,142,832			—		5,142,832
Mortgage Pass-Throughs		—			29,986,984			—		29,986,984
U.S. Government Agency Obligations		—			7,223,863			—		7,223,863
Precious Metals		3,223,250			—			—		3,223,250
Currency Options Purchased		—			169,964			—		169,964
Put Options Purchased		—			236,477			—		236,477
Short-Term Investments —
Foreign Government Securities		—			85,894,848			7,657,378		93,552,226
U.S. Treasury Obligations		—			1,266,691			—		1,266,691
Other Securities		—			33,458,919			—		33,458,919


Total Investments	$	3,223,250		$	510,371,692		$	7,923,812	$	521,518,754



Forward Foreign Currency Exchange Contracts	$	—		$	6,668,828		$	—	$	6,668,828
Swaps Contracts		—			2,190,405			—		2,190,405
Futures Contracts		314,125			—			—		314,125


Total	$	3,537,375		$	519,230,925		$	7,923,812	$	530,692,112



Liability Description
Forward Foreign Currency Exchange Contracts	$	—		$	(3,837,205	)	$	—	$	(3,837,205	)
Swaps Contracts		—			(4,808,808	)		—		(4,808,808	)
Futures Contracts		(294,236	)		—			—		(294,236	)


Total	$	(294,236	)	$	(8,646,013	)	$	—	$	(8,940,249	)

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:


				Investment in
	Investment in			Short-Term
	Foreign			Foreign
	Government			Government
	Bonds			Bonds			Total
Balance as of October 31, 2010	$	—		$	—		$	—
Realized gains (losses)		—			—			—
Change in net unrealized appreciation (depreciation)		(25,313	)		(331,959	)		(357,272	)
Cost of purchases		—			6,799,962			6,799,962
Proceeds from sales		—			—			—
Accrued discount (premium)		77			115,975			116,052
Transfers to Level 3*		291,670			1,073,400			1,365,070
Transfers from Level 3*		—			—			—

Balance as of January 31, 2011	$	266,434		$	7,657,378		$	7,923,812


Change in net unrealized appreciation (depreciation) on investments still held as of January 31, 2011	$	(25,313	)	$	(331,959	)	$	(357,272	)


*		Transfers are reflected at the value of the securities at the beginning of the period. Transfers from Level 2 to Level 3 were due to the effects of the market closure in Egypt.

At January 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.


Floating Rate Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 92.6%⁽¹⁾


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Aerospace and Defense — 2.1%
		Booz Allen Hamilton, Inc.
	6,002	Term Loan, 6.00%, Maturing July 31, 2015	$	6,020,687
		DAE Aviation Holdings, Inc.
	18,107	Term Loan, 4.06%, Maturing July 31, 2014		18,005,042
	18,138	Term Loan, 4.06%, Maturing July 31, 2014		18,035,807
		Delos Aircraft, Inc.
	13,142	Term Loan, 7.00%, Maturing March 17, 2016		13,311,279
		Doncasters (Dunde HoldCo 4 Ltd.)
	3,584	Term Loan, 4.26%, Maturing July 13, 2015		3,399,613
GBP	656	Term Loan, 4.60%, Maturing July 13, 2015		997,418
	3,584	Term Loan, 4.76%, Maturing July 13, 2015		3,399,613
GBP	656	Term Loan, 5.10%, Maturing July 13, 2015		997,418
		DynCorp International, LLC
	13,919	Term Loan, 6.25%, Maturing July 5, 2016		14,068,503
		Evergreen International Aviation
	7,126	Term Loan, 10.50%, Maturing October 31, 2011⁽²⁾		7,094,870
		Hawker Beechcraft Acquisition
	22,466	Term Loan, 2.27%, Maturing March 26, 2014		20,099,464
	1,433	Term Loan, 2.30%, Maturing March 26, 2014		1,281,886
		IAP Worldwide Services, Inc.
	9,542	Term Loan, 8.25%, Maturing December 30, 2012		9,527,296
		International Lease Finance Co.
	10,633	Term Loan, 6.75%, Maturing March 17, 2015		10,767,504
		Spirit AeroSystems, Inc.
	3,701	Term Loan, 3.55%, Maturing September 30, 2016		3,729,818
		TransDigm, Inc.
	21,070	Term Loan, 5.00%, Maturing December 6, 2016		21,434,327
		Triumph Group, Inc.
	3,209	Term Loan, 4.50%, Maturing June 16, 2016		3,235,348
		Vangent, Inc.
	3,299	Term Loan, 2.29%, Maturing February 14, 2013		3,249,807
		Wesco Aircraft Hardware Corp.
	6,331	Term Loan, 2.51%, Maturing September 30, 2013		6,340,501
		Wyle Laboratories, Inc.
	7,980	Term Loan, 7.75%, Maturing March 25, 2016		8,044,704

			$	173,040,905

Air Transport — 0.4%
		Delta Air Lines, Inc.
	25,000	Revolving Loan, 0.50%, Maturing April 30, 2012⁽³⁾	$	24,552,075
	8,311	Term Loan, 2.25%, Maturing April 30, 2012		8,287,143

			$	32,839,218

Automotive — 4.3%
		Adesa, Inc.
	31,649	Term Loan, 3.01%, Maturing October 18, 2013	$	31,654,348
		Allison Transmission, Inc.
	49,235	Term Loan, 3.02%, Maturing August 7, 2014		49,208,526
		Federal-Mogul Corp.
	36,043	Term Loan, 2.20%, Maturing December 29, 2014		35,104,277
	20,886	Term Loan, 2.20%, Maturing December 28, 2015		20,342,245
		Financiere Truck (Investissement)
EUR	1,515	Term Loan, 3.45%, Maturing February 15, 2012		1,944,054
GBP	2,245	Term Loan, 1.55%, Maturing February 15, 2015⁽³⁾		3,370,839


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Ford Motor Co.
	4,852	Revolving Loan, 0.84%, Maturing December 15, 2013⁽³⁾	$	4,785,685
	24,037	Term Loan, 3.02%, Maturing December 16, 2013		24,102,775
	25,900	Term Loan, 3.02%, Maturing December 16, 2013		25,995,231
		Goodyear Tire & Rubber Co.
	70,617	Term Loan - Second Lien, 1.96%, Maturing April 30, 2014		69,539,902
		HHI Holdings, LLC
	3,159	Term Loan, 10.50%, Maturing March 30, 2015		3,214,395
		Keystone Automotive Operations, Inc.
	6,753	Term Loan, 3.76%, Maturing January 12, 2012		6,229,965
		Metaldyne, LLC
	13,092	Term Loan, 7.75%, Maturing October 28, 2016		13,419,492
		Pinafore, LLC
	8,880	Term Loan, 6.00%, Maturing September 29, 2015		8,914,277
		Remy International, Inc.
	5,500	Term Loan, 6.25%, Maturing December 16, 2016		5,568,750
		Tenneco Automotive, Inc.
	5,550	Term Loan, 5.27%, Maturing March 17, 2014		5,615,840
		TI Automotive, Ltd.
	4,489	Term Loan, 9.50%, Maturing July 1, 2016		4,600,969
		TriMas Corp.
	695	Term Loan, 6.00%, Maturing August 2, 2011		700,527
	8,655	Term Loan, 6.00%, Maturing December 15, 2015		8,719,815
		UCI International, Inc.
	5,975	Term Loan, 5.50%, Maturing July 26, 2017		6,048,755
		Viking Acquisition
	15,600	Term Loan, 6.00%, Maturing November 5, 2016		15,717,000

			$	344,797,667

Beverage and Tobacco — 0.4%
		Green Mountain Coffee Roasters
	27,150	Term Loan, 5.50%, Maturing December 16, 2016	$	27,302,719
		Maine Beverage Co., LLC
	1,188	Term Loan, 2.05%, Maturing March 31, 2013		1,146,799

			$	28,449,518

Building and Development — 1.5%
		401 North Wabash Venture, LLC
	9,145	Term Loan, 6.77%, Maturing July 27, 2012⁽²⁾	$	7,681,480
		Armstrong World Industries, Inc.
	14,975	Term Loan, 5.00%, Maturing May 23, 2017		15,216,472
		Beacon Sales Acquisition, Inc.
	5,911	Term Loan, 2.29%, Maturing September 30, 2013		5,811,724
		Brickman Group Holdings, Inc.
	14,075	Term Loan, 7.25%, Maturing October 14, 2016		14,391,688
		Building Materials Corp. of America
	7,009	Term Loan, 3.06%, Maturing February 24, 2014		7,061,258
		Contech Construction Products
	1,756	Term Loan, 5.25%, Maturing January 31, 2013		1,530,568
		Forestar USA Real Estate Group, Inc.
	1,675	Revolving Loan, 0.68%, Maturing August 6, 2013⁽³⁾		1,608,217
	13,570	Term Loan, 6.50%, Maturing August 6, 2015		13,366,390
		Lafarge Roofing
	1,609	Term Loan, 3.25%, Maturing March 16, 2015⁽²⁾		1,461,612
EUR	2,905	Term Loan, 3.25%, Maturing April 16, 2015⁽²⁾		3,612,903
EUR	1,914	Term Loan, 5.00%, Maturing April 16, 2015⁽²⁾		2,366,972
		Materis
EUR	2,148	Term Loan, 3.71%, Maturing April 27, 2014		2,811,029
EUR	2,290	Term Loan, 3.80%, Maturing April 27, 2015		2,996,440
		NCI Building Systems, Inc.
	3,323	Term Loan, 8.00%, Maturing April 18, 2014		3,283,236


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		November 2005 Land Investors, LLC
	610	Term Loan, 0.00%, Maturing March 31, 2011⁽⁴⁾⁽⁵⁾	$	137,178
		Panolam Industries Holdings, Inc.
	9,949	Term Loan, 8.25%, Maturing December 31, 2013		9,221,047
		RE/MAX International, Inc.
	13,796	Term Loan, 5.50%, Maturing April 15, 2016		13,933,708
		Realogy Corp.
	912	Term Loan, 3.26%, Maturing October 10, 2013		886,570
	7,697	Term Loan, 3.29%, Maturing October 10, 2013		7,481,174
		South Edge, LLC
	8,795	Term Loan, 0.00%, Maturing October 31, 2009⁽⁶⁾		4,595,201
		WCI Communities, Inc.
	3,463	Term Loan, 10.06%, Maturing September 2, 2016⁽²⁾		3,358,907

			$	122,813,774

Business Equipment and Services — 6.6%
		Activant Solutions, Inc.
	74	Term Loan, 2.81%, Maturing May 1, 2013	$	73,176
	1,543	Term Loan, 2.31%, Maturing May 2, 2013		1,527,446
	9,679	Term Loan, 4.81%, Maturing February 2, 2016		9,775,642
		Acxiom Corp.
	8,693	Term Loan, 3.30%, Maturing March 15, 2015		8,769,282
		Advantage Sales & Marketing, Inc.
	30,872	Term Loan, 5.25%, Maturing December 18, 2017		31,147,533
		Affinion Group, Inc.
	30,515	Term Loan, 5.00%, Maturing October 10, 2016		30,762,443
		Allied Barton Security Services
	988	Term Loan, 7.75%, Maturing February 18, 2015		989,249
		Dealer Computer Services, Inc.
	21,595	Term Loan, 5.25%, Maturing April 21, 2017		21,813,963
		Education Management, LLC
	19,769	Term Loan, 2.06%, Maturing June 3, 2013		19,466,348
		Fifth Third Processing Solution
	7,150	Term Loan, 5.50%, Maturing November 3, 2016		7,271,550
		First American Corp.
	6,691	Term Loan, 4.75%, Maturing April 12, 2016		6,754,107
		Infogroup, Inc.
	5,348	Term Loan, 6.25%, Maturing July 1, 2016		5,421,662
		iPayment, Inc.
	22,292	Term Loan, 2.31%, Maturing May 10, 2013		21,957,519
		Kronos, Inc.
	13,606	Term Loan, 2.05%, Maturing June 11, 2014		13,583,290
		Mitchell International, Inc.
	1,964	Term Loan, 2.31%, Maturing March 28, 2014		1,856,250
	1,500	Term Loan - Second Lien, 5.56%, Maturing March 30, 2015		1,353,750
		NE Customer Service
	17,216	Term Loan, 6.00%, Maturing March 23, 2016		17,208,531
		Protection One Alarm Monitor, Inc.
	12,345	Term Loan, 6.00%, Maturing May 16, 2016		12,391,273
		Quantum Corp.
	3,174	Term Loan, 3.80%, Maturing July 14, 2014		3,154,122
		Quintiles Transnational Corp.
	10,000	Revolving Loan, 0.25%, Maturing March 31, 2012⁽³⁾		9,834,000
	17,729	Term Loan, 2.31%, Maturing March 29, 2013		17,739,871
		Sabre, Inc.
	40,925	Term Loan, 2.28%, Maturing September 30, 2014		38,341,171
		Safenet, Inc.
	14,575	Term Loan, 2.76%, Maturing April 12, 2014		14,501,849
		Serena Software, Inc.
	8,010	Term Loan, 2.30%, Maturing March 10, 2013		8,013,280


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Sitel (Client Logic)
	9,682	Term Loan, 5.80%, Maturing January 30, 2014	$	9,525,011
EUR	569	Term Loan, 6.37%, Maturing January 30, 2014		760,156
		Softlayer Tech, Inc.
	9,325	Term Loan, 7.75%, Maturing November 5, 2016		9,422,139
		Solera Holdings, LLC
	3,707	Term Loan, 2.06%, Maturing May 16, 2014		3,690,784
EUR	2,931	Term Loan, 2.81%, Maturing May 16, 2014		3,962,420
		SunGard Data Systems, Inc.
	20,189	Term Loan, 2.01%, Maturing February 28, 2014		20,145,784
	69,035	Term Loan, 3.91%, Maturing February 26, 2016		69,478,563
		Transaction Network Service, Inc.
	2,375	Term Loan, 6.00%, Maturing November 18, 2015		2,390,437
		TransUnion, LLC
	10,124	Term Loan, 6.75%, Maturing June 15, 2017		10,274,934
		Travelport, LLC
	7,673	Term Loan, 4.80%, Maturing August 21, 2015		7,485,377
	26,989	Term Loan, 4.96%, Maturing August 21, 2015		26,328,225
	29,490	Term Loan, 4.96%, Maturing August 21, 2015		28,767,739
EUR	2,106	Term Loan, 5.50%, Maturing August 21, 2015		2,760,648
	154	Term Loan, Maturing August 23, 2013⁽⁷⁾		149,408
	499	Term Loan, Maturing August 23, 2013⁽⁷⁾		484,858
	846	Term Loan, Maturing August 23, 2013⁽⁷⁾		822,814
		Valassis Communications, Inc.
	2,708	Term Loan, 2.56%, Maturing March 2, 2014		2,711,897
		West Corp.
	2,707	Term Loan, 2.74%, Maturing October 24, 2013		2,706,159
	18,437	Term Loan, 4.59%, Maturing July 15, 2016		18,659,676
	6,634	Term Loan, 4.61%, Maturing July 15, 2016		6,714,396

			$	530,948,732

Cable and Satellite Television — 6.6%
		Atlantic Broadband Finance, LLC
	11,776	Term Loan, 5.00%, Maturing November 27, 2015	$	11,886,049
		Bresnan Communications, LLC
	13,475	Term Loan, 4.50%, Maturing December 14, 2017		13,626,594
		Cequel Communications, LLC
	48,833	Term Loan, 2.26%, Maturing November 5, 2013		48,859,887
		Charter Communications Operating, LLC
	30,798	Term Loan, 2.26%, Maturing March 6, 2014		30,838,514
	38,307	Term Loan, 3.56%, Maturing September 6, 2016		38,467,929
		CSC Holdings, Inc.
	1,462	Term Loan, 2.01%, Maturing March 29, 2016		1,474,328
	27,543	Term Loan, 2.01%, Maturing March 29, 2016		27,684,655
		Foxco Acquisition Sub, LLC
	16,631	Term Loan, 7.50%, Maturing July 14, 2015		16,651,665
		Insight Midwest Holdings, LLC
	25,573	Term Loan, 2.02%, Maturing April 7, 2014		25,530,005
		Kabel BW GmbH and Co.
EUR	1,500	Term Loan, 3.37%, Maturing June 9, 2014		2,055,009
EUR	1,500	Term Loan, 3.87%, Maturing June 9, 2015		2,055,009
		Kabel Deutschland GmbH
EUR	11,957	Term Loan, 3.12%, Maturing March 31, 2014		16,403,523
EUR	12,250	Term Loan, 4.12%, Maturing March 31, 2014		16,844,161
EUR	16,500	Term Loan, 4.87%, Maturing December 13, 2016		22,809,841
		MCC Iowa, LLC
	7,557	Term Loan, 2.01%, Maturing January 31, 2015		7,368,429
	7,680	Term Loan, 2.01%, Maturing January 31, 2015		7,488,000
		Mediacom Broadband, LLC
	10,224	Term Loan, 4.50%, Maturing October 23, 2017		10,242,794


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Mediacom Illinois, LLC
	19,095	Term Loan, 2.01%, Maturing January 31, 2015	$	18,480,056
	2,963	Term Loan, 5.50%, Maturing March 31, 2017		2,959,724
		Mediacom, LLC
	10,459	Term Loan, 4.50%, Maturing October 23, 2017		10,471,795
		Midcontinent Communications
	5,985	Term Loan, 6.25%, Maturing December 31, 2016		6,052,331
		ProSiebenSat.1 Media AG
EUR	2,605	Term Loan, 2.54%, Maturing July 2, 2014		3,441,903
EUR	8,860	Term Loan, 2.54%, Maturing July 2, 2014		11,705,841
EUR	1,822	Term Loan, 3.68%, Maturing March 6, 2015		2,283,914
EUR	26,530	Term Loan, 2.91%, Maturing June 26, 2015		35,312,198
EUR	1,025	Term Loan, 2.91%, Maturing July 3, 2015		1,364,647
EUR	1,822	Term Loan, 3.93%, Maturing March 4, 2016		2,283,914
		UPC Broadband Holding B.V.
	20,842	Term Loan, 3.76%, Maturing December 30, 2016		20,837,244
EUR	25,765	Term Loan, 4.54%, Maturing December 31, 2016		35,160,607
	20,793	Term Loan, 3.76%, Maturing December 29, 2017		20,840,649
EUR	6,477	Term Loan, 4.79%, Maturing December 31, 2017		8,814,809
		Virgin Media Investment Holding
GBP	2,000	Term Loan, 4.03%, Maturing June 30, 2015		3,215,715
GBP	19,000	Term Loan, 4.53%, Maturing December 31, 2015		30,619,048
		YPSO Holding SA
EUR	3,196	Term Loan, 4.62%, Maturing June 16, 2014⁽²⁾		3,723,139
EUR	5,215	Term Loan, 4.62%, Maturing June 16, 2014⁽²⁾		6,074,597
EUR	9,282	Term Loan, 4.62%, Maturing June 16, 2014⁽²⁾		10,812,424
EUR	1,000	Term Loan, 5.12%, Maturing December 31, 2015⁽²⁾		1,158,834

			$	535,899,781

Chemicals and Plastics — 5.0%
		Arizona Chemical, Inc.
	6,802	Term Loan, 6.75%, Maturing November 21, 2016	$	6,909,556
		Brenntag Holding GmbH and Co. KG
	1,824	Term Loan, 3.77%, Maturing January 20, 2014		1,832,028
	10,152	Term Loan, 3.77%, Maturing January 20, 2014		10,196,761
EUR	4,233	Term Loan, 4.39%, Maturing January 20, 2014		5,888,516
GBP	1,200	Term Loan, 4.43%, Maturing January 20, 2014		1,924,623
EUR	1,057	Term Loan, Maturing January 20, 2014⁽⁷⁾		1,429,266
EUR	828	Term Loan, Maturing January 19, 2015⁽⁷⁾		1,152,424
EUR	32	Term Loan - Second Lien, 7.19%, Maturing July 17, 2015		44,896
EUR	230	Term Loan - Second Lien, 7.19%, Maturing July 17, 2015		321,758
		British Vita UK, Ltd.
EUR	1,012	Term Loan, 6.21%, Maturing June 30, 2014⁽²⁾		1,379,049
		Celanese Holdings, LLC
	11,787	Term Loan, 1.76%, Maturing April 2, 2014		11,843,286
	1,756	Term Loan, 1.80%, Maturing April 2, 2014		1,764,780
	5,068	Term Loan, 3.30%, Maturing October 31, 2016		5,128,132
EUR	679	Term Loan, 3.94%, Maturing October 31, 2016		934,919
		Chemtura Corp.
	8,200	Term Loan, 5.50%, Maturing August 27, 2016		8,309,331
		Hexion Specialty Chemicals, Inc.
	12,500	Term Loan, 2.25%, Maturing May 5, 2013		12,125,000
	1,197	Term Loan, 2.56%, Maturing May 6, 2013		1,189,651
	2,803	Term Loan, 2.56%, Maturing May 6, 2013		2,786,981
	4,215	Term Loan, 4.06%, Maturing May 5, 2015		4,230,212
	5,952	Term Loan, 4.06%, Maturing May 5, 2015		5,940,920
	6,987	Term Loan, 4.06%, Maturing May 5, 2015		7,024,715
	13,636	Term Loan, 4.06%, Maturing May 5, 2015		13,709,655
EUR	1,091	Term Loan, 4.76%, Maturing May 5, 2015		1,471,187


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Houghton International, Inc.
	1,600	Revolving Loan, Maturing January 30, 2016⁽⁷⁾	$	1,536,000
	8,100	Term Loan, Maturing January 11, 2016⁽⁷⁾		8,241,750
		Huish Detergents, Inc.
	1,979	Term Loan, 2.01%, Maturing April 26, 2014		1,930,606
		Huntsman International, LLC
	19,876	Term Loan, 1.80%, Maturing April 21, 2014		19,801,849
	5,333	Term Loan, 2.53%, Maturing June 30, 2016		5,346,501
		INEOS Group
	306	Term Loan, 7.00%, Maturing December 14, 2012		316,948
EUR	11,706	Term Loan, 7.50%, Maturing December 16, 2013		16,761,558
	22,374	Term Loan, 7.50%, Maturing December 16, 2013		23,213,293
EUR	12,456	Term Loan, 8.00%, Maturing December 16, 2014		17,835,967
	22,774	Term Loan, 8.00%, Maturing December 16, 2014		23,627,881
		ISP Chemco, Inc.
	8,407	Term Loan, 1.81%, Maturing June 4, 2014		8,362,388
		Kleopatra
GBP	509	Term Loan, Maturing January 3, 2016⁽⁷⁾		716,642
EUR	2,142	Term Loan, Maturing January 3, 2016⁽⁷⁾		2,588,744
	154	Term Loan, Maturing January 9, 2017⁽⁷⁾		134,423
		Kraton Polymers, LLC
	10,871	Term Loan, 2.31%, Maturing May 13, 2013		10,780,583
		MacDermid, Inc.
	5,956	Term Loan, 2.26%, Maturing April 12, 2014		5,723,484
		Millenium Inorganic Chemicals
	15,771	Term Loan, 2.55%, Maturing May 15, 2014		15,682,679
		Momentive Performance Material
	4,800	Term Loan, 2.51%, Maturing December 4, 2013		4,784,251
	20,420	Term Loan, 2.56%, Maturing December 4, 2013		20,352,692
EUR	14,974	Term Loan, 3.12%, Maturing December 4, 2013		20,074,581
		Nalco Co.
	11,596	Term Loan, 4.50%, Maturing October 5, 2017		11,753,932
		Omnova Solutions, Inc.
	12,450	Term Loan, 5.75%, Maturing May 31, 2017		12,644,531
		Rockwood Specialties Group, Inc.
EUR	439	Term Loan, 5.00%, Maturing July 29, 2011		595,964
	23,138	Term Loan, 6.00%, Maturing May 15, 2014		23,230,019
		Solutia, Inc.
	5,000	Revolving Loan, 0.99%, Maturing March 12, 2015⁽³⁾		4,650,000
	16,584	Term Loan, 4.50%, Maturing March 17, 2017		16,755,510
		Styron S.A.R.L.
	16,454	Term Loan, 7.50%, Maturing June 17, 2016		16,731,399

			$	401,711,821

Clothing/Textiles — 0.2%
		Phillips Van Heusen Corp.
	7,071	Term Loan, 4.75%, Maturing May 6, 2016	$	7,141,464
EUR	5,509	Term Loan, 5.00%, Maturing May 6, 2016		7,533,804

			$	14,675,268

Conglomerates — 2.0%
		Aquilex Holdings, LLC
	1,769	Term Loan, 5.50%, Maturing April 1, 2016	$	1,779,839
		Gentek
	4,564	Term Loan, 6.75%, Maturing October 6, 2015		4,671,947
		Goodman Global Holdings, Inc.
	18,164	Term Loan, 5.75%, Maturing October 28, 2016		18,352,688
		Jarden Corp.
	10,332	Term Loan, 3.55%, Maturing January 26, 2015		10,436,378
		Johnson Diversey, Inc.
	4,397	Term Loan, 5.25%, Maturing November 24, 2015		4,457,272


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Manitowoc Company, Inc. (The)
	9,462	Term Loan, 5.31%, Maturing November 6, 2013	$	9,528,724
	3,744	Term Loan, 8.00%, Maturing November 6, 2014		3,804,421
		RBS Global, Inc.
	6,421	Term Loan, 2.56%, Maturing July 19, 2013		6,343,826
	28,406	Term Loan, 2.81%, Maturing July 19, 2013		28,325,675
		RGIS Holdings, LLC
	931	Term Loan, 2.80%, Maturing April 30, 2014		905,754
	20,054	Term Loan, 2.80%, Maturing April 30, 2014		19,502,464
		Service Master Co.
	2,211	Term Loan, 2.76%, Maturing July 24, 2014		2,184,738
	22,206	Term Loan, 2.77%, Maturing July 24, 2014		21,938,407
		US Investigations Services, Inc.
	21,803	Term Loan, 3.05%, Maturing February 21, 2015		21,666,815
	5,547	Term Loan, 7.75%, Maturing February 21, 2015		5,630,332
		Vertrue, Inc.
	6,309	Term Loan, 3.31%, Maturing August 16, 2014		5,725,770

			$	165,255,050

Containers and Glass Products — 2.8%
		Berry Plastics Corp.
	25,121	Term Loan, 2.28%, Maturing April 3, 2015	$	24,675,341
		BWAY Corp.
	546	Term Loan, 5.50%, Maturing June 16, 2017		550,264
	9,322	Term Loan, 5.53%, Maturing June 16, 2017		9,397,916
		Consolidated Container Co.
	15,372	Term Loan, 2.50%, Maturing March 28, 2014		14,660,875
		Crown Americas, Inc.
	583	Term Loan, 2.02%, Maturing November 15, 2012		582,055
EUR	1,699	Term Loan, 2.51%, Maturing November 15, 2012		2,291,407
		Graham Packaging Holdings Co.
	15,898	Term Loan, 6.75%, Maturing April 5, 2014		16,180,631
	16,908	Term Loan, 6.00%, Maturing September 23, 2016		17,242,261
		Graphic Packaging International, Inc.
	23,084	Term Loan, 2.30%, Maturing May 16, 2014		23,155,700
	5,812	Term Loan, 3.05%, Maturing May 16, 2014		5,856,430
		Hilex Poly Co.
	5,000	Term Loan, 11.25%, Maturing November 16, 2015		5,075,000
		JSG Acquisitions
EUR	2,699	Term Loan, 4.06%, Maturing December 31, 2014		3,711,404
EUR	2,690	Term Loan, 4.22%, Maturing December 31, 2014		3,698,924
		OI European Group B.V.
EUR	11,939	Term Loan, 2.26%, Maturing June 14, 2013		16,018,689
		Pelican Products, Inc.
	6,450	Term Loan, 5.75%, Maturing November 30, 2016		6,534,656
		Reynolds Group Holdings, Inc.
	16,000	Term Loan, 6.25%, Maturing August 6, 2015		16,090,000
	16,170	Term Loan, 6.25%, Maturing May 5, 2016		16,306,681
	18,517	Term Loan, 6.50%, Maturing May 5, 2016		18,640,489
	12,512	Term Loan, 6.75%, Maturing May 5, 2016		12,583,438
		Smurfit Kappa Acquisitions
EUR	45	Term Loan, 3.99%, Maturing November 21, 2013		62,515
EUR	45	Term Loan, 4.35%, Maturing November 21, 2013		62,526
EUR	175	Term Loan, 4.14%, Maturing December 31, 2014		240,211
EUR	175	Term Loan, 4.24%, Maturing December 31, 2014		240,127
		Smurfit-Stone Container Corp.
	15,049	Term Loan, 6.75%, Maturing July 15, 2016		15,243,768

			$	229,101,308


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Cosmetics/Toiletries — 1.7%
		Alliance Boots Holdings, Ltd.
GBP	28,000	Term Loan, 3.57%, Maturing July 5, 2015	$	42,590,519
EUR	39,213	Term Loan, 3.78%, Maturing July 5, 2015		51,951,089
		Bausch & Lomb, Inc.
	4,306	Term Loan, 3.51%, Maturing April 24, 2015		4,328,182
	19,724	Term Loan, 3.54%, Maturing April 24, 2015		19,825,780
		Prestige Brands, Inc.
	19,700	Term Loan, 4.75%, Maturing March 24, 2016		19,913,000

			$	138,608,570

Drugs — 0.8%
		Graceway Pharmaceuticals, LLC
	11,733	Term Loan, 5.01%, Maturing May 3, 2012	$	5,551,127
		Pharmaceutical Holdings Corp.
	633	Term Loan, 4.51%, Maturing January 30, 2012		626,796
		Warner Chilcott Corp.
	12,828	Term Loan, 6.00%, Maturing October 30, 2014		12,876,001
	6,330	Term Loan, 6.25%, Maturing April 30, 2015		6,388,244
	9,594	Term Loan, 6.25%, Maturing April 30, 2015		9,682,365
	15,936	Term Loan, 6.25%, Maturing April 30, 2015		16,083,245
	4,365	Term Loan, 6.50%, Maturing February 22, 2016		4,423,478
		WC Luxco S.A.R.L.
	11,213	Term Loan, 4.51%, Maturing August 20, 2014		11,293,095

			$	66,924,351

Ecological Services and Equipment — 0.6%
		BakerCorp.
	2,367	Term Loan, 4.79%, Maturing May 8, 2014	$	2,357,679
		Big Dumpster Merger Sub, Inc.
	1,614	Term Loan, 2.51%, Maturing February 5, 2013		1,285,848
		Environmental Systems Products Holdings, Inc.
	292	Term Loan - Second Lien, 13.50%, Maturing September 12, 2014		255,956
		Kemble Water Structure, Ltd.
GBP	21,400	Term Loan - Second Lien, 5.03%, Maturing October 13, 2013		33,651,152
		Sensus Metering Systems, Inc.
	7,298	Term Loan, 7.00%, Maturing June 3, 2013		7,348,260
		Synagro Technologies, Inc.
	992	Term Loan, 2.27%, Maturing April 2, 2014		916,212
		Wastequip, Inc.
	679	Term Loan, 2.51%, Maturing February 5, 2013		541,409

			$	46,356,516

Electronics/Electrical — 3.6%
		Aspect Software, Inc.
	22,038	Term Loan, 6.25%, Maturing April 19, 2016	$	22,294,636
		Bentley Systems, Inc.
	5,825	Term Loan, Maturing December 29, 2016⁽⁷⁾		5,868,687
		Christie/Aix, Inc.
	8,801	Term Loan, 5.25%, Maturing April 29, 2016		8,801,064
		Fairchild Semiconductor Corp.
	10,657	Term Loan, 1.56%, Maturing June 26, 2013		10,623,482
		FCI International S.A.S.
	552	Term Loan, 3.68%, Maturing November 1, 2013		541,390
	573	Term Loan, 3.68%, Maturing November 1, 2013		562,353
	750	Term Loan, 3.68%, Maturing November 1, 2013		735,828
	552	Term Loan, 3.68%, Maturing October 31, 2014		541,390
	573	Term Loan, 3.68%, Maturing October 31, 2014		562,353
		Freescale Semiconductor, Inc.
	37,144	Term Loan, 4.51%, Maturing December 1, 2016		37,289,484


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Infor Enterprise Solutions Holdings
EUR	2,880	Term Loan, 5.82%, Maturing July 28, 2015	$	3,805,143
	12,804	Term Loan, 6.01%, Maturing July 28, 2015		12,491,747
	29,851	Term Loan, 6.01%, Maturing July 28, 2015		29,067,194
		Microsemi Corp.
	11,425	Term Loan, 5.00%, Maturing November 2, 2017		11,601,139
		Network Solutions, LLC
	10,445	Term Loan, 2.51%, Maturing March 7, 2014		10,066,028
		Open Solutions, Inc.
	10,002	Term Loan, 2.43%, Maturing January 23, 2014		8,757,180
		RBS Worldpay, Inc.
GBP	9,500	Term Loan, 6.76%, Maturing October 2, 2017		15,395,123
	3,500	Term Loan, 6.25%, Maturing October 15, 2017		3,543,750
		Sensata Technologies Finance Co.
	39,653	Term Loan, 2.05%, Maturing April 26, 2013		39,653,059
		Shield Finance Co. S.A.R.L.
	6,230	Term Loan, 7.75%, Maturing June 15, 2016		6,292,426
		Spansion, LLC
	5,529	Term Loan, 6.50%, Maturing January 8, 2015		5,601,345
		Spectrum Brands, Inc.
	21,239	Term Loan, 8.00%, Maturing June 16, 2016		21,504,150
		SS&C Technologies, Inc.
	2,643	Term Loan, 2.30%, Maturing November 23, 2012		2,629,664
		VeriFone, Inc.
	1,809	Term Loan, 3.01%, Maturing October 31, 2013		1,813,301
		Vertafore, Inc.
	26,691	Term Loan, 7.24%, Maturing July 29, 2016		26,849,868

			$	286,891,784

Equipment Leasing — 0.2%
		Hertz Corp.
	12,630	Term Loan, 2.01%, Maturing December 21, 2012	$	12,633,577
	3,181	Term Loan, 2.03%, Maturing December 21, 2012		3,182,015

			$	15,815,592

Farming/Agriculture — 0.3%
		CF Industries, Inc.
	3,511	Term Loan, 4.25%, Maturing April 6, 2015	$	3,536,215
		Earthbound Farm Holdings III, LLC
	6,300	Term Loan, 6.75%, Maturing December 21, 2016		6,398,437
		WM. Bolthouse Farms, Inc.
	13,031	Term Loan, 5.50%, Maturing February 11, 2016		13,137,377

			$	23,072,029

Financial Intermediaries — 3.1%
		Asset Acceptance Capital Corp.
	10,856	Term Loan, 3.80%, Maturing June 5, 2013	$	10,666,123
		Citco III, Ltd.
	2,088	Term Loan, Maturing May 25, 2013⁽⁷⁾		2,040,959
	26,949	Term Loan, 4.46%, Maturing June 30, 2014		26,814,430
		E.A. Viner International Co.
	270	Term Loan, 4.81%, Maturing July 31, 2013		267,340
		Fidelity National Information Services, Inc.
	17,506	Term Loan, 5.25%, Maturing July 18, 2016		17,792,420
		First Data Corp.
	8,715	Term Loan, 3.01%, Maturing September 24, 2014		8,263,123
	11,333	Term Loan, 3.01%, Maturing September 24, 2014		10,742,890
	13,303	Term Loan, 3.01%, Maturing September 24, 2014		12,611,447
		Grosvenor Capital Management
	8,974	Term Loan, 4.31%, Maturing December 5, 2016		8,861,914


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		HarbourVest Partners, LLC
	10,850	Term Loan, 6.25%, Maturing December 14, 2016	$	10,985,625
		Interactive Data Corp.
	10,448	Term Loan, 6.75%, Maturing January 27, 2017		10,612,874
		Jupiter Asset Management Group
GBP	2,841	Term Loan, 4.35%, Maturing March 17, 2015		4,527,378
		LPL Holdings, Inc.
	7,518	Term Loan, 2.04%, Maturing June 28, 2013		7,529,564
	23,664	Term Loan, 4.25%, Maturing June 25, 2015		23,848,818
	15,422	Term Loan, 5.25%, Maturing June 28, 2017		15,682,159
		MSCI, Inc.
	24,079	Term Loan, 4.75%, Maturing June 1, 2016		24,364,938
		Nuveen Investments, Inc.
	18,231	Term Loan, 3.30%, Maturing November 13, 2014		17,864,470
	16,707	Term Loan, 5.80%, Maturing May 12, 2017		16,863,639
		Oxford Acquisition III, Ltd.
	7,042	Term Loan, 2.05%, Maturing May 12, 2014		6,997,915
		RJO Holdings Corp. (RJ O’Brien)
	63	Term Loan, 6.27%, Maturing December 10, 2015⁽⁴⁾		51,598
	1,995	Term Loan, 6.27%, Maturing December 10, 2015⁽⁴⁾		1,591,883
		Travelex America Holdings, Inc.
	298	Term Loan, 2.95%, Maturing October 31, 2013		296,928
	4,702	Term Loan, 2.95%, Maturing October 31, 2013		4,689,322
	298	Term Loan, 3.45%, Maturing October 31, 2014		296,928
	4,702	Term Loan, 3.45%, Maturing October 31, 2014		4,689,322

			$	248,954,007

Food Products — 2.4%
		Acosta, Inc.
	16,694	Term Loan, 2.51%, Maturing July 28, 2013	$	16,683,692
		American Seafoods Group, LLC
	10,503	Term Loan, 5.50%, Maturing May 7, 2015		10,568,338
		Autobar BV
EUR	424	Term Loan, 5.88%, Maturing October 6, 2017		584,974
EUR	2,576	Term Loan, 5.88%, Maturing October 6, 2017		3,556,491
		B&G Foods, Inc.
	1,500	Term Loan, 2.31%, Maturing February 26, 2013		1,494,375
		BL Marketing, Ltd.
GBP	3,500	Term Loan, 2.60%, Maturing December 31, 2013		5,433,612
GBP	2,500	Term Loan - Second Lien, 5.40%, Maturing June 30, 2015		3,838,434
		Dean Foods Co.
	32,063	Term Loan, 1.81%, Maturing April 2, 2014		31,293,011
	3,194	Term Loan, 3.26%, Maturing April 2, 2014		3,181,167
		Dole Food Company, Inc.
	11,589	Term Loan, 5.04%, Maturing March 2, 2017		11,721,427
	4,666	Term Loan, 5.06%, Maturing March 2, 2017		4,719,246
		Liberator Midco, Ltd.
EUR	2,000	Term Loan, 5.62%, Maturing April 30, 2016		2,797,174
		Lion Polaris S.A.S.
EUR	5,269	Term Loan, 6.00%, Maturing October 31, 2017		7,303,048
		Michael Foods Holdings, Inc.
	16,402	Term Loan, 6.25%, Maturing June 29, 2016		16,681,939
		Picard
EUR	1,231	Term Loan, 6.00%, Maturing September 14, 2017		1,706,079
		Pierre Foods, Inc.
	14,788	Term Loan, 7.00%, Maturing September 30, 2016		14,963,544
		Pinnacle Foods Finance, LLC
	4,000	Revolving Loan, 0.86%, Maturing April 2, 2013⁽³⁾		3,720,000
	36,672	Term Loan, 2.76%, Maturing April 2, 2014		36,628,665
	5,744	Term Loan, 6.00%, Maturing April 2, 2014		5,828,894


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		United Biscuits
GBP	3,961	Term Loan, 3.11%, Maturing December 15, 2014	$	6,255,657
GBP	1,500	Term Loan - Second Lien, 4.61%, Maturing June 15, 2016		2,357,724

			$	191,317,491

Food Service — 4.1%
		Aramark Corp.
	960	Term Loan, 2.18%, Maturing January 26, 2014	$	945,600
	3,210	Term Loan, 2.14%, Maturing January 27, 2014		3,220,987
	25,506	Term Loan, 2.18%, Maturing January 27, 2014		25,590,641
	4,018	Term Loan, 3.51%, Maturing July 26, 2016		4,054,430
	40,872	Term Loan, 3.55%, Maturing July 26, 2016		41,238,460
		Buffets, Inc.
	9,149	Term Loan, 12.00%, Maturing April 21, 2015⁽²⁾		8,754,804
	1,161	Term Loan, 7.55%, Maturing April 22, 2015⁽²⁾		891,293
		Burger King Corp.
	44,575	Term Loan, 6.25%, Maturing October 19, 2016		45,337,634
EUR	3,000	Term Loan, 6.50%, Maturing October 19, 2016		4,174,197
		CBRL Group, Inc.
	365	Term Loan, 1.79%, Maturing April 29, 2013		364,360
	3,588	Term Loan, 1.79%, Maturing April 29, 2013		3,582,639
	221	Term Loan, 2.79%, Maturing April 27, 2016		220,740
	2,292	Term Loan, 2.79%, Maturing April 27, 2016		2,293,877
		Darling International, Inc.
	12,000	Term Loan, 5.75%, Maturing December 16, 2016		12,172,500
		Denny’s, Inc.
	11,880	Term Loan, 6.50%, Maturing September 20, 2016		12,058,200
		DineEquity, Inc.
	18,842	Term Loan, 6.00%, Maturing October 19, 2017		19,177,161
		Dunkin Brands, Inc.
	28,275	Term Loan, 5.75%, Maturing November 23, 2017		28,788,587
		JRD Holdings, Inc.
	6,459	Term Loan, 2.51%, Maturing July 2, 2014		6,398,294
		OSI Restaurant Partners, LLC
	4,195	Term Loan, 2.56%, Maturing June 14, 2013		4,131,014
	43,053	Term Loan, 2.63%, Maturing June 14, 2014		42,392,079
		QCE Finance, LLC
	9,559	Term Loan, 5.01%, Maturing May 5, 2013		9,048,032
		Sagittarius Restaurants, LLC
	9,121	Term Loan, 7.51%, Maturing May 18, 2015		9,149,440
		Selecta
CHF	18,405	Term Loan, 2.45%, Maturing July 2, 2015		16,694,018
		SSP Financing, Ltd.
	5,115	Term Loan, 1.30%, Maturing December 17, 2016		4,578,307
		U.S. Foodservice, Inc.
	20,355	Term Loan, 2.76%, Maturing July 3, 2014		19,687,516
		Wendy’s/Arby’s Restaurants, LLC
	8,765	Term Loan, 5.00%, Maturing May 24, 2017		8,855,158

			$	333,799,968

Food/Drug Retailers — 2.7%
		General Nutrition Centers, Inc.
	40,213	Term Loan, 2.54%, Maturing September 16, 2013	$	40,086,977
		NBTY, Inc.
	34,250	Term Loan, 6.25%, Maturing October 2, 2017		34,838,689
		Pantry, Inc. (The)
	60	Term Loan, 2.01%, Maturing May 15, 2014		59,232
	6,556	Term Loan, 2.01%, Maturing May 15, 2014		6,435,733
		Rite Aid Corp.
	65,201	Term Loan, 2.02%, Maturing June 4, 2014		62,821,064
	16,768	Term Loan, 6.00%, Maturing June 4, 2014		16,886,736


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Roundy’s Supermarkets, Inc.
	42,190	Term Loan, 7.00%, Maturing November 3, 2013	$	42,493,373
	2,500	Term Loan - Second Lien, 10.00%, Maturing April 18, 2016		2,542,970
		Supervalu, Inc.
	4,889	Term Loan, 1.64%, Maturing June 1, 2012		4,857,561
	2,847	Term Loan, 3.51%, Maturing October 5, 2015		2,841,531

			$	213,863,866

Forest Products — 0.5%
		Georgia-Pacific Corp.
	3,959	Term Loan, 2.30%, Maturing December 20, 2012	$	3,970,909
	29,097	Term Loan, 2.30%, Maturing December 21, 2012		29,186,573
	10,387	Term Loan, 3.55%, Maturing December 23, 2014		10,470,663

			$	43,628,145

Health Care — 11.5%
		1-800-Contacts, Inc.
	7,678	Term Loan, 7.70%, Maturing March 4, 2015	$	7,716,487
		Alliance Healthcare Services
	11,807	Term Loan, 5.50%, Maturing June 1, 2016		11,914,173
		AMR HoldCo, Inc.
	4,906	Term Loan, 3.26%, Maturing April 8, 2015		4,906,250
		Ardent Medical Services, Inc.
	10,540	Term Loan, 6.50%, Maturing September 15, 2015		10,623,773
		Ascend Learning
	17,350	Term Loan, 7.75%, Maturing December 6, 2016		17,125,890
		Aveta Holdings, LLC
	5,318	Term Loan, 8.50%, Maturing April 14, 2015		5,358,382
	5,318	Term Loan, 8.50%, Maturing April 14, 2015		5,358,382
		Biomet, Inc.
	61,712	Term Loan, 3.29%, Maturing March 25, 2015		62,016,292
EUR	2,878	Term Loan, 3.85%, Maturing March 25, 2015		3,927,577
		Cardinal Health 409, Inc.
	15,361	Term Loan, 2.51%, Maturing April 10, 2014		14,983,259
		Carestream Health, Inc.
	20,389	Term Loan, 2.26%, Maturing April 30, 2013		20,266,877
		Carl Zeiss Vision Holding GmbH
EUR	7,534	Term Loan, 2.54%, Maturing October 24, 2014		9,232,020
EUR	837	Term Loan, 4.00%, Maturing September 30, 2019		905,437
		Catalina Marketing Corp.
	3,989	Term Loan, 3.01%, Maturing October 1, 2014		3,982,448
		CDRL MS, Inc.
	4,988	Term Loan, 6.75%, Maturing September 29, 2016		5,081,016
		Community Health Systems, Inc.
	3,504	Term Loan, 2.54%, Maturing July 25, 2014		3,490,585
	81,395	Term Loan, 2.54%, Maturing July 25, 2014		81,095,086
	26,975	Term Loan, 3.79%, Maturing January 25, 2017		27,199,353
		ConvaTec, Inc.
EUR	7,500	Term Loan, 5.75%, Maturing December 22, 2016		10,474,000
	9,875	Term Loan, 5.75%, Maturing December 22, 2016		10,025,179
		Dako EQT Project Delphi
EUR	3,099	Term Loan, 3.15%, Maturing May 31, 2016		3,959,533
	1,568	Term Loan, 2.43%, Maturing June 12, 2016		1,433,690
		DaVita, Inc.
	27,025	Term Loan, 4.50%, Maturing October 20, 2016		27,459,238
		DJO Finance, LLC
	16,343	Term Loan, 3.26%, Maturing May 20, 2014		16,245,216
		Emdeon Business Services, LLC
	8,978	Term Loan, 4.50%, Maturing November 18, 2013		9,050,442


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Fenwal, Inc.
	504	Term Loan, 2.54%, Maturing February 28, 2014	$	470,898
	2,938	Term Loan, 2.54%, Maturing February 28, 2014		2,746,902
		Fresenius Medical Care Holdings
	7,777	Term Loan, 1.68%, Maturing March 31, 2013		7,773,350
		Fresenius SE
	935	Term Loan, 4.50%, Maturing September 10, 2014		942,430
	1,910	Term Loan, 4.50%, Maturing September 10, 2014		1,926,081
		Grifols SA
	31,100	Term Loan, Maturing November 23, 2016⁽⁷⁾		31,628,047
		Hanger Orthopedic Group, Inc.
	5,550	Term Loan, 5.25%, Maturing November 17, 2016		5,633,250
		Harvard Drug Group, LLC
	349	Term Loan, 6.50%, Maturing April 8, 2016		340,312
	2,538	Term Loan, 6.50%, Maturing April 8, 2016		2,475,000
		HCA, Inc.
	37,850	Term Loan, 2.55%, Maturing November 18, 2013		37,828,629
	51,769	Term Loan, 3.55%, Maturing March 31, 2017		52,390,695
		Health Management Associates, Inc.
	47,960	Term Loan, 2.05%, Maturing February 28, 2014		47,873,853
		Iasis Healthcare, LLC
	248	Term Loan, 2.26%, Maturing March 14, 2014		246,390
	908	Term Loan, 2.26%, Maturing March 14, 2014		900,861
	2,623	Term Loan, 2.26%, Maturing March 14, 2014		2,602,718
		Ikaria Acquisition, Inc.
	3,133	Term Loan, 7.00%, Maturing May 16, 2016		3,018,947
		IM U.S. Holdings, LLC
	9,188	Term Loan, 2.26%, Maturing June 26, 2014		9,173,956
		IMS Health, Inc.
EUR	1,980	Term Loan, 5.50%, Maturing January 31, 2016		2,734,136
	8,169	Term Loan, 5.25%, Maturing February 26, 2016		8,286,884
		inVentiv Health, Inc.
	9,403	Term Loan, 6.50%, Maturing August 4, 2016		9,543,791
		Lifepoint Hospitals, Inc.
	15,498	Term Loan, 3.04%, Maturing April 15, 2015		15,542,895
		MedAssets, Inc.
	13,200	Term Loan, 5.25%, Maturing November 16, 2016		13,403,504
		MPT Operating Partnership, L.P.
	7,613	Term Loan, 5.00%, Maturing May 17, 2016		7,651,400
		MultiPlan, Inc.
	28,639	Term Loan, 6.50%, Maturing August 26, 2017		28,965,890
		Mylan, Inc.
	4,394	Term Loan, 3.56%, Maturing October 2, 2014		4,427,435
		National Mentor Holdings, Inc.
	537	Term Loan, 2.15%, Maturing June 29, 2013		531,733
	8,663	Term Loan, 4.25%, Maturing June 29, 2013		8,576,315
		Nyco Holdings
	5,759	Term Loan, 3.51%, Maturing December 29, 2013		5,651,676
	13,869	Term Loan, 4.26%, Maturing December 29, 2014		13,644,731
EUR	8,891	Term Loan, 4.87%, Maturing December 29, 2014		11,997,792
EUR	8,889	Term Loan, 5.37%, Maturing December 29, 2015		11,991,154
	13,899	Term Loan - Second Lien, 4.76%, Maturing December 29, 2015		13,674,157
		Prime Healthcare Services, Inc.
	29,885	Term Loan, 7.25%, Maturing April 22, 2015		29,437,126
		RadNet Management, Inc.
	15,159	Term Loan, 5.75%, Maturing April 1, 2016		15,225,580
		ReAble Therapeutics Finance, LLC
	8,756	Term Loan, 2.26%, Maturing November 18, 2013		8,734,225
		RehabCare Group, Inc.
	4,455	Term Loan, 6.00%, Maturing November 24, 2015		4,506,639


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Renal Advantage Holdings, Inc.
	9,675	Term Loan, 5.75%, Maturing December 16, 2016	$	9,835,247
		Res-Care, Inc.
	7,325	Term Loan, 7.25%, Maturing December 22, 2016		7,215,125
		Select Medical Holdings Corp.
	15,142	Term Loan, 4.04%, Maturing August 22, 2014		15,236,676
	1,043	Term Loan, 4.05%, Maturing August 22, 2014		1,049,033
		Skillsoft Corp.
	3,980	Term Loan, 6.50%, Maturing May 26, 2017		4,039,700
		Sunquest Information Systems, Inc.
	12,925	Term Loan, 6.25%, Maturing December 16, 2016		13,021,938
		Sunrise Medical Holdings, Inc.
EUR	2,240	Term Loan, 6.75%, Maturing May 13, 2014		2,837,435
		TZ Merger Sub., Inc. (TriZetto)
	4,988	Term Loan, 5.75%, Maturing August 4, 2015		5,024,906
		Universal Health Services, Inc.
	20,425	Term Loan, 5.50%, Maturing November 15, 2016		20,809,725
		Vanguard Health Holding Co., LLC
	22,410	Term Loan, 5.00%, Maturing January 29, 2016		22,643,286
		VWR Funding, Inc.
	29,977	Term Loan, 2.76%, Maturing June 30, 2014		29,770,951

			$	927,813,989

Home Furnishings — 0.5%
		Dometic Corp.
	914	Term Loan, 1.03%, Maturing September 5, 2013	$	813,717
	2,057	Term Loan, 1.03%, Maturing September 5, 2013		1,776,005
	1,066	Term Loan, 3.50%, Maturing September 5, 2013⁽²⁾		445,234
		Hunter Fan Co.
	3,081	Term Loan, 2.77%, Maturing April 16, 2014		2,849,807
		National Bedding Co., LLC
	24,859	Term Loan, 3.81%, Maturing November 28, 2013		24,982,892
	4,500	Term Loan - Second Lien, 5.31%, Maturing February 28, 2014		4,466,250
		Oreck Corp.
	797	Term Loan - Second Lien, 3.80%, Maturing March 19, 2016⁽⁴⁾		718,520
		Sanitec Europe OY
EUR	3,464	Term Loan, 2.50%, Maturing June 24, 2016		3,897,398

			$	39,949,823

Industrial Equipment — 2.4%
		Alliance Laundry Systems, LLC
	1,958	Term Loan, 6.25%, Maturing September 30, 2016	$	1,984,816
		Brand Energy and Infrastructure Services, Inc.
	17,108	Term Loan, 2.56%, Maturing February 7, 2014		16,879,731
		Bucyrus International, Inc.
	10,557	Term Loan, 4.25%, Maturing February 19, 2016		10,614,643
		EPD Holdings (Goodyear Engineering Products)
	3,572	Term Loan, 2.76%, Maturing July 31, 2014		3,321,500
	21,429	Term Loan, 2.76%, Maturing July 31, 2014		19,928,906
	2,000	Term Loan - Second Lien, 6.01%, Maturing July 13, 2015		1,761,250
		Excelitas Technologies Corp.
	5,985	Term Loan, 7.25%, Maturing November 23, 2016		6,044,850
		Generac Acquisition Corp.
	10,605	Term Loan, 2.80%, Maturing November 11, 2013		10,601,885
		Gleason Corp.
	7,589	Term Loan, 2.05%, Maturing June 30, 2013		7,437,365
		Itron, Inc.
	509	Term Loan, 3.76%, Maturing April 18, 2014		512,893
		Jason, Inc.
	302	Term Loan, 8.25%, Maturing September 21, 2014		302,952
	769	Term Loan, 8.25%, Maturing September 21, 2014		770,737


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		John Maneely Co.
	33,938	Term Loan, 3.55%, Maturing December 9, 2013	$	33,616,786
		Kinetek Acquisition Corp.
	304	Term Loan, 3.94%, Maturing November 11, 2013		282,528
	2,999	Term Loan, 3.94%, Maturing November 11, 2013		2,785,632
		KION Group GmbH
	11,661	Term Loan, 4.01%, Maturing December 23, 2014⁽²⁾		10,891,847
EUR	1,533	Term Loan, 4.62%, Maturing December 23, 2014⁽²⁾		1,979,246
	11,661	Term Loan, 4.26%, Maturing December 23, 2015⁽²⁾		10,891,847
EUR	1,494	Term Loan, 4.87%, Maturing December 29, 2015⁽²⁾		1,927,903
		Pinafore, LLC
	26,954	Term Loan, 6.25%, Maturing September 29, 2016		27,409,194
		Polypore, Inc.
	2,000	Revolving Loan, 0.65%, Maturing July 3, 2013⁽³⁾		1,820,000
	22,561	Term Loan, 2.26%, Maturing July 3, 2014		22,166,520
EUR	1,075	Term Loan, 2.82%, Maturing July 3, 2014		1,428,331
		Sequa Corp.
	1,989	Term Loan, 3.56%, Maturing December 3, 2014		1,967,500

			$	197,328,862

Insurance — 1.6%
		Alliant Holdings I, Inc.
	23,892	Term Loan, 3.30%, Maturing August 21, 2014	$	23,294,808
	4,000	Term Loan, 6.75%, Maturing August 21, 2014		4,030,000
		AmWINS Group, Inc.
	6,428	Term Loan, 2.80%, Maturing June 8, 2013		6,319,456
		Applied Systems, Inc.
	13,325	Term Loan, 5.50%, Maturing December 8, 2016		13,413,838
		CCC Information Services Group, Inc.
	12,225	Term Loan, 5.50%, Maturing November 11, 2015		12,373,998
		Conseco, Inc.
	18,425	Term Loan, 7.50%, Maturing September 30, 2016		18,655,313
		Crump Group, Inc.
	4,285	Term Loan, 3.26%, Maturing August 1, 2014		4,225,922
		HUB International Holdings, Inc.
	2,781	Term Loan, 2.80%, Maturing June 13, 2014		2,771,707
	16,689	Term Loan, 2.80%, Maturing June 13, 2014		16,633,685
	3,481	Term Loan, 6.75%, Maturing June 13, 2014		3,504,434
		U.S.I. Holdings Corp.
	19,948	Term Loan, 2.76%, Maturing May 5, 2014		19,586,836
	1,975	Term Loan, 7.00%, Maturing May 5, 2014		1,972,531

			$	126,782,528

Leisure Goods/Activities/Movies — 3.8%
		24 Hour Fitness Worldwide, Inc.
	3,980	Term Loan, 6.75%, Maturing April 22, 2016	$	3,942,688
		Alpha D2, Ltd.
	6,116	Term Loan, 2.71%, Maturing December 31, 2013		5,963,906
	11,884	Term Loan, 2.71%, Maturing December 31, 2013		11,589,838
		AMC Entertainment, Inc.
	27,104	Term Loan, 3.51%, Maturing December 16, 2016		27,320,007
		AMF Bowling Worldwide, Inc.
	2,704	Term Loan, 2.76%, Maturing June 8, 2013		2,473,959
		Bombardier Recreational Products
	30,498	Term Loan, 2.81%, Maturing June 28, 2013		30,383,144
		Carmike Cinemas, Inc.
	15,312	Term Loan, 5.50%, Maturing January 27, 2016		15,517,663
		Cedar Fair, L.P.
	19,771	Term Loan, 5.50%, Maturing December 15, 2016		20,078,173
		Cinemark, Inc.
	28,770	Term Loan, 3.53%, Maturing April 29, 2016		29,034,297


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		ClubCorp Club Operations, Inc.
	7,350	Term Loan, 6.00%, Maturing November 9, 2016	$	7,460,250
		Deluxe Entertainment Services
	271	Term Loan, 6.25%, Maturing May 11, 2013		261,340
	4,342	Term Loan, 6.25%, Maturing May 11, 2013		4,180,236
		Dh P Bidco, Ltd.
GBP	6,500	Term Loan, 5.00%, Maturing December 8, 2017		10,572,550
GBP	1,000	Term Loan, Maturing December 9, 2017⁽⁷⁾		1,613,864
		Fender Musical Instruments Corp.
	3,938	Term Loan, 2.51%, Maturing June 9, 2014		3,701,350
	1,129	Term Loan, 2.54%, Maturing June 9, 2014		1,061,565
		Miramax Film NY, LLC
	8,650	Term Loan, 7.75%, Maturing May 20, 2016		8,887,875
		National CineMedia, LLC
	12,250	Term Loan, 2.06%, Maturing February 13, 2015		12,175,630
		Odeon
GBP	624	Term Loan, 3.99%, Maturing April 2, 2015		981,349
GBP	624	Term Loan, 4.87%, Maturing April 2, 2016		981,349
		Regal Cinemas Corp.
	20,497	Term Loan, 3.80%, Maturing November 21, 2016		20,669,947
		Revolution Studios Distribution Co., LLC
	5,455	Term Loan, 4.01%, Maturing December 21, 2014		4,336,530
		Six Flags Theme Parks, Inc.
	27,944	Term Loan, 5.50%, Maturing June 30, 2016		28,380,124
		Sram, LLC
	4,891	Term loan, 5.00%, Maturing April 30, 2015		4,945,745
		SW Acquisition Co., Inc.
	14,009	Term Loan, 5.75%, Maturing June 1, 2016		14,183,606
		Universal City Development Partners, Ltd.
	21,562	Term Loan, 5.50%, Maturing November 6, 2014		21,854,006
		Zuffa, LLC
	4,000	Revolving Loan, 0.72%, Maturing June 19, 2012⁽³⁾		3,906,400
	10,950	Term Loan, 2.31%, Maturing June 19, 2015		10,785,597

			$	307,242,988

Lodging and Casinos — 2.8%
		Ameristar Casinos, Inc.
	1,796	Term Loan, 3.55%, Maturing November 10, 2012	$	1,802,451
		Choctaw Resort Development Enterprise
	2,249	Term Loan, 7.25%, Maturing November 4, 2011		2,243,454
		Full Moon Holdco 3, Ltd.
GBP	1,500	Term Loan, 4.56%, Maturing September 5, 2014		2,228,574
GBP	1,500	Term Loan, 4.76%, Maturing September 4, 2015		2,228,574
		Gala Electric Casinos, Ltd.
EUR	317	Revolving Loan, 5.14%, Maturing September 28, 2012		421,378
GBP	5,667	Revolving Loan, 2.89%, Maturing October 26, 2012⁽³⁾		8,801,461
GBP	10,750	Term Loan, 4.89%, Maturing October 25, 2013		16,279,925
GBP	10,750	Term Loan, 5.39%, Maturing October 27, 2014		16,280,033
GBP	1,178	Term Loan - Second Lien, 7.40%, Maturing April 7, 2015		1,715,973
		Harrah’s Operating Co.
	11,051	Term Loan, 3.30%, Maturing January 28, 2015		10,316,741
	12,000	Term Loan, 3.30%, Maturing January 28, 2015		11,184,372
	23,803	Term Loan, 3.30%, Maturing January 28, 2015		22,229,412
	9,900	Term Loan, 9.50%, Maturing October 31, 2016		10,539,629
		Herbst Gaming, Inc.
	3,607	Term Loan, 10.00%, Maturing December 31, 2015		3,758,694
		Isle of Capri Casinos, Inc.
	6,194	Term Loan, 5.00%, Maturing November 25, 2013		6,203,858
	9,829	Term Loan, 5.00%, Maturing November 25, 2013		9,845,100
	23,963	Term Loan, 5.00%, Maturing November 25, 2013		24,003,156


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Las Vegas Sands, LLC
	1,346	Term Loan, 2.04%, Maturing May 23, 2014	$	1,334,138
	6,623	Term Loan, 2.04%, Maturing May 23, 2014		6,565,403
	4,931	Term Loan, 3.04%, Maturing November 23, 2016		4,910,278
	9,660	Term Loan, 3.04%, Maturing November 23, 2016		9,628,385
		LodgeNet Entertainment Corp.
	8,759	Term Loan, 2.31%, Maturing April 4, 2014		8,226,565
		Penn National Gaming, Inc.
	29,483	Term Loan, 2.03%, Maturing October 3, 2012		29,528,529
		Scandic Hotels
EUR	1,725	Term Loan, 3.39%, Maturing April 25, 2015		2,187,055
EUR	1,725	Term Loan, 3.76%, Maturing June 30, 2016		2,187,055
		VML US Finance, LLC
	2,748	Term Loan, 4.80%, Maturing May 25, 2012		2,765,121
	9,092	Term Loan, 4.80%, Maturing May 27, 2013		9,140,791

			$	226,556,105

Nonferrous Metals/Minerals — 0.7%
		Euramax International, Inc.
GBP	473	Term Loan, 10.00%, Maturing June 29, 2013	$	729,722
	744	Term Loan, 10.00%, Maturing June 29, 2013		717,079
GBP	454	Term Loan, 14.00%, Maturing June 29, 2013⁽²⁾		700,401
	705	Term Loan, 14.00%, Maturing June 29, 2013⁽²⁾		679,438
		Fairmount Minerals, Ltd.
	8,415	Term Loan, 6.25%, Maturing August 5, 2016		8,583,436
		Noranda Aluminum Acquisition
	4,080	Term Loan, 2.01%, Maturing May 18, 2014		4,073,639
		Novelis, Inc.
	21,025	Term Loan, 5.25%, Maturing December 19, 2016		21,432,359
		Oxbow Carbon and Mineral Holdings
	21,285	Term Loan, 3.80%, Maturing May 8, 2016		21,524,292
		Tube City IMS Corp.
	1,144	Term Loan, 2.26%, Maturing January 25, 2014		1,132,321
	144	Term Loan, 2.30%, Maturing January 25, 2014		142,598

			$	59,715,285

Oil and Gas — 2.2%
		Big West Oil, LLC
	6,300	Term Loan, 7.00%, Maturing March 31, 2016	$	6,378,750
		CITGO Petroleum Corp.
	6,923	Term Loan, 8.00%, Maturing June 24, 2015		7,275,548
	23,147	Term Loan, 9.00%, Maturing June 23, 2017		24,413,064
		Crestwood Holdings, LLC
	4,175	Term Loan, 10.50%, Maturing September 30, 2016		4,274,156
		Dresser, Inc.
	21,860	Term Loan, 2.53%, Maturing May 4, 2014		21,832,431
	5,000	Term Loan - Second Lien, 6.03%, Maturing May 4, 2015		5,001,565
		Dynegy Holdings, Inc.
	3,345	Term Loan, 4.01%, Maturing April 2, 2013		3,336,091
	57,006	Term Loan, 4.01%, Maturing April 2, 2013		56,859,479
		IFM (US) Colonial Pipeline 2, LLC
	869	Term Loan, 2.29%, Maturing February 27, 2012		867,933
		Obsidian Natural Gas Trust
	31,348	Term Loan, 7.00%, Maturing November 2, 2015		32,053,392
		SemGroup Corp.
	3,860	Term Loan, 7.57%, Maturing November 30, 2012		3,893,735


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Sheridan Production Partners I, LLC
	780	Term Loan, 7.50%, Maturing April 20, 2017	$	789,003
	1,276	Term Loan, 7.50%, Maturing April 20, 2017		1,291,740
	9,631	Term Loan, 7.50%, Maturing April 20, 2017		9,748,382

			$	178,015,269

Publishing — 3.8%
		Aster Zweite Beteiligungs GmbH
	597	Term Loan, 2.71%, Maturing September 27, 2013	$	584,524
	7,825	Term Loan, 2.71%, Maturing September 27, 2013		7,658,719
	639	Term Loan, 2.71%, Maturing September 27, 2014		624,983
EUR	708	Term Loan, 3.39%, Maturing December 31, 2014		965,191
EUR	792	Term Loan, 3.39%, Maturing December 31, 2014		1,078,266
		Black Press US Partnership
	1,108	Term Loan, 2.29%, Maturing August 2, 2013		1,007,919
	1,824	Term Loan, 2.29%, Maturing August 2, 2013		1,660,101
		Cengage Learning, Inc.
	24,255	Term Loan, 2.55%, Maturing July 3, 2014		23,900,968
		GateHouse Media Operating, Inc.
	4,906	Term Loan, 2.26%, Maturing August 28, 2014		2,354,738
	15,631	Term Loan, 2.26%, Maturing August 28, 2014		7,502,887
	9,330	Term Loan, 2.51%, Maturing August 28, 2014		4,478,561
		Getty Images, Inc.
	40,409	Term Loan, 5.25%, Maturing November 7, 2016		41,090,648
		Hanley-Wood, LLC
	7,275	Term Loan, 2.56%, Maturing March 8, 2014		3,510,188
		Lamar Media Corp.
	5,000	Term Loan, 3.31%, Maturing April 27, 2015		5,000,000
	5,353	Term Loan, 4.25%, Maturing December 30, 2016		5,416,743
		Laureate Education, Inc.
	3,850	Term Loan, 3.55%, Maturing August 17, 2014		3,756,576
	25,716	Term Loan, 3.55%, Maturing August 17, 2014		25,088,991
	6,463	Term Loan, 7.00%, Maturing August 31, 2014		6,478,656
		MediaNews Group, Inc.
	2,002	Term Loan, 8.50%, Maturing March 19, 2014		1,971,913
		Merrill Communications, LLC
	11,854	Term Loan, 7.50%, Maturing December 24, 2012		11,883,875
		Nelson Education, Ltd.
	284	Term Loan, 2.80%, Maturing July 5, 2014		246,801
		Newspaper Holdings, Inc.
	18,203	Term Loan, 1.81%, Maturing July 24, 2014		15,563,946
		Nielsen Finance, LLC
	39,226	Term Loan, 2.26%, Maturing August 9, 2013		39,279,565
	7,811	Term Loan, 4.01%, Maturing May 2, 2016		7,887,286
	19,714	Term Loan, 4.01%, Maturing May 2, 2016		19,820,883
		SGS International, Inc.
	948	Term Loan, 3.96%, Maturing September 30, 2013		939,006
	1,917	Term Loan, 3.96%, Maturing September 30, 2013		1,902,593
		Source Interlink Companies, Inc.
	1,779	Term Loan, 10.75%, Maturing June 18, 2012		1,769,960
	4,053	Term Loan, 10.75%, Maturing June 18, 2013		3,870,723
	1,441	Term Loan, 15.00%, Maturing March 18, 2014⁽²⁾		1,051,824
		Springer Science+Business Media S.A.
EUR	6,265	Term Loan, 6.75%, Maturing June 30, 2015		8,770,426
	9,000	Term Loan, 6.75%, Maturing June 17, 2016		9,180,000
		Star Tribune Co. (The)
	947	Term Loan, 8.00%, Maturing September 28, 2014		904,069
	841	Term Loan, 8.00%, Maturing September 29, 2014		803,617
		Trader Media Corp.
GBP	11,879	Term Loan, 2.60%, Maturing March 23, 2015		18,165,827


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Xsys, Inc.
EUR	254	Term Loan, 3.39%, Maturing September 27, 2013	$	346,655
EUR	2,690	Term Loan, 3.39%, Maturing September 27, 2014		3,664,237
	7,834	Term Loan, 2.71%, Maturing December 31, 2014		7,667,138
	8,001	Term Loan, 2.71%, Maturing December 31, 2014		7,831,390
EUR	1,000	Term Loan - Second Lien, 5.55%, Maturing September 27, 2015		1,318,948

			$	306,999,341

Radio and Television — 2.4%
		Block Communications, Inc.
	9,315	Term Loan, 2.30%, Maturing December 22, 2011	$	9,105,191
		Citadel Broadcasting Corp.
	4,950	Term Loan, 4.25%, Maturing December 30, 2016		5,007,237
		CMP Susquehanna Corp.
	3,815	Revolving Loan, 0.50%, Maturing May 5, 2012⁽³⁾		3,604,942
	11,409	Term Loan, 2.31%, Maturing May 5, 2013		11,031,317
		Cumulus Media, Inc.
	17,300	Term Loan, 4.01%, Maturing June 11, 2014		16,769,883
		Entercom Communications Corp.
	3,000	Revolving Loan, 0.93%, Maturing June 30, 2012⁽³⁾		2,812,500
	2,749	Revolving Loan, 1.47%, Maturing June 30, 2012		2,712,541
		Gray Television, Inc.
	2,603	Term Loan, 3.77%, Maturing December 31, 2014		2,575,684
		HIT Entertainment, Inc.
	1,431	Term Loan, 5.54%, Maturing June 1, 2012		1,412,355
		Live Nation Worldwide, Inc.
	25,536	Term Loan, 4.50%, Maturing November 7, 2016		25,684,445
		Local TV Finance, LLC
	3,835	Term Loan, 2.31%, Maturing May 7, 2013		3,722,733
		Mission Broadcasting, Inc.
	3,793	Term Loan, 5.00%, Maturing September 30, 2016		3,802,672
		NEP II, Inc.
	2,378	Term Loan, 2.54%, Maturing February 16, 2014		2,348,045
		New Young Broadcasting Holding Co., Inc.
	2,053	Term Loan, 8.00%, Maturing June 30, 2015		2,068,714
		Nexstar Broadcasting, Inc.
	5,933	Term Loan, 5.00%, Maturing September 30, 2016		5,947,769
		Raycom TV Broadcasting, LLC
	9,083	Term Loan, 1.81%, Maturing June 25, 2014		8,810,225
		Spanish Broadcasting System, Inc.
	2,763	Term Loan, 2.06%, Maturing June 11, 2012		2,700,700
		Tyrol Acquisition 2 SAS
EUR	7,800	Term Loan, 2.87%, Maturing January 30, 2015		10,128,723
EUR	7,800	Term Loan, 3.12%, Maturing January 29, 2016		10,128,723
		Univision Communications, Inc.
	21,062	Term Loan, 2.51%, Maturing September 29, 2014		20,772,410
	35,062	Term Loan, 4.51%, Maturing March 31, 2017		34,429,248
		Weather Channel
	7,551	Term Loan, 5.00%, Maturing September 14, 2015		7,596,343

			$	193,172,400

Rail Industries — 0.1%
		Kansas City Southern Railway Co.
	7,734	Term Loan, 2.04%, Maturing April 26, 2013	$	7,734,107
	1,930	Term Loan, 1.79%, Maturing April 28, 2013		1,891,400

			$	9,625,507

Retailers (Except Food and Drug) — 3.0%
		Amscan Holdings, Inc.
	12,893	Term Loan, 6.75%, Maturing December 4, 2017	$	13,105,352


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Dollar General Corp.
	10,000	Term Loan, 3.01%, Maturing July 7, 2014	$	10,034,090
	2,500	Term Loan, 3.03%, Maturing July 7, 2014		2,509,938
		FTD, Inc.
	6,223	Term Loan, 6.75%, Maturing August 26, 2014		6,253,818
		Harbor Freight Tools USA, Inc.
	22,675	Term Loan, 6.50%, Maturing December 22, 2017		23,008,050
		KKR My Best Friend UK Holdco.
GBP	2,000	Term Loan, 5.60%, Maturing January 24, 2017		3,200,270
		Matalan Group, Ltd.
GBP	7,198	Term Loan, 5.60%, Maturing March 24, 2016		11,547,718
		Michaels Stores, Inc.
	23,210	Term Loan, 2.56%, Maturing October 31, 2013		23,167,562
	4,629	Term Loan, 4.81%, Maturing July 31, 2016		4,689,546
		Neiman Marcus Group, Inc.
	35,178	Term Loan, 4.30%, Maturing April 6, 2016		35,441,384
		Orbitz Worldwide, Inc.
	15,796	Term Loan, 3.28%, Maturing July 25, 2014		14,802,286
		Oriental Trading Co., Inc.
	2,000	Term Loan - Second Lien, 0.00%, Maturing January 31, 2014⁽⁵⁾		60,000
		Pep Boys-Manny, Moe, & Jack (The)
	2,346	Term Loan, 2.30%, Maturing October 28, 2013		2,327,943
		PETCO Animal Supplies, Inc.
	15,025	Term Loan, 6.00%, Maturing November 24, 2017		15,253,891
		Pilot Travel Centers, LLC
	6,009	Term Loan, 5.25%, Maturing June 30, 2016		6,122,982
		Rent-A-Center, Inc.
	20	Term Loan, 2.06%, Maturing June 30, 2012		20,299
	7,255	Term Loan, 3.31%, Maturing March 31, 2015		7,273,052
		Savers, Inc.
	15,709	Term Loan, 5.75%, Maturing March 11, 2016		15,846,605
		Visant Corp.
	7,955	Term Loan, 7.00%, Maturing December 22, 2016		8,071,907
		Vivarte
EUR	87	Term Loan, 2.64%, Maturing March 9, 2015		109,582
EUR	337	Term Loan, 2.64%, Maturing March 9, 2015		426,109
EUR	8,886	Term Loan, 2.64%, Maturing March 9, 2015		11,252,035
EUR	8,886	Term Loan, 3.26%, Maturing March 8, 2016		11,252,035
EUR	87	Term Loan, 3.26%, Maturing May 29, 2016		109,571
EUR	337	Term Loan, 3.26%, Maturing May 29, 2016		426,109
EUR	13	Term Loan - Second Lien, 4.26%, Maturing September 8, 2016		15,828
EUR	88	Term Loan - Second Lien, 4.26%, Maturing September 8, 2016		102,280
EUR	900	Term Loan - Second Lien, 4.26%, Maturing September 8, 2016		1,052,021
		Yankee Candle Company, Inc. (The)
	12,708	Term Loan, 2.26%, Maturing February 6, 2014		12,657,425

			$	240,139,688

Steel — 0.0%⁽⁸⁾
		Niagara Corp.
	3,486	Term Loan, Maturing June 29, 2014⁽⁴⁾⁽⁷⁾	$	3,302,372

			$	3,302,372

Surface Transport — 0.4%
		Rural/Metro Operating Company, LLC
	4,000	Term Loan, 6.00%, Maturing November 24, 2016	$	4,052,500
		Swift Transportation Co., Inc.
	28,843	Term Loan, 6.00%, Maturing December 16, 2016		29,284,721

			$	33,337,221


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Telecommunications — 4.0%
		Alaska Communications Systems Holdings, Inc.
	14,225	Term Loan, 5.50%, Maturing October 21, 2016	$	14,362,812
		Asurion Corp.
	39,339	Term Loan, 3.26%, Maturing July 3, 2014		38,408,189
	18,750	Term Loan, 6.75%, Maturing March 31, 2015		19,068,075
		BCM Luxembourg, Ltd.
EUR	5,451	Term Loan, 2.75%, Maturing September 30, 2014		6,333,988
EUR	5,451	Term Loan, 3.00%, Maturing September 30, 2015		6,334,523
		Cellular South, Inc.
	2,937	Term Loan, 2.04%, Maturing May 29, 2014		2,936,531
	6,696	Term Loan, 2.04%, Maturing May 29, 2014		6,695,882
		CommScope, Inc.
	24,650	Term Loan, 5.00%, Maturing January 14, 2018		25,204,625
		Intelsat Jackson Holdings SA
	96,550	Term Loan, 5.25%, Maturing April 2, 2018		97,961,851
		IPC Systems, Inc.
	4,311	Term Loan, 2.54%, Maturing May 31, 2014		4,202,984
GBP	325	Term Loan, 3.01%, Maturing May 31, 2014		461,018
		Macquarie UK Broadcast Ventures, Ltd.
GBP	6,867	Term Loan, 2.60%, Maturing December 1, 2014		9,790,059
		Metro PCS
	2,620	Term Loan, 2.56%, Maturing November 4, 2013		2,628,238
		NTelos, Inc.
	7,666	Term Loan, 5.75%, Maturing August 7, 2015		7,746,727
		Syniverse Technologies, Inc.
	19,850	Term Loan, 5.25%, Maturing December 21, 2017		20,189,098
		Telesat Canada, Inc.
	4,436	Term Loan, 3.26%, Maturing October 31, 2014		4,442,448
	51,649	Term Loan, 3.26%, Maturing October 31, 2014		51,718,927
		TowerCo Finance, LLC
	2,450	Term Loan, 6.00%, Maturing November 24, 2014		2,475,519
		Windstream Corp.
	4,236	Term Loan, 3.06%, Maturing December 17, 2015		4,270,482

			$	325,231,976

Utilities — 1.5%
		AEI Finance Holding, LLC
	2,984	Revolving Loan, 3.30%, Maturing March 30, 2012	$	2,954,230
	25,417	Term Loan, 3.30%, Maturing March 30, 2014		25,159,462
		BRSP, LLC
	10,850	Term Loan, 7.50%, Maturing June 4, 2014		11,094,553
		Covanta Energy Corp.
	893	Term Loan, 1.80%, Maturing February 10, 2014		887,193
	779	Term Loan, 1.81%, Maturing February 10, 2014		773,542
		EquiPower Resources Holdings
	5,325	Term Loan, Maturing January 4, 2018⁽⁷⁾		5,418,187
		New Development Holdings, Inc.
	1,000	Term Loan, Maturing July 3, 2017⁽⁷⁾		1,014,375
		NRG Energy, Inc.
	2,868	Term Loan, 2.04%, Maturing February 1, 2013		2,875,416
	8	Term Loan, 2.05%, Maturing February 1, 2013		7,971
	14,348	Term Loan, 3.55%, Maturing August 31, 2015		14,463,785
	25,271	Term Loan, 3.55%, Maturing August 31, 2015		25,433,766


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		TXU Texas Competitive Electric Holdings Co., LLC
	6,399	Term Loan, 3.76%, Maturing October 10, 2014	$	5,309,041
	10,762	Term Loan, 3.76%, Maturing October 10, 2014		8,908,647
	20,401	Term Loan, 3.79%, Maturing October 10, 2014		16,909,123

			$	121,209,291


Total Senior Floating-Rate Interests (identified cost $7,389,113,252)			$	7,485,188,006

Corporate Bonds & Notes — 2.4%


Principal
Amount*
(000’s omitted)		Security	Value
Aerospace and Defense — 0.1%
		International Lease Finance Corp., Sr. Notes
	2,325	6.50%, 9/1/14⁽⁹⁾	$	2,487,750
	2,325	6.75%, 9/1/16⁽⁹⁾		2,499,375
	2,325	7.125%, 9/1/18⁽⁹⁾		2,516,813

			$	7,503,938

Broadcast Radio and Television — 0.1%
		Entravision Communications Corp., Sr. Notes
	3,000	8.75%, 8/1/17	$	3,225,000

			$	3,225,000

Building and Development — 0.4%
		AMO Escrow Corp., Sr. Notes
	15,750	11.50%, 12/15/17⁽⁹⁾	$	17,088,750
		Grohe Holding GmbH, Variable Rate
EUR	13,000	3.873%, 1/15/14⁽¹⁰⁾		17,576,467

			$	34,665,217

Cable and Satellite Television — 0.3%
		NAI Entertainment Holdings, LLC, Sr. Notes
	7,500	8.25%, 12/15/17⁽⁹⁾	$	8,025,000
		Virgin Media Finance PLC, Sr. Notes
	14,000	6.50%, 1/15/18		14,910,000

			$	22,935,000

Chemicals and Plastics — 0.0%⁽⁸⁾
		Rhodia SA, Sr. Notes, Variable Rate
EUR	856	3.748%, 10/15/13⁽¹⁰⁾	$	1,176,490
		Wellman Holdings, Inc., Sr. Sub. Notes
	1,104	5.00%, 1/29/19⁽²⁾⁽⁴⁾		0

			$	1,176,490

Conglomerates — 0.1%
		Polymer Group, Inc., Sr. Notes
	5,000	7.75%, 2/1/19⁽⁹⁾	$	5,162,500

			$	5,162,500

Ecological Services and Equipment — 0.0%⁽⁸⁾
		Environmental Systems Product Holdings, Inc., Jr. Notes
	149	18.00%, 3/31/15⁽⁴⁾	$	127,289

			$	127,289


Principal
Amount*
(000’s omitted)		Security	Value
Electronics/Electrical — 0.3%
		NXP BV/NXP Funding, LLC, Variable Rate
	21,900	3.053%, 10/15/13	$	21,763,125

			$	21,763,125

Financial Intermediaries — 0.2%
		UPCB Finance II, Ltd., Sr. Notes
EUR	11,500	6.375%, 7/1/20⁽⁹⁾	$	15,658,630

			$	15,658,630

Health Care — 0.0%⁽⁸⁾
		Accellent, Inc., Sr. Notes
	3,000	8.375%, 2/1/17	$	3,157,500

			$	3,157,500

Leisure Goods/Activities/Movies — 0.1%
		MU Finance PLC, Sr. Notes
	10,000	8.375%, 2/1/17⁽⁹⁾	$	10,650,000

			$	10,650,000

Utilities — 0.8%
		Calpine Corp., Sr. Notes
	33,200	7.50%, 2/15/21⁽⁹⁾	$	33,781,000
	31,100	7.875%, 1/15/23⁽⁹⁾		31,605,375

			$	65,386,375


Total Corporate Bonds & Notes (identified cost $181,017,596)			$	191,411,064

Asset-Backed Securities — 0.1%


Principal
Amount
(000’s omitted)		Security	Value
$	727	Alzette European CLO SA, Series 2004-1A, Class E2, 6.802%, 12/15/20⁽¹¹⁾	$	611,168
	1,502	Assemblies of God Financial Real Estate, Series 2004-1A, Class A, 6.90%, 6/15/29^(9)(11)		1,519,001
	884	Avalon Capital Ltd. 3, Series 1A, Class D, 2.234%, 2/24/19^(9)(11)		723,453
	1,129	Babson Ltd., Series 2005-1A, Class C1, 2.253%, 4/15/19^(9)(11)		923,283
	1,510	Bryant Park CDO Ltd., Series 2005-1A, Class C, 2.353%, 1/15/19^(2)(9)(11)		1,052,497
	1,500	Carlyle High Yield Partners, Series 2004-6A, Class C, 2.736%, 8/11/16^(9)(11)		1,312,942
	985	Centurion CDO 8 Ltd., Series 2005-8A, Class D, 5.803%, 3/8/17⁽¹¹⁾		874,384
	2,000	Morgan Stanley Investment Management Croton, Ltd., Series 2005-1A, Class D, 2.253%, 1/15/18^(9)(11)		1,627,780


Total Asset-Backed Securities (identified cost $10,188,653)			$	8,644,508

Common Stocks — 0.8%


Shares		Security	Value
Automotive — 0.2%
	88,506	Dayco Products, LLC^(12)(13)	$	5,133,348
	207,032	Hayes Lemmerz International, Inc.^(4)(12)(13)		10,972,696

			$	16,106,044

Building and Development — 0.1%
	233,658	Contech Construction Holdings, Inc.^(4)(12)(13)	$	18,226
	24,547	Lafarge Roofing^(4)(12)(13)		0
	24,547	Lafarge Roofing^(4)(12)(13)		0


Shares		Security	Value
	24,547	Lafarge Roofing^(4)(12)(13)	$	0
	3,646	United Subcontractors, Inc.^(4)(12)(13)		376,137
	22,273	WCI Communities, Inc.^(4)(12)(13)		1,893,171

			$	2,287,534

Chemicals and Plastics — 0.0%⁽⁸⁾
	3,849	Vita Cayman II, Ltd.^(12)(13)	$	1,172,544
	1,022	Wellman Holdings, Inc.^(4)(12)(13)		0

			$	1,172,544

Diversified Manufacturing — 0.0%⁽⁸⁾
	381,639	MEGA Brands, Inc.⁽¹³⁾	$	261,232

			$	261,232

Ecological Services and Equipment — 0.0%⁽⁸⁾
	2,484	Environmental Systems Products Holdings, Inc.^(4)(13)(14)	$	15,749

			$	15,749

Financial Intermediaries — 0.0%⁽⁸⁾
	692	RTS Investor Corp.^(4)(12)(13)	$	16,256

			$	16,256

Food Service — 0.0%⁽⁸⁾
	193,076	Buffets, Inc.^(4)(13)	$	936,419

			$	936,419

Home Furnishings — 0.0%⁽⁸⁾
	364	Dometic Corp.^(4)(12)(13)	$	0
	14,217	Oreck Corp.^(4)(12)(13)		1,105,798
	235,015	Sanitec Europe Oy B Units^(12)(13)		925,091
	230,960	Sanitec Europe Oy E Units^(4)(12)(13)		0

			$	2,030,889

Leisure Goods/Activities/Movies — 0.1%
	414,634	Metro-Goldwyn-Mayer Holdings, Inc.^(12)(13)	$	9,225,607

			$	9,225,607

Lodging and Casinos — 0.0%⁽⁸⁾
	206,125	Herbst Gaming, Inc.^(4)(12)(13)	$	1,271,792

			$	1,271,792

Publishing — 0.3%
	28,605	Ion Media Networks, Inc.^(4)(12)(13)	$	13,301,325
	162,730	MediaNews Group, Inc.^(4)(12)(13)		3,091,869
	239,198	Reader’s Digest Association, Inc. (The)^(12)(13)		6,069,649
	5,725	Source Interlink Companies, Inc.^(4)(12)(13)		72,135
	30,631	Star Tribune Media Holdings Co.^(4)(13)		643,251
	53,719	SuperMedia, Inc.⁽¹³⁾		381,942

			$	23,560,171

Radio and Television — 0.1%
	3,264	New Young Broadcasting Holding Co., Inc.^(4)(12)(13)	$	7,752,000

			$	7,752,000


Total Common Stocks (identified cost $41,328,615)			$	64,636,237

Preferred Stocks — 0.0%⁽⁸⁾


Shares		Security	Value
		Ecological Services and Equipment — 0.0%⁽⁸⁾
	569	Environmental Systems Products Holdings, Inc., Series A^(4)(13)(14)	$	35,403

			$	35,403

		Home Furnishings — 0.0%
	364	Dometic Corp.^(4)(12)(13)		0


Total Preferred Stocks (identified cost $9,958)			$	35,403

Warrants — 0.0%⁽⁸⁾


Shares		Security	Value
		Radio and Television — 0.0%⁽⁸⁾
	158	New Young Broadcasting Holding Co., Inc., 12/24/24^(4)(12)(13)	$	375,250


Total Warrants (identified cost $271,529)			$	375,250

Short-Term Investments — 8.6%


Interest/
Principal
Amount
(000’s omitted)		Description	Value
$	686,228	Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽¹⁵⁾	$	686,228,481
	11,269	State Street Bank and Trust Euro Time Deposit, 0.01%, 2/1/11		11,268,539


Total Short-Term Investments (identified cost $697,497,020)			$	697,497,020


Total Investments — 104.5% (identified cost $8,319,426,623)			$	8,447,787,488


Less Unfunded Loan Commitments — (0.8)%			$	(63,184,708	)


Net Investments — 103.7% (identified cost $8,256,241,915)			$	8,384,602,780


Other Assets, Less Liabilities — (3.7)%			$	(303,186,216	)


Net Assets — 100.0%			$	8,081,416,564

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


CHF	-	Swiss Franc

EUR	-	Euro

GBP	-	British Pound Sterling

*		In U.S. dollars unless otherwise indicated.

(1)		Senior floating-rate interests (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 have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

(2)		Represents a payment-in-kind security which may pay all or a portion of interest in additional par.

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

(4)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.



(5)				Currently the issuer is in default with respect to interest payments. Interest rate has been adjusted to reflect non-accrual status.

(6)				Defaulted matured security.

(7)				This Senior Loan will settle after January 31, 2011, at which time the interest rate will be determined.

(8)				Amount is less than 0.05%.

(9)				Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At January 31, 2011, the aggregate value of these securities is $136,634,149 or 1.7% of the Portfolio’s net assets.

(10)				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.

(11)				Variable rate security. The stated interest rate represents the rate in effect at January 31, 2011.

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

(13)				Non-income producing security.

(14)				Restricted security.

(15)				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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $351,808.

A summary of open financial instruments at January 31, 2011 is as follows:

Forward Foreign Currency Exchange Contracts

Sales


				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
2/28/11	British Pound Sterling 48,492,000	United States Dollar 77,247,756	HSBC Bank	$	(414,317	)
2/28/11	British Pound Sterling 1,960,000	United States Dollar 3,116,537	State Street Bank and Trust		(22,489	)
2/28/11	British Pound Sterling 4,750,000	United States Dollar 7,518,395	State Street Bank and Trust		(88,939	)
2/28/11	British Pound Sterling 6,850,000	United States Dollar 10,876,430	State Street Bank and Trust		(94,147	)
2/28/11	British Pound Sterling 5,333,203	United States Dollar 8,441,073	State Street Bank and Trust		(100,286	)
2/28/11	Euro 129,000,000	United States Dollar 177,000,900	Goldman Sachs, Inc.		440,405
2/28/11	Euro 3,005,000	United States Dollar 4,116,850	State Street Bank and Trust		3,949
2/28/11	Euro 8,985,000	United States Dollar 12,276,116	State Street Bank and Trust		(21,528	)
2/28/11	Euro 13,422,350	United States Dollar 18,060,175	State Street Bank and Trust		(310,808	)
2/28/11	Euro 11,755,000	United States Dollar 15,699,978	State Street Bank and Trust		(388,926	)
2/28/11	Swiss Franc 15,552,098	United States Dollar 16,443,327	Deutsche Bank		(35,568	)
3/31/11	British Pound Sterling 48,492,000	United States Dollar 77,234,663	Goldman Sachs, Inc.		(407,942	)
3/31/11	Euro 129,000,000	United States Dollar 177,052,500	HSBC Bank		556,696
4/28/11	British Pound Sterling 49,960,226	United States Dollar 79,527,687	JPMorgan Chase		(446,615	)
4/29/11	Euro 129,005,858	United States Dollar 177,059,249	Deutsche Bank		623,614

				$	(706,901	)

At January 31, 2011, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

The Portfolio is subject to foreign exchange risk in the normal course of pursuing its investment objective. Because the Portfolio 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 Portfolio enters into forward foreign currency exchange contracts. The Portfolio also enters into such contracts to hedge the currency risk of investments it anticipates purchasing.

At January 31, 2011, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and in a liability position and whose primary underlying risk exposure is foreign exchange risk was $1,624,664 and $2,331,565, respectively.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	8,260,774,647

Gross unrealized appreciation	$	199,298,551
Gross unrealized depreciation		(74,144,116	)

Net unrealized appreciation	$	125,154,435

Restricted Securities

At January 31, 2011, the Portfolio owned the following securities (representing less than 0.1% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.


	Date of
Description	Acquisition		Shares		Cost			Value
Common Stocks
Environmental Systems Products Holdings, Inc.		10/25/07		2,484	$	0	⁽¹⁾	$	15,749

Preferred Stocks
Environmental Systems Products Holdings, Inc., Series A		10/25/07		569	$	9,958		$	35,403

Total Restricted Securities					$	9,958		$	51,152

(1) Less than $0.50.


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other			Significant
	Identical Assets		Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)		(Level 2)			(Level 3)		Total

Senior Floating-Rate Interests (Less Unfunded Loan Commitments)	$	—	$	7,417,528,049		$	5,801,551	$	7,423,329,600
Corporate Bonds & Notes		—		191,283,775			127,289		191,411,064
Asset-Backed Securities		—		8,644,508			—		8,644,508
Common Stocks		643,174		22,526,239	*		41,466,824		64,636,237
Preferred Stocks		—		—			35,403		35,403
Warrants		—		—			375,250		375,250
Short-Term Investments		—		697,497,020			—		697,497,020


Total Investments	$	643,174	$	8,337,479,591		$	47,806,317	$	8,385,929,082


Forward Foreign Currency Exchange Contracts	$	—	$	1,624,664		$	—	$	1,624,664


Total	$	643,174	$	8,339,104,255		$	47,806,317	$	8,387,553,746



Liability Description

Forward Foreign Currency Exchange Contracts	$	—	$	(2,331,565	)	$	—	$	(2,331,565	)


Total	$	—	$	(2,331,565	)	$	—	$	(2,331,565	)


*		Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:


	Investments in
	Senior		Investments in
	Floating-Rate		Corporate			Investments in			Investments in			Investments in
	Interests		Bonds & Notes			Common Stocks			Preferred Stocks			Warrants		Total
Balance as of October 31, 2010	$	637,976	$	148,541		$	4,483,200		$	131,518		$	—	$	5,401,235
Realized gains (losses)		—		—			596,749			46,943			—		643,692
Change in net unrealized appreciation (depreciation)		51,164		(2,742	)		11,385,109			(86,158	)		35,550		11,382,923
Cost of purchases		4,973,048		—			1,306,274			—			—		6,279,322
Proceeds from sales		—		(25,531	)		(1,550,829	)		(56,900	)		—		(1,633,260	)
Accrued discount (premium)		11,330		7,021			—			—			—		18,351
Transfers to Level 3*		128,033		—			25,246,321			—			339,700		25,714,054
Transfers from Level 3*		—		—			—			—			—		—

Balance as of January 31, 2011	$	5,801,551	$	127,289		$	41,466,824		$	35,403		$	375,250	$	47,806,317

Change in net unrealized appreciation (depreciation) in investments still held as of January 31, 2011	$	51,164	$	(6,204	)	$	11,385,109		$	(30,356	)	$	35,550	$	11,435,263

Transfers are reflected at the value of the securities at the beginning of the period. Transfers from Level 2 to Level 3 were due to a reduction in the availability of significant observable inputs in determining the fair value of these investments. At January 31, 2011 the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.

For additional information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.


Senior Debt Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 116.3%⁽¹⁾


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Aerospace and Defense — 2.9%
		Booz Allen Hamilton, Inc.
	1,139	Term Loan, 6.00%, Maturing July 31, 2015	$	1,142,058
		DAE Aviation Holdings, Inc.
	5,244	Term Loan, 4.06%, Maturing July 31, 2014		5,214,723
	3,361	Term Loan, 4.06%, Maturing July 31, 2014		3,342,149
		Delos Aircraft, Inc.
	1,450	Term Loan, 7.00%, Maturing March 17, 2016		1,468,643
		Doncasters (Dunde HoldCo 4 Ltd.)
	1,303	Term Loan, 4.26%, Maturing July 13, 2015		1,235,805
GBP	579	Term Loan, 4.60%, Maturing July 13, 2015		879,841
	1,303	Term Loan, 4.76%, Maturing July 13, 2015		1,235,805
GBP	579	Term Loan, 5.10%, Maturing July 13, 2015		879,841
		DynCorp International, LLC
	2,070	Term Loan, 6.25%, Maturing July 5, 2016		2,092,063
		Evergreen International Aviation
	3,116	Term Loan, 10.50%, Maturing October 31, 2011⁽²⁾		3,102,806
		Hawker Beechcraft Acquisition
	5,355	Term Loan, 2.27%, Maturing March 26, 2014		4,790,428
	298	Term Loan, 2.30%, Maturing March 26, 2014		266,546
		IAP Worldwide Services, Inc.
	544	Term Loan, 8.25%, Maturing December 30, 2012		543,642
		International Lease Finance Co.
	4,000	Term Loan, 6.75%, Maturing March 17, 2015		4,050,716
		Spirit AeroSystems, Inc.
	2,621	Term Loan, 3.55%, Maturing September 30, 2016		2,641,356
		TransDigm, Inc.
	6,325	Term Loan, 5.00%, Maturing December 6, 2016		6,434,505
		Triumph Group, Inc.
	1,343	Term Loan, 4.50%, Maturing June 16, 2016		1,354,332
		Wesco Aircraft Hardware Corp.
	1,775	Term Loan, 2.51%, Maturing September 30, 2013		1,777,963
	860	Term Loan - Second Lien, 6.01%, Maturing March 28, 2014		854,894
		Wyle Laboratories, Inc.
	1,915	Term Loan, 7.75%, Maturing March 25, 2016		1,930,929

			$	45,239,045

Automotive — 5.2%
		Adesa, Inc.
	7,396	Term Loan, 3.01%, Maturing October 18, 2013	$	7,397,080
		Allison Transmission, Inc.
	7,274	Term Loan, 3.02%, Maturing August 7, 2014		7,269,931
		Autotrader.com, Inc.
	2,575	Term Loan, 4.75%, Maturing December 11, 2016		2,602,885
		Federal-Mogul Corp.
	9,056	Term Loan, 2.20%, Maturing December 29, 2014		8,820,057
	5,543	Term Loan, 2.20%, Maturing December 28, 2015		5,398,426
		Financiere Truck (Investissement)
EUR	649	Term Loan, 4.15%, Maturing February 15, 2012		833,166
GBP	961	Term Loan, 1.55%, Maturing February 15, 2015⁽³⁾		1,443,607
		Ford Motor Co.
	2,065	Term Loan, 3.02%, Maturing December 16, 2013		2,071,127
	6,407	Term Loan, 3.02%, Maturing December 16, 2013		6,431,018
		Goodyear Tire & Rubber Co.
	17,299	Term Loan - Second Lien, 1.96%, Maturing April 30, 2014		17,035,479


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		HHI Holdings, LLC
	963	Term Loan, 10.50%, Maturing March 30, 2015	$	979,386
		Keystone Automotive Operations, Inc.
	4,392	Term Loan, 3.76%, Maturing January 12, 2012		4,051,756
		Metaldyne, LLC
	1,995	Term Loan, 7.75%, Maturing October 28, 2016		2,044,875
		Remy International, Inc.
	2,500	Term Loan, 6.25%, Maturing December 16, 2016		2,531,250
		Tenneco Automotive, Inc.
	3,125	Term Loan, 5.27%, Maturing March 17, 2014		3,162,072
		TI Automotive, Ltd.
	998	Term Loan, 9.50%, Maturing July 1, 2016		1,022,437
		TriMas Corp.
	125	Term Loan, 6.00%, Maturing August 2, 2011		125,938
	1,556	Term Loan, 6.00%, Maturing December 15, 2015		1,567,607
		UCI International, Inc.
	1,475	Term Loan, 5.50%, Maturing July 26, 2017		1,493,207
		Viking Acquisition
	3,975	Term Loan, 6.00%, Maturing November 5, 2016		4,004,812

			$	80,286,116

Beverage and Tobacco — 0.3%
		Culligan International Co.
EUR	1,400	Term Loan - Second Lien, 5.54%, Maturing April 1, 2013	$	1,006,326
		Green Mountain Coffee Roasters
	2,425	Term Loan, 5.50%, Maturing December 16, 2016		2,438,641
		Maine Beverage Co., LLC
	810	Term Loan, 2.05%, Maturing March 31, 2013		781,908

			$	4,226,875

Building and Development — 2.4%
		401 North Wabash Venture, LLC
	5,055	Term Loan, 6.74%, Maturing July 27, 2012⁽²⁾	$	4,245,967
		Armstrong World Industries, Inc.
	3,450	Term Loan, 5.00%, Maturing May 23, 2017		3,505,631
		Beacon Sales Acquisition, Inc.
	1,796	Term Loan, 2.29%, Maturing September 30, 2013		1,765,622
		Brickman Group Holdings, Inc.
	2,600	Term Loan, 7.25%, Maturing October 14, 2016		2,658,500
		Forestar USA Real Estate Group, Inc.
	666	Revolving Loan, 0.68%, Maturing August 6, 2013⁽³⁾		639,503
	6,106	Term Loan, 6.50%, Maturing August 6, 2015		6,014,539
		Lafarge Roofing
	1,111	Term Loan, 3.25%, Maturing March 16, 2015⁽²⁾		1,009,014
EUR	372	Term Loan, 5.00%, Maturing April 16, 2015⁽²⁾		459,533
		Materis
EUR	802	Term Loan, 3.71%, Maturing April 27, 2014		1,049,365
EUR	872	Term Loan, 3.80%, Maturing April 27, 2015		1,140,425
		NCI Building Systems, Inc.
	994	Term Loan, 8.00%, Maturing April 18, 2014		982,442
		Panolam Industries Holdings, Inc.
	3,344	Term Loan, 8.25%, Maturing December 31, 2013		3,099,198
		RE/MAX International, Inc.
	4,417	Term Loan, 5.50%, Maturing April 15, 2016		4,460,791
		Realogy Corp.
	2,536	Term Loan, 3.29%, Maturing October 10, 2013		2,464,945
	181	Term Loan, 3.41%, Maturing October 10, 2013		175,631
		South Edge, LLC
	4,475	Term Loan, 0.00%, Maturing October 31, 2009⁽⁴⁾		2,338,188


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		WCI Communities, Inc.
	1,181	Term Loan, 10.06%, Maturing September 2, 2016⁽²⁾	$	1,145,429

			$	37,154,723

Business Equipment and Services — 8.4%
		Activant Solutions, Inc.
	280	Term Loan, 2.31%, Maturing May 2, 2013	$	277,194
	1,676	Term Loan, 4.81%, Maturing February 2, 2016		1,692,932
		Advantage Sales & Marketing, Inc.
	7,200	Term Loan, 5.25%, Maturing December 18, 2017		7,264,260
		Affinion Group, Inc.
	8,684	Term Loan, 5.00%, Maturing October 10, 2016		8,754,936
		Allied Barton Security Services
	1,400	Term Loan, 7.75%, Maturing February 18, 2015		1,401,268
		Dealer Computer Services, Inc.
	3,690	Term Loan, 5.25%, Maturing April 21, 2017		3,727,378
		Education Management, LLC
	6,566	Term Loan, 2.06%, Maturing June 3, 2013		6,465,157
		Fifth Third Processing Solution
	1,925	Term Loan, 5.50%, Maturing November 3, 2016		1,957,725
		First American Corp.
	2,164	Term Loan, 4.75%, Maturing April 12, 2016		2,184,414
		Infogroup, Inc.
	1,692	Term Loan, 6.25%, Maturing July 1, 2016		1,714,758
		iPayment, Inc.
	3,254	Term Loan, 2.31%, Maturing May 10, 2013		3,204,983
		Kronos, Inc.
	2,454	Term Loan, 2.05%, Maturing June 11, 2014		2,450,346
		Mitchell International, Inc.
	1,000	Term Loan - Second Lien, 5.56%, Maturing March 30, 2015		902,500
		NE Customer Service
	3,860	Term Loan, 6.00%, Maturing March 23, 2016		3,858,212
		Protection One Alarm Monitor, Inc.
	3,908	Term Loan, 6.00%, Maturing May 16, 2016		3,922,999
		Quantum Corp.
	516	Term Loan, 3.80%, Maturing July 14, 2014		512,284
		Quintiles Transnational Corp.
	4,536	Term Loan, 2.31%, Maturing March 29, 2013		4,538,872
		Sabre, Inc.
	12,761	Term Loan, 2.28%, Maturing September 30, 2014		11,955,316
		Safenet, Inc.
	2,969	Term Loan, 2.76%, Maturing April 12, 2014		2,954,385
		Serena Software, Inc.
	2,708	Term Loan, 2.30%, Maturing March 10, 2013		2,708,849
		Sitel (Client Logic)
	3,293	Term Loan, 5.80%, Maturing January 30, 2014		3,239,336
		Softlayer Tech, Inc.
	1,425	Term Loan, 7.75%, Maturing November 5, 2016		1,439,844
		Solera Holdings, LLC
	2,549	Term Loan, 2.06%, Maturing May 16, 2014		2,537,415
		SunGard Data Systems, Inc.
	594	Term Loan, 2.01%, Maturing February 28, 2014		592,848
	19,718	Term Loan, 3.91%, Maturing February 26, 2016		19,844,632
		Transaction Network Service, Inc.
	950	Term Loan, 6.00%, Maturing November 18, 2015		956,175
		TransUnion, LLC
	4,453	Term Loan, 6.75%, Maturing June 15, 2017		4,518,951
		Travelport, LLC
	2,741	Term Loan, 4.80%, Maturing August 21, 2015		2,673,902
	3,860	Term Loan, 4.96%, Maturing August 21, 2015		3,765,430


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
	7,073	Term Loan, 4.96%, Maturing August 21, 2015	$	6,899,877
EUR	1,053	Term Loan, 5.50%, Maturing August 21, 2015		1,380,324
		Valassis Communications, Inc.
	1,297	Term Loan, 2.56%, Maturing March 2, 2014		1,298,746
		West Corp.
	752	Term Loan, 2.74%, Maturing October 24, 2013		751,846
	5,246	Term Loan, 4.59%, Maturing July 15, 2016		5,309,534
	1,843	Term Loan, 4.61%, Maturing July 15, 2016		1,865,445

			$	129,523,073

Cable and Satellite Television — 8.6%
		Atlantic Broadband Finance, LLC
	3,137	Term Loan, 5.00%, Maturing November 27, 2015	$	3,166,366
		Bresnan Communications, LLC
	2,775	Term Loan, 4.50%, Maturing December 14, 2017		2,806,219
		Cequel Communications, LLC
	12,881	Term Loan, 2.26%, Maturing November 5, 2013		12,887,856
		Charter Communications Operating, LLC
	8,046	Term Loan, 2.26%, Maturing March 6, 2014		8,056,249
	3,494	Term Loan, 3.56%, Maturing September 6, 2016		3,508,362
		CSC Holdings, Inc.
	9,147	Term Loan, 2.01%, Maturing March 29, 2016		9,194,041
		Foxco Acquisition Sub, LLC
	2,264	Term Loan, 7.50%, Maturing July 14, 2015		2,267,211
		Insight Midwest Holdings, LLC
	7,206	Term Loan, 2.02%, Maturing April 7, 2014		7,193,902
		Kabel Deutschland GmbH
EUR	3,136	Term Loan, 3.12%, Maturing March 31, 2014		4,302,197
EUR	4,000	Term Loan, 4.12%, Maturing March 31, 2014		5,500,134
EUR	3,000	Term Loan, 4.87%, Maturing December 13, 2016		4,147,244
		MCC Iowa, LLC
	1,887	Term Loan, 2.01%, Maturing January 31, 2015		1,839,380
		Mediacom Broadband, LLC
	3,358	Term Loan, 4.50%, Maturing October 23, 2017		3,364,421
		Mediacom Illinois, LLC
	5,785	Term Loan, 2.01%, Maturing January 31, 2015		5,599,069
		Mediacom, LLC
	2,913	Term Loan, 4.50%, Maturing October 23, 2017		2,916,510
		Midcontinent Communications
	998	Term Loan, 6.25%, Maturing December 31, 2016		1,008,722
		ProSiebenSat.1 Media AG
EUR	1,680	Term Loan, 2.54%, Maturing July 2, 2014		2,219,287
EUR	2,900	Term Loan, 2.54%, Maturing July 2, 2014		3,831,869
EUR	967	Term Loan, 3.68%, Maturing March 6, 2015		1,211,730
EUR	6,272	Term Loan, 2.91%, Maturing June 26, 2015		8,348,212
EUR	263	Term Loan, 2.91%, Maturing July 3, 2015		350,027
EUR	967	Term Loan, 3.93%, Maturing March 4, 2016		1,211,730
		UPC Broadband Holding B.V.
	1,864	Term Loan, 3.76%, Maturing December 30, 2016		1,863,657
EUR	9,221	Term Loan, 4.54%, Maturing December 31, 2016		12,583,812
	1,593	Term Loan, 3.76%, Maturing December 29, 2017		1,596,432
EUR	3,560	Term Loan, 4.79%, Maturing December 31, 2017		4,844,695
		Virgin Media Investment Holding
GBP	2,000	Term Loan, 4.03%, Maturing June 30, 2015		3,215,715
GBP	3,500	Term Loan, 4.53%, Maturing December 31, 2015		5,640,351
		YPSO Holding SA
EUR	969	Term Loan, 4.62%, Maturing June 16, 2014⁽²⁾		1,128,224
EUR	1,580	Term Loan, 4.62%, Maturing June 16, 2014⁽²⁾		1,840,787
EUR	3,510	Term Loan, 4.62%, Maturing June 16, 2014⁽²⁾		4,088,405


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
EUR	1,000	Term Loan, 5.12%, Maturing December 31, 2015⁽²⁾	$	1,158,834

			$	132,891,650

Chemicals and Plastics — 5.9%
		Arizona Chemical, Inc.
	1,212	Term Loan, 6.75%, Maturing November 21, 2016	$	1,231,157
		Brenntag Holding GmbH and Co. KG
	3,537	Term Loan, 3.77%, Maturing January 20, 2014		3,552,237
	521	Term Loan, 3.77%, Maturing January 20, 2014		523,605
EUR	2,071	Term Loan, 4.39%, Maturing January 20, 2014		2,880,916
EUR	377	Term Loan, 5.03%, Maturing January 19, 2015		524,415
EUR	486	Term Loan, 5.08%, Maturing January 19, 2015		675,969
		British Vita UK, Ltd.
EUR	1,020	Term Loan, 6.21%, Maturing June 30, 2014⁽²⁾		1,389,369
		Celanese Holdings, LLC
	2,500	Term Loan, 1.76%, Maturing April 2, 2014		2,511,980
	1,171	Term Loan, 1.80%, Maturing April 2, 2014		1,176,520
	2,386	Term Loan, 3.30%, Maturing October 31, 2016		2,414,181
		Chemtura Corp.
	2,600	Term Loan, 5.50%, Maturing August 27, 2016		2,634,666
		Hexion Specialty Chemicals, Inc.
	1,355	Term Loan, 4.06%, Maturing May 5, 2015		1,362,398
	3,037	Term Loan, 4.06%, Maturing May 5, 2015		3,053,095
	3,860	Term Loan, 4.06%, Maturing May 5, 2015		3,852,762
EUR	727	Term Loan, 4.76%, Maturing May 5, 2015		980,791
		Huntsman International, LLC
	4,836	Term Loan, 1.80%, Maturing April 21, 2014		4,817,404
		INEOS Group
	128	Term Loan, 7.00%, Maturing December 14, 2012		132,624
EUR	2,737	Term Loan, 7.50%, Maturing December 16, 2013		3,918,625
	3,240	Term Loan, 7.50%, Maturing December 16, 2013		3,361,543
EUR	2,739	Term Loan, 8.00%, Maturing December 16, 2014		3,922,513
	3,235	Term Loan, 8.00%, Maturing December 16, 2014		3,356,146
EUR	1,000	Term Loan, 9.00%, Maturing December 16, 2015		1,430,640
		Kraton Polymers, LLC
	1,717	Term Loan, 2.31%, Maturing May 13, 2013		1,703,101
		MacDermid, Inc.
EUR	1,023	Term Loan, 3.07%, Maturing April 11, 2014		1,300,394
		Millenium Inorganic Chemicals
	3,877	Term Loan, 2.55%, Maturing May 15, 2014		3,855,259
		Momentive Performance Material
EUR	2,885	Term Loan, Maturing December 4, 2013⁽⁵⁾		3,867,708
	6,654	Term Loan, 2.56%, Maturing December 4, 2013		6,631,881
		Nalco Co.
	3,067	Term Loan, 4.50%, Maturing October 5, 2017		3,109,105
		Omnova Solutions, Inc.
	2,175	Term Loan, 5.75%, Maturing May 31, 2017		2,208,984
		Rockwood Specialties Group, Inc.
	6,463	Term Loan, 6.00%, Maturing May 15, 2014		6,488,767
		Schoeller Arca Systems Holding
EUR	289	Term Loan, 5.53%, Maturing November 16, 2015⁽⁶⁾		273,065
EUR	824	Term Loan, 5.53%, Maturing November 16, 2015⁽⁶⁾		778,558
EUR	887	Term Loan, 5.53%, Maturing November 16, 2015⁽⁶⁾		837,804
		Solutia, Inc.
	1,750	Revolving Loan, 0.99%, Maturing March 12, 2015⁽³⁾		1,627,500
	5,259	Term Loan, 4.50%, Maturing March 17, 2017		5,313,448
		Styron S.A.R.L.
	3,583	Term Loan, 7.50%, Maturing June 17, 2016		3,643,590

			$	91,342,720


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Clothing/Textiles — 0.2%
		Phillips Van Heusen Corp.
	2,234	Term Loan, 4.75%, Maturing May 6, 2016	$	2,256,352

			$	2,256,352

Conglomerates — 2.4%
		Aquilex Holdings, LLC
	884	Term Loan, 5.50%, Maturing April 1, 2016	$	889,919
		Gentek
	1,322	Term Loan, 6.75%, Maturing October 6, 2015		1,353,078
		Goodman Global Holdings, Inc.
	3,940	Term Loan, 5.75%, Maturing October 28, 2016		3,981,055
		Jarden Corp.
	4,320	Term Loan, 3.55%, Maturing January 26, 2015		4,363,883
		Johnson Diversey, Inc.
	1,673	Term Loan, 5.25%, Maturing November 24, 2015		1,695,938
		Manitowoc Company, Inc. (The)
	1,383	Term Loan, 8.00%, Maturing November 6, 2014		1,405,691
		RBS Global, Inc.
	1,054	Term Loan, 2.56%, Maturing July 19, 2013		1,041,365
	4,878	Term Loan, 2.81%, Maturing July 19, 2013		4,864,152
		RGIS Holdings, LLC
	252	Term Loan, 2.80%, Maturing April 30, 2014		245,530
	5,049	Term Loan, 2.80%, Maturing April 30, 2014		4,910,609
		Service Master Co.
	361	Term Loan, 2.76%, Maturing July 24, 2014		356,973
	6,628	Term Loan, 2.77%, Maturing July 24, 2014		6,548,438
		US Investigations Services, Inc.
	1,935	Term Loan, 3.05%, Maturing February 21, 2015		1,922,744
	1,791	Term Loan, 7.75%, Maturing February 21, 2015		1,817,865
		Vertrue, Inc.
	978	Term Loan, 3.31%, Maturing August 16, 2014		887,864

			$	36,285,104

Containers and Glass Products — 3.8%
		Berry Plastics Corp.
	6,010	Term Loan, 2.28%, Maturing April 3, 2015	$	5,903,785
		BWAY Corp.
	173	Term Loan, 5.50%, Maturing June 16, 2017		174,107
	1,842	Term Loan, 5.52%, Maturing June 16, 2017		1,857,140
		Consolidated Container Co.
	826	Term Loan, 2.50%, Maturing March 28, 2014		787,647
	1,500	Term Loan - Second Lien, 5.75%, Maturing September 28, 2014		1,310,625
		Crown Americas, Inc.
EUR	378	Term Loan, 2.51%, Maturing November 15, 2012		509,201
		Graham Packaging Holdings Co.
	6,836	Term Loan, 6.75%, Maturing April 5, 2014		6,957,839
	3,491	Term Loan, 6.00%, Maturing September 23, 2016		3,560,349
		Graphic Packaging International, Inc.
	5,149	Term Loan, 2.30%, Maturing May 16, 2014		5,165,088
	1,650	Term Loan, 3.05%, Maturing May 16, 2014		1,662,416
		Hilex Poly Co.
	1,500	Term Loan, 11.25%, Maturing November 16, 2015		1,522,500
		JSG Acquisitions
EUR	1,528	Term Loan, 4.06%, Maturing December 31, 2014		2,101,022
EUR	1,511	Term Loan, 4.21%, Maturing December 31, 2014		2,077,001
		OI European Group B.V.
EUR	3,790	Term Loan, 2.26%, Maturing June 14, 2013		5,085,298
		Pelican Products, Inc.
	1,725	Term Loan, 5.75%, Maturing November 30, 2016		1,747,641


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Reynolds Group Holdings, Inc.
	4,000	Term Loan, 6.25%, Maturing August 6, 2015	$	4,022,500
	4,086	Term Loan, 6.25%, Maturing May 5, 2016		4,120,474
	2,600	Term Loan, 6.50%, Maturing May 5, 2016		2,617,326
	2,257	Term Loan, 6.75%, Maturing May 5, 2016		2,269,985
		Smurfit-Stone Container Corp.
	5,597	Term Loan, 6.75%, Maturing July 15, 2016		5,669,170

			$	59,121,114

Cosmetics/Toiletries — 1.4%
		Alliance Boots Holdings, Ltd.
GBP	4,000	Term Loan, 3.57%, Maturing July 5, 2015	$	6,084,360
EUR	6,750	Term Loan, 3.78%, Maturing July 5, 2015		8,942,692
		Bausch & Lomb, Inc.
	603	Term Loan, 3.51%, Maturing April 24, 2015		606,243
	2,484	Term Loan, 3.54%, Maturing April 24, 2015		2,496,832
		Prestige Brands, Inc.
	3,902	Term Loan, 4.75%, Maturing March 24, 2016		3,943,933

			$	22,074,060

Drugs — 0.8%
		Graceway Pharmaceuticals, LLC
	4,363	Term Loan, 5.01%, Maturing May 3, 2012	$	2,064,039
	1,000	Term Loan - Second Lien, 0.00%, Maturing May 3, 2013⁽⁷⁾		92,500
		Pharmaceutical Holdings Corp.
	344	Term Loan, 4.51%, Maturing January 30, 2012		340,310
		Warner Chilcott Corp.
	3,772	Term Loan, 6.00%, Maturing October 30, 2014		3,785,854
	1,144	Term Loan, 6.25%, Maturing April 30, 2015		1,154,816
	1,572	Term Loan, 6.25%, Maturing April 30, 2015		1,586,288
	1,905	Term Loan, 6.25%, Maturing April 30, 2015		1,922,978
	1,245	Term Loan, 6.50%, Maturing February 22, 2016		1,261,626

			$	12,208,411

Ecological Services and Equipment — 1.1%
		Environmental Systems Products Holdings, Inc.
	146	Term Loan - Second Lien, 13.50%, Maturing September 12, 2014	$	127,978
		Kemble Water Structure, Ltd.
GBP	8,500	Term Loan - Second Lien, 5.03%, Maturing October 13, 2013		13,366,112
		Sensus Metering Systems, Inc.
	2,959	Term Loan, 7.00%, Maturing June 3, 2013		2,979,486

			$	16,473,576

Electronics/Electrical — 3.3%
		Aspect Software, Inc.
	3,647	Term Loan, 6.25%, Maturing April 19, 2016	$	3,689,992
		Bentley Systems, Inc.
	1,500	Term Loan, 6.50%, Maturing December 29, 2016		1,511,250
		Christie/Aix, Inc.
	1,594	Term Loan, 5.25%, Maturing April 29, 2016		1,593,894
		FCI International S.A.S.
	497	Term Loan, 3.68%, Maturing November 1, 2013		487,251
	516	Term Loan, 3.68%, Maturing November 1, 2013		506,118
	497	Term Loan, 3.68%, Maturing October 31, 2014		487,251
	516	Term Loan, 3.68%, Maturing October 31, 2014		506,118
		Freescale Semiconductor, Inc.
	5,901	Term Loan, 4.51%, Maturing December 1, 2016		5,923,954
		Infor Enterprise Solutions Holdings
EUR	1,920	Term Loan, 5.82%, Maturing July 28, 2015		2,536,762
	4,054	Term Loan, 6.01%, Maturing July 28, 2015		3,955,504
	7,771	Term Loan, 6.01%, Maturing July 28, 2015		7,566,766


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
	500	Term Loan - Second Lien, 5.76%, Maturing March 2, 2014	$	386,562
		Microsemi Corp.
	3,000	Term Loan, 5.00%, Maturing November 2, 2017		3,046,251
		Network Solutions, LLC
	1,609	Term Loan, 2.51%, Maturing March 7, 2014		1,550,435
		Open Solutions, Inc.
	5,367	Term Loan, 2.43%, Maturing January 23, 2014		4,698,735
		Sensata Technologies Finance Co.
	7,500	Term Loan, 2.05%, Maturing April 26, 2013		7,499,761
		Shield Finance Co. S.A.R.L.
	1,995	Term Loan, 7.75%, Maturing June 15, 2016		2,014,571
		Spansion, LLC
	1,116	Term Loan, 6.50%, Maturing January 8, 2015		1,130,726
		VeriFone, Inc.
	220	Term Loan, 3.01%, Maturing October 31, 2013		220,550
		Vertafore, Inc.
	2,164	Term Loan, 7.24%, Maturing July 29, 2016		2,176,976

			$	51,489,427

Equipment Leasing — 0.3%
		Hertz Corp.
	4,224	Term Loan, 2.01%, Maturing December 21, 2012	$	4,225,332
	785	Term Loan, 2.03%, Maturing December 21, 2012		785,356

			$	5,010,688

Farming/Agriculture — 0.3%
		CF Industries, Inc.
	1,138	Term Loan, 4.25%, Maturing April 6, 2015	$	1,146,043
		Earthbound Farm Holdings III, LLC
	1,625	Term Loan, 6.75%, Maturing December 21, 2016		1,650,391
		WM. Bolthouse Farms, Inc.
	1,641	Term Loan, 5.50%, Maturing February 11, 2016		1,654,336

			$	4,450,770

Financial Intermediaries — 4.1%
		Citco III, Ltd.
	4,871	Term Loan, 4.46%, Maturing June 30, 2014	$	4,846,957
		E.A. Viner International Co.
	90	Term Loan, 4.81%, Maturing July 31, 2013		89,113
		Fidelity National Information Services, Inc.
	5,686	Term Loan, 5.25%, Maturing July 18, 2016		5,778,735
		First Data Corp.
	951	Term Loan, 3.01%, Maturing September 24, 2014		901,553
	1,951	Term Loan, 3.01%, Maturing September 24, 2014		1,849,365
	4,808	Term Loan, 3.01%, Maturing September 24, 2014		4,557,868
		Grosvenor Capital Management
	1,353	Term Loan, 4.31%, Maturing December 5, 2016		1,336,311
		HarbourVest Partners, LLC
	2,850	Term Loan, 6.25%, Maturing December 14, 2016		2,885,625
		Interactive Data Corp.
	3,383	Term Loan, 6.75%, Maturing January 27, 2017		3,436,549
		Jupiter Asset Management Group
GBP	1,030	Term Loan, 4.35%, Maturing March 17, 2015		1,641,505
		LPL Holdings, Inc.
	2,684	Term Loan, 2.04%, Maturing June 28, 2013		2,687,744
	8,447	Term Loan, 4.25%, Maturing June 25, 2015		8,513,046
	4,892	Term Loan, 5.25%, Maturing June 28, 2017		4,974,185
		MDA Information Products, Ltd.
	2,000	Term Loan, 7.00%, Maturing December 21, 2016		2,001,250
		MSCI, Inc.
	7,612	Term Loan, 4.75%, Maturing June 1, 2016		7,702,140


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Nuveen Investments, Inc.
	5,004	Term Loan, 3.30%, Maturing November 13, 2014	$	4,903,804
	3,758	Term Loan, 5.80%, Maturing May 12, 2017		3,793,053
		Oxford Acquisition III, Ltd.
	1,234	Term Loan, 2.05%, Maturing May 12, 2014		1,225,880
		RJO Holdings Corp. (RJ O’Brien)
	23	Term Loan, 6.27%, Maturing December 10, 2015⁽⁶⁾		18,624
	720	Term Loan, 6.27%, Maturing December 10, 2015⁽⁶⁾		574,585

			$	63,717,892

Food Products — 2.5%
		American Seafoods Group, LLC
	1,614	Term Loan, 5.50%, Maturing May 7, 2015	$	1,624,220
		B&G Foods, Inc.
	187	Term Loan, 2.31%, Maturing February 26, 2013		186,255
		BL Marketing, Ltd.
GBP	1,500	Term Loan, 2.60%, Maturing December 31, 2013		2,328,691
		Dean Foods Co.
	8,883	Term Loan, 1.81%, Maturing April 2, 2014		8,670,018
		Dole Food Company, Inc.
	3,149	Term Loan, 5.04%, Maturing March 2, 2017		3,185,143
	1,268	Term Loan, 5.06%, Maturing March 2, 2017		1,282,393
		Michael Foods Holdings, Inc.
	3,140	Term Loan, 6.25%, Maturing June 29, 2016		3,194,095
		Pierre Foods, Inc.
	2,718	Term Loan, 7.00%, Maturing September 30, 2016		2,750,466
		Pinnacle Foods Finance, LLC
	3,000	Revolving Loan, 0.87%, Maturing April 2, 2013⁽³⁾		2,790,000
	10,268	Term Loan, 2.76%, Maturing April 2, 2014		10,255,934
	1,873	Term Loan, 6.00%, Maturing April 2, 2014		1,900,726

			$	38,167,941

Food Service — 5.6%
		Aramark Corp.
	441	Term Loan, 2.14%, Maturing January 27, 2014	$	442,830
	5,581	Term Loan, 2.18%, Maturing January 27, 2014		5,599,392
	795	Term Loan, 3.51%, Maturing July 26, 2016		802,177
	12,089	Term Loan, 3.55%, Maturing July 26, 2016		12,197,640
		Buffets, Inc.
	2,926	Term Loan, 12.00%, Maturing April 21, 2015⁽²⁾		2,799,639
	343	Term Loan, 7.55%, Maturing April 22, 2015⁽²⁾		263,327
		Burger King Corp.
	6,225	Term Loan, 6.25%, Maturing October 19, 2016		6,331,504
EUR	2,000	Term Loan, 6.50%, Maturing October 19, 2016		2,782,798
		CBRL Group, Inc.
	3,360	Term Loan, 1.79%, Maturing April 29, 2013		3,354,799
	2,146	Term Loan, 2.79%, Maturing April 27, 2016		2,147,996
		Darling International, Inc.
	2,500	Term Loan, 5.75%, Maturing December 16, 2016		2,535,938
		Denny’s, Inc.
	1,584	Term Loan, 6.50%, Maturing September 20, 2016		1,607,760
		DineEquity, Inc.
	3,858	Term Loan, 6.00%, Maturing October 19, 2017		3,926,752
		Dunkin Brands, Inc.
	4,625	Term Loan, 5.75%, Maturing November 23, 2017		4,709,009
		JRD Holdings, Inc.
	2,002	Term Loan, 2.51%, Maturing July 2, 2014		1,983,417
		NPC International, Inc.
	1,620	Term Loan, 2.02%, Maturing May 3, 2013		1,611,853


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		OSI Restaurant Partners, LLC
	1,249	Term Loan, 2.56%, Maturing June 14, 2013	$	1,230,106
	12,805	Term Loan, 2.63%, Maturing June 14, 2014		12,608,762
		QCE Finance, LLC
	3,847	Term Loan, 5.01%, Maturing May 5, 2013		3,641,211
		Sagittarius Restaurants, LLC
	1,212	Term Loan, 7.51%, Maturing May 18, 2015		1,215,505
		Selecta
GBP	2,500	Term Loan, 3.43%, Maturing June 28, 2015		3,428,961
		U.S. Foodservice, Inc.
	6,240	Term Loan, 2.76%, Maturing July 3, 2014		6,034,928
		Wendy’s/Arby’s Restaurants, LLC
	5,040	Term Loan, 5.00%, Maturing May 24, 2017		5,091,725

			$	86,348,029

Food/Drug Retailers — 3.1%
		General Nutrition Centers, Inc.
	9,135	Term Loan, 2.54%, Maturing September 16, 2013	$	9,106,126
		NBTY, Inc.
	4,600	Term Loan, 6.25%, Maturing October 2, 2017		4,679,065
		Pantry, Inc. (The)
	721	Term Loan, 2.01%, Maturing May 15, 2014		707,482
	2,503	Term Loan, 2.01%, Maturing May 15, 2014		2,457,092
		Rite Aid Corp.
	16,887	Term Loan, 2.02%, Maturing June 4, 2014		16,270,818
	2,419	Term Loan, 6.00%, Maturing June 4, 2014		2,436,449
		Roundy’s Supermarkets, Inc.
	10,630	Term Loan, 7.00%, Maturing November 3, 2013		10,706,667
	1,500	Term Loan - Second Lien, 10.00%, Maturing April 18, 2016		1,525,782

			$	47,889,481

Forest Products — 1.0%
		Georgia-Pacific Corp.
	1,054	Term Loan, 2.30%, Maturing December 20, 2012	$	1,057,042
	11,422	Term Loan, 2.30%, Maturing December 21, 2012		11,457,138
	3,161	Term Loan, 3.55%, Maturing December 23, 2014		3,186,791

			$	15,700,971

Health Care — 14.1%
		Alliance Healthcare Services
	3,787	Term Loan, 5.50%, Maturing June 1, 2016	$	3,821,069
		AMR HoldCo, Inc.
	981	Term Loan, 3.26%, Maturing April 8, 2015		981,250
		Ardent Medical Services, Inc.
	2,680	Term Loan, 6.50%, Maturing September 15, 2015		2,700,966
		Ascend Learning
	3,950	Term Loan, 7.75%, Maturing December 6, 2016		3,898,978
		Aveta Holdings, LLC
	1,281	Term Loan, 8.50%, Maturing April 14, 2015		1,290,508
	1,281	Term Loan, 8.50%, Maturing April 14, 2015		1,290,508
		Biomet, Inc.
	13,250	Term Loan, 3.29%, Maturing March 25, 2015		13,315,739
EUR	1,035	Term Loan, 3.85%, Maturing March 25, 2015		1,412,549
		Cardinal Health 409, Inc.
	5,862	Term Loan, 2.51%, Maturing April 10, 2014		5,718,260
		Carestream Health, Inc.
	6,105	Term Loan, 2.26%, Maturing April 30, 2013		6,068,197
		Carl Zeiss Vision Holding GmbH
	3,331	Term Loan, 1.87%, Maturing October 24, 2014		2,981,066
	370	Term Loan, 4.00%, Maturing September 30, 2019		292,370


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		CDRL MS, Inc.
	1,995	Term Loan, 6.75%, Maturing September 29, 2016	$	2,032,406
		Community Health Systems, Inc.
	801	Term Loan, 2.54%, Maturing July 25, 2014		797,873
	15,633	Term Loan, 2.54%, Maturing July 25, 2014		15,575,332
	7,140	Term Loan, 3.79%, Maturing January 25, 2017		7,199,763
		ConMed Corp.
	985	Term Loan, 1.76%, Maturing April 12, 2013		925,915
		ConvaTec, Inc.
	1,525	Term Loan, 5.75%, Maturing December 22, 2016		1,548,192
EUR	2,500	Term Loan, 5.75%, Maturing December 22, 2016		3,491,333
		Dako EQT Project Delphi
EUR	1,337	Term Loan, 2.90%, Maturing May 29, 2015		1,708,345
		DaVita, Inc.
	8,150	Term Loan, 4.50%, Maturing October 20, 2016		8,280,954
		DJO Finance, LLC
	2,176	Term Loan, 3.26%, Maturing May 20, 2014		2,162,840
		Fresenius SE
	359	Term Loan, 4.50%, Maturing September 10, 2014		362,164
	629	Term Loan, 4.50%, Maturing September 10, 2014		634,013
		Grifols SA
	4,675	Term Loan, Maturing November 23, 2016⁽⁵⁾		4,754,377
		Hanger Orthopedic Group, Inc.
	1,475	Term Loan, 5.25%, Maturing November 17, 2016		1,497,125
		Harvard Drug Group, LLC
	116	Term Loan, 6.50%, Maturing April 8, 2016		113,437
	846	Term Loan, 6.50%, Maturing April 8, 2016		825,000
		HCA, Inc.
	9,238	Term Loan, 2.55%, Maturing November 18, 2013		9,232,567
	12,561	Term Loan, 3.55%, Maturing March 31, 2017		12,712,165
		Health Management Associates, Inc.
	10,349	Term Loan, 2.05%, Maturing February 28, 2014		10,330,124
		Iasis Healthcare, LLC
	259	Term Loan, 2.26%, Maturing March 14, 2014		257,166
	947	Term Loan, 2.26%, Maturing March 14, 2014		940,262
	2,737	Term Loan, 2.26%, Maturing March 14, 2014		2,716,552
		Ikaria Acquisition, Inc.
	1,790	Term Loan, 7.00%, Maturing May 16, 2016		1,725,112
		IM U.S. Holdings, LLC
	3,788	Term Loan, 2.26%, Maturing June 26, 2014		3,781,709
	1,986	Term Loan - Second Lien, 4.51%, Maturing June 26, 2015		1,981,219
		IMS Health, Inc.
	2,995	Term Loan, 5.25%, Maturing February 26, 2016		3,038,524
		inVentiv Health, Inc.
	1,766	Term Loan, 6.50%, Maturing August 4, 2016		1,792,617
		Lifepoint Hospitals, Inc.
	2,242	Term Loan, 3.04%, Maturing April 15, 2015		2,248,722
		MedAssets, Inc.
	2,050	Term Loan, 5.25%, Maturing November 16, 2016		2,081,605
		MPT Operating Partnership, L.P.
	2,403	Term Loan, 5.00%, Maturing May 17, 2016		2,414,973
		MultiPlan, Inc.
	5,625	Term Loan, 6.50%, Maturing August 26, 2017		5,689,159
		Mylan, Inc.
	1,304	Term Loan, 3.56%, Maturing October 2, 2014		1,313,537
		National Mentor Holdings, Inc.
	190	Term Loan, 2.15%, Maturing June 29, 2013		188,496
	3,065	Term Loan, 4.25%, Maturing June 29, 2013		3,034,516
		Nyco Holdings
	944	Term Loan, 4.26%, Maturing December 29, 2014		928,723


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
EUR	2,189	Term Loan, 4.87%, Maturing December 29, 2014	$	2,953,866
EUR	2,189	Term Loan, 5.37%, Maturing December 29, 2015		2,952,307
	944	Term Loan - Second Lien, 4.76%, Maturing December 29, 2015		928,441
		Prime Healthcare Services, Inc.
	6,959	Term Loan, 7.25%, Maturing April 22, 2015		6,854,369
		RadNet Management, Inc.
	2,556	Term Loan, 5.75%, Maturing April 1, 2016		2,566,869
		ReAble Therapeutics Finance, LLC
	4,293	Term Loan, 2.26%, Maturing November 18, 2013		4,282,341
		RehabCare Group, Inc.
	1,713	Term Loan, 6.00%, Maturing November 24, 2015		1,733,323
		Renal Advantage Holdings, Inc.
	1,625	Term Loan, 5.75%, Maturing December 16, 2016		1,651,915
		Res-Care, Inc.
	1,900	Term Loan, 7.25%, Maturing December 22, 2016		1,871,500
		Select Medical Holdings Corp.
	5,554	Term Loan, 4.04%, Maturing August 22, 2014		5,588,930
		Skillsoft Corp.
	2,985	Term Loan, 6.50%, Maturing May 26, 2017		3,029,775
		Sunquest Information Systems, Inc.
	1,675	Term Loan, 6.25%, Maturing December 16, 2016		1,687,562
		Sunrise Medical Holdings, Inc.
EUR	1,050	Term Loan, 6.75%, Maturing May 13, 2014		1,329,609
		TZ Merger Sub., Inc.
	1,964	Term Loan, 6.75%, Maturing August 4, 2015		1,971,850
		Universal Health Services, Inc.
	5,025	Term Loan, 5.50%, Maturing November 15, 2016		5,119,651
		Vanguard Health Holding Co., LLC
	3,772	Term Loan, 5.00%, Maturing January 29, 2016		3,810,860
		VWR Funding, Inc.
	7,692	Term Loan, 2.76%, Maturing June 30, 2014		7,639,391

			$	218,060,836

Home Furnishings — 0.5%
		Hunter Fan Co.
	1,207	Term Loan, 2.77%, Maturing April 16, 2014	$	1,116,419
		National Bedding Co., LLC
	3,913	Term Loan, 3.81%, Maturing November 28, 2013		3,932,235
		Oreck Corp.
	237	Term Loan - Second Lien, 3.80%, Maturing March 19, 2016⁽⁶⁾		213,792
		Sanitec Europe OY
EUR	2,321	Term Loan, 2.50%, Maturing June 24, 2016		2,610,878

			$	7,873,324

Industrial Equipment — 3.0%
		Brand Energy and Infrastructure Services, Inc.
	1,000	Term Loan, 2.56%, Maturing February 7, 2014	$	986,667
	1,083	Term Loan, 3.56%, Maturing February 7, 2014		1,078,388
		Bucyrus International, Inc.
	3,077	Term Loan, 4.25%, Maturing February 19, 2016		3,094,066
		EPD Holdings (Goodyear Engineering Products)
	696	Term Loan, 2.76%, Maturing July 31, 2014		647,128
	4,858	Term Loan, 2.76%, Maturing July 31, 2014		4,518,218
	1,000	Term Loan - Second Lien, 6.01%, Maturing July 13, 2015		880,625
		Excelitas Technologies Corp.
	1,995	Term Loan, 7.25%, Maturing November 23, 2016		2,014,950
		Generac Acquisition Corp.
	1,246	Term Loan, 2.80%, Maturing November 11, 2013		1,246,062
		Gleason Corp.
	2,099	Term Loan, 2.05%, Maturing June 30, 2013		2,056,967


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Jason, Inc.
	230	Term Loan, 8.25%, Maturing September 21, 2014	$	230,676
	585	Term Loan, 8.25%, Maturing September 21, 2014		586,859
		John Maneely Co.
	5,825	Term Loan, 3.55%, Maturing December 9, 2013		5,769,819
		KION Group GmbH
	1,781	Term Loan, 4.01%, Maturing December 23, 2014⁽²⁾		1,663,703
EUR	1,531	Term Loan, 4.62%, Maturing December 23, 2014⁽²⁾		1,976,610
	1,781	Term Loan, 4.26%, Maturing December 23, 2015⁽²⁾		1,663,703
EUR	1,492	Term Loan, 4.87%, Maturing December 29, 2015⁽²⁾		1,925,336
		Pinafore, LLC
	6,662	Term Loan, 6.25%, Maturing September 29, 2016		6,774,184
		Polypore, Inc.
	8,015	Term Loan, 2.26%, Maturing July 3, 2014		7,874,547
EUR	717	Term Loan, 2.82%, Maturing July 3, 2014		952,220

			$	45,940,728

Insurance — 2.1%
		Alliant Holdings I, Inc.
	5,000	Term Loan, 0.50%, Maturing August 21, 2012⁽³⁾	$	4,650,000
	978	Term Loan, 3.30%, Maturing August 21, 2014		953,954
	2,000	Term Loan, 6.75%, Maturing August 21, 2014		2,015,000
		AmWINS Group, Inc.
	1,947	Term Loan, 2.80%, Maturing June 8, 2013		1,914,472
		Applied Systems, Inc.
	3,125	Term Loan, 5.50%, Maturing December 8, 2016		3,145,834
		CCC Information Services Group, Inc.
	3,175	Term Loan, 5.50%, Maturing November 11, 2015		3,213,697
		Conseco, Inc.
	4,725	Term Loan, 7.50%, Maturing September 30, 2016		4,784,063
		Crump Group, Inc.
	1,858	Term Loan, 3.26%, Maturing August 1, 2014		1,832,149
		HUB International Holdings, Inc.
	852	Term Loan, 2.80%, Maturing June 13, 2014		849,457
	3,792	Term Loan, 2.80%, Maturing June 13, 2014		3,779,010
	1,333	Term Loan, 6.75%, Maturing June 13, 2014		1,342,124
		U.S.I. Holdings Corp.
	4,642	Term Loan, 2.76%, Maturing May 5, 2014		4,558,111

			$	33,037,871

Leisure Goods/Activities/Movies — 5.2%
		24 Hour Fitness Worldwide, Inc.
	995	Term Loan, 6.75%, Maturing April 22, 2016	$	985,672
		Alpha D2, Ltd.
	2,063	Term Loan, Maturing December 31, 2013⁽⁵⁾		2,012,133
	3,012	Term Loan, Maturing December 31, 2013⁽⁵⁾		2,937,048
	2,400	Term Loan - Second Lien, 3.96%, Maturing June 30, 2014		2,308,500
		AMC Entertainment, Inc.
	4,935	Term Loan, 3.51%, Maturing December 16, 2016		4,973,993
		Bombardier Recreational Products
	5,651	Term Loan, 2.81%, Maturing June 28, 2013		5,629,443
		Carmike Cinemas, Inc.
	5,511	Term Loan, 5.50%, Maturing January 27, 2016		5,584,992
		Cedar Fair, L.P.
	5,170	Term Loan, 5.50%, Maturing December 15, 2016		5,250,173
		Cinemark, Inc.
	9,178	Term Loan, 3.53%, Maturing April 29, 2016		9,262,135
		ClubCorp Club Operations, Inc.
	1,425	Term Loan, 6.00%, Maturing November 9, 2016		1,446,375


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Deluxe Entertainment Services
	96	Term Loan, 6.25%, Maturing May 11, 2013	$	92,870
	1,543	Term Loan, 6.25%, Maturing May 11, 2013		1,485,916
		Fender Musical Instruments Corp.
	533	Term Loan, 2.51%, Maturing June 9, 2014		501,312
	269	Term Loan, 2.54%, Maturing June 9, 2014		253,256
		Miramax Film NY, LLC
	2,250	Term Loan, 7.75%, Maturing May 20, 2016		2,311,875
		National CineMedia, LLC
	2,700	Term Loan, 2.06%, Maturing February 13, 2015		2,683,608
		Regal Cinemas Corp.
	6,856	Term Loan, 3.80%, Maturing November 21, 2016		6,914,122
		Revolution Studios Distribution Co., LLC
	3,444	Term Loan, 4.01%, Maturing December 21, 2014		2,738,074
	2,825	Term Loan - Second Lien, 7.26%, Maturing June 21, 2015⁽⁶⁾		932,250
		Six Flags Theme Parks, Inc.
	7,376	Term Loan, 5.50%, Maturing June 30, 2016		7,491,388
		Sram, LLC
	783	Term loan, 5.00%, Maturing April 30, 2015		791,565
		SW Acquisition Co., Inc.
	4,307	Term Loan, 5.75%, Maturing June 1, 2016		4,360,331
		Universal City Development Partners, Ltd.
	7,014	Term Loan, 5.50%, Maturing November 6, 2014		7,109,209
		Zuffa, LLC
	2,949	Term Loan, 2.31%, Maturing June 19, 2015		2,904,834

			$	80,961,074

Lodging and Casinos — 3.8%
		Ameristar Casinos, Inc.
	3,444	Term Loan, 3.55%, Maturing November 10, 2012	$	3,456,664
		Choctaw Resort Development Enterprise
	872	Term Loan, 7.25%, Maturing November 4, 2011		869,709
		Full Moon Holdco 3, Ltd.
GBP	500	Term Loan, 4.56%, Maturing September 5, 2014		742,858
GBP	500	Term Loan, 4.76%, Maturing September 4, 2015		742,858
		Gala Electric Casinos, Ltd.
GBP	2,250	Term Loan, 4.89%, Maturing October 25, 2013		3,407,438
GBP	2,250	Term Loan, 5.39%, Maturing October 27, 2014		3,407,437
		Harrah’s Operating Co.
	2,000	Term Loan, 3.30%, Maturing January 28, 2015		1,864,062
	3,622	Term Loan, 3.30%, Maturing January 28, 2015		3,381,343
	6,489	Term Loan, 3.30%, Maturing January 28, 2015		6,060,072
	990	Term Loan, 9.50%, Maturing October 31, 2016		1,053,963
		Herbst Gaming, Inc.
	2,935	Term Loan, 10.00%, Maturing December 31, 2015		3,058,167
		Isle of Capri Casinos, Inc.
	1,463	Term Loan, 5.00%, Maturing November 25, 2013		1,465,657
	1,903	Term Loan, 5.00%, Maturing November 25, 2013		1,906,376
	4,758	Term Loan, 5.00%, Maturing November 25, 2013		4,765,943
		Las Vegas Sands, LLC
	1,830	Term Loan, 3.04%, Maturing November 23, 2016		1,822,475
	7,246	Term Loan, 3.04%, Maturing November 23, 2016		7,222,347
		LodgeNet Entertainment Corp.
	3,278	Term Loan, 2.31%, Maturing April 4, 2014		3,078,254
		Penn National Gaming, Inc.
	8,919	Term Loan, 2.03%, Maturing October 3, 2012		8,932,211
		Tropicana Entertainment, Inc.
	210	Term Loan, 15.00%, Maturing December 29, 2012		234,454


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		VML US Finance, LLC
	726	Term Loan, 4.80%, Maturing May 25, 2012	$	730,246
	1,256	Term Loan, 4.80%, Maturing May 27, 2013		1,264,246

			$	59,466,780

Nonferrous Metals/Minerals — 1.0%
		Euramax International, Inc.
	1,079	Term Loan, 10.00%, Maturing June 29, 2013	$	1,039,488
	1,022	Term Loan, 14.00%, Maturing June 29, 2013⁽²⁾		984,924
EUR	707	Term Loan, 10.00%, Maturing June 29, 2015		932,761
EUR	677	Term Loan, 12.00%, Maturing June 29, 2015⁽²⁾		893,077
		Fairmount Minerals, Ltd.
	2,116	Term Loan, 6.25%, Maturing August 5, 2016		2,157,982
		Noranda Aluminum Acquisition
	273	Term Loan, 2.01%, Maturing May 18, 2014		272,213
		Novelis, Inc.
	6,050	Term Loan, 5.25%, Maturing December 19, 2016		6,167,219
		Oxbow Carbon and Mineral Holdings
	3,445	Term Loan, 3.80%, Maturing May 8, 2016		3,484,172

			$	15,931,836

Oil and Gas — 2.9%
		Big West Oil, LLC
	1,650	Term Loan, 7.00%, Maturing March 31, 2016	$	1,670,625
		CGGVeritas Services, Inc.
	1,853	Term Loan, 5.50%, Maturing January 12, 2016		1,867,091
		CITGO Petroleum Corp.
	1,292	Term Loan, 8.00%, Maturing June 24, 2015		1,357,761
	5,920	Term Loan, 9.00%, Maturing June 23, 2017		6,244,017
		Crestwood Holdings, LLC
	1,100	Term Loan, 10.50%, Maturing September 30, 2016		1,126,125
		Dresser, Inc.
	5,668	Term Loan, 2.53%, Maturing May 4, 2014		5,660,639
		Dynegy Holdings, Inc.
	1,313	Term Loan, 4.01%, Maturing April 2, 2013		1,309,964
	13,306	Term Loan, 4.01%, Maturing April 2, 2013		13,272,180
		Obsidian Natural Gas Trust
	7,119	Term Loan, 7.00%, Maturing November 2, 2015		7,279,519
		SemGroup Corp.
	1,382	Term Loan, 7.57%, Maturing November 30, 2012		1,394,308
		Sheridan Production Partners I, LLC
	253	Term Loan, 7.50%, Maturing April 20, 2017		256,300
	415	Term Loan, 7.50%, Maturing April 20, 2017		419,610
	3,129	Term Loan, 7.50%, Maturing April 20, 2017		3,166,672

			$	45,024,811

Publishing — 5.0%
		Aster Zweite Beteiligungs GmbH
	2,475	Term Loan, 2.71%, Maturing September 27, 2013	$	2,422,406
		Black Press US Partnership
	558	Term Loan, 2.29%, Maturing August 2, 2013		507,579
	919	Term Loan, 2.29%, Maturing August 2, 2013		836,013
		Cengage Learning, Inc.
	3,992	Term Loan, 2.55%, Maturing July 3, 2014		3,934,076
		GateHouse Media Operating, Inc.
	2,058	Term Loan, 2.26%, Maturing August 28, 2014		987,658
	4,828	Term Loan, 2.26%, Maturing August 28, 2014		2,317,377
	4,216	Term Loan, 2.51%, Maturing August 28, 2014		2,023,735
		Getty Images, Inc.
	4,988	Term Loan, 5.25%, Maturing November 7, 2016		5,071,664


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Laureate Education, Inc.
	770	Term Loan, 3.55%, Maturing August 17, 2014	$	751,203
	5,141	Term Loan, 3.55%, Maturing August 17, 2014		5,016,143
	2,488	Term Loan, 7.00%, Maturing August 31, 2014		2,493,719
		MediaNews Group, Inc.
	815	Term Loan, 8.50%, Maturing March 19, 2014		802,663
		Merrill Communications, LLC
	5,366	Term Loan, 7.50%, Maturing December 24, 2012		5,379,448
		Nelson Education, Ltd.
	1,466	Term Loan, 2.80%, Maturing July 5, 2014		1,275,138
		Newspaper Holdings, Inc.
	7,868	Term Loan, 1.81%, Maturing July 24, 2014		6,726,790
		Nielsen Finance, LLC
	7,644	Term Loan, 2.26%, Maturing August 9, 2013		7,654,148
	4,374	Term Loan, 4.01%, Maturing May 2, 2016		4,397,400
	4,671	Term Loan, 4.01%, Maturing May 2, 2016		4,717,192
		Penton Media, Inc.
	1,747	Term Loan, 5.00%, Maturing August 1, 2014⁽²⁾		1,441,653
		Source Interlink Companies, Inc.
	905	Term Loan, 10.75%, Maturing June 18, 2013		863,808
	576	Term Loan, 15.00%, Maturing March 18, 2014⁽²⁾		420,730
		Star Tribune Co. (The)
	188	Term Loan, 8.00%, Maturing September 28, 2014		179,725
	167	Term Loan, 8.00%, Maturing September 29, 2014		159,755
		Trader Media Corp.
GBP	4,251	Term Loan, 2.60%, Maturing March 23, 2015		6,501,287
		Xsys, Inc.
EUR	1,226	Term Loan, 3.39%, Maturing September 27, 2014		1,670,344
	3,796	Term Loan, 2.71%, Maturing December 31, 2014		3,715,116
	3,877	Term Loan, 2.71%, Maturing December 31, 2014		3,794,704
	1,290	Term Loan - Second Lien, 4.70%, Maturing September 27, 2015		1,230,433

			$	77,291,907

Radio and Television — 3.6%
		Block Communications, Inc.
	1,755	Term Loan, 2.30%, Maturing December 22, 2011	$	1,715,625
		CMP Susquehanna Corp.
	3,854	Term Loan, 2.31%, Maturing May 5, 2013		3,726,305
		Cumulus Media, Inc.
	4,706	Term Loan, Maturing June 11, 2014⁽⁵⁾		4,562,350
		Gray Television, Inc.
	1,413	Term Loan, 3.77%, Maturing December 31, 2014		1,398,349
		LBI Media, Inc.
	1,905	Term Loan, 1.76%, Maturing March 31, 2012		1,828,006
		Live Nation Worldwide, Inc.
	6,332	Term Loan, 4.50%, Maturing November 7, 2016		6,369,060
		Mission Broadcasting, Inc.
	1,232	Term Loan, 5.00%, Maturing September 30, 2016		1,235,139
		NEP II, Inc.
	974	Term Loan, 2.54%, Maturing February 16, 2014		961,452
		New Young Broadcasting Holding Co., Inc.
	433	Term Loan, 8.00%, Maturing June 30, 2015		435,762
		Nexstar Broadcasting, Inc.
	1,927	Term Loan, 5.00%, Maturing September 30, 2016		1,931,884
		Raycom TV Broadcasting, LLC
	7,811	Term Loan, 1.81%, Maturing June 25, 2014		7,576,427
		Spanish Broadcasting System, Inc.
	2,488	Term Loan, 2.06%, Maturing June 11, 2012		2,431,551
		Tyrol Acquisition 2 SAS
EUR	1,000	Term Loan, Maturing January 30, 2015⁽⁵⁾		1,298,554


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
EUR	1,000	Term Loan, Maturing January 29, 2016⁽⁵⁾	$	1,298,554
		Univision Communications, Inc.
	8,003	Term Loan, 2.51%, Maturing September 29, 2014		7,893,150
	8,003	Term Loan, 4.51%, Maturing March 31, 2017		7,858,776
		Weather Channel
	3,657	Term Loan, 5.00%, Maturing September 14, 2015		3,679,418

			$	56,200,362

Rail Industries — 0.3%
		Kansas City Southern Railway Co.
	5,042	Term Loan, 2.04%, Maturing April 26, 2013	$	5,042,010

			$	5,042,010

Retailers (Except Food and Drug) — 3.2%
		Amscan Holdings, Inc.
	3,416	Term Loan, 6.75%, Maturing December 4, 2017	$	3,472,792
		Dollar General Corp.
	1,000	Term Loan, 3.03%, Maturing July 7, 2014		1,003,975
		FTD, Inc.
	1,500	Term Loan, 6.75%, Maturing August 26, 2014		1,507,500
		Harbor Freight Tools USA, Inc.
	4,150	Term Loan, 6.50%, Maturing December 22, 2017		4,210,955
		Michaels Stores, Inc.
	4,219	Term Loan, 2.56%, Maturing October 31, 2013		4,211,335
		Neiman Marcus Group, Inc.
	7,914	Term Loan, 4.30%, Maturing April 6, 2016		7,973,222
		Orbitz Worldwide, Inc.
	3,684	Term Loan, 3.28%, Maturing July 25, 2014		3,452,073
		Oriental Trading Co., Inc.
	1,000	Term Loan - Second Lien, 0.00%, Maturing January 31, 2014⁽⁷⁾		30,000
		PETCO Animal Supplies, Inc.
	2,775	Term Loan, 6.00%, Maturing November 24, 2017		2,817,274
		Pilot Travel Centers, LLC
	2,382	Term Loan, 5.25%, Maturing June 30, 2016		2,427,325
		Rent-A-Center, Inc.
	9	Term Loan, 2.06%, Maturing June 30, 2012		8,921
	2,138	Term Loan, 3.31%, Maturing March 31, 2015		2,143,818
		Savers, Inc.
	2,754	Term Loan, 5.75%, Maturing March 11, 2016		2,778,287
		Visant Corp.
	2,394	Term Loan, 7.00%, Maturing December 22, 2016		2,429,163
		Vivarte
EUR	2,641	Term Loan, 2.64%, Maturing March 9, 2015		3,344,621
EUR	2,641	Term Loan, 3.26%, Maturing March 8, 2016		3,344,621
EUR	22	Term Loan - Second Lien, 4.26%, Maturing September 8, 2016		27,820
EUR	154	Term Loan - Second Lien, 4.26%, Maturing September 8, 2016		179,772
EUR	1,582	Term Loan - Second Lien, 4.26%, Maturing September 8, 2016		1,849,083
		Yankee Candle Company, Inc. (The)
	2,873	Term Loan, 2.26%, Maturing February 6, 2014		2,861,901

			$	50,074,458

Steel — 0.1%
		Niagara Corp.
	1,500	Term Loan, Maturing June 29, 2014^(2)(5)(6)	$	1,420,800

			$	1,420,800


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Surface Transport — 0.6%
		Rural/Metro Operating Company, LLC
	1,500	Term Loan, 6.00%, Maturing November 24, 2016	$	1,519,688
		Swift Transportation Co., Inc.
	7,564	Term Loan, 6.00%, Maturing December 16, 2016		7,679,841

			$	9,199,529

Telecommunications — 4.9%
		Alaska Communications Systems Holdings, Inc.
	4,025	Term Loan, 5.50%, Maturing October 21, 2016	$	4,063,994
		Asurion Corp.
	11,913	Term Loan, 3.26%, Maturing July 3, 2014		11,631,373
	4,000	Term Loan, 6.75%, Maturing March 31, 2015		4,067,856
		BCM Luxembourg, Ltd.
EUR	1,000	Term Loan, 2.75%, Maturing September 30, 2014		1,162,067
EUR	1,000	Term Loan, 3.00%, Maturing September 30, 2015		1,162,066
		Cellular South, Inc.
	3,311	Term Loan, 2.04%, Maturing May 29, 2014		3,311,156
	1,127	Term Loan, 2.04%, Maturing May 29, 2014		1,126,594
		CommScope, Inc.
	3,700	Term Loan, 5.00%, Maturing January 14, 2018		3,783,250
		Intelsat Jackson Holdings SA
	26,350	Term Loan, 5.25%, Maturing April 2, 2018		26,735,316
		IPC Systems, Inc.
	1,260	Term Loan, 2.54%, Maturing May 31, 2014		1,228,235
GBP	206	Term Loan, 3.01%, Maturing May 31, 2014		292,026
		Macquarie UK Broadcast Ventures, Ltd.
GBP	2,508	Term Loan, 2.60%, Maturing December 1, 2014		3,575,802
		NTelos, Inc.
	1,975	Term Loan, 5.75%, Maturing August 7, 2015		1,995,750
		Syniverse Technologies, Inc.
	3,325	Term Loan, 5.25%, Maturing December 21, 2017		3,381,801
		Telesat Canada, Inc.
	601	Term Loan, 3.26%, Maturing October 31, 2014		601,715
	6,996	Term Loan, 3.26%, Maturing October 31, 2014		7,005,162
		TowerCo Finance, LLC
	941	Term Loan, 6.00%, Maturing November 24, 2014		950,200

			$	76,074,363

Utilities — 2.4%
		AEI Finance Holding, LLC
	738	Revolving Loan, 3.30%, Maturing March 30, 2012	$	730,838
	4,705	Term Loan, 3.30%, Maturing March 30, 2014		4,657,704
		BRSP, LLC
	1,450	Term Loan, 7.50%, Maturing June 4, 2014		1,482,767
		Covanta Energy Corp.
	1,954	Term Loan, 1.81%, Maturing February 10, 2014		1,941,295
	1,000	Term Loan, 3.30%, Maturing February 10, 2014		992,950
		EquiPower Resources Holdings
	1,300	Term Loan, 5.75%, Maturing January 4, 2018		1,322,750
		New Development Holdings, Inc.
	1,975	Term Loan, 7.00%, Maturing July 3, 2017		2,002,963
		NRG Energy, Inc.
	925	Term Loan, 2.04%, Maturing February 1, 2013		927,638
	2	Term Loan, 2.05%, Maturing February 1, 2013		2,189
	4,403	Term Loan, 3.55%, Maturing August 31, 2015		4,438,683
	7,204	Term Loan, 3.55%, Maturing August 31, 2015		7,250,403


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		TXU Texas Competitive Electric Holdings Co., LLC
	985	Term Loan, 3.76%, Maturing October 10, 2014	$	816,943
	2,434	Term Loan, 3.76%, Maturing October 10, 2014		2,014,514
	10,284	Term Loan, 3.79%, Maturing October 10, 2014		8,523,753

			$	37,105,390


Total Senior Floating-Rate Interests (identified cost $1,794,488,487)			$	1,800,564,097

Corporate Bonds & Notes — 3.9%


Principal
Amount*
(000’s omitted)		Security	Value
Aerospace and Defense — 0.2%
		International Lease Finance Corp., Sr. Notes
	750	6.50%, 9/1/14⁽⁸⁾	$	802,500
	750	6.75%, 9/1/16⁽⁸⁾		806,250
	750	7.125%, 9/1/18⁽⁸⁾		811,875

			$	2,420,625

Building and Development — 0.9%
		AMO Escrow Corp., Sr. Notes
	4,225	11.50%, 12/15/17⁽⁸⁾	$	4,584,125
		Grohe Holding GmbH, Variable Rate
EUR	7,500	3.873%, 1/15/14⁽⁹⁾		10,140,269

			$	14,724,394

Cable and Satellite Television — 0.5%
		NAI Entertainment Holdings, LLC, Sr. Notes
	2,500	8.25%, 12/15/17⁽⁸⁾	$	2,675,000
		Virgin Media Finance PLC, Sr. Notes
	5,000	6.50%, 1/15/18		5,325,000

			$	8,000,000

Chemicals and Plastics — 0.0%
		Wellman Holdings, Inc., Sr. Sub. Notes
	715	5.00%, 1/29/19⁽²⁾⁽⁶⁾	$	0

			$	0

Conglomerates — 0.2%
		Polymer Group, Inc., Sr. Notes
	2,500	7.75%, 2/1/19⁽⁸⁾	$	2,581,250

			$	2,581,250

Ecological Services and Equipment — 0.0%⁽¹⁰⁾
		Environmental Systems Product Holdings, Inc., Jr. Notes
	75	18.00%, 3/31/15⁽⁶⁾	$	63,602

			$	63,602

Electronics/Electrical — 0.4%
		NXP BV/NXP Funding, LLC, Variable Rate
	6,300	3.053%, 10/15/13	$	6,260,625

			$	6,260,625

Financial Intermediaries — 0.3%
		UPCB Finance II, Ltd., Sr. Notes
EUR	3,000	6.375%, 7/1/20⁽⁸⁾	$	4,084,860

			$	4,084,860


Principal
Amount*
(000’s omitted)		Security	Value
Leisure Goods/Activities/Movies — 0.3%
		MU Finance PLC, Sr. Notes
	4,000	8.375%, 2/1/17⁽⁸⁾	$	4,260,000

			$	4,260,000

Utilities — 1.1%
		Calpine Corp., Sr. Notes
	9,025	7.50%, 2/15/21⁽⁸⁾	$	9,182,937
	7,875	7.875%, 1/15/23⁽⁸⁾		8,002,969

			$	17,185,906


Total Corporate Bonds & Notes (identified cost $56,480,655)			$	59,581,262

Asset-Backed Securities — 0.1%


Principal
Amount
(000’s omitted)			Security	Value
	$	912	Assemblies of God Financial Real Estate, Series 2004-1A, Class A, 6.90%, 6/15/29^(8)(11)	$	922,250
		1,000	Carlyle High Yield Partners, Series 2004-6A, Class C, 2.736%, 8/11/16^(8)(11)		875,295


Total Asset-Backed Securities (identified cost $1,911,855)				$	1,797,545

Common Stocks — 1.6%


Shares		Security	Value
Automotive — 0.3%
	48,926	Dayco Products, LLC^(12)(13)	$	2,837,708
	44,747	Hayes Lemmerz International, Inc.^(6)(12)(13)		2,371,591

			$	5,209,299

Building and Development — 0.1%
	4,766	Lafarge Roofing^(6)(12)(13)	$	0
	4,766	Lafarge Roofing^(6)(12)(13)		0
	4,766	Lafarge Roofing^(6)(12)(13)		0
	1,646	United Subcontractors, Inc.^(6)(12)(13)		169,817
	7,595	WCI Communities, Inc.^(6)(12)(13)		645,595

			$	815,412

Chemicals and Plastics — 0.1%
	3,877	Vita Cayman II, Ltd.^(12)(13)	$	1,181,074
	662	Wellman Holdings, Inc.^(6)(12)(13)		0

			$	1,181,074

Ecological Services and Equipment — 0.0%⁽¹⁰⁾
	1,242	Environmental Systems Products Holdings, Inc.^(6)(13)(14)	$	7,874

			$	7,874

Financial Intermediaries — 0.0%⁽¹⁰⁾
	250	RTS Investor Corp.^(6)(12)(13)	$	5,868

			$	5,868

Food Service — 0.0%⁽¹⁰⁾
	66,567	Buffets, Inc.^(6)(13)	$	322,850

			$	322,850


Shares		Security	Value
Home Furnishings — 0.1%
	4,230	Oreck Corp.^(6)(12)(13)	$	329,010
	157,438	Sanitec Europe Oy B Units^(12)(13)		619,724
	154,721	Sanitec Europe Oy E Units^(6)(12)(13)		0

			$	948,734

Investment Services — 0.0%
	20,048	Safelite Realty Corp.^(6)(13)(14)	$	0

			$	0

Leisure Goods/Activities/Movies — 0.2%
	158,338	Metro-Goldwyn-Mayer Holdings, Inc.^(12)(13)	$	3,523,021

			$	3,523,021

Lodging and Casinos — 0.1%
	167,709	Herbst Gaming, Inc.^(6)(12)(13)	$	1,034,762
	40,751	Tropicana Entertainment, Inc.^(12)(13)		702,955

			$	1,737,717

Publishing — 0.6%
	13,247	Ion Media Networks, Inc.^(6)(12)(13)	$	6,159,855
	66,239	MediaNews Group, Inc.^(6)(12)(13)		1,258,539
	50,000	Reader’s Digest Association, Inc. (The)^(12)(13)		1,268,750
	2,290	Source Interlink Companies, Inc.^(6)(12)(13)		28,854
	6,089	Star Tribune Media Holdings Co.^(6)(13)		127,869
	16,600	SuperMedia, Inc.⁽¹³⁾		118,026

			$	8,961,893

Radio and Television — 0.1%
	714	New Young Broadcasting Holding Co., Inc.^(6)(12)(13)	$	1,695,750

			$	1,695,750


Total Common Stocks (identified cost $15,785,688)			$	24,409,492

Preferred Stocks — 0.0%⁽¹⁰⁾


Shares		Security	Value
Ecological Services and Equipment — 0.0%⁽¹⁰⁾
	284	Environmental Systems Products Holdings, Inc., Series A^(6)(13)(14)	$	17,671

			$	17,671


Total Preferred Stocks (identified cost $4,970)			$	17,671

Warrants — 0.0%⁽¹⁰⁾


Shares		Security	Value
Radio and Television — 0.0%⁽¹⁰⁾
	7	New Young Broadcasting Holding Co., Inc., Expires 12/24/24^(6)(12)(13)	$	16,625

			$	16,625


Total Warrants (identified cost $12,030)			$	16,625

Short-Term Investments — 3.4%


Interest/
Principal
Amount
(000’s omitted)			Description	Value
	$	50,664	Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽¹⁵⁾	$	50,663,971
		2,625	State Street Bank and Trust Euro Time Deposit, 0.01%, 2/1/11		2,624,889


Total Short-Term Investments (identified cost $53,288,860)				$	53,288,860


Total Investments — 125.3% (identified cost $1,921,972,545)				$	1,939,675,552


Less Unfunded Loan Commitments — (0.7)%				$	(11,399,229	)


Net Investments — 124.6% (identified cost $1,910,573,316)				$	1,928,276,323


Other Assets, Less Liabilities — (24.6)%				$	(380,306,506	)


Net Assets — 100.0%				$	1,547,969,817



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

EUR	-	Euro

GBP	-	British Pound Sterling

*		In U.S. dollars unless otherwise indicated.

(1)		Senior floating-rate interests (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 have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

(2)		Represents a payment-in-kind security which may pay all or a portion of interest in additional par.

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

(4)		Defaulted matured security. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

(5)		This Senior Loan will settle after January 31, 2011, at which time the interest rate will be determined.

(6)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.

(7)		Currently the issuer is in default with respect to interest payments. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

(8)		Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At January 31, 2011, the aggregate value of these securities is $39,589,311 or 2.6% of the Portfolio’s net assets.

(9)		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.

(10)		Amount is less than 0.05%.

(11)		Variable rate security. The stated interest rate represents the rate in effect at January 31, 2011.

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

(13)		Non-income producing security.

(14)		Restricted security.

(15)		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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $18,181.

A summary of open financial instruments at January 31, 2011 is as follows:

Forward Foreign Currency Exchange Contracts

Sales


				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
2/28/11	British Pound Sterling 11,679,000	United States Dollar 18,604,647	HSBC Bank USA	$	(99,786	)
2/28/11	Euro 36,000,000	United States Dollar 49,395,600	Goldman Sachs, Inc.		122,904
2/28/11	Euro 3,135,870	United States Dollar 4,296,141	State Street Bank and Trust		4,121
2/28/11	Euro 3,000,000	United States Dollar 4,036,590	State Street Bank and Trust		(69,468	)
3/31/11	British Pound Sterling 11,679,000	United States Dollar 18,601,494	Goldman Sachs, Inc.		(98,250	)
3/31/11	Euro 36,000,000	United States Dollar 49,410,000	HSBC Bank USA		155,357
4/28/11	British Pound Sterling 12,033,745	United States Dollar 19,155,555	JPMorgan Chase Bank		(107,575	)
4/29/11	Euro 37,100,159	United States Dollar 50,919,597	Deutsche Bank		179,342

				$	86,645

At January 31, 2011, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	1,911,014,366

Gross unrealized appreciation	$	54,657,564
Gross unrealized depreciation		(37,395,607	)

Net unrealized appreciation	$	17,261,957

Restricted Securities


	Date of
Description	Acquisition		Shares		Cost			Value
Common Stocks
Environmental Systems Products Holdings, Inc.		10/24/00		1,242	$	0	⁽¹⁾	$	7,874
Safelite Realty Corp.		9/29/00-11/10/00		20,048		0	⁽¹⁾		0

					$	0		$	7,874

Preferred Stocks
Environmental Systems Products Holdings, Inc., Series A		10/25/07		284	$	4,970		$	17,671

					$	4,970		$	17,671

Total Restricted Securities					$	4,970		$	25,545

(1) Less than $0.50.


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other			Significant
	Identical Assets		Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)		(Level 2)			(Level 3)		Total

Senior Floating-Rate Interests (Less Unfunded Loan Commitments)	$	—	$	1,784,115,390		$	5,049,478	$	1,789,164,868
Corporate Bonds & Notes		—		59,517,660			63,602		59,581,262
Asset-Backed Securities		—		1,797,545			—		1,797,545
Common Stocks		118,026		10,133,232			14,158,234		24,409,492
Preferred Stocks		—		—			17,671		17,671
Warrants		—		—			16,625		16,625
Short-Term Investments		—		53,288,860			—		53,288,860


Total Investments	$	118,026	$	1,908,852,687		$	19,305,610	$	1,928,276,323


Forward Foreign Currency Exchange Contracts	$	—	$	461,724		$	—	$	461,724


Total	$	118,026	$	1,909,314,411		$	19,305,610	$	1,928,738,047



Liability Description

Forward Foreign Currency Exchange Contracts	$	—	$	(375,079	)	$	—	$	(375,079	)


Total	$	—	$	(375,079	)	$	—	$	(375,079	)

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:


	Investments in
	Senior			Investments in
	Floating-Rate			Corporate			Investments in			Investments in			Investments in
	Interests			Bonds & Notes			Common Stocks			Preferred Stocks			Warrants		Total
Balance as of October 31, 2010	$	1,517,576		$	74,220		$	1,380,581		$	65,759		$	—	$	3,038,136
Realized gains (losses)		—			—			259,034			23,513			—		282,547
Change in net unrealized appreciation (depreciation)		(391,584	)		(2,411	)		2,836,770			(43,101	)		1,575		2,401,249
Cost of purchases		2,025,709			—			1,040,630			—			—		3,066,339
Proceeds from sales		—			(12,757	)		(673,177	)		(28,500	)		—		(714,434	)
Accrued discount (premium)		4,929			4,550			—			—			—		9,479
Transfers to Level 3*		1,892,848			—			9,314,396			—			15,050		11,222,294
Transfers from Level 3*		—			—			—			—			—		—

Balance as of January 31, 2011	$	5,049,478		$	63,602		$	14,158,234		$	17,671		$	16,625	$	19,305,610

Change in net unrealized appreciation (depreciation) on investments still held as of January 31, 2011	$	(391,584	)	$	(4,318	)	$	2,836,770		$	(15,151	)	$	1,575	$	2,427,292


*		Transfers are reflected at the value of the securities at the beginning of the period. Transfers from Level 2 to Level 3 were due to a reduction in the availability of significant observable inputs in determining the fair value of these investments.

At January 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.

Eaton Vance Floating-Rate & High Income Fund as of January 31, 2011 (Unaudited)

Eaton Vance Floating-Rate & High Income Fund (the Fund), a diversified series of Eaton Vance Mutual Funds Trust, pursues its investment objective by investing in two registered investment companies (each a Portfolio) managed by Eaton Vance Management or its affiliates. In doing so, the Fund invests at least 80% of its total assets in Floating Rate Portfolio. The Fund owns a pro rata interest in the net assets of each Portfolio in which it invests. At January 31, 2011, the Fund owned 9.9% of Floating Rate Portfolio’s outstanding interests and 20.5% of High Income Opportunities Portfolio’s outstanding interests. The Fund’s Schedule of Investments at January 31, 2011 is set forth below.


Investments in Affiliated Portfolios	Value		% of Net Assets

Floating Rate Portfolio (identified cost, $816,665,821)	$	800,163,656		80.8	%

High Income Opportunities Portfolio (identified cost, $183,509,531)	$	183,769,225		18.6	%


Total Investments in Affiliated Portfolios (identified cost, $1,000,175,352)	$	983,932,881		99.4	%


Other Assets, Less Liabilities	$	5,811,556		0.6	%


Net Assets	$	989,744,437		100.0	%


	•	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, 2011 and October 31, 2010, the Fund’s investments in the Portfolios were valued based on Level 1 inputs.

The Floating Rate Portfolio’s Portfolio of Investments is set forth below. A copy of High Income Opportunities Portfolio’s Form N-Q (containing a Portfolio of Investments) at January 31, 2011 is available on the EDGAR database on the Securities and Exchange Commission’s website (www.sec.gov), at the Commission’s public reference room in Washington, DC (call 1-800-732-0330 for information on the operation of the public reference room) or by calling the Fund’s principal underwriter, Eaton Vance Distributors, Inc., at 1-800-262-1122.


Government Obligations Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Mortgage Pass-Throughs — 71.5%


	Principal
	Amount
Security	(000’s omitted)			Value
Federal Home Loan Mortgage Corp.:
3.108%, with maturity at 2035⁽¹⁾	$	12,592		$	13,119,682
3.239%, with maturity at 2034⁽¹⁾		2,784			2,917,568
5.00%, with various maturities to 2018		7,513			8,041,352
5.50%, with various maturities to 2032		14,018			15,109,711
6.00%, with various maturities to 2035		14,751			16,220,345
6.50%, with various maturities to 2033		34,838			38,671,706
6.87%, with maturity at 2024		250			282,750
7.00%, with various maturities to 2035		28,819			32,245,403
7.09%, with maturity at 2023		903			1,030,746
7.25%, with maturity at 2022		1,406			1,610,730
7.31%, with maturity at 2027		333			385,095
7.50%, with various maturities to 2035		22,783			26,252,164
7.63%, with maturity at 2019		488			551,995
7.75%, with maturity at 2018		24			26,377
7.78%, with maturity at 2022		172			199,694
7.85%, with maturity at 2020		324			358,984
8.00%, with various maturities to 2028		12,110			13,771,056
8.13%, with maturity at 2019		851			976,207
8.15%, with various maturities to 2021		286			329,088
8.25%, with maturity at 2017		98			111,217
8.50%, with various maturities to 2031		7,436			8,726,258
8.75%, with maturity at 2016		12			13,100
9.00%, with various maturities to 2027		8,201			9,383,569
9.25%, with maturity at 2017		82			94,390
9.50%, with various maturities to 2026		2,409			2,829,088
9.75%, with maturity at 2018		2			2,580
10.50%, with maturity at 2020		756			896,061
11.00%, with maturity at 2015		25			28,097
15.00%, with maturity at 2011		0	⁽²⁾		50

				$	194,185,063

Federal National Mortgage Association:
2.821%, with maturity at 2026⁽¹⁾	$	1,052		$	1,093,437
2.829%, with maturity at 2022⁽¹⁾		2,192			2,261,039
2.867%, with maturity at 2022⁽¹⁾		2,355			2,421,275
2.904%, with various maturities to 2035⁽¹⁾		33,168			34,684,193
2.913%, with various maturities to 2035⁽¹⁾		6,498			6,758,799
2.923%, with maturity at 2031⁽¹⁾		3,752			3,862,773
3.121%, with maturity at 2037⁽¹⁾		6,620			6,961,562
3.193%, with maturity at 2040⁽¹⁾		2,015			2,117,601
3.261%, with maturity at 2036⁽¹⁾		2,187			2,294,602
3.66%, with maturity at 2036⁽¹⁾		2,649			2,752,378
3.69%, with maturity at 2034⁽¹⁾		8,259			8,867,392
3.855%, with maturity at 2035⁽¹⁾		10,342			11,137,445
3.923%, with maturity at 2034⁽¹⁾		8,010			8,629,166
4.00%, with maturity at 2014		369			377,594
4.025%, with maturity at 2036⁽¹⁾		753			784,826
4.106%, with maturity at 2021⁽¹⁾		2,037			2,124,669
4.447%, with maturity at 2036⁽¹⁾		32,266			34,917,844
4.50%, with various maturities to 2018		31,144			32,941,558
4.596%, with maturity at 2035⁽¹⁾		10,703			11,582,640
4.902%, with maturity at 2034⁽¹⁾		29,231			31,633,351
5.00%, with various maturities to 2027		16,792			17,958,964
5.50%, with various maturities to 2030		38,604			41,643,510


	Principal
	Amount
Security	(000’s omitted)		Value
6.00%, with various maturities to 2033	$	17,843	$	19,501,581
6.497%, with maturity at 2025⁽³⁾		353		392,489
6.50%, with various maturities to 2033		56,037		62,398,457
7.00%, with various maturities to 2036		86,626		98,036,567
7.25%, with maturity at 2023		34		36,295
7.50%, with various maturities to 2032		12,365		14,205,838
7.874%, with maturity at 2030⁽³⁾		36		41,309
7.875%, with maturity at 2021		934		1,084,824
8.00%, with various maturities to 2032		17,275		19,907,248
8.25%, with maturity at 2025		360		422,753
8.33%, with maturity at 2020		904		1,050,350
8.50%, with various maturities to 2032		9,259		10,957,500
8.518%, with maturity at 2021⁽³⁾		117		138,070
9.00%, with various maturities to 2030		1,205		1,395,731
9.50%, with various maturities to 2030		2,595		3,076,911
9.604%, with maturity at 2025⁽³⁾		40		46,445
9.75%, with maturity at 2019		23		26,427
9.833%, with maturity at 2020⁽³⁾		67		76,467
9.921%, with maturity at 2021⁽³⁾		109		126,003
9.934%, with maturity at 2021⁽³⁾		76		91,537
10.00%, with maturity at 2012		2		2,475
10.024%, with maturity at 2023⁽³⁾		89		103,426
10.102%, with maturity at 2021⁽³⁾		55		64,668
10.421%, with maturity at 2025⁽³⁾		45		51,181
11.00%, with maturity at 2020		696		792,706
11.071%, with maturity at 2025⁽³⁾		22		25,310
11.382%, with maturity at 2019⁽³⁾		91		102,083
11.50%, with maturity at 2012		1		1,221
11.754%, with maturity at 2018⁽³⁾		93		103,445
12.262%, with maturity at 2021⁽³⁾		29		31,425
12.70%, with maturity at 2015⁽³⁾		89		101,053

			$	502,198,413

Government National Mortgage Association:
2.125%, with various maturities to 2027⁽¹⁾	$	732	$	760,521
6.50%, with various maturities to 2032		4,842		5,461,190
7.00%, with various maturities to 2034		40,165		45,777,532
7.25%, with maturity at 2022		33		37,976
7.50%, with various maturities to 2025		6,274		7,161,107
8.00%, with various maturities to 2027		11,719		13,506,400
8.25%, with maturity at 2019		161		183,625
8.30%, with maturity at 2020		45		51,922
8.50%, with various maturities to 2018		1,928		2,176,952
9.00%, with various maturities to 2027		7,292		8,844,786
9.50%, with various maturities to 2026		4,791		5,778,306

			$	89,740,317


Total Mortgage Pass-Throughs (identified cost $747,908,996)			$	786,123,793

Collateralized Mortgage Obligations — 5.7%


	Principal
	Amount
Security	(000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 30, Class I, 7.50%, 4/25/24	$	285	$	308,161
Series 1822, Class Z, 6.90%, 3/15/26		1,570		1,613,179
Series 1829, Class ZB, 6.50%, 3/15/26		748		825,952
Series 1896, Class Z, 6.00%, 9/15/26		857		871,524


	Principal
	Amount
Security	(000’s omitted)		Value
Series 2075, Class PH, 6.50%, 8/15/28	$	409	$	441,926
Series 2091, Class ZC, 6.00%, 11/15/28		1,742		1,906,483
Series 2102, Class Z, 6.00%, 12/15/28		443		480,257
Series 2115, Class K, 6.00%, 1/15/29		2,645		2,782,418
Series 2142, Class Z, 6.50%, 4/15/29		908		988,600
Series 2245, Class A, 8.00%, 8/15/27		10,237		11,792,436

			$	22,010,936

Federal National Mortgage Association:
Series G-8, Class E, 9.00%, 4/25/21	$	376	$	432,912
Series G92-44, Class ZQ, 8.00%, 7/25/22		402		449,412
Series G93-36, Class ZQ, 6.50%, 12/25/23		13,797		15,330,891
Series 1993-16, Class Z, 7.50%, 2/25/23		512		585,181
Series 1993-39, Class Z, 7.50%, 4/25/23		1,289		1,470,121
Series 1993-45, Class Z, 7.00%, 4/25/23		1,678		1,883,861
Series 1993-149, Class M, 7.00%, 8/25/23		611		685,561
Series 1993-178, Class PK, 6.50%, 9/25/23		1,235		1,374,482
Series 1993-250, Class Z, 7.00%, 12/25/23		312		337,579
Series 1994-40, Class Z, 6.50%, 3/25/24		1,256		1,393,606
Series 1994-42, Class K, 6.50%, 4/25/24		5,568		6,191,016
Series 1994-82, Class Z, 8.00%, 5/25/24		2,021		2,337,729
Series 1997-81, Class PD, 6.35%, 12/18/27		775		863,265
Series 2000-49, Class A, 8.00%, 3/18/27		1,117		1,305,204
Series 2001-81, Class HE, 6.50%, 1/25/32		3,297		3,671,705
Series 2002-1, Class G, 7.00%, 7/25/23		812		911,250

			$	39,223,775

Government National Mortgage Association:
Series 1998-19, Class ZB, 6.50%, 7/20/28	$	686	$	763,795


Total Collateralized Mortgage Obligations (identified cost $58,244,959)			$	61,998,506

U.S. Government Agency Obligations — 17.2%


	Principal
	Amount
Security	(000’s omitted)		Value
Federal Farm Credit Bank:
5.75%, 12/7/28	$	5,000	$	5,609,760
5.77%, 1/5/27		5,000		5,677,375

			$	11,287,135

Federal Home Loan Bank:
4.125%, 12/13/19	$	25,000	$	25,796,550
4.125%, 3/13/20		26,460		27,373,849
4.75%, 3/10/23		4,500		4,840,574
5.365%, 9/9/24		6,445		7,167,291
5.375%, 8/15/24		14,700		16,372,213
5.625%, 6/11/21		17,000		19,347,428
5.75%, 6/12/26		2,720		3,125,802

			$	104,023,707

United States Agency for International Development - Israel:
0.00%, 2/15/18	$	10,101	$	8,118,073
0.00%, 3/15/18		8,061		6,451,694
0.00%, 5/1/18		11,420		9,079,323
0.00%, 5/1/20		2,200		1,556,262


	Principal
	Amount
Security	(000’s omitted)		Value
5.50%, 9/18/23	$	26,850	$	30,635,635
5.50%, 4/26/24		16,015		18,178,819

			$	74,019,806


Total U.S. Government Agency Obligations (identified cost $184,643,469)			$	189,330,648

U.S. Treasury Obligations — 4.8%


	Principal
	Amount
Security	(000’s omitted)		Value
U.S. Treasury Bond, 1.00%, 7/15/13	$	45,000	$	45,284,715
U.S. Treasury Bond, 7.125%, 2/15/23⁽⁴⁾		6,000		7,992,186


Total U.S. Treasury Obligations (identified cost $51,303,487)			$	53,276,901

Short-Term Investments — 0.5%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽⁵⁾	$	5,189	$	5,189,353


Total Short-Term Investments (identified cost $5,189,353)			$	5,189,353


Total Investments — 99.7% (identified cost $1,047,290,264)			$	1,095,919,201


Other Assets, Less Liabilities — 0.3%			$	2,950,862


Net Assets — 100.0%			$	1,098,870,063


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

(1)				Adjustable rate mortgage.

(2)				Principal amount is less than $1,000.

(3)				Weighted average fixed-rate coupon that changes/updates monthly.

(4)				Security (or a portion thereof) has been pledged to cover margin requirements on open financial futures contracts.

(5)				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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $8,305.

A summary of open financial instruments at January 31, 2011 is as follows:

Futures Contracts


Expiration			Aggregate						Net Unrealized
Date	Contracts	Position	Cost			Value			Appreciation
3/11	400 U.S. 2-Year Treasury Note	Short	$	(87,788,036	)	$	(87,675,000	)	$	113,036
3/11	500 U.S. 5-Year Treasury Note	Short		(60,007,813	)		(59,207,032	)		800,781
3/11	300 U.S. 10-Year Treasury Note	Short		(37,373,438	)		(36,239,063	)		1,134,375
3/11	120 U.S. 30-Year Treasury Bond	Short		(15,247,500	)		(14,475,000	)		772,500
3/11	40 U.S. Ultra Long Treasury Bond	Short		(5,225,000	)		(4,926,250	)		298,750

									$	3,119,442

At January 31, 2011, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

The Portfolio is subject to interest rate risk in the normal course of pursuing its investment objectives. Because the Portfolio holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. The Portfolio purchases and sells U.S. Treasury futures contracts to hedge against changes in interest rates.

At January 31, 2011, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and whose primary underlying risk exposure is interest rate risk was $3,119,442.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	1,057,682,571

Gross unrealized appreciation	$	39,471,757
Gross unrealized depreciation		(1,235,127	)

Net unrealized appreciation	$	38,236,630


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs

Asset Description	(Level 1)		(Level 2)		(Level 3)		Total

Mortgage Pass-Throughs	$	—	$	786,123,793	$	—	$	786,123,793
Collateralized Mortgage Obligations		—		61,998,506		—		61,998,506
U.S. Government Agency Obligations		—		189,330,648		—		189,330,648
U.S. Treasury Obligations		—		53,276,901		—		53,276,901
Short-Term Investments		—		5,189,353		—		5,189,353


Total Investments	$	—	$	1,095,919,201	$	—	$	1,095,919,201


Futures Contracts		3,119,442		—		—		3,119,442


Total	$	3,119,442	$	1,095,919,201	$	—	$	1,099,038,643


High Income Opportunities Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 6.3%⁽¹⁾


	Principal
	Amount
Borrower/Tranche Description	(000’s omitted)		Value
Aerospace — 0.3%
Hawker Beechcraft Acquisition, Term Loan, 2.27%, Maturing 3/26/14	$	2,550	$	2,281,300
Hawker Beechcraft Acquisition, Term Loan, 2.30%, Maturing 3/26/14		153		136,742

			$	2,418,042

Automotive — 0.5%
Pinafore, LLC, Term Loan, 6.25%, Maturing 9/29/16	$	4,538	$	4,615,032

			$	4,615,032

Automotive & Auto Parts — 0.3%
EPD Holdings, (Goodyear Engineering Products), Term Loan - Second Lien, 6.01%, Maturing 7/13/15	$	2,560	$	2,254,400

			$	2,254,400

Broadcasting — 0.9%
HIT Entertainment, Inc., Term Loan - Second Lien, 5.79%, Maturing 2/26/13	$	9,180	$	8,307,900

			$	8,307,900

Building Materials — 0.7%
Goodman Global Holdings, Inc., Term Loan, 5.75%, Maturing 10/28/16	$	1,426	$	1,441,243
Goodman Global Holdings, Inc., Term Loan - Second Lien, 9.00%, Maturing 10/30/17		1,530		1,585,837
Panolam Industries Holdings, Inc., Term Loan, 8.25%, Maturing 12/31/13		1,719		1,593,628
Panolam Industries Holdings, Inc., Term Loan - Second Lien, 12.00%, Maturing 6/30/14		1,423		1,301,257

			$	5,921,965

Capital Goods — 0.2%
Dresser, Inc., Term Loan - Second Lien, 6.03%, Maturing 5/4/15	$	1,080	$	1,080,338
Reynolds Group Holdings, Inc., Term Loan, 6.75%, Maturing 5/5/16		874		879,475

			$	1,959,813

Consumer Products — 0.7%
Amscan Holdings, Inc., Term Loan, 6.75%, Maturing 12/4/17	$	3,890	$	3,954,420
Gymboree Corp., Term Loan, 5.50%, Maturing 11/23/17		2,200		2,231,282

			$	6,185,702

Electronics/Electrical — 0.3%
Spectrum Brands, Inc., Term Loan, Maturing 6/6/16⁽²⁾	$	2,600	$	2,600,000

			$	2,600,000

Food Service — 0.6%
Burger King Corp., Term Loan, 6.25%, Maturing 10/19/16	$	3,530	$	3,590,395
DineEquity, Inc., Term Loan, 6.00%, Maturing 10/19/17		808		821,878
Dunkin Brands, Inc., Term Loan, 5.75%, Maturing 11/23/17		940		957,074

			$	5,369,347

Gaming — 0.3%
Cannery Casino Resorts, LLC, Term Loan - Second Lien, 4.51%, Maturing 5/16/14	$	1,580	$	1,437,800
Great Lakes Entertainment, Term Loan, 9.00%, Maturing 8/15/12		1,543		1,488,729

			$	2,926,529

Metals/Mining — 0.2%
Novelis, Inc., Term Loan, 5.25%, Maturing 12/19/16	$	1,800	$	1,834,875

			$	1,834,875


	Principal
	Amount
Borrower/Tranche Description	(000’s omitted)		Value
Super Retail — 0.6%
General Nutrition Centers, Inc., Term Loan, 2.54%, Maturing 9/16/13	$	2,320	$	2,312,750
PETCO Animal Supplies, Inc., Term Loan, 6.00%, Maturing 11/24/17		3,210		3,258,901

			$	5,571,651

Transportation Ex Air/Rail — 0.2%
CEVA Group PLC, Term Loan, 5.26%, Maturing 11/4/13	$	1,693	$	1,617,084
CEVA Group PLC, Term Loan, 5.30%, Maturing 11/4/13		590		563,364

			$	2,180,448

Utilities — 0.5%
TXU Texas Competitive Electric Holdings Co., LLC, Term Loan, 3.79%, Maturing 10/10/14	$	5,451	$	4,517,726

			$	4,517,726


Total Senior Floating-Rate Interests (identified cost $57,058,017)			$	56,663,430

Corporate Bonds & Notes — 83.6%


	Principal
	Amount
Security	(000’s omitted)		Value
Aerospace — 0.1%
Alliant Techsystems, Inc., 6.875%, 9/15/20	$	690	$	715,875

			$	715,875

Aerospace and Defense — 0.7%
BE Aerospace, Inc., 6.875%, 10/1/20	$	1,335	$	1,391,738
TransDigm, Inc., Sr. Sub. Notes, 7.75%, 12/15/18⁽³⁾		4,605		4,961,887

			$	6,353,625

Air Transportation — 0.1%
Continental Airlines, 7.033%, 6/15/11	$	648	$	649,680
United Air Lines, Inc., Sr. Notes, 9.875%, 8/1/13⁽³⁾		252		275,940

			$	925,620

Automotive — 0.7%
Pinafore, LLC/Pinafore, Inc., Sr. Notes, 9.00%, 10/1/18⁽³⁾	$	5,625	$	6,236,719

			$	6,236,719

Automotive & Auto Parts — 3.7%
Accuride Corp., 9.50%, 8/1/18⁽³⁾	$	1,340	$	1,494,100
Affinia Group, Inc., Sr. Notes, 10.75%, 8/15/16⁽³⁾		1,274		1,426,880
Allison Transmission, Inc., (PIK), 11.25%, 11/1/15⁽³⁾		5,436		5,992,749
American Axle & Manufacturing Holdings, Inc., Sr. Notes, 9.25%, 1/15/17⁽³⁾		3,840		4,377,600
Commercial Vehicle Group, Inc., Sr. Notes, 8.00%, 7/1/13		1,660		1,635,100
Ford Motor Credit Co., Sr. Notes, 8.00%, 12/15/16		4,120		4,678,738
Ford Motor Credit Co., Sr. Notes, 8.125%, 1/15/20		1,380		1,618,888
Ford Motor Credit Co., Sr. Notes, 12.00%, 5/15/15		1,305		1,656,062
Goodyear Tire & Rubber Co. (The), Sr. Notes, 10.50%, 5/15/16		1,360		1,550,400
Lear Corp., 7.875%, 3/15/18		545		594,050
Lear Corp., 8.125%, 3/15/20		405		448,538
Navistar International Corp., 8.25%, 11/1/21		3,080		3,411,100
Tower Automotive Holdings USA, LLC/TA Holding Finance, Inc., Sr. Notes, 10.625%, 9/1/17⁽³⁾		2,825		3,072,187
Uncle Acquisition 2010 Corp., Sr. Notes, 8.625%, 2/15/19⁽³⁾		1,410		1,476,975

			$	33,433,367

Banks and Thrifts — 1.5%
Ally Financial, Inc., 8.00%, 11/1/31	$	3,955	$	4,488,925
Ally Financial, Inc., 8.30%, 2/12/15		5,560		6,296,700


	Principal
	Amount
Security	(000’s omitted)		Value
General Motors Acceptance Corp., 8.00%, 12/31/18	$	2,280	$	2,496,600

			$	13,282,225

Broadcasting — 2.3%
Citadel Broadcasting Corp., 7.75%, 12/15/18⁽³⁾	$	1,550	$	1,658,500
Clear Channel Communications, Inc., Sr. Notes, 4.40%, 5/15/11		1,800		1,804,500
Clear Channel Communications, Inc., Sr. Notes, 5.00%, 3/15/12		455		448,175
Clear Channel Communications, Inc., Sr. Notes, 6.25%, 3/15/11		8,945		8,967,362
Rainbow National Services, LLC, Sr. Sub. Notes, 10.375%, 9/1/14⁽³⁾		1,675		1,742,000
Sirius XM Radio, Inc., Sr. Notes, 9.75%, 9/1/15⁽³⁾		1,305		1,477,913
XM Satellite Radio Holdings, Inc., 13.00%, 8/1/14⁽³⁾		3,575		4,272,125

			$	20,370,575

Building Materials — 0.6%
Associated Materials, LLC, Sr. Notes, 9.125%, 11/1/17⁽³⁾	$	2,620	$	2,823,050
Interface, Inc., Sr. Notes, 7.625%, 12/1/18⁽³⁾		1,265		1,331,412
Ply Gem Industries, Inc., Sr. Notes, 11.75%, 6/15/13		790		848,263

			$	5,002,725

Cable/Satellite TV — 0.6%
Bresnan Broadband Holdings, LLC, 8.00%, 12/15/18⁽³⁾	$	415	$	435,750
Cablevision Systems Corp., Sr. Notes, 7.75%, 4/15/18		790		843,325
Cablevision Systems Corp., Sr. Notes, 8.625%, 9/15/17		685		768,912
CCO Holdings, LLC/CCO Capital Corp., 7.875%, 4/30/18		565		597,488
CCO Holdings, LLC/CCO Capital Corp., 8.125%, 4/30/20		525		561,750
Mediacom Broadband Corp., Sr. Notes, 8.50%, 10/15/15		2,410		2,482,300

			$	5,689,525

Capital Goods — 1.7%
American Railcar Industry, Sr. Notes, 7.50%, 3/1/14	$	1,620	$	1,648,350
Amsted Industries, Inc., Sr. Notes, 8.125%, 3/15/18⁽³⁾		2,890		3,077,850
Chart Industries, Inc., Sr. Sub. Notes, 9.125%, 10/15/15		2,370		2,447,025
Manitowoc Co., Inc. (The), 8.50%, 11/1/20		2,295		2,484,337
Manitowoc Co., Inc. (The), 9.50%, 2/15/18		740		823,250
RBS Global & Rexnord Corp., 11.75%, 8/1/16		1,870		2,031,288
Terex Corp., Sr. Notes, 10.875%, 6/1/16		2,555		2,976,575

			$	15,488,675

Chemicals — 3.5%
Celanese US Holdings, LLC, 6.625%, 10/15/18⁽³⁾	$	805	$	841,225
CF Industries, Inc., Sr. Notes, 6.875%, 5/1/18		2,740		3,014,000
CF Industries, Inc., Sr. Notes, 7.125%, 5/1/20		2,040		2,272,050
Chemtura Corp., 7.875%, 9/1/18⁽³⁾		1,855		1,984,850
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Sr. Notes, 9.00%, 11/15/20⁽³⁾		935		1,000,450
INEOS Finance PLC, Sr. Notes, 9.00%, 5/15/15⁽³⁾		2,475		2,722,500
INEOS Group Holdings PLC, Sr. Sub. Notes, 8.50%, 2/15/16⁽³⁾		4,115		4,217,875
Koppers, Inc., 7.875%, 12/1/19		315		341,775
LBI Escrow Corp., Sr. Notes, 8.00%, 11/1/17⁽³⁾		3,667		4,102,456
Lyondell Chemical Co., Sr. Notes, 11.00%, 5/1/18		1,590		1,820,550
Momentive Performance Materials, Inc., 9.00%, 1/15/21⁽³⁾		260		277,550
Nova Chemicals Corp., Sr. Notes, 8.375%, 11/1/16		1,610		1,762,950
Polymer Group, Inc., Sr. Notes, 7.75%, 2/1/19⁽³⁾		1,870		1,930,775
PolyOne Corp., Sr. Notes, 7.375%, 9/15/20		535		564,425
Polypore International, Inc., 7.50%, 11/15/17⁽³⁾		660		686,400
Reichhold Industries, Inc., Sr. Notes, 9.00%, 8/15/14⁽³⁾		1,360		1,207,000
Solutia, Inc., 8.75%, 11/1/17		1,420		1,574,425
Vertellus Specialties, Inc., Sr. Notes, 9.375%, 10/1/15⁽³⁾		1,085		1,170,444

			$	31,491,700

Consumer Products — 2.0%
ACCO Brands Corp., Sr. Notes, 10.625%, 3/15/15	$	1,920	$	2,179,200
Amscan Holdings, Inc., Sr. Sub. Notes, 8.75%, 5/1/14		7,760		7,876,400


	Principal
	Amount
Security	(000’s omitted)		Value
Revlon Consumer Products Corp., 9.75%, 11/15/15	$	3,560	$	3,800,300
Scotts Miracle-Gro Co. (The), 7.25%, 1/15/18		550		581,625
Spectrum Brands Holdings, Inc., (PIK), 12.00%, 8/28/19		3,060		3,442,500

			$	17,880,025

Containers — 2.5%
Ardagh Packaging Finance PLC, 9.125%, 10/15/20⁽³⁾	$	1,100	$	1,196,250
Ardagh Packaging Finance PLC, Sr. Notes, 7.375%, 10/15/17⁽³⁾		785		827,194
BWAY Holding Co., 10.00%, 6/15/18⁽³⁾		550		602,250
Intertape Polymer US, Inc., Sr. Sub. Notes, 8.50%, 8/1/14		3,855		3,257,475
Reynolds Group Holdings, Inc., Sr. Notes, 6.875%, 2/15/21⁽³⁾		3,905		3,949,540
Reynolds Group Holdings, Inc., Sr. Notes, 7.125%, 4/15/19⁽³⁾		1,350		1,400,625
Reynolds Group Holdings, Inc., Sr. Notes, 8.25%, 2/15/21⁽³⁾		3,175		3,212,208
Reynolds Group Holdings, Inc., Sr. Notes, 8.50%, 5/15/18⁽³⁾		2,705		2,833,488
Reynolds Group Holdings, Inc., Sr. Notes, 9.00%, 4/15/19⁽³⁾		4,585		4,837,175

			$	22,116,205

Diversified Financial Services — 1.3%
AWAS Aviation Capital, Ltd., Sr. Notes, 7.00%, 10/15/16⁽³⁾	$	2,440	$	2,464,400
CIT Group, Inc., Sr. Notes, 7.00%, 5/1/14		1,450		1,480,813
CIT Group, Inc., Sr. Notes, 7.00%, 5/1/17		3,470		3,509,037
E*Trade Financial Corp., Sr. Notes, 7.375%, 9/15/13		1,755		1,757,194
TransUnion LLC/TransUnion Financing Corp., 11.375%, 6/15/18⁽³⁾		2,040		2,376,600

			$	11,588,044

Diversified Media — 4.0%
Catalina Marketing Corp., 11.625%, 10/1/17⁽³⁾	$	3,090	$	3,495,562
Catalina Marketing Corp., (PIK), 10.50%, 10/1/15⁽³⁾		14,135		15,424,819
Checkout Holding Corp., Sr. Notes, 0.00%, 11/15/15⁽³⁾		3,860		2,470,400
Clear Channel Worldwide Holdings, Inc., Series B, 9.25%, 12/15/17		1,515		1,685,438
inVentiv Health, Inc., Sr. Notes, 10.00%, 8/15/18⁽³⁾		935		949,025
LBI Media, Inc., Sr. Disc. Notes, 11.00%, 10/15/13		1,550		1,480,250
MDC Partners, Inc., 11.00%, 11/1/16⁽³⁾		1,435		1,571,325
MDC Partners, Inc., 11.00%, 11/1/16		2,200		2,431,000
Nielsen Finance, LLC, 11.50%, 5/1/16		1,216		1,424,240
Nielsen Finance, LLC, (0.00% until 8/1/11), 12.50%, 8/1/16		1,520		1,605,500
Nielsen Finance, LLC, Sr. Notes, 11.625%, 2/1/14		143		167,489
WMG Acquisition Corp., Sr. Notes, 9.50%, 6/15/16		2,990		3,210,512

			$	35,915,560

Energy — 8.5%
Anadarko Petroleum Corp., Sr. Notes, 6.375%, 9/15/17	$	3,315	$	3,666,652
ATP Oil & Gas Corp., Sr. Notes, 11.875%, 5/1/15		6,360		6,296,400
Berry Petroleum Co., Sr. Notes, 10.25%, 6/1/14		1,905		2,205,037
Bill Barrett Corp., 9.875%, 7/15/16		385		432,163
Calfrac Holdings, LP, Sr. Notes, 7.50%, 12/1/20⁽³⁾		825		849,750
Carrizo Oil & Gas, Inc., 8.625%, 10/15/18⁽³⁾		4,275		4,510,125
CHC Helicopter SA, Sr. Notes, 9.25%, 10/15/20⁽³⁾		6,695		7,163,650
Coffeyville Resources, LLC/Coffeyville Finance, Inc., Sr. Notes, 9.00%, 4/1/15⁽³⁾		2,286		2,503,170
Compton Petroleum Finance Corp., 10.00%, 9/15/17		1,025		856,192
Concho Resources, Inc., Sr. Notes, 7.00%, 1/15/21		1,585		1,656,325
Continental Resources, Inc., 7.125%, 4/1/21⁽³⁾		670		710,200
Continental Resources, Inc., 7.375%, 10/1/20		280		299,600
Denbury Resources, Inc., 8.25%, 2/15/20		1,639		1,813,144
Denbury Resources, Inc., Sr. Sub. Notes, 9.75%, 3/1/16		3,050		3,461,750
El Paso Corp., Sr. Notes, 9.625%, 5/15/12		1,488		1,587,971
El Paso Tennessee Pipeline Co., Sr. Notes, 7.25%, 12/15/25		3,520		3,411,210
EXCO Resources, Inc., 7.50%, 9/15/18		1,660		1,668,300
Expro Finance Luxembourg SCA, 8.50%, 12/15/16⁽³⁾		1,520		1,504,800
Forbes Energy Services, Sr. Notes, 11.00%, 2/15/15		3,780		3,817,800
Frac Tech Services LLC/Frac Tech Finance, Inc., 7.125%, 11/15/18⁽³⁾		1,320		1,354,650


	Principal
	Amount
Security	(000’s omitted)		Value
Frontier Oil Corp., 6.875%, 11/15/18	$	530	$	548,550
Harvest Operations Corp., 6.875%, 10/1/17⁽³⁾		800		829,000
Holly Corp., 9.875%, 6/15/17		1,710		1,893,825
Oasis Petroleum, Inc., Sr. Notes, 7.25%, 2/1/19⁽³⁾		640		652,700
OPTI Canada, Inc., Sr. Notes, 8.25%, 12/15/14		2,060		1,246,300
Petroleum Development Corp., Sr. Notes, 12.00%, 2/15/18		1,570		1,778,025
Petroplus Finance, Ltd., 6.75%, 5/1/14⁽³⁾		200		193,750
Petroplus Finance, Ltd., 7.00%, 5/1/17⁽³⁾		1,480		1,369,000
Petroplus Finance, Ltd., Sr. Notes, 9.375%, 9/15/19⁽³⁾		2,535		2,484,300
Precision Drilling Corp., 6.625%, 11/15/20⁽³⁾		1,890		1,958,513
Quicksilver Resources, Inc., Sr. Notes, 11.75%, 1/1/16		2,720		3,196,000
Range Resources Corp., 6.75%, 8/1/20		1,580		1,666,900
Rosetta Resources, Inc., 9.50%, 4/15/18		1,015		1,125,381
SandRidge Energy, Inc., 8.75%, 1/15/20		595		636,650
SandRidge Energy, Inc., Sr. Notes, (PIK), 8.625%, 4/1/15		5,085		5,262,975
SESI, LLC, Sr. Notes, 6.875%, 6/1/14		700		710,500
SM Energy Co., 6.625%, 2/15/19⁽³⁾		670		670,000

			$	75,991,258

Entertainment/Film — 0.7%
Live Nation Entertainment, Inc., Sr. Notes, 8.125%, 5/15/18⁽³⁾	$	590	$	612,125
NAI Entertainment Holdings, LLC, Sr. Notes, 8.25%, 12/15/17⁽³⁾		825		882,750
Regal Entertainment Group, 9.125%, 8/15/18		930		996,262
Ticketmaster Entertainment, Inc., 10.75%, 8/1/16		3,250		3,583,125

			$	6,074,262

Environmental — 0.1%
Casella Waste Systems, Inc., 7.75%, 2/15/19⁽³⁾	$	405	$	416,137
Casella Waste Systems, Inc., Sr. Notes, 11.00%, 7/15/14		650		732,875

			$	1,149,012

Food/Beverage/Tobacco — 2.3%
ASG Consolidated, LLC/ASG Finance, Inc., Sr. Notes, 15.00%, 5/15/17⁽³⁾	$	1,736	$	1,744,797
ASG Consolidated, LLC/ASG Finance, Inc., Sr. Sub. Notes, 10.75%, 5/15/16⁽³⁾		3,140		3,375,500
Bumble Bee Acquisition Corp., Sr. Notes, 9.00%, 12/15/17⁽³⁾		2,380		2,549,575
Dole Foods Co., Sr. Notes, 13.875%, 3/15/14		1,680		2,068,500
Michael Foods, Inc., Sr. Notes, 9.75%, 7/15/18⁽³⁾		2,695		2,964,500
Smithfield Foods, Inc., Sr. Notes, 10.00%, 7/15/14		2,140		2,527,875
U.S. Foodservice, Inc., Sr. Notes, 10.75%, 6/30/15⁽³⁾		4,770		4,960,800

			$	20,191,547

Gaming — 6.4%
Buffalo Thunder Development Authority, 9.375%, 12/15/14⁽³⁾⁽⁴⁾	$	5,755	$	1,870,375
CCM Merger, Inc., 8.00%, 8/1/13⁽³⁾		1,480		1,480,000
Chukchansi EDA, Sr. Notes, Variable Rate, 3.943%, 11/15/12⁽³⁾		595		390,469
Eldorado Casino Shreveport, (PIK), 10.00%, 8/1/12⁽⁵⁾		705		676,330
Fontainebleau Las Vegas Casino, LLC, 11.00%, 6/15/15⁽³⁾⁽⁴⁾		9,480		35,550
Harrah’s Operating Co., Inc., 5.375%, 12/15/13		1,095		1,030,669
Harrah’s Operating Co., Inc., 5.625%, 6/1/15		7,765		6,289,650
Harrah’s Operating Co., Inc., Sr. Notes, 10.00%, 12/15/15		805		806,006
Harrah’s Operating Co., Inc., Sr. Notes, 10.00%, 12/15/18		670		611,375
Harrah’s Operating Co., Inc., Sr. Notes, 11.25%, 6/1/17		3,760		4,286,400
Harrah’s Operating Co., Inc., Sr. Notes, 12.75%, 4/15/18⁽³⁾		2,760		2,870,400
Inn of the Mountain Gods Resort & Casino, Sr. Notes, 12.00%, 11/15/10⁽⁶⁾		3,615		2,042,475
Majestic HoldCo, LLC, 12.50%, 10/15/11⁽³⁾⁽⁴⁾		1,620		178
Mandalay Resort Group, 6.375%, 12/15/11		2,850		2,899,875
MCE Finance, Ltd., Sr. Notes, 10.25%, 5/15/18		2,100		2,425,500
MGM Resorts International, 6.75%, 9/1/12		1,205		1,226,088
MGM Resorts International, Sr. Notes, 9.00%, 3/15/20⁽³⁾		680		754,800
MGM Resorts International, Sr. Notes, 10.375%, 5/15/14		1,305		1,484,437
MGM Resorts International, Sr. Notes, 11.125%, 11/15/17		1,350		1,566,000


	Principal
	Amount
Security	(000’s omitted)		Value
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 6.875%, 2/15/15	$	2,930	$	2,094,950
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 7.125%, 8/15/14		2,760		1,987,200
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 8.00%, 4/1/12		2,765		2,357,162
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 8.375%, 7/1/11		1,000		950,641
Mohegan Tribal Gaming Authority, Sr. Sub. Notes, 11.50%, 11/1/17⁽³⁾		1,620		1,567,350
Peninsula Gaming, LLC, 8.375%, 8/15/15		390		415,350
Peninsula Gaming, LLC, 10.75%, 8/15/17⁽³⁾		945		1,040,091
Peninsula Gaming, LLC, 10.75%, 8/15/17		1,935		2,143,012
San Pasqual Casino, 8.00%, 9/15/13⁽³⁾		1,335		1,343,344
Seminole Hard Rock Entertainment, Variable Rate, 2.802%, 3/15/14⁽³⁾		990		940,500
Tunica-Biloxi Gaming Authority, Sr. Notes, 9.00%, 11/15/15⁽³⁾		3,605		3,586,975
Waterford Gaming, LLC, Sr. Notes, 8.625%, 9/15/14⁽³⁾⁽⁵⁾		4,371		2,818,858
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp., 7.75%, 8/15/20		2,680		2,854,200

			$	56,846,210

Health Care — 6.1%
Accellent, Inc., Sr. Notes, 8.375%, 2/1/17	$	2,840	$	2,989,100
Alere, Inc., Sr. Notes, 7.875%, 2/1/16		1,375		1,424,844
American Renal Holdings, Sr. Notes, 8.375%, 5/15/18⁽³⁾		550		568,563
AMGH Merger Sub, Inc., 9.25%, 11/1/18⁽³⁾		1,530		1,635,188
Biomet, Inc., 11.625%, 10/15/17		6,755		7,666,925
Biomet, Inc., (PIK), 10.375%, 10/15/17		1,435		1,614,375
ConvaTec Healthcare E SA, Sr. Notes, 10.50%, 12/15/18⁽³⁾		3,835		4,098,656
DJO Finance, LLC/DJO Finance Corp., 10.875%, 11/15/14		3,785		4,172,962
Endo Pharmaceuticals Holdings, Inc., 7.00%, 12/15/20⁽³⁾		530		551,200
HCA, Inc., (PIK), 9.625%, 11/15/16		515		556,844
HCA, Inc., Sr. Notes, 7.75%, 5/15/21⁽³⁾		3,295		3,451,512
HCA, Inc., Sr. Notes, 9.875%, 2/15/17		2,195		2,441,937
Multiplan, Inc., 9.875%, 9/1/18⁽³⁾		2,800		3,027,500
National Mentor Holdings, Inc., 11.25%, 7/1/14		2,040		2,159,850
Patheon, Inc., Sr. Notes, 8.625%, 4/15/17⁽³⁾		1,080		1,109,700
Quintiles Transnational Corp., Sr. Notes, (PIK), 9.50%, 12/30/14⁽³⁾		6,210		6,380,775
Res-Care, Inc., Sr. Notes, 10.75%, 1/15/19⁽³⁾		2,375		2,565,000
US Oncology, Inc., 10.75%, 8/15/14		1,655		1,727,406
US Oncology, Inc., Sr. Notes, 9.125%, 8/15/17		705		872,438
Valeant Pharmaceuticals International, 6.75%, 10/1/17⁽³⁾		1,365		1,412,775
Valeant Pharmaceuticals International, 6.875%, 12/1/18⁽³⁾		2,070		2,137,275
Valeant Pharmaceuticals International, 7.00%, 10/1/20⁽³⁾		2,045		2,119,131

			$	54,683,956

Homebuilders/Real Estate — 1.3%
CB Richard Ellis Service, Inc., 6.625%, 10/15/20⁽³⁾	$	2,625	$	2,638,125
CB Richard Ellis Service, Inc., Sr. Sub. Notes, 11.625%, 6/15/17		5,470		6,372,550
Tutor Perini Corp., 7.625%, 11/1/18⁽³⁾		2,350		2,408,750

			$	11,419,425

Insurance — 0.5%
Alliant Holdings I, Inc., 11.00%, 5/1/15⁽³⁾	$	2,225	$	2,364,062
HUB International Holdings, Inc., Sr. Notes, 9.00%, 12/15/14⁽³⁾		670		700,150
U.S.I. Holdings Corp., Sr. Notes, Variable Rate, 4.161%, 11/15/14⁽³⁾		1,200		1,131,000

			$	4,195,212

Leisure — 1.5%
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., 12.50%, 4/1/13^(3)(4)(5)	$	2,315	$	0
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Sr. Notes, (PIK), 14.50%, 4/1/14^(3)(4)(5)		3,274		0
HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Variable Rate, 0.00%, 4/1/12^(3)(4)(5)		3,985		0
NCL Corp, Ltd., Sr. Notes, 9.50%, 11/15/18⁽³⁾		1,320		1,422,300
NCL Corp, Ltd., Sr. Notes, 11.75%, 11/15/16		1,305		1,559,475
Royal Caribbean Cruises, Sr. Notes, 6.875%, 12/1/13		110		118,937


	Principal
	Amount
Security	(000’s omitted)		Value
Royal Caribbean Cruises, Sr. Notes, 7.00%, 6/15/13	$	1,750	$	1,881,250
Royal Caribbean Cruises, Sr. Notes, 7.25%, 6/15/16		535		580,475
Royal Caribbean Cruises, Sr. Notes, 7.25%, 3/15/18		1,355		1,470,175
Universal City Development Partners, Ltd./UCDP Finance, Inc., 8.875%, 11/15/15		1,965		2,132,025
Universal City Development Partners, Ltd./UCDP Finance, Inc., 10.875%, 11/15/16		3,515		3,919,225

			$	13,083,862

Metals/Mining — 3.3%
Arch Coal, Inc., 7.25%, 10/1/20	$	925	$	978,188
Arch Coal, Inc., Sr. Notes, 8.75%, 8/1/16		765		851,063
Atkore International, Inc., Sr. Notes, 9.875%, 1/1/18⁽³⁾		1,325		1,421,063
CII Carbon, LLC, 11.125%, 11/15/15⁽³⁾		1,755		1,904,175
CII Carbon, LLC, Sr. Notes, 8.00%, 12/1/18⁽³⁾		2,435		2,593,275
Cloud Peak Energy Resources, LLC/Cloud Peak Energy Finance Corp., 8.50%, 12/15/19		1,555		1,741,600
Consol Energy, Inc., 8.00%, 4/1/17⁽³⁾		1,630		1,776,700
Consol Energy, Inc., 8.25%, 4/1/20⁽³⁾		1,365		1,498,087
FMG Resources PTY, Ltd., Sr. Notes, 7.00%, 11/1/15⁽³⁾		6,650		6,899,375
Murray Energy Corp., Sr. Notes, 10.25%, 10/15/15⁽³⁾		3,700		3,940,500
Novelis, Inc., 8.375%, 12/15/17⁽³⁾		2,645		2,863,212
Novelis, Inc., 8.75%, 12/15/20⁽³⁾		2,645		2,886,356

			$	29,353,594

Paper — 1.3%
Boise Paper Holdings, LLC, 8.00%, 4/1/20	$	545	$	592,688
Boise Paper Holdings, LLC, Sr. Notes, 9.00%, 11/1/17		1,825		2,034,875
Domtar Corp., Sr. Notes, 10.75%, 6/1/17		2,300		2,944,000
NewPage Corp., Sr. Notes, 11.375%, 12/31/14		2,350		2,367,625
Verso Paper Holdings, LLC/Verso Paper, Inc., 11.375%, 8/1/16		2,515		2,722,487
Verso Paper Holdings, LLC/Verso Paper, Inc., Sr. Notes, 8.75%, 2/1/19⁽³⁾		1,095		1,140,169
Verso Paper Holdings, LLC/Verso Paper, Inc., Sr. Notes, Variable Rate, 4.054%, 8/1/14		245		236,731

			$	12,038,575

Railroad — 0.2%
Kansas City Southern Mexico, Sr. Notes, 7.375%, 6/1/14	$	1,150	$	1,204,625
Kansas City Southern Mexico, Sr. Notes, 7.625%, 12/1/13		650		664,625

			$	1,869,250

Restaurants — 1.0%
Dunkin Finance Corp., Sr. Notes, 9.625%, 12/1/18⁽³⁾	$	5,750	$	5,893,750
NPC International, Inc., Sr. Sub. Notes, 9.50%, 5/1/14		3,380		3,498,300

			$	9,392,050

Services — 5.4%
Abengoa Finance SAU, 8.875%, 11/1/17⁽³⁾	$	4,060	$	3,983,875
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc., 9.625%, 3/15/18		1,795		1,983,475
Brickman Group Holdings, Inc., Sr. Notes, 9.125%, 11/1/18⁽³⁾		550		580,938
Diversey Holdings, Inc., Sr. Notes, 10.50%, 5/15/20		1,328		1,550,547
Education Management, LLC, Sr. Sub. Notes, 10.25%, 6/1/16		998		1,045,405
Hertz Corp., 7.50%, 10/15/18⁽³⁾		20		21,250
Hertz Corp., 8.875%, 1/1/14		557		574,406
Laureate Education, Inc., 10.00%, 8/15/15⁽³⁾		7,020		7,388,550
Laureate Education, Inc., 11.75%, 8/15/17⁽³⁾		3,930		4,293,525
Laureate Education, Inc., (PIK), 10.25%, 8/15/15⁽³⁾		11,291		11,734,357
MediMedia USA, Inc., Sr. Sub. Notes, 11.375%, 11/15/14⁽³⁾		2,575		2,253,125
Muzak, LLC/Muzak Finance, Sr. Notes, (PIK), 15.00%, 7/31/14		1,726		1,358,912
RSC Equipment Rental, Inc., 10.25%, 11/15/19		1,330		1,482,950
RSC Equipment Rental, Inc., Sr. Notes, 10.00%, 7/15/17⁽³⁾		3,290		3,750,600
Sitel LLC/Sitel Finance Corp., Sr. Notes, 11.50%, 4/1/18⁽³⁾		830		747,000
United Rentals North America, Inc., 10.875%, 6/15/16		2,345		2,714,338
West Corp., 7.875%, 1/15/19⁽³⁾		2,640		2,745,600

			$	48,208,853


	Principal
	Amount
Security	(000’s omitted)		Value
Steel — 0.1%
RathGibson, Inc., Sr. Notes, 11.25%, 2/15/14⁽⁴⁾	$	5,225	$	522
United States Steel Corp., Sr. Notes, 7.375%, 4/1/20		680		708,900

			$	709,422

Super Retail — 5.8%
Express, LLC/Express Finance Corp., 8.75%, 3/1/18	$	5,655	$	6,064,987
General Nutrition Center, Sr. Notes, (PIK), Variable Rate, 5.75%, 3/15/14		1,425		1,422,328
General Nutrition Center, Sr. Sub. Notes, 10.75%, 3/15/15		7,380		7,472,250
Giraffe Acquisition Corp., Sr. Notes, 9.125%, 12/1/18⁽³⁾		2,635		2,793,100
Limited Brands, Inc., 8.50%, 6/15/19		3,135		3,589,575
Michaels Stores, Inc., (0.00% until 11/1/11), 13.00%, 11/1/16		4,030		4,070,300
Neiman Marcus Group, Inc., (PIK), 9.00%, 10/15/15		4,284		4,508,782
PETCO Animal Supplies, Inc., 9.25%, 12/1/18⁽³⁾		3,215		3,472,200
Sally Holdings, LLC, Sr. Notes, 10.50%, 11/15/16		8,905		9,884,550
Toys “R” Us, 10.75%, 7/15/17		5,500		6,338,750
Toys “R” Us, Sr. Notes, 7.375%, 9/1/16⁽³⁾		1,760		1,874,400
Toys “R” Us Property Co., LLC, Sr. Notes, 8.50%, 12/1/17		60		65,700

			$	51,556,922

Technology — 2.9%
Advanced Micro Devices, Inc., 8.125%, 12/15/17	$	1,005	$	1,057,762
Advanced Micro Devices, Inc., Sr. Notes, 7.75%, 8/1/20		700		721,000
Avaya, Inc., Sr. Notes, 9.75%, 11/1/15		2,930		3,047,200
Avaya, Inc., Sr. Notes, (PIK), 10.125%, 11/1/15		4,533		4,747,862
Brocade Communications Systems, Inc., Sr. Notes, 6.625%, 1/15/18		680		725,900
Brocade Communications Systems, Inc., Sr. Notes, 6.875%, 1/15/20		855		914,850
Buccaneer Merger Sub, Inc., Sr. Notes, 9.125%, 1/15/19⁽³⁾		1,250		1,337,500
CommScope, Inc., Sr. Notes, 8.25%, 1/15/19⁽³⁾		2,460		2,564,550
MedAssets, Inc., 8.00%, 11/15/18⁽³⁾		660		686,400
SSI Investments II, 11.125%, 6/1/18		3,020		3,382,400
SunGard Data Systems, Inc., Sr. Notes, 10.625%, 5/15/15		6,375		7,116,094

			$	26,301,518

Telecommunications — 6.0%
Clearwire Communications, LLC/Clearwire Finance, Inc., Sr. Notes, 12.00%, 12/1/15⁽³⁾	$	275	$	301,125
Clearwire Communications, LLC/Clearwire Finance, Inc., Sr. Notes, 12.00%, 12/1/15⁽³⁾		3,770		4,128,150
Digicel Group, Ltd., Sr. Notes, 8.25%, 9/1/17⁽³⁾		3,255		3,405,544
Digicel Group, Ltd., Sr. Notes, 12.00%, 4/1/14⁽³⁾		1,940		2,272,225
Intelsat Bermuda, Ltd., 11.25%, 6/15/16		2,825		3,051,000
Intelsat Jackson Holdings, Ltd., 9.50%, 6/15/16		2,413		2,575,877
Intelsat Jackson Holdings, Ltd., 11.50%, 6/15/16		700		757,750
Intelsat Luxembourg SA, (PIK), 11.50%, 2/4/17		2,745		3,070,255
Intelsat SA, Sr. Notes, 6.50%, 11/1/13		1,485		1,575,956
Intelsat Subsidiary Holdings Co., Ltd., 8.875%, 1/15/15⁽³⁾		395		407,838
Nextel Communications, Inc., Series E, 6.875%, 10/31/13		815		824,169
NII Capital Corp., 8.875%, 12/15/19		3,235		3,574,675
NII Capital Corp., 10.00%, 8/15/16		2,740		3,082,500
SBA Telecommunications, Inc., 8.00%, 8/15/16		1,145		1,256,637
SBA Telecommunications, Inc., 8.25%, 8/15/19		765		847,238
Sprint Capital Corp., 6.875%, 11/15/28		1,115		1,003,500
Sprint Capital Corp., 6.90%, 5/1/19		5,080		5,118,100
Telesat Canada/Telesat, LLC, Sr. Notes, 11.00%, 11/1/15		8,040		9,065,100
Telesat Canada/Telesat, LLC, Sr. Sub. Notes, 12.50%, 11/1/17		4,060		4,932,900
Wind Acquisition Finance SA, Sr. Notes, (PIK), 12.25%, 7/15/17⁽³⁾		2,271		2,633,448

			$	53,883,987

Textiles/Apparel — 0.6%
Oxford Industries, Inc., Sr. Notes, 11.375%, 7/15/15	$	2,420	$	2,746,700
Phillips-Van Heusen Corp., Sr. Notes, 7.75%, 11/15/23		2,780		3,074,358

			$	5,821,058


	Principal
	Amount
Security	(000’s omitted)		Value
Transportation Ex Air/Rail — 1.3%
CEVA Group PLC, Sr. Notes, 8.375%, 12/1/17⁽³⁾	$	4,135	$	4,259,050
CEVA Group PLC, Sr. Notes, 11.50%, 4/1/18⁽³⁾		2,815		3,092,981
CEVA Group PLC, Sr. Notes, 11.625%, 10/1/16⁽³⁾		2,065		2,292,150
Western Express, Inc., 12.50%, 4/15/15⁽³⁾		2,000		1,860,000

			$	11,504,181

Utilities — 3.0%
AES Eastern Energy, Series 99-A, 9.00%, 1/2/17	$	1,860	$	1,859,919
Calpine Construction Finance Co., Sr. Notes, 8.00%, 6/1/16⁽³⁾		3,315		3,571,912
Calpine Corp., Sr. Notes, 7.50%, 2/15/21⁽³⁾		6,870		6,990,225
Dynegy Holdings, Inc., Sr. Notes, 7.75%, 6/1/19		820		592,450
Edison Mission Energy, Sr. Notes, 7.50%, 6/15/13		2,025		2,014,875
GenOn Energy, Inc., Sr. Notes, 9.875%, 10/15/20⁽³⁾		3,120		3,283,800
NGC Corp., 7.625%, 10/15/26		3,205		2,091,262
NRG Energy, Inc., 8.25%, 9/1/20⁽³⁾		3,315		3,418,594
NRG Energy, Inc., Sr. Notes, 7.375%, 2/1/16		2,670		2,770,125
Reliant Energy, Inc., Sr. Notes, 7.625%, 6/15/14		370		390,350

			$	26,983,512


Total Corporate Bonds & Notes (identified cost $727,678,944)			$	747,748,131

Convertible Bonds — 0.1%


	Principal
	Amount
Security	(000’s omitted)		Value
Health Care — 0.1%
Kendle International, Inc., 3.375%, 7/15/12	$	955	$	903,669

			$	903,669


Total Convertible Bonds (identified cost $914,673)			$	903,669

Common Stocks — 4.1%


Security	Shares		Value
Building Materials — 0.3%
Panolam Holdings Co.⁽⁵⁾⁽⁷⁾		3,117	$	2,478,358

			$	2,478,358

Chemicals — 0.3%
LyondellBasell Industries NV, Class A⁽⁸⁾		50,000	$	1,797,000
Rockwood Holdings, Inc.⁽⁸⁾		25,000		1,014,750

			$	2,811,750

Consumer Products — 0.0%⁽⁹⁾
HF Holdings, Inc.^(5)(7)(8)		13,600	$	154,632

			$	154,632

Energy — 0.4%
Cloud Peak Energy, Inc.⁽⁸⁾		100,000	$	2,277,000
EXCO Resources, Inc.		50,000		1,004,000
SemGroup Corp.⁽⁸⁾		16,378		471,687

			$	3,752,687

Gaming — 0.0%⁽⁹⁾
Fontainebleau Equity Holdings, Class A^(5)(7)(8)		148,726	$	1,487
Greektown Superholdings, Inc.⁽⁸⁾		892		69,130


Security	Shares		Value
Shreveport Gaming Holdings, Inc.⁽⁵⁾		4,858	$	87,444

			$	158,061

Leisure — 0.5%
Carnival Corp.		100,000	$	4,471,000

			$	4,471,000

Services — 0.5%
Geo Group, Inc. (The)⁽⁸⁾		175,000	$	4,159,750

			$	4,159,750

Steel — 0.6%
RathGibson Acquisition Co., LLC^(5)(7)(8)		233,000	$	5,461,520

			$	5,461,520

Super Retail — 1.2%
Express, Inc.⁽⁸⁾		244,500	$	4,254,300
GameStop Corp., Class A⁽⁸⁾		150,000		3,160,500
GNC Acquisition Holdings, Class A^(5)(7)(8)		108,818		1,403,752
Limited Brands, Inc.		50,000		1,462,000

			$	10,280,552

Technology — 0.3%
Amkor Technology, Inc.⁽⁸⁾		350,000	$	2,849,000

			$	2,849,000


Total Common Stocks (identified cost $32,341,685)			$	36,577,310

Convertible Preferred Stocks — 1.5%


Security	Shares		Value
Automotive & Auto Parts — 0.8%
General Motors Co., 4.75%		131,495	$	7,141,494

			$	7,141,494

Energy — 0.3%
Chesapeake Energy Corp., 4.50%		22,471	$	2,074,073
Chesapeake Energy Corp., 5.00%		6,292		626,054

			$	2,700,127

Hand/Machine Tools — 0.4%
Stanley Black & Decker, Inc., 4.75%		30,600	$	3,571,938

			$	3,571,938


Total Convertible Preferred Stocks (identified cost $12,543,150)			$	13,413,559

Preferred Stocks — 0.1%


Security	Shares/Units		Value
Diversified Financial Services — 0.1%
Citigroup Capital XIII, 7.875%	$	26,702	$	713,744

			$	713,744

Gaming — 0.0%⁽⁹⁾
Fontainebleau Resorts LLC (PIK)^(5)(7)(8)		4,544	$	45

			$	45

Services — 0.0%⁽⁹⁾
Muzak Holdings, LLC, Variable Rate, (PIK), 10.00%⁽⁷⁾⁽⁸⁾		102,000	$	160,644

			$	160,644


Security	Shares/Units		Value
Super Retail — 0.0%⁽⁹⁾
GNC Acquisition Holdings^(5)(7)(8)		37,182	$	242,055

			$	242,055


Total Preferred Stocks (identified cost $6,417,887)			$	1,116,488

Miscellaneous — 0.0%⁽⁹⁾


Security	Shares		Value
Cable/Satellite TV — 0.0%⁽⁹⁾
Adelphia, Inc., Escrow Certificate⁽⁸⁾		7,585,000	$	132,737
Adelphia, Inc., Escrow Certificate⁽⁸⁾		3,555,000		62,213
Adelphia Recovery Trust⁽⁸⁾		10,758,837		95,538

			$	290,488

Gaming — 0.0%⁽⁹⁾
BLB Worldwide Holdings, Inc. Contingent Value Rights, Expires 11/5/17⁽⁷⁾		5,410	$	77,093

			$	77,093


Total Miscellaneous (identified cost $15,206,557)			$	367,581

Warrants — 0.3%


Security	Shares		Value
Energy — 0.0%⁽⁹⁾
SemGroup Corp., Expires 11/30/14⁽⁸⁾		17,240	$	120,680

			$	120,680

Food/Beverage/Tobacco — 0.0%⁽⁹⁾
ASG Consolidated, LLC/ASG Finance, Inc., Expires 5/15/18⁽³⁾⁽⁸⁾		1,610	$	201,250

			$	201,250

Gaming — 0.3%
Peninsula Gaming LLC, Convertible Preferred Membership Interests^(5)(7)(8)		25,351	$	2,148,261

			$	2,148,261

Publishing/Printing — 0.0%
Reader’s Digest Association, Inc. (The), Expires 2/14/19^(5)(7)(8)		17,588	$	0

			$	0


Total Warrants (identified cost $172)			$	2,470,191

Short-Term Investments — 2.3%

Repurchase Agreements — 0.6%


	Principal
	Amount
Description	(000’s omitted)		Value
Morgan Stanley: Dated 1/26/11, with an interest rate of 0.00% collateralized by $5,000,000 Marina District Finance Co., Inc., 9.875%, due 8/15/18 and a market value, including accrued interest, of $5,352,517.⁽¹⁰⁾	$	5,800	$	5,800,000


Total Repurchase Agreements (identified cost $5,800,000)			$	5,800,000

Other Securities — 1.7%


	Interest
Security	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽¹¹⁾	$	14,960	$	14,959,632


Total Other Securities (identified cost $14,959,632)			$	14,959,632


Total Short-Term Investments (identified cost $20,759,632)			$	20,759,632


Total Investments — 98.3% (identified cost $872,920,717)			$	880,019,991


Other Assets, Less Liabilities — 1.7%			$	14,922,238


Net Assets — 100.0%			$	894,942,229


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

PIK	-	Payment In Kind

(1)		Senior floating-rate interests (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 have an expected average life of approximately two to four years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility and includes commitment fees on unfunded loan commitments, if any. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London Interbank Offered Rate (“LIBOR”) and secondarily, the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

(2)		This Senior Loan will settle after January 31, 2011, at which time the interest rate will be determined.

(3)		Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At January 31, 2011, the aggregate value of these securities is $341,728,291 or 38.2% of the Portfolio’s net assets.

(4)		Currently the 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.

(5)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.

(6)		Defaulted matured security. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.

(7)		Restricted security.

(8)		Non-income producing security.

(9)		Amount is less than 0.05%.

(10)		Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.

(11)		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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $7,052.

Securities Sold Short


	Principal
	Amount
Security	(000’s omitted)			Value
Corporate Bonds & Notes
Marina District Finance Co., Inc., 9.875%, 8/15/18	$	(5,000	)	$	(5,112,500	)


Total Securities Sold Short (proceeds $5,059,863)				$	(5,112,500	)

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	877,142,780

Gross unrealized appreciation	$	67,268,500
Gross unrealized depreciation		(64,391,289	)

Net unrealized appreciation	$	2,877,211

Restricted Securities

At January 31, 2011, the Portfolio owned the following securities (representing 1.4% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.


	Date of
Description	Acquisition		Shares/Units		Cost			Value
Stocks, Miscellaneous and Warrants
BLB Worldwide Holdings, Inc. Contingent Value Rights, Expires 11/5/17		11/22/10		5,410	$	5,410,000		$	77,093
Fontainebleau Equity Holdings, Class A		6/1/07		148,726		1,784,712			1,487
Fontainebleau Resorts LLC (PIK), Preferred		6/1/07		4,544		4,544,460			45
GNC Acquisition Holdings, Class A		3/15/07		108,818		544,090			1,403,752
GNC Acquisition Holdings, Preferred		3/15/07		37,182		185,910			242,055
HF Holdings, Inc.		10/27/09		13,600		730,450			154,632
Muzak Holdings LLC, Variable Rate, (PIK), 10.00% Preferred		6/18/10		102,000		1,019,967			160,644
Panolam Holdings Co.		12/30/09		3,117		1,712,791			2,478,358
Peninsula Gaming LLC, Convertible Preferred Membership Interests		7/8/99		25,351		0	⁽¹⁾		2,148,261
RathGibson Acquisition Co., LLC		6/14/10		233,000		1,236,540			5,461,520
Reader’s Digest Association, Inc. (The), Expires 2/14/19		4/26/10		17,588		0			0

Total Restricted Securities					$	17,168,920		$	12,127,847


(1)		Less than $0.50.

A summary of open financial instruments at January 31, 2011 is as follows:

Credit Default Swaps — Sell Protection

Notional

Receive

Credit

Amount**

Annual

Termination

Net Unrealized

Counterparty

Reference Entity

Rating*

(000’s omitted)

Fixed Rate

Date

Appreciation

Bank of America

Amkor Technology, Inc.

Ba3/BB-

1,150

5.00

%⁽¹⁾

6/20/15

110,260

Barclays Bank PLC

Amkor Technology, Inc.

Ba3/BB-

2,000

5.00

⁽¹⁾

6/20/15

234,893

Goldman Sachs Group, Inc.

Levi Strauss & Co.

B2/B+

3,400

5.00

⁽¹⁾

9/20/15

343,914

Goldman Sachs Group, Inc.

Levi Strauss & Co.

B2/B+

1,700

5.00

⁽¹⁾

9/20/15

177,596

866,663

Credit Default Swaps — Buy Protection


		Notional		Pay
		Amount		Annual			Termination		Net Unrealized
Counterparty	Reference Entity	(000’s omitted)		Fixed Rate			Date		Depreciation
Deutsche Bank	First Data Corp.	$	3,000	$	5.00	%⁽¹⁾		9/20/15	$	(275,896	)
Goldman Sachs Group, Inc.	First Data Corp.		5,000		5.00	⁽¹⁾		12/20/15		(506,763	)
State Street Bank	First Data Corp.		3,000		5.00	⁽¹⁾		12/20/15		(164,914	)

									$	(947,573	)


*	Credit ratings are those of Moody’s Investors Service, Inc. and Standard & Poor’s Corporation. The credit rating of the reference debt obligation (together with the unrealized appreciation or depreciation on the swap) are a representative measure of the current payment/performance risk of the credit default swap. A lower credit rating increases the probability of the occurrence of a credit event.

**	If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At January 31, 2011, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $8,250,000.


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

At January 31, 2011, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

The Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. The Portfolio enters into credit default swap contracts to manage its credit risk, to gain exposure to a credit in which it may otherwise invest, or to enhance return.

At January 31, 2011, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and in a liability position and whose primary underlying risk exposure is credit risk was $866,663 and $947,573, respectively.


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other			Significant
	Identical Assets		Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)		(Level 2)			(Level 3)		Total

Senior Floating-Rate Interests	$	—	$	56,663,430		$	—	$	56,663,430
Corporate Bonds & Notes		—		744,252,943			3,495,188		747,748,131
Convertible Bonds		—		903,669			—		903,669
Common Stocks		26,920,987		69,130			9,587,193		36,577,310
Convertible Preferred Stocks		13,413,559		—			—		13,413,559
Preferred Stocks		713,744		160,644			242,100		1,116,488
Miscellaneous		—		367,581			—		367,581
Warrants		—		321,930			2,148,261		2,470,191
Short-Term — Repurchase Agreements		—		5,800,000			—		5,800,000
Short-Term — Other Securities		—		14,959,632			—		14,959,632


Total Investments	$	41,048,290	$	823,498,959		$	15,472,742	$	880,019,991


Credit Default Swaps	$	—	$	866,663		$	—	$	866,663


Total	$	41,048,290	$	824,365,622		$	15,472,742	$	880,886,654



Liability Description

Credit Default Swaps	$	—	$	(947,573	)	$	—	$	(947,573	)
Securities Sold Short		—		(5,112,500	)		—		(5,112,500	)


Total	$	—	$	(6,060,073	)	$	—	$	(6,060,073	)

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:


	Investments in
	Corporate		Investments in		Investments in		Investments
	Bonds & Notes		Common Stocks		Preferred Stocks		in Warrants		Total
Balance as of October 31, 2010	$	3,440,236	$	9,587,193	$	242,100	$	2,148,261	$	15,417,790
Realized gains (losses)		—		—		—		—		—
Change in net unrealized		54,952		—		—		—		54,952
appreciation (depreciation)
Cost of purchases		—		—		—		—		—
Proceeds from sales		—		—		—		—		—
Accrued discount (premium)		—		—		—		—		—
Transfers to Level 3		—		—		—		—		—
Transfers from level 3		—		—		—		—		—

Balance as of January 31, 2011	$	3,495,188	$	9,587,193	$	242,100	$	2,148,261	$	15,472,742


Change in net unrealized appreciation (depreciation) on investments still held as of January 31, 2011	$	54,952	$	—	$	—	$	—	$	54,952

At January 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.

The Portfolio may enter into repurchase agreements with banks and broker-dealers determined to be creditworthy by the Portfolio’s investment adviser. Under a repurchase agreement, the Portfolio purchases a security from a counterparty in exchange for cash that is coupled with an agreement to resell such security to the counterparty at a specified date and price. At the time the Portfolio enters into a repurchase agreement, it typically receives collateral with a value that equals or exceeds the repurchase price. The value of the collateral will be marked to market daily and, except in the case of a repurchase agreement entered to settle a short sale, the value of such collateral will at least equal 90% of such repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered into to settle a short sale may provide that the value of collateral received by the Portfolio is less than the repurchase price. In such a case, the Portfolio will segregate liquid assets equal to the marked to market value of the purchased securities that it is obligated to return to the counterparty to the repurchase agreement. In the event of bankruptcy of the counterparty or a third party custodian, the Portfolio might experience delays in recovering its cash or experience a loss.

A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. Until the security is replaced, the Portfolio is required to repay the lender any dividends or interest, which accrue during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest payable on securities sold short is recorded as interest expense.


International Equity Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 98.5%


Security	Shares		Value
Automobiles — 5.7%
Bayerische Motoren Werke AG		9,000	$	690,724
Fiat SpA		15,300		148,472
Honda Motor Co., Ltd. ADR		10,000		435,400
Nissan Motor Co., Ltd.		48,000		485,641

			$	1,760,237

Beverages — 2.6%
Anheuser-Busch InBev NV ADR		4,700	$	259,957
Central European Distribution Corp.⁽¹⁾		11,000		252,340
Fomento Economico Mexicano SA de CV ADR		5,300		281,271

			$	793,568

Capital Markets — 1.8%
3i Group PLC		40,000	$	198,338
UBS AG⁽¹⁾		19,400		347,345

			$	545,683

Chemicals — 4.3%
Agrium, Inc.		7,200	$	636,408
BASF SE		9,000		692,856

			$	1,329,264

Commercial Banks — 12.4%
Banco Bradesco SA ADR		15,300	$	289,476
Barclays PLC		73,000		341,893
BNP Paribas		8,200		612,036
BOC Hong Kong Holdings, Ltd.		131,000		423,579
DBS Group Holdings, Ltd. ADR		17,700		832,785
HSBC Holdings PLC		30,000		327,092
Industrial & Commercial Bank of China, Ltd., Class H		418,000		312,836
Resona Holdings, Inc.		36,000		185,832
Societe Generale		7,600		490,907

			$	3,816,436

Communications Equipment — 0.6%
AAC Acoustic Technologies Holdings, Inc.		64,000	$	174,737

			$	174,737

Diversified Financial Services — 1.4%
ORIX Corp.		4,500	$	444,675

			$	444,675

Diversified Telecommunication Services — 3.4%
BT Group PLC		193,500	$	544,756
Koninklijke KPN NV		31,000		487,881

			$	1,032,637

Electric Utilities — 0.8%
Hongkong Electric Holdings, Ltd.		40,000	$	252,929

			$	252,929

Electrical Equipment — 1.1%
ABB, Ltd. ADR⁽¹⁾		14,200	$	336,114

			$	336,114


Security	Shares		Value
Electronic Equipment, Instruments & Components — 3.4%
FUJIFILM Holdings Corp.		24,300	$	879,516
Hon Hai Precision Industry Co., Ltd.		41,160		175,605

			$	1,055,121

Energy Equipment & Services — 2.5%
OAO TMK GDR⁽¹⁾		22,800	$	458,740
Precision Drilling Corp.⁽¹⁾		30,400		319,504

			$	778,244

Food Products — 3.0%
Nestle SA ADR		17,000	$	921,740

			$	921,740

Hotels, Restaurants & Leisure — 1.7%
Carnival PLC		5,100	$	232,357
InterContinental Hotels Group PLC		14,400		303,675

			$	536,032

Household Durables — 1.0%
Sony Corp.		9,000	$	309,703

			$	309,703

Household Products — 1.2%
Henkel AG & Co. KGaA		7,000	$	360,309

			$	360,309

Industrial Conglomerates — 7.5%
Cookson Group PLC⁽¹⁾		50,000	$	531,817
Keppel Corp., Ltd. ADR		70,200		1,290,978
Siemens AG ADR		3,800		487,958

			$	2,310,753

Insurance — 0.9%
Zurich Financial Services AG		1,000	$	273,416

			$	273,416

Machinery — 3.5%
Atlas Copco AB		11,000	$	239,358
Fiat Industrial SpA⁽¹⁾		12,800		173,236
Volvo AB⁽¹⁾		38,900		674,253

			$	1,086,847

Media — 1.5%
Focus Media Holding, Ltd. ADR⁽¹⁾		18,000	$	448,380

			$	448,380

Metals & Mining — 7.3%
Anglo American PLC ADR		19,663	$	483,120
BHP Billiton PLC ADR		5,000		383,550
Thompson Creek Metals Co., Inc.⁽¹⁾		35,100		475,254
Vale SA ADR		29,000		898,420

			$	2,240,344

Office Electronics — 2.0%
Canon, Inc.		12,200	$	600,529

			$	600,529

Oil, Gas & Consumable Fuels — 9.3%
Afren PLC⁽¹⁾		70,000	$	162,679
CNOOC, Ltd.		173,000		385,537
HRT Participacoes em Petroleo SA⁽¹⁾		350		381,715
Petroleo Brasileiro SA ADR		10,300		342,475
Rosneft Oil Co. GDR		63,300		541,510


Security	Shares		Value
Statoil ASA ADR		13,191	$	322,124
Total SA ADR		12,200		716,994

			$	2,853,034

Pharmaceuticals — 7.9%
AstraZeneca PLC ADR		8,600	$	420,540
Genomma Lab Internacional SA de CV⁽¹⁾		90,000		228,134
GlaxoSmithKline PLC ADR		11,200		406,896
Novartis AG ADR		15,000		837,900
Novo Nordisk A/S, Class B		1,800		202,662
Sanofi-Aventis		4,800		328,045

			$	2,424,177

Real Estate Management & Development — 1.6%
Brasil Brokers Participacoes SA		32,400	$	157,437
Raven Russia, Ltd.		324,251		345,402

			$	502,839

Semiconductors & Semiconductor Equipment — 0.6%
Infineon Technologies AG⁽¹⁾		16,000	$	169,492

			$	169,492

Textiles, Apparel & Luxury Goods — 0.5%
LVMH Moet Hennessy Louis Vuitton SA		1,000	$	156,048

			$	156,048

Tobacco — 3.1%
British American Tobacco PLC ADR		12,800	$	948,736

			$	948,736

Trading Companies & Distributors — 2.8%
Mitsubishi Corp.		9,000	$	251,252
Mitsui & Co., Ltd.		36,000		607,664

			$	858,916

Wireless Telecommunication Services — 3.1%
Turkcell Iletisim Hizmetleri AS ADR		32,000	$	494,720
Vodafone Group PLC ADR		16,600		470,776

			$	965,496


Total Common Stocks (identified cost $24,692,968)			$	30,286,436

Short-Term Investments — 2.4%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽²⁾	$	729	$	728,847


Total Short-Term Investments (identified cost $728,847)			$	728,847


Total Investments — 100.9% (identified cost $25,421,815)			$	31,015,283


Other Assets, Less Liabilities — (0.9)%			$	(268,141	)


Net Assets — 100.0%			$	30,747,142


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

ADR	-	American Depositary Receipt

GDR	-	Global Depositary Receipt

(1)		Non-income producing security.

(2)		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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $93.

Country Concentration of Portfolio


	Percentage
Country	of Net Assets			Value
United Kingdom		18.7	%	$	5,756,225
Japan		13.7			4,200,212
Switzerland		8.8			2,716,515
Germany		7.8			2,401,339
France		7.5			2,304,030
Singapore		6.9			2,123,763
Brazil		6.7			2,069,523
Canada		4.7			1,431,166
Russia		4.4			1,345,652
China		3.7			1,146,753
Sweden		3.0			913,611
Hong Kong		2.8			851,245
United States		2.4			728,847
Mexico		1.7			509,405
Turkey		1.6			494,720
Netherlands		1.6			487,881
Norway		1.0			322,124
Italy		1.0			321,708
Belgium		0.8			259,957
Poland		0.8			252,340
Denmark		0.7			202,662
Taiwan		0.6			175,605

Total Investments		100.9	%	$	31,015,283

The Portfolio did not have any financial instruments outstanding at January 31, 2011.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	25,533,864

Gross unrealized appreciation	$	5,802,666
Gross unrealized depreciation		(321,247	)

Net unrealized appreciation	$	5,481,419


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other			Significant
	Identical Assets		Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)		(Level 2)			(Level 3)		Total

Common Stocks
Consumer Discretionary	$	883,780	$	2,326,620		$	—	$	3,210,400
Consumer Staples		2,664,044		360,309			—		3,024,353
Energy		2,082,812		1,548,466			—		3,631,278
Financials		1,625,100		3,957,949			—		5,583,049
Health Care		1,893,470		530,707			—		2,424,177
Industrials		2,288,286		2,304,344			—		4,592,630
Information Technology		—		1,999,879			—		1,999,879
Materials		2,876,752		692,856			—		3,569,608
Telecommunication Services		965,496		1,032,637			—		1,998,133
Utilities		252,929		—			—		252,929


Total Common Stocks	$	15,532,669	$	14,753,767	*	$	—	$	30,286,436


Short-Term Investments		—		728,847			—		728,847


Total Investments	$	15,532,669	$	15,482,614		$	—	$	31,015,283


*		Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

Subsequent Event

On March 14, 2011 the Board of Trustees of Eaton Vance Mutual Funds Trust approved the liquidation and termination of the Fund. Effective after the close of business on April 21, 2011, shares of the Fund will no longer be available for purchase or exchange, subject to limited exceptions. The Fund is expected to be liquidated on or about April 27, 2011.


International Income Portfolio	as of January 31, 2011

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

Foreign Government Bonds — 29.8%


	Principal
Security	Amount		Value
Australia — 3.2%
Commonwealth of Australia, 5.75%, 6/15/11	AUD	5,077,000	$	5,077,526
Commonwealth of Australia, 6.25%, 4/15/15	AUD	146,000		151,631
Commonwealth of Australia, 6.50%, 5/15/13	AUD	152,000		156,662


Total Australia			$	5,385,819

Brazil — 2.5%
Nota Do Tesouro Nacional, 6.00%, 5/15/15⁽¹⁾	BRL	292,196	$	172,492
Nota Do Tesouro Nacional, 10.00%, 1/1/12	BRL	6,890,000		4,053,575


Total Brazil			$	4,226,067

Canada — 1.4%
Canada Housing Trust, 2.20%, 3/15/14	CAD	135,000	$	134,978
Canada Housing Trust, 3.60%, 6/15/13⁽²⁾	CAD	881,000		914,521
Canada Housing Trust, 3.75%, 3/15/20	CAD	665,000		675,878
Canada Housing Trust, 4.00%, 6/15/12⁽²⁾	CAD	214,000		220,892
Canada Housing Trust, 4.10%, 12/15/18	CAD	475,000		499,131


Total Canada			$	2,445,400

Chile — 1.9%
Government of Chile, 2.10%, 9/1/15⁽¹⁾	CLP	42,954,020	$	86,580
Government of Chile, 6.00%, 3/1/17	CLP	40,000,000		80,155
Government of Chile, 6.00%, 3/1/18	CLP	1,570,000,000		3,117,363


Total Chile			$	3,284,098

Colombia — 2.6%
Titulos De Tesoreria B, 11.00%, 5/18/11	COP	8,245,000,000	$	4,517,446


Total Colombia			$	4,517,446

Congo — 0.0%⁽³⁾
Republic of Congo, 3.00%, 6/30/29	USD	64,600	$	39,083


Total Congo			$	39,083

Costa Rica — 0.7%
Titulo Propiedad Ud, 1.00%, 1/12/22⁽¹⁾	CRC	444,792,391	$	673,472
Titulo Propiedad Ud, 1.63%, 7/13/16⁽¹⁾	CRC	246,569,695		443,979


Total Costa Rica			$	1,117,451

Czech Republic — 0.8%
Czech Republic, 4.125%, 3/18/20	EUR	1,010,000	$	1,388,717


Total Czech Republic			$	1,388,717

Denmark — 2.8%
Kingdom of Denmark, 4.00%, 11/15/15	DKK	215,000	$	42,262
Kingdom of Denmark, 4.00%, 11/15/17	DKK	1,008,000		198,426
Kingdom of Denmark, 5.00%, 11/15/13	DKK	10,898,000		2,173,411
Kingdom of Denmark, 6.00%, 11/15/11	DKK	10,960,000		2,088,378
Kingdom of Denmark, 7.00%, 11/10/24	DKK	790,000		201,347


Total Denmark			$	4,703,824


	Principal
Security	Amount		Value
Dominican Republic — 0.9%
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank, N.A.), 16.00%, 7/10/20⁽⁴⁾	DOP	58,300,000	$	1,622,522


Total Dominican Republic			$	1,622,522

Georgia — 0.1%
Republic of Georgia, 7.50%, 4/15/13	USD	115,000	$	120,463


Total Georgia			$	120,463

Israel — 0.2%
Israeli Government Bond, 3.00%, 10/31/19⁽¹⁾	ILS	333,191	$	97,640
Israeli Government Bond, 5.00%, 4/30/15⁽¹⁾	ILS	879,500		277,810


Total Israel			$	375,450

Macedonia — 0.1%
Republic of Macedonia, 4.625%, 12/8/15	EUR	190,000	$	245,334


Total Macedonia			$	245,334

Malaysia — 2.0%
Malaysian Government, 3.756%, 4/28/11	MYR	10,495,000	$	3,439,899


Total Malaysia			$	3,439,899

Netherlands — 0.7%
Government of Netherlands, 3.75%, 1/15/23	EUR	368,000	$	515,666
Government of Netherlands, 4.50%, 7/15/17	EUR	206,000		308,452
Government of Netherlands, 5.00%, 7/15/12	EUR	212,000		305,631


Total Netherlands			$	1,129,749

Peru — 1.8%
Republic of Peru, 9.91%, 5/5/15	PEN	7,200,000	$	3,121,213


Total Peru			$	3,121,213

Philippines — 1.4%
Philippine Government International Bond, 4.95%, 1/15/21	PHP	106,000,000	$	2,416,094


Total Philippines			$	2,416,094

Poland — 0.2%
Poland Government Bond, 3.00%, 8/24/16⁽¹⁾	PLN	1,078,783	$	383,904


Total Poland			$	383,904

Slovakia — 2.1%
Slovakia Government Bond, 0.00%, 1/27/12	EUR	2,600,000	$	3,504,550


Total Slovakia			$	3,504,550

South Africa — 0.5%
Republic of South Africa, 6.50%, 6/2/14	USD	815,000	$	908,725


Total South Africa			$	908,725

Sweden — 0.6%
Government of Sweden, 3.75%, 8/12/17	SEK	5,510,000	$	881,057
Government of Sweden, 6.75%, 5/5/14	SEK	395,000		68,804


Total Sweden			$	949,861


	Principal
Security	Amount		Value
Taiwan — 2.0%
Taiwan Government Bond, 0.25%, 2/10/12	TWD	97,200,000	$	3,340,422


Total Taiwan			$	3,340,422

United Kingdom — 1.1%
United Kingdom Government Bond, 4.25%, 12/7/27	GBP	230,000	$	367,208
United Kingdom Government Bond, 4.75%, 3/7/20	GBP	285,000		495,239
United Kingdom Government Bond, 5.00%, 3/7/12	GBP	321,000		537,588
United Kingdom Government Bond, 5.00%, 9/7/14	GBP	266,000		469,496


Total United Kingdom			$	1,869,531

Uruguay — 0.2%
Republic of Uruguay, 5.00%, 9/14/18⁽¹⁾	UYU	5,432,636	$	311,222


Total Uruguay			$	311,222


Total Foreign Government Bonds (identified cost $48,840,744)			$	50,846,844

Collateralized Mortgage Obligations — 2.8%


	Principal
Security	Amount		Value
Federal Home Loan Mortgage Corp.:
Series 2127, Class PG, 6.25%, 2/15/29	$	541,207	$	575,871
Federal National Mortgage Association: Series 1991-139, Class PN,
7.50%, 10/25/21		723,158		823,036
Series 2001-31, Class ZA,
6.00%, 7/25/31		1,927,892		2,125,417
Series 2009-62, Class WA,
5.55%, 8/25/39⁽⁵⁾		1,181,062		1,287,202


Total Collateralized Mortgage Obligations (identified cost $4,626,970)			$	4,811,526

Mortgage Pass-Throughs — 10.4%


	Principal
Security	Amount		Value
Federal National Mortgage Association:
2.904%, with maturity at 2035⁽⁶⁾⁽⁷⁾	$	1,686,329	$	1,766,265
4.447%, with maturity at 2035⁽⁶⁾		1,822,875		1,972,693
6.00%, with maturity at 2019		257,189		280,450
6.50%, with various maturities to 2036⁽⁷⁾		4,103,187		4,566,641
7.00%, with various maturities to 2033		2,075,143		2,356,687
7.50%, with maturity at 2035		721,550		837,403
8.50%, with maturity at 2032		667,513		802,614

			$	12,582,753

Government National Mortgage Association:
7.00%, with various maturities to 2035	$	2,486,186	$	2,853,010
8.00%, with maturity at 2016		782,628		833,726
9.00%, with various maturities to 2024		1,303,775		1,539,606

			$	5,226,342


Total Mortgage Pass-Throughs (identified cost $16,992,878)			$	17,809,095

Precious Metals — 3.7%


	Troy
Description	Ounces		Value
Gold		1,947	$	2,591,805
Silver		135,008		3,785,461


Total Precious Metals (identified cost $4,769,946)			$	6,377,266

Short-Term Investments — 50.9%

Foreign Government Securities — 43.7%


	Principal
	Amount
Security	(000’s omitted)		Value
Brazil — 1.2%
Letras Do Tesouro Nacional, 0.00%, 7/1/11	BRL	3,462	$	1,981,102


Total Brazil			$	1,981,102

Canada — 0.7%
Canada Housing Trust, 4.05%, 3/15/11⁽²⁾	CAD	1,120	$	1,122,539


Total Canada			$	1,122,539

Croatia — 5.0%
Croatia Treasury Bill, 0.00%, 3/31/11	EUR	250	$	341,528
Croatia Treasury Bill, 0.00%, 3/31/11	HRK	9,100		1,673,873
Croatia Treasury Bill, 0.00%, 4/7/11	EUR	300		409,698
Croatia Treasury Bill, 0.00%, 7/7/11	EUR	4,554		6,185,167


Total Croatia			$	8,610,266

Czech Republic — 2.3%
Czech Republic Government Bond, 4.10%, 4/11/11	CZK	67,840	$	3,855,930


Total Czech Republic			$	3,855,930

Egypt — 1.8%
Egypt Treasury Bill, 0.00%, 6/14/11⁽⁸⁾	EGP	225	$	36,111
Egypt Treasury Bill, 0.00%, 6/28/11⁽⁸⁾	EGP	575		91,839
Egypt Treasury Bill, 0.00%, 7/12/11⁽⁸⁾	EGP	550		87,439
Egypt Treasury Bill, 0.00%, 8/9/11⁽⁸⁾	EGP	1,725		271,699
Egypt Treasury Bill, 0.00%, 11/8/11⁽⁸⁾	EGP	16,700		2,553,620


Total Egypt			$	3,040,708

Georgia — 1.2%
Bank of Georgia Promissory Note, 11.00%, 6/3/11⁽⁹⁾	GEL	1,807	$	1,002,831
Bank of Georgia Promissory Note, 7.00%, 6/20/11⁽⁹⁾	AZN	804		1,009,102


Total Georgia			$	2,011,933

Hong Kong — 3.0%
Hong Kong Treasury Bill, 0.00%, 2/9/11	HKD	20,000	$	2,565,190
Hong Kong Treasury Bill, 0.00%, 5/11/11	HKD	20,000		2,564,092


Total Hong Kong			$	5,129,282

Hungary — 2.0%
Hungary Government Bond, 6.75%, 4/22/11	HUF	670,000	$	3,369,305


Total Hungary			$	3,369,305


	Principal
	Amount
Security	(000’s omitted)		Value
Iceland — 0.0%⁽³⁾
Iceland Treasury Bill, 0.00%, 2/15/11	ISK	890	$	6,516
Iceland Treasury Bill, 0.00%, 3/15/11	ISK	2,822		20,594
Iceland Treasury Bill, 0.00%, 4/15/11	ISK	2,005		14,602


Total Iceland			$	41,712

Israel — 4.6%
Israel Treasury Bill, 0.00%, 4/6/11	ILS	12,520	$	3,362,403
Israel Treasury Bill, 0.00%, 6/1/11	ILS	4,760		1,273,226
Israel Treasury Bill, 0.00%, 8/3/11	ILS	1,364		363,194
Israel Treasury Bill, 0.00%, 11/2/11	ILS	190		50,233
Israel Treasury Bill, 0.00%, 1/4/12	ILS	10,598		2,791,011


Total Israel			$	7,840,067

Kazakhstan — 1.8%
Kazakhstan National Bank, 0.00%, 3/18/11	KZT	358,182	$	2,435,023
Kazakhstan National Bank, 0.00%, 4/15/11	KZT	92,009		624,965


Total Kazakhstan			$	3,059,988

Lebanon — 1.8%
Lebanon Treasury Bill, 0.00%, 2/3/11	LBP	142,490	$	94,932
Lebanon Treasury Bill, 0.00%, 2/17/11	LBP	402,930		268,052
Lebanon Treasury Bill, 0.00%, 4/14/11	LBP	383,760		253,724
Lebanon Treasury Bill, 0.00%, 6/30/11	LBP	243,200		159,308
Lebanon Treasury Bill, 0.00%, 7/28/11	LBP	550,710		367,148
Lebanon Treasury Bill, 0.00%, 8/11/11	LBP	54,000		35,181
Lebanon Treasury Bill, 0.00%, 8/25/11	LBP	2,787,000		1,812,377
Lebanon Treasury Bill, 0.00%, 9/22/11	LBP	76,270		49,410


Total Lebanon			$	3,040,132

Mauritius — 1.0%
Mauritius Treasury Bill, 0.00%, 6/24/11	MUR	51,700	$	1,724,674


Total Mauritius			$	1,724,674

Mexico — 3.1%
Mexico Treasury Bill, 0.00%, 2/24/11	MXN	60,500	$	4,972,111
Mexico Treasury Bill, 0.00%, 3/10/11	MXN	3,959		324,856


Total Mexico			$	5,296,967

Philippines — 0.4%
Philippine Treasury Bill, 0.00%, 10/19/11	PHP	35,000	$	772,779


Total Philippines			$	772,779

Romania — 1.0%
Romania Treasury Bill, 0.00%, 2/23/11	RON	5,250	$	1,682,109


Total Romania			$	1,682,109

Serbia — 0.8%
Serbia Treasury Bill, 0.00%, 11/29/11	RSD	125,000	$	1,457,728


Total Serbia			$	1,457,728

South Korea — 2.9%
Korea Monetary Stabilization Bond, 3.20%, 2/23/11	KRW	111,010	$	99,027
Korea Monetary Stabilization Bond, 3.40%, 3/24/11	KRW	3,053,620		2,725,339


	Principal
	Amount
Security	(000’s omitted)		Value
Korea Monetary Stabilization Bond, 0.00%, 4/26/11	KRW	1,198,130	$	1,061,317
Korea Monetary Stabilization Bond, 4.64%, 10/4/11	KRW	1,274,090		1,147,447


Total South Korea			$	5,033,130

Sri Lanka — 0.6%
Sri Lanka Treasury Bill, 0.00%, 3/18/11	LKR	8,460	$	75,482
Sri Lanka Treasury Bill, 0.00%, 3/25/11	LKR	7,320		65,223
Sri Lanka Treasury Bill, 0.00%, 4/29/11	LKR	5,000		44,253
Sri Lanka Treasury Bill, 0.00%, 4/29/11	LKR	40,600		359,330
Sri Lanka Treasury Bill, 0.00%, 7/15/11	LKR	34,640		302,023
Sri Lanka Treasury Bill, 0.00%, 8/5/11	LKR	17,160		149,006
Sri Lanka Treasury Bill, 0.00%, 10/7/11	LKR	8,120		69,647


Total Sri Lanka			$	1,064,964

Switzerland — 3.1%
Switzerland National Bank, 0.00%, 3/14/11	CHF	1,000	$	1,059,163
Switzerland National Bank, 0.00%, 4/4/11	CHF	4,000		4,236,187


Total Switzerland			$	5,295,350

Thailand — 0.9%
Thailand Government Bond, 5.38%, 11/30/11	THB	47,243	$	1,565,354


Total Thailand			$	1,565,354

Turkey — 2.7%
Turkey Government Bond, 0.00%, 2/2/11	TRY	7,356	$	4,584,437


Total Turkey			$	4,584,437

Uganda — 0.9%
Uganda Treasury Bill, 0.00%, 6/30/11	UGX	3,625,000	$	1,507,780


Total Uganda			$	1,507,780

Uruguay — 0.9%
Uruguay Treasury Bill, 0.00%, 8/30/11	UYU	20,800	$	1,014,034
Uruguay Treasury Bill, 0.00%, 10/21/11	UYU	9,300		447,924


Total Uruguay			$	1,461,958


Total Foreign Government Securities (identified cost $72,896,256)			$	74,550,194

U.S. Treasury Obligations — 0.6%


	Principal
	Amount
Security	(000s omitted)		Value
United States Treasury Bill, 0.00%, 3/3/11	$	1,000	$	999,883


Total U.S. Treasury Obligations (identified cost $999,673)			$	999,883

Other Securities — 6.6%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽¹⁰⁾	$	11,274	$	11,274,395


Total Other Securities (identified cost $11,274,395)			$	11,274,395


Total Short-Term Investments (identified cost $85,170,324)			$	86,824,472


Total Investments — 97.6% (identified cost $160,400,862)			$	166,669,203


Other Assets, Less Liabilities — 2.4%			$	4,068,008


Net Assets — 100.0%			$	170,737,211


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

AUD	-	Australian Dollar

AZN	-	Azerbaijani Manat

BRL	-	Brazilian Real

CAD	-	Canadian Dollar

CHF	-	Swiss Franc

CLP	-	Chilean Peso

COP	-	Colombian Peso

CRC	-	Costa Rican Colon

CZK	-	Czech Koruna

DKK	-	Danish Krone

DOP	-	Dominican Peso

EGP	-	Egyptian Pound

EUR	-	Euro

GBP	-	British Pound Sterling

GEL	-	Georgian Lari

HKD	-	Hong Kong Dollar

HRK	-	Croatian Kuna

HUF	-	Hungarian Forint

ILS	-	Israeli Shekel

ISK	-	Icelandic Krona

KRW	-	South Korean Won

KZT	-	Kazak Tenge

LBP	-	Lebanese Pound

LKR	-	Sri Lankan Rupee

MUR	-	Mauritian Rupee

MXN	-	Mexican Peso

MYR	-	Malaysian Ringgit

PEN	-	Peruvian New Sol

PHP	-	Philippine Peso

PLN	-	Polish Zloty

RON	-	Romanian Leu

RSD	-	Serbian Dinar

SEK	-	Swedish Krona

THB	-	Thailand Baht

TRY	-	New Turkish Lira

TWD	-	New Taiwan Dollar

UGX	-	Uganda Shilling

USD	-	United States Dollar

UYU	-	Uruguayan Peso

(1)		Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.

(2)		Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At January 31, 2011, the aggregate value of these securities is $2,257,952 or 1.3% of the Portfolio’s net assets.

(3)		Amount is less than 0.05%.

(4)		Security represents a structured security whose market value and interest rate are linked to the performance of the underlying security.

(5)		Weighted average fixed-rate coupon that changes/updates monthly.

(6)		Adjustable rate mortgage security. Rate shown is the rate at January 31, 2011.

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

(8)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.

(9)		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.

(10)		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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $7,591.

Basis for Consolidation

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance IIP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at January 31, 2011 were $9,131,746 or 5.3% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.

A summary of open financial instruments at January 31, 2011 is as follows:

Forward Foreign Currency Exchange Contracts

Sales


				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
2/14/11	Euro 19,572,534	United States Dollar 25,381,858	Citigroup Global Markets	$	(1,411,688	)
2/23/11	Euro 1,197,183	United States Dollar 1,667,098	JPMorgan Chase Bank		28,423
2/24/11	Euro 300,000	United States Dollar 402,600	HSBC Bank USA		(8,027	)
3/18/11	Sri Lankan Rupee 8,460,000	United States Dollar 69,515	HSBC Bank USA		(6,452	)
3/25/11	Sri Lankan Rupee 7,320,000	United States Dollar 60,471	Standard Chartered Bank		(5,247	)
3/31/11	Euro 250,000	United States Dollar 337,200	HSBC Bank USA		(4,846	)
4/6/11	Israeli Shekel 1,380,000	United States Dollar 370,739	Barclays Bank PLC		(1,097	)
4/6/11	Israeli Shekel 1,378,000	United States Dollar 370,132	Citigroup Global Markets		(1,165	)
4/6/11	Israeli Shekel 2,835,000	United States Dollar 728,230	Citigroup Global Markets		(35,649	)
4/6/11	Israeli Shekel 2,758,000	United States Dollar 741,199	Deutsche Bank		(1,933	)
4/6/11	Israeli Shekel 4,169,000	United States Dollar 1,071,447	Deutsche Bank		(51,873	)
4/7/11	Euro 300,000	United States Dollar 401,961	HSBC Bank USA		(8,458	)
4/25/11	Singapore Dollar 1,214,416	United States Dollar 946,544	State Street Corporation		(2,837	)
4/29/11	Sri Lankan Rupee 5,000,000	United States Dollar 41,771	Standard Chartered Bank		(3,058	)
7/7/11	Euro 4,554,000	United States Dollar 5,732,029	Deutsche Bank		(489,388	)
1/27/12	Euro 2,600,000	United States Dollar 3,205,800	Deutsche Bank		(331,139	)

				$	(2,334,434	)

Purchases


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
2/7/11	Kenyan Shilling 119,970,000	United States Dollar 1,477,418	Citigroup Global Markets	$	2,779
2/7/11	Qatari Riyal 12,290,063	United States Dollar 3,375,927	Deutsche Bank		(800	)
2/7/11	Zambian Kwacha 180,600,000	United States Dollar 37,312	Standard Bank		(1	)
2/10/11	Indian Rupee 103,720,000	United States Dollar 2,277,058	Barclays Bank PLC		(21,785	)


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
2/10/11	Kuwaiti Dinar 450,000	United States Dollar 1,599,943	Barclays Bank PLC	$	6,667
2/14/11	Russian Ruble 53,270,000	United States Dollar 1,739,826	HSBC Bank USA		46,182
2/22/11	Indian Rupee 25,170,000	United States Dollar 549,323	Standard Chartered Bank		(3,455	)
2/28/11	Ghanaian Cedi 2,205,000	United States Dollar 1,413,462	Citigroup Global Markets		(12,953	)
2/28/11	Indian Rupee 93,880,000	United States Dollar 2,046,654	Standard Bank		(13,299	)
2/28/11	Ukrainian Hryvnia 12,255,000	United States Dollar 1,531,875	Barclays Bank PLC		(10,864	)
2/28/11	Zambian Kwacha 7,739,950,000	United States Dollar 1,580,452	Standard Chartered Bank		18,097
3/18/11	Swedish Krona 1,333,288	Euro 148,347	Standard Chartered Bank		3,360
4/6/11	Indonesian Rupiah 547,200,000	United States Dollar 60,814	Barclays Bank PLC		(1,116	)
4/6/11	Indonesian Rupiah 668,800,000	United States Dollar 74,319	Credit Suisse		(1,356	)
4/6/11	Indonesian Rupiah 668,800,000	United States Dollar 74,328	Deutsche Bank		(1,364	)
4/6/11	Indonesian Rupiah 547,200,000	United States Dollar 60,800	Standard Chartered Bank		(1,103	)
4/6/11	Polish Zloty 12,868,744	Euro 3,277,659	Goldman Sachs, Inc.		(25,737	)
4/11/11	Malaysian Ringgit 1,764,000	United States Dollar 571,762	Credit Suisse		3,604
4/13/11	Polish Zloty 1,050,000	Euro 267,721	Bank of America		(2,669	)
4/19/11	Indonesian Rupiah 3,365,370,000	United States Dollar 365,602	Credit Suisse		572
4/25/11	Singapore Dollar 5,450,260	United States Dollar 4,235,844	Goldman Sachs, Inc.		24,946
4/26/11	New Zealand Dollar 4,566,000	United States Dollar 3,426,326	Goldman Sachs, Inc.		74,342
4/27/11	Indonesian Rupiah 13,993,500,000	United States Dollar 1,522,356	Credit Suisse		(2,253	)
4/27/11	Indonesian Rupiah 13,993,500,000	United States Dollar 1,522,853	Standard Bank		(2,750	)
5/16/11	Moroccan Dirham 13,584,422	United States Dollar 1,630,196	Citigroup Global Markets		(4,124	)
6/3/11	Swedish Krona 21,620,000	Euro 2,352,072	HSBC Bank USA		119,727
6/3/11	Swedish Krona 7,380,000	Euro 808,117	JPMorgan Chase Bank		33,712
6/13/11	British Pound Sterling 1,210,908	Euro 1,445,513	Citigroup Global Markets		(38,265	)
6/15/11	Yuan Renminbi 1,100,000	United States Dollar 166,541	Citigroup Global Markets		1,324
6/15/11	Yuan Renminbi 2,300,000	United States Dollar 347,958	HSBC Bank USA		3,033
8/2/11	Canadian Dollar 1,216,567	United States Dollar 1,213,896	JPMorgan Chase Bank		(4,104	)
12/8/11	Russian Ruble 43,630,000	United States Dollar 1,352,135	HSBC Bank USA		61,145
12/20/11	Norwegian Krone 29,404,281	Euro 3,667,165	HSBC Bank USA		6,901


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
1/19/12	Yuan Renminbi 470,000	United States Dollar 74,250	Barclays Bank PLC	$	(1,611	)
6/7/12	Yuan Renminbi 26,100,000	United States Dollar 3,942,598	Barclays Bank PLC		121,221

				$	378,003

At January 31, 2011, closed forward foreign currency purchases and sales contracts excluded above amounted to a receivable of $4,078 and a payable of $19,655.

Futures Contracts


Expiration			Aggregate						Net Unrealized
Date	Contracts	Position	Cost			Value			Appreciation
3/11	21 U.S. 5-Year Treasury Note	Short	$	(2,488,945	)	$	(2,486,695	)	$	2,250
3/11	45 U.S. 10-Year Treasury Note	Short		(5,445,703	)		(5,435,859	)		9,844
3/11	17 U.S. 30-Year Treasury Bond	Short		(2,064,437	)		(2,050,625	)		13,812

									$	25,906

Interest Rate Swaps

Notional

Portfolio

Amount

Pays/Receives

Floating

Annual

Termination

Net Unrealized

Counterparty

(000’s omitted)

Floating Rate

Rate Index

Fixed Rate

Date

Depreciation

Bank of America

ILS 380

Receive

3-month ILS TELBOR

4.20

11/19/14

(206

)

Bank of America

ILS 400

Receive

3-month ILS TELBOR

4.54

1/6/15

(1,150

)

Barclays Bank PLC

ILS 178

Receive

3-month ILS TELBOR

5.15

3/5/20

(1,847

)

Barclays Bank PLC

ILS 181

Receive

3-month ILS TELBOR

5.16

3/8/20

(1,900

)

(5,103

)


ILS		-		Israeli Shekel

Credit Default Swaps — Buy Protection


		Notional		Contract				Net Unrealized
		Amount		Annual			Termination	Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate*			Date	(Depreciation)
Austria	Barclays Bank PLC	$	200		0.44	%	12/20/13	$	998
Austria	Barclays Bank PLC		100		1.42		3/20/14		(2,530	)
Egypt	Bank of America		100		1.00	⁽¹⁾	6/20/15		7,114
Egypt	Citigroup Global Markets		50		1.00	⁽¹⁾	6/20/20		6,330
Egypt	Citigroup Global Markets		50		1.00	⁽¹⁾	6/20/20		6,068
Egypt	Deutsche Bank		150		1.00	⁽¹⁾	6/20/15		11,671
Egypt	Deutsche Bank		50		1.00	⁽¹⁾	6/20/15		3,505
Egypt	Deutsche Bank		50		1.00	⁽¹⁾	6/20/20		6,298
Lebanon	Barclays Bank PLC		100		1.00	⁽¹⁾	12/20/14		3,648
Lebanon	Citigroup Global Markets		150		3.30		9/20/14		438
Lebanon	Citigroup Global Markets		200		1.00	⁽¹⁾	12/20/14		7,115
Lebanon	Citigroup Global Markets		100		1.00	⁽¹⁾	3/20/15		5,041
Lebanon	Credit Suisse		100		1.00	⁽¹⁾	3/20/15		4,407
Lebanon	Credit Suisse		100		1.00	⁽¹⁾	3/20/15		4,373
Lebanon	Deutsche Bank		100		1.00	⁽¹⁾	3/20/15		4,824
Malaysia	Bank of America		100		0.83		12/20/14		(882	)
Malaysia	Barclays Bank PLC		200		2.40		3/20/14		(12,023	)
Malaysia	Barclays Bank PLC		200		0.82		12/20/14		(1,687	)
Malaysia	Citigroup Global Markets		200		2.45		3/20/14		(12,345	)
Philippines	Barclays Bank PLC		300		1.70		12/20/14		(7,374	)
Philippines	Barclays Bank PLC		200		1.84		12/20/14		(6,005	)
Philippines	Barclays Bank PLC		100		1.85		12/20/14		(3,041	)
Philippines	Barclays Bank PLC		72		1.00	⁽¹⁾	3/20/15		(1,386	)
Philippines	Citigroup Global Markets		100		1.84		12/20/14		(3,002	)


		Notional		Contract				Net Unrealized
		Amount		Annual			Termination	Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate*			Date	(Depreciation)
Philippines	Deutsche Bank	$	100		1.00	⁽¹⁾%	3/20/15	$	(2,132	)
Philippines	JPMorgan Chase Bank		300		1.69		12/20/14		(7,258	)
Philippines	JPMorgan Chase Bank		71		1.00	⁽¹⁾	3/20/15		(1,366	)
Russia	Citigroup Global Markets		100		1.00	⁽¹⁾	6/20/15		275
Russia	Credit Suisse		100		1.00	⁽¹⁾	3/20/15		188
Russia	Credit Suisse		100		1.00	⁽¹⁾	6/20/15		350
Russia	Deutsche Bank		100		1.00	⁽¹⁾	6/20/15		350
South Africa	Bank of America		200		1.00	⁽¹⁾	12/20/19		852
South Africa	Barclays Bank PLC		200		1.00	⁽¹⁾	12/20/19		(434	)
South Africa	Citigroup Global Markets		100		1.00	⁽¹⁾	12/20/19		(869	)
South Africa	Credit Suisse		100		1.00	⁽¹⁾	3/20/20		(147	)
South Africa	JPMorgan Chase Bank		100		1.00	⁽¹⁾	12/20/19		(1,101	)
South Africa	JPMorgan Chase Bank		100		1.00	⁽¹⁾	3/20/20		790
South Africa	JPMorgan Chase Bank		100		1.00	⁽¹⁾	3/20/20		649
South Africa	JPMorgan Chase Bank		100		1.00	⁽¹⁾	3/20/20		(906	)
Spain	Barclays Bank PLC		100		1.00	⁽¹⁾	3/20/20		9,503
Spain	Citigroup Global Markets		200		1.00	⁽¹⁾	3/20/20		10,887
Spain	Citigroup Global Markets		100		1.00	⁽¹⁾	3/20/20		8,096
Spain	Deutsche Bank		200		1.00	⁽¹⁾	3/20/20		10,887
Spain	Deutsche Bank		100		1.00	⁽¹⁾	3/20/20		8,235
Thailand	Barclays Bank PLC		200		0.97		9/20/19		6,782
Thailand	Citigroup Global Markets		200		0.86		12/20/14		1,702
Thailand	Citigroup Global Markets		100		0.95		9/20/19		3,541
Thailand	JPMorgan Chase Bank		100		0.87		12/20/14		812
Uruguay	Deutsche Bank		100		1.00	⁽¹⁾	6/20/20		(296	)
Banco Comercial Portugues, S.A.	JPMorgan Chase Bank		70		1.00	⁽¹⁾	3/20/15		20,218
Banco de Sabadell, S.A.	JPMorgan Chase Bank		70		3.00	⁽¹⁾	3/20/15		11,225
Citibank Corp.	Bank of America		420		1.00	⁽¹⁾	9/20/20		(8,718	)
Citibank Corp.	JPMorgan Chase Bank		420		1.00	⁽¹⁾	9/20/20		(10,215	)
Erste Group Bank AG	Barclays Bank PLC		70		1.00	⁽¹⁾	3/20/15		878
ING Verzekeringen N.V.	JPMorgan Chase Bank		70		1.00	⁽¹⁾	3/20/15		2,514
Rabobank Nederland N.V.	JPMorgan Chase Bank		70		1.00	⁽¹⁾	3/20/15		199
Raiffeisen Zentralbank	Barclays Bank PLC		70		1.00	⁽¹⁾	3/20/15		438
iTraxx Europe Subordinated Financials 5-Year Index	JPMorgan Chase Bank	EUR	300		1.00	⁽¹⁾	12/20/15		18,142

								$	105,626



*		The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) annually on the notional amount of the credit default swap contract.

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

EUR	-	Euro

In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:

Credit Risk: The Portfolio enters into credit default swap contracts to manage its credit risk, to gain a particular exposure to credit risk, or to enhance return.

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

Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including futures and interest rate swaps to enhance return, to change the overall duration of the portfolio or to hedge against fluctuations in securities prices due to interest rates.

The fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at January 31, 2011 was as follows:


		Fair Value
		Asset		Liability
Risk	Derivative	Derivatives		Derivatives
Credit	Credit Default Swaps	$	189,343	$	(83,717	)

		$	189,343	$	(83,717	)


Foreign Exchange	Forward Foreign Currency Exchange Contracts	$	560,113	$	(2,532,121	)

		$	560,113	$	(2,532,121	)


Interest Rate	Futures Contracts*	$	25,906	$	—
Interest Rate	Interest Rate Swaps		—		(5,103	)

		$	25,906	$	(5,103	)


*		Amount represents cumulative unrealized appreciation on futures contracts in the Futures Contracts table above.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	160,971,908

Gross unrealized appreciation	$	7,063,301
Gross unrealized depreciation		(1,366,006	)

Net unrealized appreciation	$	5,697,295


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other			Significant
	Identical Assets		Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)		(Level 2)			(Level 3)		Total

Foreign Government Bonds	$	—	$	50,846,844		$	—	$	50,846,844
Collateralized Mortgage Obligations		—		4,811,526			—		4,811,526
Mortgage Pass-Throughs		—		17,809,095			—		17,809,095
Precious Metals		6,377,266		—			—		6,377,266
Short-Term – Foreign Government Securities		—		71,509,486			3,040,708		74,550,194
Short-Term – U.S. Treasury Obligations		—		999,883			—		999,883
Short-Term – Other Securities		—		11,274,395			—		11,274,395


Total Investments	$	6,377,266	$	157,251,229		$	3,040,708	$	166,669,203



Forward Foreign Currency Exchange Contracts	$	—	$	560,113		$	—	$	560,113
Swap Contracts		—		189,343			—		189,343
Futures Contracts		25,906		—			—		25,906


Total	$	6,403,172	$	158,000,685		$	3,040,708	$	167,444,565



Liability Description
Forward Foreign Currency Exchange Contracts	$	—	$	(2,532,121	)	$	—	$	(2,532,121	)
Swap Contracts		—		(88,820	)		—		(88,820	)


Total	$	—	$	(2,620,941	)	$	—	$	(2,620,941	)

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:


	Investments in
	Short-Term Foreign
	Government Securities
Balance as of October 31, 2010	$	—
Realized gains (losses)		—
Change in net unrealized appreciation (depreciation)		(159,398	)
Cost of purchases		2,772,758
Proceeds from sales		—
Accrued discount (premium)		61,665
Transfers to Level 3*		365,683
Transfers from Level 3		—

Balance as of January 31, 2011	$	3,040,708


Change in net unrealized appreciation (depreciation) on investments still held as of January 31, 2011		(159,398	)


*		Transfers are reflected at the value of the securities at the beginning of the period. Transfers from Level 2 to Level 3 were due to the effects of the market closure in Egypt.

At January 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.

Eaton Vance Low Duration Fund as of January 31, 2011 (Unaudited)

Eaton Vance Low Duration Fund (the Fund), a diversified series of Eaton Vance Mutual Funds Trust, pursues its investment objective by investing in one or more registered investment companies (each a Portfolio) managed by Eaton Vance Management or its affiliates. The Fund owns a pro rata interest in the net assets of each Portfolio in which it invests. At January 31, 2011, the Fund owned 96.1% of Investment Portfolio’s outstanding interests, 0.6% of Floating Rate Portfolio’s outstanding interests and 0.6% of Government Obligations Portfolio’s outstanding interests. The Fund’s Schedule of Investments at January 31, 2011 is set forth below.


Investments in Affiliated Portfolios	Value			% of Net Assets

Investment Portfolio (identified cost, $471,546,770)	$	487,655,247			89.3	%

Floating Rate Portfolio (identified cost, $47,340,164)	$	51,683,589			9.5	%

Government Obligations Portfolio (identified cost, $6,005,689)	$	6,852,142			1.3	%


Total Investments in Affiliated Portfolios (identified cost $524,892,623)	$	546,190,978			100.1	%


Other Assets, Less Liabilities	$	(354,500	)		(0.1	)%


Net Assets	$	545,836,478			100.0	%


	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, 2011 and October 31, 2010, the Fund’s investments in the Portfolios were valued based on Level 1 inputs.

The Investment Portfolio’s Portfolio of Investments is set forth below. A copy of the Form N-Q (containing a schedule of investments) for Floating Rate Portfolio and Government Obligations Portfolio at January 31, 2011 is available on the EDGAR database on the Securities and Exchange Commission’s website (www.sec.gov), at the Commission’s public reference room in Washington, DC (call 1-800-732-0330 for information on the operation of the public reference room) or by calling the Fund’s principal underwriter, Eaton Vance Distributors, Inc., at 1-800-262-1122.


Investment Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Mortgage Pass-Throughs — 49.8%


	Principal
	Amount
Security	(000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
2.475%, with maturity at 2020⁽¹⁾	$	1,076	$	1,106,736
2.623%, with maturity at 2023⁽¹⁾		2,460		2,550,500
2.904%, with various maturities to 2037⁽¹⁾		2,853		2,972,505
2.913%, with various maturities to 2022⁽¹⁾		4,770		4,906,291
3.017%, with maturity at 2035⁽¹⁾		7,605		7,891,790
3.108%, with maturity at 2035⁽¹⁾		5,503		5,733,060
3.239%, with maturity at 2034⁽¹⁾		2,784		2,917,568
3.614%, with maturity at 2032⁽¹⁾		2,231		2,319,025
3.657%, with maturity at 2029⁽¹⁾		1,570		1,617,768
3.758%, with maturity at 2022⁽¹⁾		535		557,431
3.816%, with maturity at 2025⁽¹⁾		2,034		2,158,116
3.856%, with maturity at 2034⁽¹⁾		1,144		1,238,396
4.173%, with maturity at 2037⁽¹⁾		2,757		2,969,795
4.353%, with maturity at 2030⁽¹⁾		2,140		2,315,610
4.50%, with maturity at 2018		5,474		5,774,704
4.709%, with maturity at 2033⁽¹⁾		7,356		7,960,551
5.00%, with various maturities to 2018		9,010		9,658,175
5.425%, with maturity at 2032⁽¹⁾		1,028		1,088,708
5.50%, with various maturities to 2018		5,455		5,883,423
6.00%, with various maturities to 2035		12,018		13,246,826
6.50%, with various maturities to 2030		894		990,516
7.00%, with various maturities to 2035		2,506		2,853,249
7.50%, with various maturities to 2017		1,489		1,595,085
8.00%, with various maturities to 2025		484		544,528
9.25%, with maturity at 2017		7		7,424

			$	90,857,780

Federal National Mortgage Association:
2.454%, with maturity at 2031⁽¹⁾	$	5,517	$	5,733,774
2.763%, with maturity at 2019⁽¹⁾		2,800		2,901,147
2.821%, with various maturities to 2037⁽¹⁾		2,122		2,208,618
2.862%, with maturity at 2020⁽¹⁾		946		964,489
2.904%, with various maturities to 2035⁽¹⁾		6,402		6,703,287
2.913%, with maturity at 2032⁽¹⁾		2,927		3,056,910
2.923%, with maturity at 2031⁽¹⁾		7,802		8,031,801
2.924%, with maturity at 2018⁽¹⁾		632		643,098
3.121%, with maturity at 2037⁽¹⁾		6,620		6,961,562
3.129%, with maturity at 2018⁽¹⁾		89		91,506
3.193%, with maturity at 2040⁽¹⁾		1,907		2,004,613
3.261%, with maturity at 2036⁽¹⁾		729		764,868
3.323%, with maturity at 2029⁽¹⁾		568		586,521
3.375%, with maturity at 2018⁽¹⁾		73		74,942
3.578%, with maturity at 2030⁽¹⁾		1,284		1,333,446
3.66%, with maturity at 2036⁽¹⁾		2,649		2,752,378
3.69%, with maturity at 2034⁽¹⁾		8,259		8,867,392
3.797%, with maturity at 2030⁽¹⁾		1,816		1,935,433
3.799%, with maturity at 2030⁽¹⁾		4,741		4,973,761
3.855%, with maturity at 2035⁽¹⁾		3,587		3,862,641
3.923%, with maturity at 2034⁽¹⁾		5,420		5,839,606
4.004%, with maturity at 2021⁽¹⁾		1,166		1,224,657
4.025%, with maturity at 2036⁽¹⁾		722		751,996
4.103%, with maturity at 2033⁽¹⁾		1,908		2,065,172
4.106%, with various maturities to 2021⁽¹⁾		3,268		3,408,587
4.447%, with various maturities to 2036⁽¹⁾		6,821		7,381,320


	Principal
	Amount
Security	(000’s omitted)		Value
4.50%, with various maturities to 2018	$	15,526	$	16,413,827
4.596%, with maturity at 2035⁽¹⁾		4,852		5,250,517
4.612%, with maturity at 2029⁽¹⁾		4,320		4,675,456
4.803%, with maturity at 2034⁽¹⁾		2,393		2,588,965
4.902%, with maturity at 2034⁽¹⁾		5,577		6,034,844
5.00%, with various maturities to 2019⁽²⁾		20,679		22,146,256
5.50%, with various maturities to 2020		3,082		3,323,257
6.00%, with various maturities to 2031		3,564		3,903,233
6.323%, with maturity at 2032⁽¹⁾		796		861,532
6.50%, with various maturities to 2019		1,355		1,439,165
7.00%, with various maturities to 2033		5,575		6,305,986
8.00%, with maturity at 2023		187		218,154
9.434%, with maturity at 2018⁽³⁾		455		521,758
9.50%, with maturity at 2022		727		862,614

			$	159,669,089

Government National Mortgage Association:
2.125%, with various maturities to 2027⁽¹⁾	$	1,159	$	1,200,243
8.25%, with maturity at 2020		348		403,716
9.00%, with maturity at 2017		360		409,558

			$	2,013,517


Total Mortgage Pass-Throughs (identified cost $245,430,163)			$	252,540,386

Collateralized Mortgage Obligations — 5.0%


	Principal
	Amount
Security	(000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Series 1395, Class F, 2.221%, 10/15/22⁽⁴⁾	$	108	$	107,973
Series 2135, Class JZ, 6.00%, 3/15/29		5,488		5,989,016

			$	6,096,989

Federal National Mortgage Association:
Series G93-17, Class FA, 1.281%, 4/25/23⁽⁴⁾	$	232	$	235,912
Series G93-36, Class ZQ, 6.50%, 12/25/23		1,057		1,174,331
Series G97-4, Class FA, 1.081%, 6/17/27⁽⁴⁾		785		796,311
Series 296, (Interest Only), Class 2, 4.367%, 4/1/24⁽⁵⁾		3,254		798,299
Series 1993-203, Class PL, 6.50%, 10/25/23		1,324		1,472,486
Series 1993-250, Class Z, 7.00%, 12/25/23		372		401,879
Series 1994-14, Class F, 3.171%, 10/25/23⁽⁴⁾		1,310		1,348,946
Series 2001-4, Class GA, 9.887%, 4/17/25⁽³⁾		236		272,685
Series 2005-68, (Interest Only), Class XI, 2.961%, 8/25/35⁽⁵⁾		16,076		4,087,905
Series 2009-48, Class WA, 5.857%, 7/25/39⁽³⁾		2,832		3,096,553
Series 2009-62, Class WA, 5.553%, 8/25/39⁽³⁾		3,937		4,290,675

			$	17,975,982

Government National Mortgage Association:
Series 2000-30, Class F, 0.811%, 12/16/22⁽⁴⁾	$	1,334	$	1,345,947


Total Collateralized Mortgage Obligations (identified cost $24,801,534)			$	25,418,918

Commercial Mortgage-Backed Securities — 7.3%


	Principal
	Amount
Security	(000’s omitted)		Value
BSCMS, Series 2004-PWR5, Class A3, 4.565%, 7/11/42	$	3,500	$	3,538,577
BSCMS, Series 2004-T16, Class A4, 4.32%, 2/13/46		3,796		3,832,914
COMM, Series 2004-LB4A, Class A3, 4.405%, 10/15/37		8,807		8,883,307
COMM, Series 2005-LP5, Class A2, 4.63%, 5/10/43		924		933,667
GECMC, Series 2002-3A, Class A1, 4.229%, 12/10/37		217		218,237
GMACC, Series 2002-C2, Class A2, 5.389%, 10/15/38		174		175,595
GMACC, Series 2003-C2, Class A1, 4.576%, 5/10/40		736		765,586
JPMCC, Series 2004-CBX, Class A4, 4.529%, 1/12/37		8,630		8,757,030
LB-UBS, Series 2004-C2, Class A2, 3.246%, 3/15/29		143		142,783
MSC, Series 2004-IQ7, Class A3, 5.35%, 6/15/38⁽³⁾		9,650		9,847,845


Total Commercial Mortgage-Backed Securities (identified cost $37,227,472)			$	37,095,541

U.S. Government Agency Obligations — 35.6%


	Principal
	Amount
Security	(000’s omitted)		Value
Federal Farm Credit Bank:
5.75%, 12/7/28	$	5,000	$	5,609,760
5.77%, 1/5/27		3,000		3,406,425

			$	9,016,185

Federal Home Loan Bank:
4.125%, 12/13/19	$	25,000	$	25,796,550
4.125%, 3/13/20		20,000		20,690,740
4.50%, 9/13/19		25,000		26,448,925
4.625%, 9/11/20		1,735		1,846,389
5.365%, 9/9/24		8,000		8,896,560
5.375%, 9/30/22		10,135		11,486,056
5.375%, 8/15/24		3,500		3,898,146
5.75%, 6/12/26		12,000		13,790,304

			$	112,853,670

United States Agency for International Development – Israel:
0.00%, 2/15/18	$	5,050	$	4,058,635
0.00%, 3/15/18		4,030		3,225,447
0.00%, 5/1/18		5,710		4,539,661
0.00%, 5/1/20		1,100		778,131
0.00%, 3/15/21		20,000		13,404,700
5.50%, 12/4/23		6,775		7,684,191
5.50%, 4/26/24		22,000		24,972,464

			$	58,663,229


Total U.S. Government Agency Obligations (identified cost $175,689,781)			$	180,533,084

Short-Term Investments — 1.5%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽⁶⁾	$	7,556	$	7,556,070


Total Short-Term Investments (identified cost $7,556,070)			$	7,556,070


Total Investments — 99.2% (identified cost $490,705,020)			$	503,143,999


Other Assets, Less Liabilities — 0.8%			$	4,114,873


Net Assets — 100.0%			$	507,258,872


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

BSCMS	-	Bear Stearns Commercial Mortgage Securities, Inc.

COMM	-	Commercial Mortgage Pass-Through Certificate

GECMC	-	General Electric Commercial Mortgage Corp.

GMACC	-	GMAC Commercial Mortgage Securities, Inc.

JPMCC	-	JPMorgan Chase Commercial Mortgage Securities Corp.

LB-UBS	-	LB-UBS Commercial Mortgage Trust

MSC	-	Morgan Stanley Capital I

(1)		Adjustable rate mortgage.

(2)		Security (or a portion thereof) has been pledged to cover margin requirements on open financial futures contracts.

(3)		Weighted average fixed-rate coupon that changes/updates monthly.

(4)		Variable rate security. The stated interest rate represents the rate in effect at January 31, 2011.

(5)		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. The interest rate shown represents the yield based on the estimated timing and amount of future cash flows at period-end.

(6)		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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC, for the fiscal year to date ended January 31, 2011 was $12,187.

A summary of open financial instruments at January 31, 2011 is as follows:

Futures Contracts


Expiration			Aggregate						Net Unrealized
Date	Contracts	Position	Cost			Value			Appreciation
3/11	300 U.S. 2-Year Treasury Note	Short	$	(65,841,027	)	$	(65,756,250	)	$	84,777
3/11	500 U.S. 5-Year Treasury Note	Short		(60,007,813	)		(59,207,032	)		800,781
3/11	500 U.S. 10-Year Treasury Note	Short		(62,289,063	)		(60,398,438	)		1,890,625
3/11	300 U.S. 30-Year Treasury Bond	Short		(38,118,750	)		(36,187,500	)		1,931,250
3/11	60 U.S. Ultra Long Treasury Bond	Short		(7,837,500	)		(7,389,375	)		448,125

									$	5,155,558

At January 31, 2011, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	492,282,326

Gross unrealized appreciation	$	11,645,976
Gross unrealized depreciation		(784,303	)

Net unrealized appreciation	$	10,861,673


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs

Asset Description	(Level 1)		(Level 2)		(Level 3)		Total

Mortgage Pass-Throughs	$	—	$	252,540,386	$	—	$	252,540,386
Collateralized Mortgage Obligations		—		25,418,918		—		25,418,918
Commercial Mortgage-Backed Securities		—		37,095,541		—		37,095,541
U.S. Government Agency Obligations		—		180,533,084		—		180,533,084
Short-Term Investments		—		7,556,070		—		7,556,070


Total Investments	$	—	$	503,143,999	$	—	$	503,143,999


Futures Contracts	$	5,155,558	$	—	$	—	$	5,155,558


Total	$	5,155,558	$	503,143,999	$	—	$	508,299,557

Eaton Vance Strategic Income Fund as of January 31, 2011 (Unaudited)

Eaton Vance Strategic Income Fund (the Fund), a non-diversified series of Eaton Vance Mutual Funds Trust, pursues its investment objective by investing in one or more registered investment companies (each a Portfolio) managed by Eaton Vance Management or its affiliates. The Fund owns a pro rata interest in the net assets of each Portfolio in which it invests. At January 31, 2011, the Fund owned 8.6% of Boston Income Portfolio’s outstanding interests, 23.8% of Emerging Markets Local Income Portfolio’s outstanding interests, 8.0% of Floating Rate Portfolio’s outstanding interests, 14.3% of Global Macro Absolute Return Advantage Portfolio’s outstanding interests, 12.7% of Global Macro Portfolio’s outstanding interests, 85.9% of Global Opportunities Portfolio’s outstanding interests, 17.6% of High Income Opportunities Portfolio’s outstanding interests, 80.8% of International Income Portfolio’s outstanding interests and 0.02% of Investment Portfolio’s outstanding interests. The Fund’s Portfolio of Investments at January 31, 2011 is set forth below.


Eaton Vance Strategic Income Fund	January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Investments in Affiliated Portfolios — 99.8%


Description	Value
Boston Income Portfolio (identified cost, $239,694,631)	$	265,928,039
Emerging Markets Local Income Portfolio (identified cost, $123,511,572)		129,974,430
Floating Rate Portfolio (identified cost, $603,451,758)		643,801,310
Global Macro Absolute Return Advantage Portfolio (identified cost, $82,591,090)		82,800,468
Global Macro Portfolio (identified cost, $1,128,229,732)		1,163,658,956
Global Opportunities Portfolio (identified cost, $411,334,004)		414,101,961
High Income Opportunities Portfolio (identified cost, $135,901,030)		157,264,378
International Income Portfolio (identified cost, $134,140,838)		138,030,834
Investment Portfolio (identified cost, $0)		100,240


Total Investments in Affiliated Portfolios (identified cost $2,858,854,655)	$	2,995,660,616

Short-Term Investments — 0.3%


	Principal
Description	Amount		Value
State Street Bank and Trust Euro Time Deposit, 0.01%, 2/1/11	$	8,910,106	$	8,910,106


Total Short-Term Investments⁽¹⁾(identified cost $8,910,106)			$	8,910,106


Total Investments — 100.1% (identified cost $2,867,764,761)			$	3,004,570,722


Other Assets, Less Liabilities — (0.1)%			$	(3,330,255	)


Net Assets — 100.0%			$	3,001,240,467

The Fund did not have any open financial instruments at January 31, 2011.


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Fund’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs

Asset Description	(Level 1)		(Level 2)		(Level 3)		Total

Investments in Affiliated Portfolios	$	2,995,660,616	$	—	$	—	$	2,995,660,616
Short-Term Investments		—		8,910,106		—		8,910,106


Total Investments	$	2,995,660,616	$	8,910,106	$	—	$	3,004,570,722


Global Macro Portfolio	as of January 31, 2011

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

Foreign Government Bonds — 15.3%


	Principal
Security	Amount		Value
Albania — 0.0%⁽¹⁾
Republic of Albania, 7.50%, 11/4/15	EUR	1,000,000	$	1,303,500


Total Albania			$	1,303,500

Bermuda — 0.4%
Government of Bermuda, 5.603%, 7/20/20⁽²⁾	USD	38,232,000	$	40,073,750


Total Bermuda			$	40,073,750

Brazil — 0.1%
Nota Do Tesouro Nacional, 6.00%, 5/15/15⁽³⁾	BRL	13,250,188	$	7,821,982


Total Brazil			$	7,821,982

Chile — 1.9%
Government of Chile, 3.00%, 1/1/15⁽³⁾	CLP	28,510,810,125	$	59,639,059
Government of Chile, 6.00%, 3/1/17	CLP	2,390,000,000		4,789,232
Government of Chile, 6.00%, 3/1/18	CLP	56,865,000,000		112,910,104


Total Chile			$	177,338,395

Colombia — 0.9%
Titulos De Tesoreria B, 9.25%, 8/15/12	COP	38,333,400,000	$	21,948,433
Titulos De Tesoreria B, 11.00%, 5/18/11	COP	107,863,000,000		59,098,272


Total Colombia			$	81,046,705

Congo — 0.0%⁽¹⁾
Republic of Congo, 3.00%, 6/30/29	USD	2,802,500	$	1,695,512


Total Congo			$	1,695,512

Costa Rica — 0.0%⁽¹⁾
Titulo Propiedad Ud, 1.00%, 1/12/22⁽³⁾	CRC	1,323,697,537	$	2,004,246
Titulo Propiedad Ud, 1.63%, 7/13/16⁽³⁾	CRC	147,566,587		265,712


Total Costa Rica			$	2,269,958

Dominican Republic — 0.9%
Dominican Republic, 16.00%, 7/10/20⁽²⁾	DOP	585,000,000	$	16,414,734
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank, N.A.), 16.00%, 7/10/20⁽⁴⁾	DOP	2,439,100,000		67,881,549


Total Dominican Republic			$	84,296,283

Georgia — 0.1%
Republic of Georgia, 7.50%, 4/15/13	USD	4,764,000	$	4,990,290


Total Georgia			$	4,990,290

Germany — 0.2%
Bundesrepublik Deutschland, 3.50%, 7/4/19	EUR	15,000,000	$	21,238,479


Total Germany			$	21,238,479


	Principal
Security	Amount		Value
Greece — 0.2%
Hellenic Republic Government Bond, 3.70%, 7/20/15	EUR	5,000,000	$	4,834,470
Hellenic Republic Government Bond, 6.10%, 8/20/15	EUR	9,775,000		10,531,887


Total Greece			$	15,366,357

Israel — 0.3%
Israel Government Bond, 3.00%, 10/31/19⁽³⁾	ILS	54,382,282	$	15,936,472
Israel Government Bond, 5.00%, 4/30/15⁽³⁾	ILS	45,902,307		14,499,273


Total Israel			$	30,435,745

Macedonia — 0.1%
Republic of Macedonia, 4.625%, 12/8/15	EUR	6,594,000	$	8,514,384


Total Macedonia			$	8,514,384

Pakistan — 0.1%
Republic of Pakistan, 7.125%, 3/31/16⁽⁵⁾	USD	7,700,000	$	6,629,969


Total Pakistan			$	6,629,969

Philippines — 0.8%
Philippine Government International Bond, 6.25%, 1/14/36	PHP	3,480,000,000	$	71,753,451


Total Philippines			$	71,753,451

Poland — 0.3%
Poland Government Bond, 3.00%, 8/24/16⁽³⁾	PLN	85,571,205	$	30,452,041


Total Poland			$	30,452,041

Slovakia — 1.9%
Slovakia Government Bond, 0.00%, 1/27/12	EUR	125,407,000	$	169,036,576


Total Slovakia			$	169,036,576

South Africa — 2.8%
Republic of South Africa, 2.50%, 1/31/17⁽³⁾	ZAR	224,364,029	$	31,990,212
Republic of South Africa, 2.60%, 3/31/28⁽³⁾	ZAR	372,051,425		51,170,493
Republic of South Africa, 2.75%, 1/31/22⁽³⁾	ZAR	377,047,240		52,771,720
Republic of South Africa, 5.50%, 12/7/23⁽³⁾	ZAR	226,870,070		41,166,516
Republic of South Africa, 6.50%, 6/2/14	USD	67,231,000		74,962,565


Total South Africa			$	252,061,506

Sri Lanka — 0.4%
Republic of Sri Lanka, 6.25%, 10/4/20⁽²⁾	USD	36,130,000	$	36,130,000


Total Sri Lanka			$	36,130,000

Taiwan — 1.0%
Taiwan Government Bond, 0.25%, 10/21/11	TWD	287,500,000	$	9,888,463
Taiwan Government Bond, 0.25%, 2/10/12	TWD	2,450,100,000		84,201,319


Total Taiwan			$	94,089,782

Turkey — 1.8%
Turkey Government Bond, 4.00%, 4/1/20⁽³⁾	TRY	236,796,565	$	160,132,303


Total Turkey			$	160,132,303


	Principal
Security	Amount		Value
Uruguay — 0.1%
Republic of Uruguay, 5.00%, 9/14/18⁽³⁾	UYU	183,392,202	$	10,506,087


Total Uruguay			$	10,506,087

Venezuela — 1.0%
Bolivarian Republic of Venezuela, 7.00%, 3/31/38⁽⁵⁾	USD	103,797,000	$	57,866,827
Bolivarian Republic of Venezuela, 9.25%, 5/7/28⁽⁵⁾	USD	43,665,000		29,473,875


Total Venezuela			$	87,340,702


Total Foreign Government Bonds (identified cost $1,379,525,286)			$	1,394,523,757

Foreign Corporate Bonds & Notes — 0.0%⁽¹⁾


	Principal
Security	Amount		Value
Chile — 0.0%⁽¹⁾
JPMorgan Chilean Inflation Linked Note, 3.80%, 11/17/15⁽³⁾	USD	3,592,543	$	3,896,300


Total Chile (identified cost $3,000,000)			$	3,896,300


Total Foreign Corporate Bonds & Notes (identified cost $3,000,000)			$	3,896,300

Debt Obligations – United States — 30.8%

Corporate Bonds & Notes — 0.0%⁽¹⁾


	Principal
Security	Amount		Value
Eaton Corp., 8.875%, 6/15/19	$	500,000	$	638,399


Total Corporate Bonds & Notes (identified cost $529,231)			$	638,399

Collateralized Mortgage Obligations — 1.4%


	Principal
Security	Amount		Value
Federal Home Loan Mortgage Corp.:
Series 4, Class D, 8.00%, 12/25/22	$	359,531	$	408,735
Series 1548, Class Z, 7.00%, 7/15/23		419,633		429,692
Series 1650, Class K, 6.50%, 1/15/24		2,710,132		2,974,830
Series 1817, Class Z, 6.50%, 2/15/26		382,393		407,393
Series 1927, Class ZA, 6.50%, 1/15/27		1,312,487		1,331,465
Series 2127, Class PG, 6.25%, 2/15/29		1,707,718		1,817,095
Series 2344, Class ZD, 6.50%, 8/15/31		2,585,373		2,843,674
Series 2458, Class ZB, 7.00%, 6/15/32		3,787,645		4,263,244

			$	14,476,128

Federal National Mortgage Association:
Series 1992-180, Class F, 1.431%, 10/25/22⁽⁶⁾	$	1,499,654	$	1,528,510
Series 1993-16, Class Z, 7.50%, 2/25/23		1,458,620		1,665,825
Series 1993-79, Class PL, 7.00%, 6/25/23		1,082,911		1,214,846
Series 1993-104, Class ZB, 6.50%, 7/25/23		418,821		465,154
Series 1993-121, Class Z, 7.00%, 7/25/23		6,508,163		7,298,556
Series 1993-141, Class Z, 7.00%, 8/25/23		1,127,333		1,263,683
Series 1994-42, Class ZQ, 7.00%, 4/25/24		6,878,756		7,729,900


	Principal
Security	Amount		Value
Series 1994-79, Class Z, 7.00%, 4/25/24	$	1,317,857	$	1,480,501
Series 1994-89, Class ZQ, 8.00%, 7/25/24		920,721		1,069,332
Series 1996-35, Class Z, 7.00%, 7/25/26		337,497		380,869
Series 1998-16, Class H, 7.00%, 4/18/28		887,769		1,004,678
Series 1998-44, Class ZA, 6.50%, 7/20/28		1,576,377		1,759,561
Series 1999-25, Class Z, 6.00%, 6/25/29		2,704,048		2,977,600
Series 2000-2, Class ZE, 7.50%, 2/25/30		412,977		475,058
Series 2000-49, Class A, 8.00%, 3/18/27		1,200,917		1,403,369
Series 2001-31, Class ZA, 6.00%, 7/25/31		15,674,599		17,280,561
Series 2001-37, Class GA, 8.00%, 7/25/16		113,707		124,227
Series 2001-74, Class QE, 6.00%, 12/25/31		6,244,271		6,782,745
Series 2009-48, Class WA, 5.857%, 7/25/39⁽⁷⁾		14,927,989		16,323,382
Series G48, Class Z, 7.10%, 12/25/21		1,109,056		1,240,348
Series G92-60, Class Z, 7.00%, 10/25/22		2,959,316		3,298,908
Series G93-1, Class K, 6.675%, 1/25/23		1,693,851		1,883,522
Series G93-31, Class PN, 7.00%, 9/25/23		5,211,589		5,905,568
Series G93-41, Class ZQ, 7.00%, 12/25/23		10,742,206		12,173,873
Series G94-7, Class PJ, 7.50%, 5/17/24		1,687,086		1,943,491

			$	98,674,067

Government National Mortgage Association:
Series 1994-7, Class PQ, 6.50%, 10/16/24	$	1,227,606	$	1,353,447
Series 1996-22, Class Z, 7.00%, 10/16/26		949,704		1,068,552
Series 1999-42, Class Z, 8.00%, 11/16/29		2,462,247		2,810,795
Series 2001-21, Class Z, 9.00%, 3/16/30		3,591,241		4,338,313
Series 2001-35, Class K, 6.45%, 10/26/23		391,586		433,660
Series 2002-48, Class OC, 6.00%, 9/16/30		2,519,347		2,604,734

			$	12,609,501

Total Collateralized Mortgage Obligations (identified cost $120,354,081)			$	125,759,696

Commercial Mortgage-Backed Securities — 0.6%


	Principal
Security	Amount		Value
ASC, Series 1996-MD6, Class A7, 8.631%, 11/13/29⁽⁷⁾	$	3,926,409	$	4,072,065
GSMS, Series 2001-ROCK, Class B, 6.771%, 5/3/18⁽²⁾		3,890,000		3,909,867
GSMS, Series 2001-ROCK, Class C, 6.878%, 5/3/18⁽²⁾		8,155,000		8,197,376
GSMS, Series 2001-ROCK, Class G, 6.878%, 5/3/18⁽²⁾⁽⁷⁾		3,935,000		3,955,452
JPMCC, Series 2005-LDP5, Class AM, 5.247%, 12/15/44⁽⁷⁾		9,960,000		10,402,462
MLMT, Series 2006-C2, Class A2, 5.756%, 8/12/43⁽⁷⁾		6,895,438		7,262,810
WBCMT, Series 2004-C12, Class MAD, 5.439%, 7/15/41⁽²⁾⁽⁷⁾		9,728,368		10,707,626
WBCMT, Series 2005-C17, Class A4, 5.083%, 3/15/42⁽⁷⁾		6,000,000		6,400,108


Total Commercial Mortgage-Backed Securities (identified cost $53,469,380)			$	54,907,766

Mortgage Pass-Throughs — 11.9%


	Principal
Security	Amount		Value
Federal Home Loan Mortgage Corp.:
3.108%, with maturity at 2035⁽⁸⁾	$	7,534,329	$	7,849,881
3.657%, with maturity at 2029⁽⁸⁾		1,570,453		1,617,768
4.022%, with maturity at 2023⁽⁸⁾		546,407		575,821
4.353%, with maturity at 2030⁽⁸⁾		2,060,395		2,229,735
4.50%, with maturity at 2018		5,474,076		5,774,704
5.00%, with various maturities to 2019		7,047,312		7,552,595
5.50%, with various maturities to 2019		19,086,206		20,613,220
6.00%, with various maturities to 2035		55,815,258		61,551,577
6.50%, with various maturities to 2033		68,857,809		76,841,835


	Principal
Security	Amount		Value
6.60%, with maturity at 2030	$	3,011,351	$	3,385,053
7.00%, with various maturities to 2036		55,781,454		63,423,035
7.31%, with maturity at 2026		353,245		397,885
7.50%, with various maturities to 2035		34,269,101		39,573,789
7.95%, with maturity at 2022		515,972		601,602
8.00%, with various maturities to 2031		6,592,222		7,723,000
8.15%, with maturity at 2021		265,138		299,884
8.30%, with maturity at 2021		97,660		114,041
8.47%, with maturity at 2018		193,918		216,076
8.50%, with various maturities to 2028		1,513,096		1,798,960
9.00%, with various maturities to 2027		2,685,425		3,147,474
9.50%, with various maturities to 2027		284,055		344,856
9.75%, with various maturities to 2020		6,897		7,984
10.00%, with various maturities to 2020		900,100		1,042,805
10.50%, with maturity at 2021		481,333		565,833
11.00%, with maturity at 2016		643,359		726,498
13.25%, with maturity at 2013		217		219

			$	307,976,130

Federal National Mortgage Association:
2.447%, with maturity at 2028⁽⁸⁾	$	276,145	$	288,015
2.821%, with maturity at 2022⁽⁸⁾		3,018,338		3,112,945
2.845%, with maturity at 2027⁽⁸⁾		493,158		509,754
2.876%, with maturity at 2038⁽⁸⁾		1,743,206		1,818,288
2.904%, with various maturities to 2035⁽⁸⁾		29,539,711		30,889,798
2.913%, with various maturities to 2035⁽⁸⁾		32,245,460		33,521,004
3.054%, with maturity at 2025⁽⁸⁾		1,755,850		1,830,092
3.254%, with maturity at 2024⁽⁸⁾		1,414,414		1,482,276
3.69%, with maturity at 2034⁽⁸⁾		4,574,537		4,911,291
3.855%, with maturity at 2035⁽⁸⁾		16,539,357		17,811,068
3.907%, with maturity at 2023⁽⁸⁾		164,650		172,975
4.447%, with maturity at 2035⁽⁸⁾		12,227,373		13,232,316
4.50%, with various maturities to 2018		7,144,561		7,550,605
5.00%, with various maturities to 2019⁽⁹⁾		36,653,988		39,228,418
5.50%, with various maturities to 2023⁽⁹⁾		30,349,370		32,735,344
6.00%, with various maturities to 2033		33,779,596		36,882,737
6.323%, with maturity at 2032⁽⁸⁾		5,191,970		5,618,688
6.50%, with various maturities to 2036		164,482,592		181,353,784
6.852%, with maturity at 2025⁽⁸⁾		355,524		376,634
7.00%, with various maturities to 2036		156,734,929		178,081,255
7.50%, with various maturities to 2034		22,771,546		25,858,775
8.00%, with various maturities to 2030		8,725,010		10,255,315
8.50%, with various maturities to 2037		13,360,890		16,063,503
9.00%, with various maturities to 2032		4,679,019		5,549,175
9.074%, with maturity at 2028⁽⁷⁾		737,630		840,824
9.50%, with various maturities to 2031		4,130,482		4,971,063
10.50%, with maturity at 2029		402,867		484,559
10.866%, with maturity at 2027⁽⁷⁾		745,881		867,431
11.00%, with maturity at 2016		29,446		32,448
11.50%, with maturity at 2031		652,977		828,564

			$	657,158,944

Government National Mortgage Association:
2.125%, with maturity at 2024⁽⁸⁾	$	724,157	$	752,676
6.50%, with various maturities to 2032		7,589,354		8,499,712
7.00%, with various maturities to 2035		59,446,782		68,086,270
7.50%, with various maturities to 2031		9,109,407		10,553,877
7.75%, with maturity at 2019		37,063		42,795
8.00%, with various maturities to 2034		25,266,488		29,351,991
8.30%, with various maturities to 2020		166,239		187,584
8.50%, with various maturities to 2021		1,529,220		1,733,518


	Principal
Security	Amount		Value
9.00%, with various maturities to 2025	$	532,063	$	626,591
9.50%, with various maturities to 2026		1,788,971		2,176,235

			$	122,011,249


Total Mortgage Pass-Throughs (identified cost $1,050,042,026)			$	1,087,146,323

U.S. Government Agency Obligations — 4.1%


	Principal
Security	Amount		Value
Federal Home Loan Bank:
4.125%, 12/13/19	$	20,000,000	$	20,637,240
4.125%, 3/13/20		65,000,000		67,244,905
4.50%, 9/13/19		48,275,000		51,072,874
4.625%, 9/11/20		19,325,000		20,565,684
5.25%, 12/11/20		11,545,000		12,867,722
5.25%, 12/9/22		12,150,000		13,464,156
5.365%, 9/9/24		12,700,000		14,123,289
5.375%, 5/15/19		27,930,000		31,471,692
5.375%, 9/30/22		49,780,000		56,415,973
5.375%, 8/15/24		22,000,000		24,502,632
5.625%, 6/11/21		12,850,000		14,624,380
5.75%, 6/12/26		14,850,000		17,065,501

			$	344,056,048

United States Agency for International Development – Israel:
5.50%, 12/4/23	$	5,000,000	$	5,670,990
5.50%, 4/26/24		22,500,000		25,540,020

			$	31,211,010


Total U.S. Government Agency Obligations (identified cost $373,221,441)			$	375,267,058

U.S. Treasury Obligations — 12.8%


	Principal
Security	Amount		Value
U.S. Treasury Bond, 7.875%, 2/15/21	$	1,500,000	$	2,083,125
U.S. Treasury Note, 0.875%, 4/30/11		95,000,000		95,174,420
U.S. Treasury Note, 1.00%, 9/30/11		100,000,000		100,535,200
U.S. Treasury Note, 1.00%, 10/31/11		100,000,000		100,582,100
U.S. Treasury Note, 1.00%, 3/31/12⁽⁹⁾		100,000,000		100,781,700
U.S. Treasury Note, 1.125%, 1/15/12		100,000,000		100,796,900
U.S. Treasury Note, 1.75%, 11/15/11		100,000,000		101,191,400
U.S. Treasury Note, 4.50%, 2/28/11⁽⁹⁾		100,000,000		100,336,000
U.S. Treasury Note, 4.625%, 8/31/11⁽⁹⁾		100,000,000		102,558,600
U.S. Treasury Note, 4.625%, 12/31/11		100,000,000		103,964,900
U.S. Treasury Note, 4.875%, 7/31/11		100,000,000		102,339,900
U.S. Treasury Note, 4.875%, 2/15/12		50,000,000		52,361,350
U.S. Treasury Note, 5.125%, 6/30/11		100,000,000		102,043,000


Total U.S. Treasury Obligations (identified cost $1,161,737,594)			$	1,164,748,595


Total Debt Obligations – United States (identified cost $2,759,353,753)			$	2,808,467,837

Common Stocks — 0.0%⁽¹⁾


Security	Shares		Value
Indonesia — 0.0%⁽¹⁾
APP China		8,155	$	122,325


Total Indonesia (identified cost $1,522,635)			$	122,325


Total Common Stocks (identified cost $1,522,635)			$	122,325

Precious Metals — 1.0%


	Troy
Description	Ounces		Value
Gold		66,263	$	88,208,043


Total Precious Metals (identified cost $84,548,233)			$	88,208,043

Currency Options Purchased — 0.0%⁽¹⁾

Principal

Amount of

Contracts

Strike

Expiration

Description

(000’s omitted)

Price

Date

Value

Euro Put Option

EUR 193,597

EUR 1.17

5/3/12

4,410,920

Total Currency Options Purchased
(identified cost $8,845,661)

4,410,920

Put Options Purchased — 0.1%

Number

Strike

Expiration

Description

of Contracts

Price

Date

Value

KOSPI 200 Index

801,640,000

KRW

205

10/13/11

1,532,552

KOSPI 200 Index

801,640,000

KRW

200

10/11/12

4,454,609

KOSPI 200 Index

134,100,000

KRW

200

12/13/12

812,276

Light Sweet Crude Oil Future 12/11

160

USD

11/15/11

600,000

Total Put Options Purchased
(identified cost $16,802,504)

7,399,437

Short-Term Investments — 47.5%

Foreign Government Securities — 40.8%


	Principal
	Amount
Security	(000’s omitted)		Value
Brazil — 2.9%
Letras Do Tesouro Nacional, 0.00%, 7/1/11	BRL	455,776	$	260,814,224


Total Brazil			$	260,814,224

Croatia — 4.0%
Croatia Treasury Bill, 0.00%, 2/17/11	EUR	300	$	410,523
Croatia Treasury Bill, 0.00%, 4/7/11	EUR	15,742		21,498,203
Croatia Treasury Bill, 0.00%, 4/14/11	EUR	7,500		10,238,951
Croatia Treasury Bill, 0.00%, 5/5/11	EUR	46,811		63,835,571
Croatia Treasury Bill, 0.00%, 6/2/11	EUR	33,700		45,879,672
Croatia Treasury Bill, 0.00%, 6/9/11	EUR	58,408		79,481,518
Croatia Treasury Bill, 0.00%, 6/16/11	EUR	14,581		19,832,619


	Principal
	Amount
Security	(000’s omitted)		Value
Croatia Treasury Bill, 0.00%, 6/30/11	EUR	29,000	$	39,406,775
Croatia Treasury Bill, 0.00%, 7/7/11	EUR	4,750		6,451,371
Croatia Treasury Bill, 0.00%, 7/28/11	EUR	2,700		3,661,254
Croatia Treasury Bill, 0.00%, 8/4/11	EUR	998		1,352,557
Croatia Treasury Bill, 0.00%, 8/25/11	EUR	6,011		8,132,273
Croatia Treasury Bill, 0.00%, 9/1/11	EUR	4,450		6,016,743
Croatia Treasury Bill, 0.00%, 9/8/11	EUR	33,115		44,746,373
Croatia Treasury Bill, 0.00%, 9/15/11	EUR	9,706		13,106,781


Total Croatia			$	364,051,184

Egypt — 2.1%
Egypt Treasury Bill, 0.00%, 5/24/11⁽¹⁰⁾	EGP	94,000	$	15,189,850
Egypt Treasury Bill, 0.00%, 6/14/11⁽¹⁰⁾	EGP	85,925		13,790,317
Egypt Treasury Bill, 0.00%, 6/28/11⁽¹⁰⁾	EGP	221,850		35,433,815
Egypt Treasury Bill, 0.00%, 7/12/11⁽¹⁰⁾	EGP	341,675		54,319,745
Egypt Treasury Bill, 0.00%, 7/26/11⁽¹⁰⁾	EGP	160,875		25,458,560
Egypt Treasury Bill, 0.00%, 8/2/11⁽¹⁰⁾	EGP	100,000		15,787,591
Egypt Treasury Bill, 0.00%, 8/9/11⁽¹⁰⁾	EGP	117,550		18,514,909
Egypt Treasury Bill, 0.00%, 10/4/11⁽¹⁰⁾	EGP	116,700		18,049,882


Total Egypt			$	196,544,669

Georgia — 0.1%
Bank of Georgia Promissory Note, 9.00%, 12/7/11	USD	5,875	$	5,875,000


Total Georgia			$	5,875,000

Hong Kong — 3.0%
Hong Kong Treasury Bill, 0.00%, 2/9/11	HKD	1,045,500	$	134,095,319
Hong Kong Treasury Bill, 0.00%, 5/11/11	HKD	1,045,500		134,037,887
Hong Kong Treasury Bill, 0.00%, 6/22/11	HKD	36,000		4,613,982


Total Hong Kong			$	272,747,188

Iceland — 0.1%
Iceland Treasury Bill, 0.00%, 2/15/11	ISK	212,594	$	1,556,447
Iceland Treasury Bill, 0.00%, 3/15/11	ISK	695,502		5,075,463
Iceland Treasury Bill, 0.00%, 4/15/11	ISK	724,690		5,277,963


Total Iceland			$	11,909,873

Indonesia — 0.5%
Indonesia Treasury Bill, 0.00%, 2/10/11	IDR	222,405,000	$	24,547,415
Indonesia Treasury Bill, 0.00%, 3/3/11	IDR	10,000,000		1,099,723
Indonesia Treasury Bill, 0.00%, 5/5/11	IDR	158,107,000		17,194,182


Total Indonesia			$	42,841,320

Israel — 7.6%
Israel Treasury Bill, 0.00%, 3/2/11	ILS	164,790	$	44,349,710
Israel Treasury Bill, 0.00%, 4/6/11	ILS	798,278		214,387,593
Israel Treasury Bill, 0.00%, 5/4/11	ILS	193,744		51,933,158
Israel Treasury Bill, 0.00%, 6/1/11	ILS	733,257		196,134,652
Israel Treasury Bill, 0.00%, 7/6/11	ILS	40,254		10,740,187
Israel Treasury Bill, 0.00%, 8/3/11	ILS	90,052		23,978,264
Israel Treasury Bill, 0.00%, 10/5/11	ILS	23,121		6,124,673
Israel Treasury Bill, 0.00%, 11/2/11	ILS	252,794		66,834,788
Israel Treasury Bill, 0.00%, 1/4/12	ILS	319,608		84,171,957


Total Israel			$	698,654,982


	Principal
	Amount
Security	(000’s omitted)		Value
Kazakhstan — 1.9%
Kazakhstan National Bank, 0.00%, 3/11/11	KZT	1,328,900	$	9,035,869
Kazakhstan National Bank, 0.00%, 3/18/11	KZT	2,538,000		17,254,048
Kazakhstan National Bank, 0.00%, 4/8/11	KZT	8,000,000		54,352,533
Kazakhstan National Bank, 0.00%, 4/15/11	KZT	1,511,418		10,266,206
Kazakhstan National Bank, 0.00%, 4/29/11	KZT	7,254,947		49,253,076
Kazakhstan National Bank, 0.00%, 7/22/11	KZT	4,949,794		33,457,125


Total Kazakhstan			$	173,618,857

Lebanon — 2.5%
Lebanon Treasury Bill, 0.00%, 2/3/11	LBP	33,270,910	$	22,166,342
Lebanon Treasury Bill, 0.00%, 2/17/11	LBP	64,084,440		42,632,702
Lebanon Treasury Bill, 0.00%, 3/3/11	LBP	18,363,940		12,198,405
Lebanon Treasury Bill, 0.00%, 3/17/11	LBP	20,797,490		13,793,705
Lebanon Treasury Bill, 0.00%, 3/31/11	LBP	42,056,910		27,850,335
Lebanon Treasury Bill, 0.00%, 4/7/11	LBP	2,447,320		1,619,341
Lebanon Treasury Bill, 0.00%, 4/14/11	LBP	55,881,880		36,946,470
Lebanon Treasury Bill, 0.00%, 5/19/11	LBP	18,430,000		12,135,059
Lebanon Treasury Bill, 0.00%, 6/30/11	LBP	32,731,600		21,440,779
Lebanon Treasury Bill, 0.00%, 7/14/11	LBP	19,612,330		12,824,150
Lebanon Treasury Bill, 0.00%, 7/28/11	LBP	22,262,480		14,841,975
Lebanon Treasury Bill, 0.00%, 8/11/11	LBP	5,144,000		3,351,365
Lebanon Treasury Bill, 0.00%, 9/22/11	LBP	2,802,380		1,815,449
Lebanon Treasury Bill, 0.00%, 10/6/11	LBP	8,561,610		5,535,633


Total Lebanon			$	229,151,710

Malaysia — 2.4%
Malaysia Treasury Bill, 0.00%, 2/8/11	MYR	31,678	$	10,340,904
Malaysia Treasury Bill, 0.00%, 2/10/11	MYR	73,128		23,868,176
Malaysia Treasury Bill, 0.00%, 2/14/11	MYR	58,532		19,098,467
Malaysia Treasury Bill, 0.00%, 3/1/11	MYR	33,790		11,012,792
Malaysia Treasury Bill, 0.00%, 3/2/11	MYR	72,000		23,464,498
Malaysia Treasury Bill, 0.00%, 3/22/11	MYR	56,533		18,395,799
Malaysia Treasury Bill, 0.00%, 4/5/11	MYR	46,569		15,137,245
Malaysia Treasury Bill, 0.00%, 4/7/11	MYR	116,824		37,967,895
Malaysia Treasury Bill, 0.00%, 5/10/11	MYR	67,059		21,739,251
Malaysia Treasury Bill, 0.00%, 5/18/11	MYR	55,169		17,873,747
Malaysia Treasury Bill, 0.00%, 5/24/11	MYR	66,601		21,567,499


Total Malaysia			$	220,466,273

Mexico — 4.1%
Mexico Treasury Bill, 0.00%, 2/10/11	MXN	500,000	$	41,154,892
Mexico Treasury Bill, 0.00%, 2/24/11	MXN	848,427		69,726,837
Mexico Treasury Bill, 0.00%, 3/3/11	MXN	1,075,565		88,324,713
Mexico Treasury Bill, 0.00%, 4/7/11	MXN	580,880		47,502,299
Mexico Treasury Bill, 0.00%, 4/14/11	MXN	763,346		62,409,246
Mexico Treasury Bill, 0.00%, 4/20/11	MXN	347,941		28,408,346
Mexico Treasury Bill, 0.00%, 5/5/11	MXN	488,864		39,842,936


Total Mexico			$	377,369,269

Serbia — 0.2%
Serbia Treasury Bill, 0.00%, 11/1/11	RSD	163,580	$	1,928,766
Serbia Treasury Bill, 0.00%, 11/15/11	RSD	169,040		1,982,207
Serbia Treasury Bill, 0.00%, 12/13/11	RSD	808,740		9,379,371
Serbia Treasury Bill, 0.00%, 7/12/12	RSD	166,180		1,789,934
Serbia Treasury Bill, 0.00%, 1/24/13	RSD	235,430		2,390,871


Total Serbia			$	17,471,149


	Principal
	Amount
Security	(000’s omitted)		Value
South Korea — 0.9%
Korea Monetary Stabilization Bond, 0.00%, 2/1/11	KRW	16,665,600	$	14,861,631
Korea Monetary Stabilization Bond, 0.00%, 3/1/11	KRW	9,268,310		8,248,137
Korea Monetary Stabilization Bond, 0.00%, 4/12/11	KRW	8,310,450		7,370,872
Korea Monetary Stabilization Bond, 0.00%, 4/19/11	KRW	16,168,670		14,332,196
Korea Monetary Stabilization Bond, 0.00%, 4/26/11	KRW	7,801,680		6,910,815
Korea Monetary Stabilization Bond, 0.00%, 5/3/11	KRW	4,098,940		3,630,302
Korea Monetary Stabilization Bond, 0.00%, 5/3/11	KRW	13,981,050		12,377,880
Korea Monetary Stabilization Bond, 0.00%, 5/17/11	KRW	8,332,820		7,368,227
Korea Monetary Stabilization Bond, 2.70%, 4/13/11	KRW	4,000,000		3,566,004
Korea Monetary Stabilization Bond, 3.20%, 2/23/11	KRW	3,618,520		3,227,928
Korea Monetary Stabilization Bond, 3.40%, 3/24/11	KRW	1,710,190		1,526,335
Korea Monetary Stabilization Bond, 3.81%, 2/7/11	KRW	3,900,000		3,478,492


Total South Korea			$	86,898,819

Sri Lanka — 1.2%
Sri Lanka Treasury Bill, 0.00%, 2/18/11	LKR	600,000	$	5,382,070
Sri Lanka Treasury Bill, 0.00%, 3/11/11	LKR	1,200,590		10,726,315
Sri Lanka Treasury Bill, 0.00%, 3/18/11	LKR	545,550		4,867,524
Sri Lanka Treasury Bill, 0.00%, 3/25/11	LKR	1,911,190		17,029,202
Sri Lanka Treasury Bill, 0.00%, 4/29/11	LKR	65,000		575,282
Sri Lanka Treasury Bill, 0.00%, 4/29/11	LKR	1,204,800		10,663,077
Sri Lanka Treasury Bill, 0.00%, 5/13/11	LKR	210,380		1,856,949
Sri Lanka Treasury Bill, 0.00%, 5/13/11	LKR	61,630		543,986
Sri Lanka Treasury Bill, 0.00%, 7/15/11	LKR	1,773,550		15,463,409
Sri Lanka Treasury Bill, 0.00%, 7/22/11	LKR	1,255,000		10,927,311
Sri Lanka Treasury Bill, 0.00%, 8/5/11	LKR	1,161,300		10,083,972
Sri Lanka Treasury Bill, 0.00%, 10/7/11	LKR	706,080		6,056,209
Sri Lanka Treasury Bill, 0.00%, 1/20/12	LKR	1,357,000		11,401,731


Total Sri Lanka			$	105,577,037

Thailand — 1.2%
Bank of Thailand Bond, 0.00%, 6/2/11	THB	553,332	$	17,782,052
Bank of Thailand Bond, 0.00%, 7/14/11	THB	452,900		14,514,704
Bank of Thailand Bond, 0.00%, 7/21/11	THB	600,000		19,219,063
Bank of Thailand Bond, 0.00%, 8/4/11	THB	1,708,332		54,623,812


Total Thailand			$	106,139,631

Turkey — 3.7%
Turkey Government Bond, 0.00%, 2/2/11	TRY	256,025	$	159,572,003
Turkey Government Bond, 0.00%, 4/13/11	TRY	14,313		8,816,440
Turkey Government Bond, 0.00%, 5/11/11	TRY	217,947		133,421,830
Turkey Government Bond, 0.00%, 6/8/11	TRY	62,720		38,210,226


Total Turkey			$	340,020,499

Uruguay — 2.0%
Uruguay Treasury Bill, 0.00%, 2/1/11	UYU	50,000	$	2,544,097
Uruguay Treasury Bill, 0.00%, 2/3/11	UYU	120,262		6,117,006
Uruguay Treasury Bill, 0.00%, 2/9/11	UYU	20,000		1,016,214
Uruguay Treasury Bill, 0.00%, 2/10/11	UYU	151,528		7,697,828
Uruguay Treasury Bill, 0.00%, 2/15/11	UYU	148,300		7,527,150
Uruguay Treasury Bill, 0.00%, 2/18/11	UYU	140,400		7,122,388
Uruguay Treasury Bill, 0.00%, 3/1/11	UYU	43,965		2,225,860
Uruguay Treasury Bill, 0.00%, 3/3/11	UYU	138,214		6,994,980
Uruguay Treasury Bill, 0.00%, 3/15/11	UYU	31,700		1,600,745
Uruguay Treasury Bill, 0.00%, 3/17/11	UYU	202,130		10,203,090
Uruguay Treasury Bill, 0.00%, 3/23/11	UYU	21,480		1,083,039
Uruguay Treasury Bill, 0.00%, 3/24/11	UYU	185,000		9,325,977


	Principal
	Amount
Security	(000’s omitted)		Value
Uruguay Treasury Bill, 0.00%, 3/25/11	UYU	72,970	$	3,677,762
Uruguay Treasury Bill, 0.00%, 4/1/11	UYU	25,250		1,271,819
Uruguay Treasury Bill, 0.00%, 4/12/11	UYU	200,000		10,046,310
Uruguay Treasury Bill, 0.00%, 4/13/11	UYU	91,975		4,619,111
Uruguay Treasury Bill, 0.00%, 4/14/11	UYU	90,720		4,555,160
Uruguay Treasury Bill, 0.00%, 4/29/11	UYU	107,600		5,386,133
Uruguay Treasury Bill, 0.00%, 5/4/11	UYU	110,000		5,500,504
Uruguay Treasury Bill, 0.00%, 5/5/11	UYU	20,500		1,024,875
Uruguay Treasury Bill, 0.00%, 5/10/11	UYU	13,094		653,937
Uruguay Treasury Bill, 0.00%, 5/25/11	UYU	206,200		10,264,353
Uruguay Treasury Bill, 0.00%, 5/26/11	UYU	25,520		1,271,496
Uruguay Treasury Bill, 0.00%, 6/3/11	UYU	115,150		5,720,523
Uruguay Treasury Bill, 0.00%, 6/15/11	UYU	64,080		3,174,748
Uruguay Treasury Bill, 0.00%, 6/23/11	UYU	43,800		2,165,971
Uruguay Treasury Bill, 0.00%, 7/5/11	UYU	110,580		5,452,860
Uruguay Treasury Bill, 0.00%, 7/6/11	UYU	29,400		1,449,532
Uruguay Treasury Bill, 0.00%, 8/2/11	UYU	212,250		10,394,741
Uruguay Treasury Bill, 0.00%, 8/11/11	UYU	61,790		3,025,289
Uruguay Treasury Bill, 0.00%, 8/12/11	UYU	69,150		3,384,901
Uruguay Treasury Bill, 0.00%, 8/30/11	UYU	109,039		5,315,832
Uruguay Treasury Bill, 0.00%, 9/16/11	UYU	162,992		7,915,176
Uruguay Treasury Bill, 0.00%, 9/27/11	UYU	69,296		3,356,541
Uruguay Treasury Bill, 0.00%, 9/29/11	UYU	13,815		668,857
Uruguay Treasury Bill, 0.00%, 10/21/11	UYU	196,484		9,463,427
Uruguay Treasury Bill, 0.00%, 11/25/11	UYU	124,717		5,956,136


Total Uruguay			$	179,174,368

Zambia — 0.4%
Zambia Treasury Bill, 0.00%, 3/14/11	ZMK	15,235,000	$	3,139,826
Zambia Treasury Bill, 0.00%, 4/11/11	ZMK	6,250,000		1,284,078
Zambia Treasury Bill, 0.00%, 4/18/11	ZMK	8,000,000		1,642,033
Zambia Treasury Bill, 0.00%, 6/13/11	ZMK	16,490,000		3,351,967
Zambia Treasury Bill, 0.00%, 7/11/11	ZMK	7,500,000		1,516,689
Zambia Treasury Bill, 0.00%, 9/12/11	ZMK	20,035,000		3,990,690
Zambia Treasury Bill, 0.00%, 10/10/11	ZMK	7,500,000		1,486,612
Zambia Treasury Bill, 0.00%, 10/17/11	ZMK	8,000,000		1,583,769
Zambia Treasury Bill, 0.00%, 12/12/11	ZMK	39,170,000		7,650,532
Zambia Treasury Bill, 0.00%, 12/19/11	ZMK	10,075,000		1,964,000
Zambia Treasury Bill, 0.00%, 12/26/11	ZMK	11,000,000		2,140,114
Zambia Treasury Bill, 0.00%, 1/2/12	ZMK	11,000,000		2,135,841
Zambia Treasury Bill, 0.00%, 1/9/12	ZMK	16,250,000		3,148,874
Zambia Treasury Bill, 0.00%, 1/16/12	ZMK	9,700,000		1,875,788


Total Zambia			$	36,910,813


Total Foreign Government Securities (identified cost $3,705,932,115)			$	3,726,236,865

U.S. Treasury Obligations — 5.2%


	Principal
	Amount
Security	(000’s omitted)		Value
United States Treasury Bill, 0.00%, 2/10/11	$	55,000	$	54,998,295
United States Treasury Bill, 0.00%, 3/10/11		100,000		99,985,400
United States Treasury Bill, 0.00%, 3/17/11		100,000		99,982,600
United States Treasury Bill, 0.00%, 3/24/11		110,000		109,977,450


	Principal
	Amount
Security	(000’s omitted)		Value
United States Treasury Bill, 0.00%, 6/2/11	$	100,000	$	99,951,300
United States Treasury Bill, 0.00%, 7/28/11		7,379		7,373,377


Total U.S. Treasury Obligations (identified cost $472,217,002)			$	472,268,422

Repurchase Agreements — 1.2%


	Principal
	Amount
Description	(000’s omitted)		Value
Bank of America:
Dated 1/6/11 with an interest rate of 0.35%, collateralized by $15,970,000 Brazil Government Bond 10.125%, due 5/15/27 and a market value, including accrued interest, of $24,354,250.⁽¹¹⁾	USD	25,001	$	25,001,035
Dated 1/11/11 with an interest rate of 0.35%, collateralized by $9,000,000 Turkey Government Bond 6.875%, due 9/26/16 and a market value, including accrued interest, of $10,014,255.⁽¹¹⁾	USD	10,100		10,099,800
Dated 1/11/11 with an interest rate of 0.13%, collateralized by $15,000,000 Turkey Government Bond 7.00%, due 9/26/16 and a market value, including accrued interest, of $16,690,425.⁽¹¹⁾	USD	17,450		17,449,500
Dated 1/11/11 with an interest rate of 0.35%, collateralized by $15,000,000 Turkey Government Bond 6.75%, due 4/3/18 and a market value, including accrued interest, of $16,725,750.⁽¹¹⁾	USD	17,288		17,287,500
Dated 1/27/11 with a maturity date of 4/29/11, an interest rate of 0.50% and repurchase proceeds of EUR 15,015,728, collateralized by EUR 15,000,000 Spanish Government Bond 4.60%, due 7/30/19 and a market value, including accrued interest, of $19,936,987.⁽¹¹⁾	EUR	14,738		20,177,853
JPMorgan Chase:
Dated 1/10/11 with an interest rate of 0.50%, collateralized by $22,000,000 Brazil Government Bond 11.00%, due 1/11/12 and a market value, including accrued interest, of $24,007,500.⁽¹¹⁾	USD	24,200		24,200,000


Total Repurchase Agreements (identified cost $114,282,015)			$	114,215,688

Other Securities — 0.3%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽¹²⁾	$	24,645	$	24,645,278


Total Other Securities (identified cost $24,645,278)			$	24,645,278


Total Short-Term Investments (identified cost $4,317,076,410)			$	4,337,366,253


Total Investments — 94.7% (identified cost $8,570,674,482)			$	8,644,394,872


Other Assets, Less Liabilities — 5.3%			$	486,949,375


Net Assets — 100.0%			$	9,131,344,247


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

ASC	-	Asset Securitization Corp.

GSMS	-	Goldman Sachs Mortgage Securities Corporation II

JPMCC	-	JPMorgan Chase Commercial Mortgage Securities Corp.



MLMT	-	Merrill Lynch Mortgage Trust

WBCMT	-	Wachovia Bank Commercial Mortgage Trust

BRL	-	Brazilian Real

CLP	-	Chilean Peso

COP	-	Colombian Peso

CRC	-	Costa Rican Colon

DOP	-	Dominican Peso

EGP	-	Egyptian Pound

EUR	-	Euro

HKD	-	Hong Kong Dollar

IDR	-	Indonesian Rupiah

ILS	-	Israeli Shekel

ISK	-	Icelandic Krona

KRW	-	South Korean Won

KZT	-	Kazak Tenge

LBP	-	Lebanese Pound

LKR	-	Sri Lankan Rupee

MXN	-	Mexican Peso

MYR	-	Malaysian Ringgit

PHP	-	Philippine Peso

PLN	-	Polish Zloty

RSD	-	Serbian Dinar

THB	-	Thailand Baht

TRY	-	New Turkish Lira

TWD	-	New Taiwan Dollar

USD	-	United States Dollar

UYU	-	Uruguayan Peso

ZAR	-	South African Rand

ZMK	-	Zambian Kwacha

(1)		Amount is less than 0.05%.

(2)		Security exempt from registration under Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At January 31, 2011, the aggregate value of these securities is $119,388,805 or 1.3% of the Portfolio’s net assets.

(3)		Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.

(4)		Security represents a structured security whose market value and interest rate are linked to the performance of the underlying security.

(5)		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.

(6)		Floating-rate security.

(7)		Weighted average fixed-rate coupon that changes/updates monthly.

(8)		Adjustable rate mortgage security. Rate shown is the rate at January 31, 2011.

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

(10)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.

(11)		Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.

(12)		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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $47,817.

Securities Sold Short

Foreign Government Bonds


	Principal
	Amount
Security	(000’s omitted)			Value
Spanish Government Bond, 4.60%, 7/30/19	EUR	(15,000	)	$	(19,914,853	)


Total Foreign Government Bonds (proceeds $20,535,452)				$	(19,914,853	)


Total Securities Sold Short (proceeds $20,535,452)				$	(19,914,853	)

Basis for Consolidation

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at January 31, 2011 were $107,564,264 or 1.2% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.

A summary of open financial instruments at January 31, 2011 is as follows:

Forward Foreign Currency Exchange Contracts

Sales


				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
2/2/11	New Turkish Lira 50,000,000	United States Dollar 30,765,444	Deutsche Bank	$	(393,478	)
2/2/11	New Turkish Lira 64,525,000	United States Dollar 39,488,984	Deutsche Bank		(721,606	)
2/3/11	Serbian Dinar 175,832,229	Euro 1,681,157	Deutsche Bank		(569	)
2/4/11	South African Rand 105,585,000	United States Dollar 14,987,438	Bank of America		306,499
2/4/11	South African Rand 369,802,480	United States Dollar 51,998,217	Citigroup Global Markets		579,477
2/4/11	South African Rand 40,040,000	United States Dollar 5,756,182	Credit Suisse		188,868
2/10/11	Mexican Peso 500,000,000	United States Dollar 39,889,904	JPMorgan Chase Bank		(1,298,681	)
2/10/11	South African Rand 608,956,500	United States Dollar 87,423,409	Bank of America		2,830,424
2/14/11	Euro 284,098,000	United States Dollar 368,365,728	Deutsche Bank		(20,546,244	)
2/14/11	Euro 70,150,000	United States Dollar 91,599,766	Goldman Sachs, Inc.		(4,431,093	)
2/16/11	South African Rand 212,491,243	United States Dollar 29,705,345	Credit Suisse		214,585
2/16/11	South African Rand 29,639,003	United States Dollar 4,180,395	Credit Suisse		66,924
2/17/11	Euro 300,000	United States Dollar 406,061	Goldman Sachs, Inc.		(4,604	)
2/17/11	South African Rand 213,168,290	United States Dollar 29,959,564	Credit Suisse		379,415
2/18/11	South African Rand 178,800,000	United States Dollar 24,767,709	Credit Suisse		(39,513	)
2/18/11	South African Rand 176,826,237	United States Dollar 24,937,065	HSBC Bank USA		403,689
2/18/11	Sri Lankan Rupee 600,000,000	United States Dollar 4,936,240	HSBC Bank USA		(458,334	)
2/23/11	South African Rand 391,770,228	United States Dollar 55,352,760	Bank of America		1,039,425
2/24/11	Euro 840,000	United States Dollar 1,144,954	Deutsche Bank		(4,803	)
2/24/11	Euro 4,084,000	United States Dollar 5,588,872	Goldman Sachs, Inc.		(1,133	)
2/24/11	Euro 3,220,000	United States Dollar 4,398,520	HSBC Bank USA		(8,879	)
2/24/11	Euro 184,179,922	United States Dollar 247,169,455	HSBC Bank USA		(4,928,179	)
2/24/11	Euro 217,355,231	United States Dollar 291,384,249	JPMorgan Chase Bank		(6,122,336	)
2/24/11	Mexican Peso 211,000,000	United States Dollar 16,913,828	Citigroup Global Markets		(447,018	)
2/24/11	Mexican Peso 500,000,000	United States Dollar 39,851,751	Citigroup Global Markets		(1,287,694	)
2/25/11	Colombian Peso 7,185,131,240	United States Dollar 3,924,157	Bank of America		71,200
2/28/11	South African Rand 163,800,000	United States Dollar 22,744,314	Bank of America		53,315


				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
2/28/11	South African Rand 105,603,398	United States Dollar 14,542,718	Credit Suisse	$	(86,382	)
3/2/11	Israeli Shekel 39,800,000	United States Dollar 10,530,493	Credit Suisse		(196,836	)
3/2/11	Israeli Shekel 26,160,000	United States Dollar 6,866,502	Deutsche Bank		(184,426	)
3/2/11	Israeli Shekel 98,830,000	United States Dollar 25,902,241	Deutsche Bank		(735,496	)
3/3/11	Mexican Peso 514,465,000	United States Dollar 41,142,389	Bank of America		(1,162,215	)
3/3/11	Mexican Peso 561,100,000	United States Dollar 44,499,960	Bank of America		(1,639,452	)
3/11/11	Sri Lankan Rupee 1,200,590,000	United States Dollar 9,881,399	HSBC Bank USA		(901,478	)
3/18/11	Sri Lankan Rupee 545,550,000	United States Dollar 4,482,744	HSBC Bank USA		(416,078	)
3/21/11	Euro 3,433,627	United States Dollar 4,539,221	Goldman Sachs, Inc.		(159,166	)
3/25/11	Sri Lankan Rupee 800,000,000	United States Dollar 6,608,839	Standard Chartered Bank		(573,476	)
3/25/11	Sri Lankan Rupee 1,111,190,000	United States Dollar 9,179,595	Standard Chartered Bank		(796,551	)
4/5/11	South African Rand 708,160,000	United States Dollar 105,948,534	Goldman Sachs, Inc.		8,382,409
4/6/11	Israeli Shekel 137,380,000	United States Dollar 36,907,289	Barclays Bank PLC		(109,177	)
4/6/11	Israeli Shekel 137,240,000	United States Dollar 36,862,745	Citigroup Global Markets		(115,998	)
4/6/11	Israeli Shekel 31,165,000	United States Dollar 8,005,394	Citigroup Global Markets		(391,884	)
4/6/11	Israeli Shekel 274,601,000	United States Dollar 73,797,635	Deutsche Bank		(192,453	)
4/6/11	Israeli Shekel 45,831,000	United States Dollar 11,778,720	Deutsche Bank		(570,251	)
4/7/11	Euro 15,742,000	United States Dollar 21,092,234	HSBC Bank USA		(443,839	)
4/14/11	Euro 7,500,000	United States Dollar 10,185,375	JPMorgan Chase Bank		(74,134	)
4/29/11	Sri Lankan Rupee 599,000,000	United States Dollar 5,322,079	HSBC Bank USA		(48,407	)
4/29/11	Sri Lankan Rupee 65,000,000	United States Dollar 543,024	Standard Chartered Bank		(39,750	)
4/29/11	Sri Lankan Rupee 605,800,000	United States Dollar 5,377,719	Standard Chartered Bank		(53,734	)
5/4/11	Israeli Shekel 21,804,000	United States Dollar 5,836,970	Barclays Bank PLC		(36,437	)
5/4/11	Israeli Shekel 98,440,000	United States Dollar 26,159,979	Citigroup Global Markets		(357,088	)
5/4/11	Israeli Shekel 13,500,000	United States Dollar 3,670,872	Deutsche Bank		34,338
5/4/11	Israeli Shekel 60,000,000	United States Dollar 15,837,403	Deutsche Bank		(324,971	)
5/5/11	Euro 2,152,000	United States Dollar 2,737,344	Bank of America		(205,589	)
5/5/11	Euro 3,000,000	United States Dollar 3,899,082	Citigroup Global Markets		(203,520	)
5/5/11	Euro 5,000,000	United States Dollar 6,212,490	Citigroup Global Markets		(625,180	)
5/5/11	Euro 2,000,000	United States Dollar 2,521,396	HSBC Bank USA		(213,672	)


				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
5/5/11	Euro 10,000,000	United States Dollar 12,355,130	HSBC Bank USA	$	(1,320,210	)
5/5/11	Euro 24,659,000	United States Dollar 32,313,154	HSBC Bank USA		(1,408,868	)
5/11/11	New Turkish Lira 50,000,000	United States Dollar 30,024,620	Deutsche Bank		(705,708	)
5/13/11	Sri Lankan Rupee 61,630,000	United States Dollar 549,287	HSBC Bank USA		(3,023	)
5/13/11	Sri Lankan Rupee 210,380,000	United States Dollar 1,761,239	HSBC Bank USA		(124,125	)
6/1/11	Israeli Shekel 79,000,000	United States Dollar 20,376,580	Bank of America		(897,774	)
6/1/11	Israeli Shekel 120,000,000	United States Dollar 33,915,550	Barclays Bank PLC		1,600,076
6/1/11	Israeli Shekel 33,585,000	United States Dollar 9,172,470	Barclays Bank PLC		128,177
6/1/11	Israeli Shekel 77,000,000	United States Dollar 20,172,911	Barclays Bank PLC		(562,852	)
6/1/11	Israeli Shekel 36,000,000	United States Dollar 9,420,385	Citigroup Global Markets		(274,257	)
6/2/11	Euro 33,700,000	United States Dollar 41,225,210	HSBC Bank USA		(4,839,846	)
6/2/11	Thai Baht 553,332,000	United States Dollar 17,826,418	Standard Chartered Bank		(40,966	)
6/8/11	New Turkish Lira 13,759,000	United States Dollar 8,288,554	Deutsche Bank		(134,685	)
6/9/11	Euro 9,158,000	United States Dollar 11,379,731	Deutsche Bank		(1,137,067	)
6/9/11	Euro 49,250,000	United States Dollar 59,224,603	Deutsche Bank		(8,088,381	)
6/16/11	Euro 14,581,000	United States Dollar 17,981,435	Citigroup Global Markets		(1,945,056	)
6/30/11	Euro 29,000,000	United States Dollar 35,434,897	JPMorgan Chase Bank		(4,187,738	)
7/6/11	Israeli Shekel 3,144,000	United States Dollar 850,764	Deutsche Bank		4,403
7/7/11	Euro 4,750,000	United States Dollar 5,978,730	Deutsche Bank		(510,451	)
7/14/11	Thai Baht 452,900,000	United States Dollar 14,619,109	Standard Chartered Bank		14,589
7/15/11	Sri Lankan Rupee 1,773,550,000	United States Dollar 14,925,103	HSBC Bank USA		(939,727	)
7/21/11	Thai Baht 600,000,000	United States Dollar 19,361,084	JPMorgan Chase Bank		17,457
7/22/11	Sri Lankan Rupee 1,255,000,000	United States Dollar 10,658,174	Standard Chartered Bank		(565,810	)
7/28/11	Euro 2,700,000	United States Dollar 3,510,675	Deutsche Bank		(176,662	)
8/3/11	Israeli Shekel 48,930,000	United States Dollar 13,561,530	Barclays Bank PLC		393,375
8/4/11	Euro 998,000	United States Dollar 1,316,152	Deutsche Bank		(46,630	)
8/4/11	Thai Baht 555,000,000	United States Dollar 18,054,652	Barclays Bank PLC		170,129
8/4/11	Thai Baht 553,332,000	United States Dollar 17,774,880	Barclays Bank PLC		(55,893	)
8/4/11	Thai Baht 600,000,000	United States Dollar 19,295,707	HSBC Bank USA		(38,913	)
8/5/11	Sri Lankan Rupee 1,161,300,000	United States Dollar 9,989,677	HSBC Bank USA		(391,994	)


				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
8/25/11	Euro 6,011,000	United States Dollar 7,574,461	Deutsche Bank	$	(630,054	)
9/1/11	Euro 4,450,000	United States Dollar 5,644,736	Deutsche Bank		(428,260	)
9/8/11	Euro 33,115,000	United States Dollar 42,050,752	Citigroup Global Markets		(3,135,309	)
9/15/11	Euro 9,706,000	United States Dollar 12,603,629	Deutsche Bank		(638,468	)
10/5/11	Israeli Shekel 23,121,000	United States Dollar 6,380,847	Barclays Bank PLC		161,909
10/7/11	Sri Lankan Rupee 706,080,000	United States Dollar 6,240,212	HSBC Bank USA		(59,397	)
11/2/11	Israeli Shekel 10,028,000	United States Dollar 2,742,888	Barclays Bank PLC		46,283
11/2/11	Israeli Shekel 72,366,000	United States Dollar 20,416,420	Deutsche Bank		956,655
11/2/11	Israeli Shekel 39,200,000	United States Dollar 10,593,163	Deutsche Bank		51,987
1/20/12	Sri Lankan Rupee 1,357,000,000	United States Dollar 12,056,864	Standard Chartered Bank		(10,285	)
1/27/12	Euro 67,367,000	United States Dollar 93,784,969	Deutsche Bank		2,141,512
1/27/12	Euro 24,280,000	United States Dollar 30,267,448	Deutsche Bank		(2,762,123	)
1/27/12	Euro 33,760,000	United States Dollar 41,519,640	Deutsche Bank		(4,406,156	)

				$	(71,781,372	)

Purchases


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
2/2/11	New Turkish Lira 10,732,000	United States Dollar 6,804,464	Credit Suisse	$	(116,512	)
2/3/11	Colombian Peso 16,150,000,000	United States Dollar 8,822,726	Credit Suisse		(173,378	)
2/3/11	Serbian Dinar 462,817,000	Euro 4,351,829	HSBC Bank USA		101,760
2/4/11	Czech Koruna 1,457,000,056	Euro 59,418,460	Deutsche Bank		1,096,698
2/4/11	Serbian Dinar 531,750,000	Euro 5,000,000	JPMorgan Chase Bank		114,949
2/4/11	Serbian Dinar 498,270,500	Euro 4,676,510	Standard Chartered Bank		119,602
2/7/11	Czech Koruna 1,200,000,000	Euro 48,269,149	Barclays Bank PLC		1,819,193
2/7/11	Czech Koruna 1,217,947,417	Euro 48,971,963	HSBC Bank USA		1,872,561
2/7/11	Serbian Dinar 496,838,000	Euro 4,634,683	JPMorgan Chase Bank		152,608
2/7/11	Zambian Kwacha 20,230,000,000	United States Dollar 4,197,095	Barclays Bank PLC		(17,652	)
2/7/11	Zambian Kwacha 73,796,000,000	United States Dollar 15,310,373	Citigroup Global Markets		(64,391	)
2/7/11	Zambian Kwacha 22,889,000,000	United States Dollar 4,748,755	JPMorgan Chase Bank		(19,972	)
2/7/11	Zambian Kwacha 23,958,700,000	United States Dollar 4,949,736	Standard Chartered Bank		44


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
2/7/11	Zambian Kwacha 3,336,400,000	United States Dollar 689,306	Standard Chartered Bank	$	(18	)
2/7/11	Zambian Kwacha 16,497,600,000	United States Dollar 3,429,854	Standard Chartered Bank		(21,511	)
2/8/11	Czech Koruna 1,591,338,000	Euro 65,168,025	Bank of America		827,985
2/8/11	Mongolian Tugrik 3,230,000,000	United States Dollar 2,500,000	Standard Chartered Bank		96,523
2/10/11	Indian Rupee 754,690,000	United States Dollar 16,568,386	Bank of America		(158,515	)
2/10/11	Indian Rupee 687,534,000	United States Dollar 15,094,051	Barclays Bank PLC		(144,409	)
2/10/11	Indian Rupee 720,030,000	United States Dollar 15,807,464	Credit Suisse		(151,235	)
2/10/11	Indian Rupee 1,037,700,000	United States Dollar 22,781,559	Deutsche Bank		(217,958	)
2/10/11	Polish Zloty 33,467,375	Euro 8,570,830	Credit Suisse		(84,663	)
2/10/11	Serbian Dinar 615,230,000	Euro 5,872,196	Deutsche Bank		(66	)
2/10/11	Serbian Dinar 1,077,890,515	Euro 10,309,809	Deutsche Bank		(29,754	)
2/10/11	South Korean Won 11,750,000,000	United States Dollar 10,445,837	Credit Suisse		29,868
2/14/11	New Taiwan Dollar 265,450,000	United States Dollar 9,119,799	Barclays Bank PLC		23,717
2/14/11	Serbian Dinar 506,825,000	Euro 4,756,687	HSBC Bank USA		103,118
2/14/11	South Korean Won 21,758,150,000	United States Dollar 19,395,748	Bank of America		(247	)
2/14/11	South Korean Won 24,835,550,000	United States Dollar 22,139,018	Standard Chartered Bank		(282	)
2/15/11	New Taiwan Dollar 251,770,000	United States Dollar 8,673,350	Credit Suisse		(875	)
2/17/11	Colombian Peso 3,900,000,000	United States Dollar 2,093,960	Credit Suisse		(3,584	)
2/18/11	Malaysian Ringgit 4,876,000	United States Dollar 1,590,813	Barclays Bank PLC		1,871
2/18/11	Malaysian Ringgit 26,691,000	United States Dollar 8,708,604	Credit Suisse		9,671
2/18/11	Malaysian Ringgit 29,046,000	United States Dollar 9,475,436	HSBC Bank USA		12,071
2/18/11	Serbian Dinar 493,230,000	Euro 4,676,939	Barclays Bank PLC		27,615
2/18/11	Serbian Dinar 1,133,035,000	Euro 10,679,036	Citigroup Global Markets		152,011
2/18/11	Serbian Dinar 492,103,000	Euro 4,640,292	Credit Suisse		63,088
2/18/11	Serbian Dinar 766,245,000	Euro 7,245,816	Deutsche Bank		70,175
2/18/11	Serbian Dinar 884,191,000	Euro 8,350,876	JPMorgan Chase Bank		95,033
2/18/11	Swedish Krona 280,000,000	Euro 31,208,203	Goldman Sachs, Inc.		665,998
2/22/11	Indian Rupee 729,600,000	United States Dollar 15,923,178	Credit Suisse		(100,146	)
2/22/11	Indian Rupee 522,310,000	United States Dollar 11,399,171	Standard Chartered Bank		(71,693	)
2/22/11	Indonesian Rupiah 109,161,550,000	United States Dollar 11,948,506	Barclays Bank PLC		57,447


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
2/22/11	Indonesian Rupiah 99,308,200,000	United States Dollar 10,869,987	Citigroup Global Markets	$	52,261
2/22/11	Norwegian Krone 420,740,075	Euro 53,139,179	HSBC Bank USA		41,378
2/24/11	Malaysian Ringgit 43,510,000	United States Dollar 14,225,928	Barclays Bank PLC		(13,940	)
2/24/11	Malaysian Ringgit 42,130,000	United States Dollar 13,775,177	Goldman Sachs, Inc.		(13,948	)
2/28/11	Czech Koruna 505,438,309	Euro 20,838,520	Goldman Sachs, Inc.		73,507
2/28/11	Czech Koruna 1,801,816,099	Euro 74,376,531	HSBC Bank USA		138,650
2/28/11	Indian Rupee 708,300,000	United States Dollar 15,439,782	Barclays Bank PLC		(98,651	)
2/28/11	Indian Rupee 825,200,000	United States Dollar 17,989,972	Credit Suisse		(116,894	)
2/28/11	Indian Rupee 786,940,000	United States Dollar 17,155,875	HSBC Bank USA		(111,474	)
2/28/11	Indian Rupee 652,760,000	United States Dollar 14,230,652	Standard Chartered Bank		(92,467	)
2/28/11	Indian Rupee 708,300,000	United States Dollar 15,441,465	Standard Chartered Bank		(100,334	)
2/28/11	Swedish Krona 618,099,400	Euro 68,852,137	Goldman Sachs, Inc.		1,499,333
2/28/11	Swedish Krona 339,160,000	Euro 37,763,328	Standard Chartered Bank		845,736
3/2/11	Brazilian Real 30,700,000	United States Dollar 18,261,852	Goldman Sachs, Inc.		30,467
3/2/11	Georgian Lari 931,850	United States Dollar 500,000	Liberty Capital Market		16,053
3/7/11	South Korean Won 11,605,800,000	United States Dollar 10,317,642	Bank of America		18,531
3/7/11	South Korean Won 18,450,000,000	United States Dollar 16,402,187	Barclays Bank PLC		29,459
3/7/11	South Korean Won 14,254,000,000	United States Dollar 12,672,475	Credit Suisse		22,196
3/7/11	South Korean Won 10,894,000,000	United States Dollar 9,684,589	Goldman Sachs, Inc.		17,653
3/14/11	Indian Rupee 99,700,000	United States Dollar 2,173,534	Deutsche Bank		(19,721	)
3/15/11	Serbian Dinar 513,590,000	Euro 4,713,132	Barclays Bank PLC		199,312
3/16/11	Serbian Dinar 509,715,000	Euro 4,715,217	Barclays Bank PLC		144,649
3/17/11	Serbian Dinar 499,655,000	Euro 4,652,714	Barclays Bank PLC		98,365
3/17/11	Serbian Dinar 399,575,000	Euro 3,722,170	HSBC Bank USA		76,766
3/18/11	Malaysian Ringgit 19,466,000	United States Dollar 6,342,783	Bank of America		12,267
3/18/11	Malaysian Ringgit 10,911,000	United States Dollar 3,555,230	Citigroup Global Markets		6,876
3/18/11	Serbian Dinar 498,560,000	Euro 4,676,923	Citigroup Global Markets		49,464
3/18/11	Serbian Dinar 466,200,000	Euro 4,382,815	Credit Suisse		33,313
3/18/11	Serbian Dinar 467,650,000	Euro 4,382,849	HSBC Bank USA		52,023
3/18/11	Swedish Krona 633,960,100	Euro 70,536,803	Standard Chartered Bank		1,597,737


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
3/21/11	Norwegian Krone 420,000,000	Euro 53,530,461	Goldman Sachs, Inc.	$	(699,283	)
3/21/11	Serbian Dinar 1,410,590,000	Euro 13,326,311	Citigroup Global Markets		(1,958	)
3/24/11	New Taiwan Dollar 147,300,000	United States Dollar 5,113,341	Citigroup Global Markets		(35,380	)
3/29/11	Indian Rupee 536,200,000	United States Dollar 11,716,377	Deutsche Bank		(164,077	)
3/29/11	Indian Rupee 621,700,000	United States Dollar 13,586,101	Standard Chartered Bank		(191,725	)
3/29/11	Indonesian Rupiah 82,285,000,000	United States Dollar 9,037,342	Citigroup Global Markets		(47,349	)
3/29/11	South Korean Won 23,070,000,000	United States Dollar 19,968,839	Bank of America		550,595
3/29/11	South Korean Won 23,280,100,000	United States Dollar 20,151,569	Credit Suisse		554,737
3/31/11	Indonesian Rupiah 37,500,000,000	United States Dollar 4,135,421	Standard Chartered Bank		(39,807	)
3/31/11	Polish Zloty 381,795,500	Euro 95,628,178	HSBC Bank USA		1,503,943
4/6/11	Indonesian Rupiah 88,416,700,000	United States Dollar 9,826,261	Barclays Bank PLC		(180,365	)
4/6/11	Indonesian Rupiah 102,669,300,000	United States Dollar 11,408,968	Credit Suisse		(208,171	)
4/6/11	Indonesian Rupiah 102,669,300,000	United States Dollar 11,410,236	Deutsche Bank		(209,439	)
4/6/11	Indonesian Rupiah 88,416,700,000	United States Dollar 9,824,078	Standard Chartered Bank		(178,181	)
4/6/11	Polish Zloty 262,766,860	Euro 66,926,509	Goldman Sachs, Inc.		(525,515	)
4/6/11	Serbian Dinar 504,718,000	Euro 4,634,692	HSBC Bank USA		154,150
4/7/11	Swedish Krona 278,127,000	Euro 30,896,803	Credit Suisse		741,854
4/7/11	Swedish Krona 170,081,000	Euro 18,956,310	Credit Suisse		368,552
4/7/11	Swedish Krona 82,280,000	Euro 9,224,939	Goldman Sachs, Inc.		103,797
4/8/11	Yuan Renminbi 66,250,000	United States Dollar 10,000,000	HSBC Bank USA		64,128
4/8/11	Yuan Renminbi 66,250,000	United States Dollar 10,000,000	JPMorgan Chase Bank		64,128
4/11/11	Malaysian Ringgit 63,024,000	United States Dollar 20,429,836	Citigroup Global Markets		126,775
4/11/11	Malaysian Ringgit 63,246,000	United States Dollar 20,499,806	Credit Suisse		129,216
4/11/11	Malaysian Ringgit 66,140,000	United States Dollar 21,434,358	Deutsche Bank		138,602
4/11/11	Malaysian Ringgit 53,540,000	United States Dollar 17,355,506	Goldman Sachs, Inc.		107,698
4/11/11	Malaysian Ringgit 53,550,000	United States Dollar 17,357,622	JPMorgan Chase Bank		108,843
4/12/11	Indonesian Rupiah 98,655,000,000	United States Dollar 10,841,209	Barclays Bank PLC		(91,549	)
4/12/11	Indonesian Rupiah 63,043,500,000	United States Dollar 6,929,380	Credit Suisse		(60,026	)
4/12/11	Indonesian Rupiah 68,106,500,000	United States Dollar 7,490,816	Deutsche Bank		(69,786	)
4/13/11	Czech Koruna 51,840,000	Euro 2,112,297	Goldman Sachs, Inc.		41,860


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
4/13/11	Israeli Shekel 122,129,820	United States Dollar 34,418,230	Credit Suisse	$	(1,513,079	)
4/13/11	Polish Zloty 242,711,500	Euro 61,884,625	Bank of America		(616,985	)
4/13/11	Serbian Dinar 493,594,000	Euro 4,532,544	Citigroup Global Markets		132,897
4/14/11	Serbian Dinar 758,370,000	Euro 7,028,452	HSBC Bank USA		111,993
4/14/11	Serbian Dinar 306,550,000	Euro 2,839,741	JPMorgan Chase Bank		47,070
4/15/11	Serbian Dinar 992,180,000	Euro 9,132,732	Citigroup Global Markets		227,096
4/18/11	Serbian Dinar 500,920,000	Euro 4,640,296	Citigroup Global Markets		66,621
4/19/11	Indonesian Rupiah 56,164,960,000	United States Dollar 6,102,897	Bank of America		8,217
4/19/11	Indonesian Rupiah 44,259,840,000	United States Dollar 4,808,239	Credit Suisse		7,521
4/21/11	Serbian Dinar 466,049,000	Euro 4,351,531	Deutsche Bank		7,955
4/21/11	Serbian Dinar 996,530,000	Euro 9,287,325	HSBC Bank USA		40,732
4/21/11	Serbian Dinar 535,250,000	Euro 5,000,000	Standard Chartered Bank		5,943
4/26/11	Serbian Dinar 382,700,000	Euro 3,578,308	Credit Suisse		(10,088	)
4/27/11	Indonesian Rupiah 107,248,500,000	United States Dollar 11,667,591	Credit Suisse		(17,269	)
4/27/11	Indonesian Rupiah 110,896,500,000	United States Dollar 12,068,397	Standard Chartered Bank		(21,795	)
4/27/11	Serbian Dinar 533,000,000	Euro 5,000,000	Barclays Bank PLC		(39,142	)
4/27/11	Serbian Dinar 939,200,000	Euro 8,794,007	HSBC Bank USA		(46,406	)
5/2/11	New Turkish Lira 34,910,000	United States Dollar 21,509,550	Deutsche Bank		(26,473	)
5/26/11	Yuan Renminbi 110,068,275	United States Dollar 16,715,000	Bank of America		59,087
5/26/11	Yuan Renminbi 137,096,280	United States Dollar 20,810,000	Barclays Bank PLC		83,076
5/26/11	Yuan Renminbi 145,583,530	United States Dollar 22,105,000	Citigroup Global Markets		81,509
5/26/11	Yuan Renminbi 164,700,000	United States Dollar 25,000,000	JPMorgan Chase Bank		99,804
5/31/11	Georgian Lari 936,300	United States Dollar 500,000	Liberty Capital Market		15,991
5/31/11	Georgian Lari 889,624	United States Dollar 500,000	Liberty Capital Market		(9,732	)
6/3/11	Yuan Renminbi 80,700,000	United States Dollar 12,197,703	Bank of America		107,430
6/3/11	Yuan Renminbi 80,700,000	United States Dollar 12,192,174	Deutsche Bank		112,958
6/15/11	Yuan Renminbi 36,900,000	United States Dollar 5,586,677	Citigroup Global Markets		44,425
6/15/11	Yuan Renminbi 77,900,000	United States Dollar 11,785,174	HSBC Bank USA		102,708
7/18/11	Yuan Renminbi 105,300,000	United States Dollar 15,817,936	Citigroup Global Markets		287,452
8/9/11	Yuan Renminbi 61,650,000	United States Dollar 9,212,493	Bank of America		230,121


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
8/9/11	Yuan Renminbi 62,310,000	United States Dollar 9,315,294	Goldman Sachs, Inc.	$	228,408
8/9/11	Yuan Renminbi 66,850,000	United States Dollar 9,989,540	Standard Chartered Bank		249,531
8/12/11	Yuan Renminbi 53,085,000	United States Dollar 7,955,193	Bank of America		176,945
8/12/11	Yuan Renminbi 66,775,000	United States Dollar 10,012,746	Credit Suisse		216,575
8/24/11	Yuan Renminbi 35,120,000	United States Dollar 5,259,060	Bank of America		124,661
8/31/11	Georgian Lari 940,800	United States Dollar 500,000	Liberty Capital Market		15,866
9/2/11	Yuan Renminbi 31,143,000	United States Dollar 4,639,899	Bank of America		136,603
9/13/11	Yuan Renminbi 53,072,000	United States Dollar 7,903,500	Credit Suisse		241,402
10/12/11	Yuan Renminbi 91,200,000	United States Dollar 14,099,096	Deutsche Bank		(79,673	)
10/13/11	Zambian Kwacha 21,674,000,000	United States Dollar 4,402,600	Standard Chartered Bank		(69,533	)
11/28/11	Yuan Renminbi 143,549,870	United States Dollar 22,105,000	Barclays Bank PLC		18,886
11/28/11	Yuan Renminbi 127,366,950	United States Dollar 19,610,000	Deutsche Bank		19,776
11/28/11	Yuan Renminbi 153,999,533	United States Dollar 23,705,000	JPMorgan Chase Bank		29,386
11/28/11	Yuan Renminbi 124,768,950	United States Dollar 19,210,000	Standard Chartered Bank		19,373
12/1/11	Georgian Lari 1,809,218	United States Dollar 1,000,000	Liberty Capital Market		(12,782	)
1/17/12	Yuan Renminbi 50,000,000	United States Dollar 7,908,890	Citigroup Global Markets		(182,186	)
1/19/12	Yuan Renminbi 48,750,000	United States Dollar 7,701,422	Barclays Bank PLC		(167,076	)
1/30/12	Yuan Renminbi 116,669,030	United States Dollar 18,066,374	Bank of America		(24,428	)
1/30/12	Yuan Renminbi 131,349,700	United States Dollar 20,363,347	Barclays Bank PLC		(51,151	)
1/30/12	Yuan Renminbi 182,740,000	United States Dollar 28,334,858	Deutsche Bank		(75,557	)
1/30/12	Yuan Renminbi 131,599,030	United States Dollar 20,398,839	Goldman Sachs, Inc.		(48,086	)
6/18/12	Yuan Renminbi 203,360,000	United States Dollar 30,580,451	Goldman Sachs, Inc.		1,101,589

				$	14,129,745

At January 31, 2011, closed forward foreign currency purchases and sales contracts excluded above amounted to a receivable of $7,045,096 and a payable of $310,574.

Futures Contracts


									Net Unrealized
Expiration			Aggregate						Appreciation
Date	Contracts	Position	Cost			Value			(Depreciation)
2/11	940 Brent Crude Oil	Short	$	(90,817,040	)	$	(94,949,400	)	$	(4,132,360	)
2/11	940 Light Sweet Crude Oil	Long		81,798,450			86,658,600			4,860,150
3/11	355 Euro-Bobl	Short		(57,721,861	)		(56,780,169	)		941,692
3/11	406 Euro-Bund	Short		(69,791,081	)		(68,783,975	)		1,007,106
3/11	232 Euro-Buxl	Short		(34,243,045	)		(33,441,441	)		801,604
3/11	161 Japan 10-Year Bond	Short		(275,554,093	)		(274,649,366	)		904,727


									Net Unrealized
Expiration			Aggregate						Appreciation
Date	Contracts	Position	Cost			Value			(Depreciation)
3/11	647 U.S. 2-Year Treasury Note	Short	$	(141,581,845	)	$	(141,814,312	)	$	(232,467	)
3/11	2,449 U.S. 5-Year Treasury Note	Short		(289,772,801	)		(289,996,040	)		(223,239	)
3/11	3,407 U.S. 10-Year Treasury Note	Short		(415,126,100	)		(411,554,953	)		3,571,147
3/11	3,020 U.S. 30-Year Treasury Bond	Short		(364,426,986	)		(364,287,500	)		139,486

									$	7,637,846


•	Euro-Bobl: Medium-term debt securities issued by the Federal Republic of Germany with a term to maturity of 4.5 to 5 years.

•	Euro-Bund: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 8.5 to 10.5 years.

•	Euro-Buxl: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 24 to 35 years.

•	Japan 10-Year Bond: Japanese Government Bonds (JGB) having a maturity of 7 years or more but less than 11 years.

Interest Rate Swaps

Notional

Portfolio

Net Unrealized

Amount

Pays/Receives

Floating

Annual

Termination

Appreciation

Counterparty

(000’s omitted)

Floating Rate

Rate Index

Fixed Rate

Date

(Depreciation)

Bank of America

ILS

15,220

Receive

3-Month ILS TELBOR

4.20

11/19/14

(8,237

)

Bank of America

ILS

29,000

Receive

3-Month ILS TELBOR

4.54

1/6/15

(83,400

)

Bank of America

ZAR

156,596

Receive

3-Month ZAR JIBAR

6.86

11/17/15

858,718

Bank of America

ZAR

101,794

Receive

3-Month ZAR JIBAR

7.26

11/16/20

1,198,899

Bank of America

ZAR

56,604

Receive

3-Month ZAR JIBAR

7.42

11/17/20

580,195

Bank of America

ZAR

141,361

Receive

3-Month ZAR JIBAR

7.31

11/19/20

1,585,261

Barclays Bank PLC

ILS

29,208

Receive

3-Month ILS TELBOR

5.15

3/5/20

(303,028

)

Barclays Bank PLC

ILS

29,182

Receive

3-Month ILS TELBOR

5.16

3/8/20

(306,437

)

Citigroup Global Markets

ZAR

92,325

Receive

3-Month ZAR JIBAR

7.29

11/19/20

1,053,177

Deutsche Bank

ZAR

71,965

Receive

3-Month ZAR JIBAR

6.71

11/19/15

451,670

Deutsche Bank

ZAR

140,405

Receive

3-Month ZAR JIBAR

7.26

11/16/20

1,653,654

Deutsche Bank

ZAR

176,815

Receive

3-Month ZAR JIBAR

7.32

11/18/20

1,983,673

Deutsche Bank

ZAR

85,673

Receive

3-Month ZAR JIBAR

7.27

11/19/20

993,742

Deutsche Bank

ZAR

63,800

Receive

3-Month ZAR JIBAR

7.77

11/26/20

437,624

Standard Chartered Bank

ZAR

100,000

Receive

3-Month ZAR JIBAR

7.77

11/26/20

685,931

10,781,442

Credit Default Swaps — Sell Protection


		Notional		Contract				Current			Net Unrealized
		Amount*		Annual			Termination	Market Annual			Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate**			Date	Fixed Rate***			(Depreciation)
Iceland	Barclays Bank PLC	$	5,000		1.70	%	3/20/18		2.97	%	$	(354,217	)
Iceland	Credit Suisse		5,000		1.70		3/20/18		2.97			(354,217	)
Iceland	JPMorgan Chase Bank		6,600		1.75		3/20/18		2.97			(448,257	)
Iceland	JPMorgan Chase Bank		5,000		2.10		3/20/23		2.80			(269,323	)
Iceland	JPMorgan Chase Bank		5,000		2.45		3/20/23		2.80			(125,523	)
South Africa	Bank of America		5,575		1.00	⁽¹⁾	9/20/15		1.30			17,821
South Africa	Bank of America		5,160		1.00	⁽¹⁾	12/20/15		1.34			(31,453	)
South Africa	Bank of America		16,990		1.00	⁽¹⁾	12/20/15		1.34			(110,002	)
South Africa	Barclays Bank PLC		10,000		1.00	⁽¹⁾	6/20/15		1.25			291,117
South Africa	Barclays Bank PLC		12,000		1.00	⁽¹⁾	9/20/15		1.30			268,037
South Africa	Barclays Bank PLC		7,340		1.00	⁽¹⁾	12/20/15		1.34			(38,052	)
South Africa	Barclays Bank PLC		12,010		1.00	⁽¹⁾	12/20/15		1.34			(61,329	)
South Africa	Citigroup Global Markets		5,000		1.00	⁽¹⁾	6/20/15		1.25			81,054
South Africa	Credit Suisse		10,000		1.00	⁽¹⁾	6/20/15		1.25			283,406
South Africa	Credit Suisse		5,000		1.00	⁽¹⁾	6/20/15		1.25			83,018
South Africa	Credit Suisse		10,450		1.00	⁽¹⁾	12/20/15		1.34			65,092
South Africa	Credit Suisse		7,740		1.00	⁽¹⁾	12/20/15		1.34			(33,079	)
South Africa	Credit Suisse		16,990		1.00	⁽¹⁾	12/20/15		1.34			(86,538	)


		Notional		Contract				Current			Net Unrealized
		Amount*		Annual			Termination	Market Annual			Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate**			Date	Fixed Rate***			(Depreciation)
South Africa	Deutsche Bank	$	12,500		1.00	%⁽¹⁾	9/20/15		1.30	%	$	127,033
South Africa	Deutsche Bank		5,500		1.00	⁽¹⁾	9/20/15		1.30			59,421
South Africa	Deutsche Bank		5,575		1.00	⁽¹⁾	9/20/15		1.30			22,586
South Africa	Deutsche Bank		1,450		1.00	⁽¹⁾	9/20/15		1.30			12,217
South Africa	Deutsche Bank		13,005		1.00	⁽¹⁾	12/20/15		1.34			(66,410	)
South Africa	Goldman Sachs, Inc.		8,020		1.00	⁽¹⁾	12/20/15		1.34			(34,275	)
South Africa	Goldman Sachs, Inc.		17,335		1.00	⁽¹⁾	12/20/15		1.34			(80,563	)
South Africa	JPMorgan Chase Bank		5,000		1.00	⁽¹⁾	6/20/15		1.25			147,485
South Africa	JPMorgan Chase Bank		5,000		1.00	⁽¹⁾	6/20/15		1.25			79,089

											$	(555,862	)

Credit Default Swaps — Buy Protection


		Notional		Contract				Net Unrealized
		Amount		Annual			Termination	Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate**			Date	(Depreciation)
Austria	Barclays Bank PLC	$	8,800		0.44	%	12/20/13	$	43,934
Austria	Barclays Bank PLC		3,700		1.42		3/20/14		(93,603	)
Brazil	Bank of America		18,450		1.00	⁽¹⁾	6/20/20		40,415
Brazil	Bank of America		11,450		1.00	⁽¹⁾	6/20/20		(78,061	)
Brazil	Bank of America		51,475		1.00	⁽¹⁾	12/20/20		155,962
Brazil	Bank of America		22,575		1.00	⁽¹⁾	12/20/20		86,572
Brazil	Bank of America		7,450		1.00	⁽¹⁾	12/20/20		40,209
Brazil	Bank of America		3,600		1.00	⁽¹⁾	12/20/20		30,094
Brazil	Barclays Bank PLC		9,000		1.65		9/20/19		(189,447	)
Brazil	Barclays Bank PLC		47,170		1.00	⁽¹⁾	12/20/20		102,381
Brazil	Citigroup Global Markets		9,440		1.00	⁽¹⁾	12/20/20		47,133
Brazil	Credit Suisse		20,000		1.00	⁽¹⁾	6/20/20		(6,349	)
Brazil	Credit Suisse		14,225		1.00	⁽¹⁾	6/20/20		(209,188	)
Brazil	Deutsche Bank		10,600		1.00	⁽¹⁾	12/20/20		173,370
Brazil	Deutsche Bank		11,580		1.00	⁽¹⁾	12/20/20		11,172
Brazil	HSBC Bank USA		14,225		1.00	⁽¹⁾	6/20/20		(178,737	)
Brazil	HSBC Bank USA		9,710		1.00	⁽¹⁾	12/20/20		48,481
Brazil	Standard Chartered Bank		9,440		1.00	⁽¹⁾	12/20/20		47,133
Brazil	Standard Chartered Bank		2,700		1.00	⁽¹⁾	12/20/20		28,352
Egypt	Bank of America		4,550		1.00	⁽¹⁾	6/20/15		323,708
Egypt	Bank of America		7,050		1.00	⁽¹⁾	9/20/15		624,428
Egypt	Barclays Bank PLC		7,000		1.00	⁽¹⁾	6/20/15		599,825
Egypt	Barclays Bank PLC		4,770		1.00	⁽¹⁾	6/20/15		428,177
Egypt	Barclays Bank PLC		9,000		1.00	⁽¹⁾	9/20/15		797,142
Egypt	Citigroup Global Markets		5,000		1.00	⁽¹⁾	6/20/15		429,529
Egypt	Citigroup Global Markets		3,050		1.00	⁽¹⁾	12/20/15		226,921
Egypt	Citigroup Global Markets		4,550		1.00	⁽¹⁾	6/20/20		576,042
Egypt	Citigroup Global Markets		4,550		1.00	⁽¹⁾	6/20/20		552,168
Egypt	Credit Suisse		10,000		1.00	⁽¹⁾	9/20/15		885,713
Egypt	Credit Suisse		11,000		1.00	⁽¹⁾	12/20/15		864,072
Egypt	Credit Suisse		5,050		1.00	⁽¹⁾	12/20/15		375,697
Egypt	Deutsche Bank		9,540		1.00	⁽¹⁾	6/20/15		860,031
Egypt	Deutsche Bank		9,550		1.00	⁽¹⁾	6/20/15		743,057
Egypt	Deutsche Bank		7,000		1.00	⁽¹⁾	6/20/15		586,366
Egypt	Deutsche Bank		4,700		1.00	⁽¹⁾	6/20/15		337,753
Egypt	Deutsche Bank		4,550		1.00	⁽¹⁾	6/20/15		318,967
Egypt	Deutsche Bank		2,375		1.00	⁽¹⁾	6/20/15		204,026
Egypt	Deutsche Bank		10,000		1.00	⁽¹⁾	9/20/15		885,713
Egypt	Deutsche Bank		8,200		1.00	⁽¹⁾	9/20/15		718,633
Egypt	Deutsche Bank		5,700		1.00	⁽¹⁾	9/20/15		472,778
Egypt	Deutsche Bank		4,175		1.00	⁽¹⁾	9/20/15		317,336
Egypt	Deutsche Bank		2,855		1.00	⁽¹⁾	12/20/15		229,363
Egypt	Deutsche Bank		5,100		1.00	⁽¹⁾	6/20/20		704,482
Egypt	Deutsche Bank		4,600		1.00	⁽¹⁾	6/20/20		580,095
Egypt	Deutsche Bank		4,550		1.00	⁽¹⁾	6/20/20		573,150
Egypt	Goldman Sachs, Inc.		9,700		1.00	⁽¹⁾	9/20/15		836,689


		Notional		Contract				Net Unrealized
		Amount		Annual			Termination	Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate**			Date	(Depreciation)
Egypt	JPMorgan Chase Bank	$	4,550		1.00	%⁽¹⁾	6/20/15	$	323,708
Greece	Citigroup Global Markets		9,775		1.00	⁽¹⁾	6/20/15		1,401,124
Greece	Credit Suisse		20,000		0.20		6/20/20		7,415,882
Greece	Deutsche Bank		5,000		1.00	⁽¹⁾	6/20/15		512,375
Greece	JPMorgan Chase Bank		20,000		0.13		9/20/17		6,742,924
Guatemala	Citigroup Global Markets		18,256		1.00	⁽¹⁾	9/20/20		(12,834	)
Italy	Credit Suisse		18,200		0.20		12/20/16		1,544,363
Lebanon	Barclays Bank PLC		4,200		1.00	⁽¹⁾	12/20/14		153,212
Lebanon	Barclays Bank PLC		6,700		1.00	⁽¹⁾	3/20/15		295,051
Lebanon	Barclays Bank PLC		4,900		1.00	⁽¹⁾	3/20/15		210,667
Lebanon	Barclays Bank PLC		4,900		1.00	⁽¹⁾	3/20/15		168,828
Lebanon	Barclays Bank PLC		5,000		1.00	⁽¹⁾	12/20/15		173,914
Lebanon	Citigroup Global Markets		4,600		3.30		9/20/14		13,435
Lebanon	Citigroup Global Markets		5,500		1.00	⁽¹⁾	12/20/14		195,672
Lebanon	Citigroup Global Markets		4,500		1.00	⁽¹⁾	12/20/14		169,562
Lebanon	Citigroup Global Markets		4,300		1.00	⁽¹⁾	12/20/14		156,860
Lebanon	Citigroup Global Markets		2,800		1.00	⁽¹⁾	3/20/15		141,146
Lebanon	Citigroup Global Markets		15,000		1.00	⁽¹⁾	9/20/15		438,006
Lebanon	Citigroup Global Markets		6,000		1.00	⁽¹⁾	9/20/15		135,699
Lebanon	Credit Suisse		8,800		1.00	⁽¹⁾	3/20/15		387,821
Lebanon	Credit Suisse		4,600		1.00	⁽¹⁾	3/20/15		201,163
Lebanon	Credit Suisse		9,900		1.00	⁽¹⁾	6/20/15		503,436
Lebanon	Credit Suisse		5,000		1.00	⁽¹⁾	9/20/15		145,229
Lebanon	Credit Suisse		22,710		1.00	⁽¹⁾	12/20/15		766,765
Lebanon	Credit Suisse		8,300		1.00	⁽¹⁾	12/20/15		313,541
Lebanon	Credit Suisse		5,000		1.00	⁽¹⁾	12/20/15		179,021
Lebanon	Credit Suisse		4,450		1.00	⁽¹⁾	12/20/15		168,926
Lebanon	Deutsche Bank		6,100		1.00	⁽¹⁾	3/20/15		294,268
Lebanon	Deutsche Bank		5,000		1.00	⁽¹⁾	6/20/15		250,460
Lebanon	Deutsche Bank		4,900		1.00	⁽¹⁾	6/20/15		249,178
Lebanon	Deutsche Bank		6,700		1.00	⁽¹⁾	9/20/15		257,836
Lebanon	Deutsche Bank		6,890		1.00	⁽¹⁾	12/20/15		238,248
Lebanon	Deutsche Bank		5,000		1.00	⁽¹⁾	12/20/15		168,817
Lebanon	Deutsche Bank		3,085		1.00	⁽¹⁾	12/20/15		105,577
Lebanon	Goldman Sachs, Inc.		3,600		1.00	⁽¹⁾	9/20/15		104,565
Malaysia	Bank of America		3,900		0.83		12/20/14		(34,415	)
Malaysia	Barclays Bank PLC		7,400		2.40		3/20/14		(444,863	)
Malaysia	Barclays Bank PLC		7,800		0.82		12/20/14		(65,773	)
Malaysia	Citigroup Global Markets		7,300		2.45		3/20/14		(450,603	)
Philippines	Bank of America		9,300		1.00	⁽¹⁾	9/20/15		(87,731	)
Philippines	Bank of America		3,500		1.00	⁽¹⁾	12/20/15		(24,945	)
Philippines	Barclays Bank PLC		8,200		1.70		12/20/14		(201,569	)
Philippines	Barclays Bank PLC		8,000		1.84		12/20/14		(240,190	)
Philippines	Barclays Bank PLC		8,700		1.85		12/20/14		(264,591	)
Philippines	Barclays Bank PLC		9,131		1.00	⁽¹⁾	3/20/15		(175,733	)
Philippines	Barclays Bank PLC		10,000		1.00	⁽¹⁾	6/20/15		(175,256	)
Philippines	Citigroup Global Markets		5,000		1.88		6/20/11		(39,493	)
Philippines	Citigroup Global Markets		3,800		1.84		12/20/14		(114,090	)
Philippines	Citigroup Global Markets		8,700		1.86		12/20/14		(267,975	)
Philippines	Citigroup Global Markets		10,000		1.00	⁽¹⁾	6/20/15		(196,937	)
Philippines	Credit Suisse		5,000		1.88		6/20/11		(39,493	)
Philippines	Deutsche Bank		9,750		1.00	⁽¹⁾	3/20/15		(207,857	)
Philippines	Deutsche Bank		10,000		1.00	⁽¹⁾	6/20/15		(167,780	)
Philippines	Deutsche Bank		9,500		1.00	⁽¹⁾	9/20/15		(138,797	)
Philippines	Deutsche Bank		10,000		1.00	⁽¹⁾	9/20/15		(140,895	)
Philippines	Goldman Sachs, Inc.		10,000		1.00	⁽¹⁾	3/20/15		(231,049	)
Philippines	Goldman Sachs, Inc.		10,000		1.00	⁽¹⁾	6/20/15		(170,822	)
Philippines	Goldman Sachs, Inc.		7,200		1.00	⁽¹⁾	9/20/15		(62,033	)
Philippines	HSBC Bank USA		10,000		1.00	⁽¹⁾	6/20/15		(167,780	)
Philippines	HSBC Bank USA		5,000		1.00	⁽¹⁾	9/20/15		(47,168	)
Philippines	HSBC Bank USA		4,400		1.00	⁽¹⁾	9/20/15		(57,028	)


		Notional		Contract				Net Unrealized
		Amount		Annual			Termination	Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate**			Date	(Depreciation)
Philippines	HSBC Bank USA	$	10,000		1.00	%⁽¹⁾	9/20/15	$	(166,759	)
Philippines	HSBC Bank USA		10,000		1.00	⁽¹⁾	9/20/15		(183,067	)
Philippines	JPMorgan Chase Bank		5,000		1.88		6/20/11		(39,493	)
Philippines	JPMorgan Chase Bank		8,200		1.69		12/20/14		(198,379	)
Philippines	JPMorgan Chase Bank		9,131		1.00	⁽¹⁾	3/20/15		(175,733	)
Philippines	JPMorgan Chase Bank		10,000		1.00	⁽¹⁾	6/20/15		(189,260	)
Philippines	Standard Chartered Bank		10,000		1.00	⁽¹⁾	9/20/15		(162,468	)
Philippines	Standard Chartered Bank		5,500		1.00	⁽¹⁾	12/20/15		(39,199	)
Russia	Bank of America		5,500		1.00	⁽¹⁾	6/20/15		(22,408	)
Russia	Bank of America		8,460		1.00	⁽¹⁾	6/20/15		(270,586	)
Russia	Bank of America		14,540		1.00	⁽¹⁾	12/20/20		(31,093	)
Russia	Barclays Bank PLC		8,510		1.00	⁽¹⁾	12/20/20		(11,668	)
Russia	Citigroup Global Markets		9,200		1.00	⁽¹⁾	6/20/15		25,328
Russia	Citigroup Global Markets		5,000		1.00	⁽¹⁾	6/20/15		(159,921	)
Russia	Credit Suisse		9,000		1.00	⁽¹⁾	3/20/15		16,912
Russia	Credit Suisse		9,000		1.00	⁽¹⁾	6/20/15		31,472
Russia	Deutsche Bank		9,300		1.00	⁽¹⁾	6/20/15		32,521
Russia	Deutsche Bank		11,475		1.00	⁽¹⁾	9/20/20		(65,394	)
Russia	Deutsche Bank		8,200		1.00	⁽¹⁾	12/20/20		(17,535	)
Russia	Goldman Sachs, Inc.		9,000		1.00	⁽¹⁾	6/20/15		(287,858	)
Russia	Goldman Sachs, Inc.		12,425		1.00	⁽¹⁾	9/20/20		(79,772	)
Russia	JPMorgan Chase Bank		10,000		1.00	⁽¹⁾	6/20/15		(190,681	)
Serbia	HSBC Bank USA		7,000		1.30		5/20/11		14,267
South Africa	Bank of America		6,300		1.00	⁽¹⁾	12/20/19		26,830
South Africa	Bank of America		5,575		1.00	⁽¹⁾	9/20/20		47,157
South Africa	Bank of America		16,990		1.00	⁽¹⁾	12/20/20		241,293
South Africa	Bank of America		5,160		1.00	⁽¹⁾	12/20/20		54,247
South Africa	Barclays Bank PLC		6,300		1.00	⁽¹⁾	12/20/19		(13,663	)
South Africa	Barclays Bank PLC		5,000		1.00	⁽¹⁾	3/20/20		53,621
South Africa	Barclays Bank PLC		5,000		1.00	⁽¹⁾	3/20/20		28,272
South Africa	Barclays Bank PLC		5,000		1.00	⁽¹⁾	3/20/20		(61,199	)
South Africa	Barclays Bank PLC		10,000		1.00	⁽¹⁾	6/20/20		(363,046	)
South Africa	Barclays Bank PLC		12,000		1.00	⁽¹⁾	9/20/20		(296,247	)
South Africa	Barclays Bank PLC		12,010		1.00	⁽¹⁾	12/20/20		172,263
South Africa	Barclays Bank PLC		7,340		1.00	⁽¹⁾	12/20/20		88,596
South Africa	Citigroup Global Markets		3,910		1.00	⁽¹⁾	12/20/19		(33,987	)
South Africa	Citigroup Global Markets		5,300		1.00	⁽¹⁾	3/20/20		(51,612	)
South Africa	Citigroup Global Markets		4,600		1.00	⁽¹⁾	3/20/20		(53,210	)
South Africa	Citigroup Global Markets		5,000		1.00	⁽¹⁾	6/20/20		(65,320	)
South Africa	Credit Suisse		5,100		1.00	⁽¹⁾	3/20/20		36,703
South Africa	Credit Suisse		4,600		1.00	⁽¹⁾	3/20/20		(6,765	)
South Africa	Credit Suisse		5,000		1.00	⁽¹⁾	6/20/20		(68,820	)
South Africa	Credit Suisse		10,000		1.00	⁽¹⁾	6/20/20		(342,693	)
South Africa	Credit Suisse		16,990		1.00	⁽¹⁾	12/20/20		200,397
South Africa	Credit Suisse		7,740		1.00	⁽¹⁾	12/20/20		75,355
South Africa	Credit Suisse		10,450		1.00	⁽¹⁾	12/20/20		(101	)
South Africa	Deutsche Bank		5,575		1.00	⁽¹⁾	9/20/20		49,282
South Africa	Deutsche Bank		1,450		1.00	⁽¹⁾	9/20/20		(256	)
South Africa	Deutsche Bank		5,500		1.00	⁽¹⁾	9/20/20		(705	)
South Africa	Deutsche Bank		12,500		1.00	⁽¹⁾	9/20/20		(51,873	)
South Africa	Deutsche Bank		13,005		1.00	⁽¹⁾	12/20/20		165,729
South Africa	Goldman Sachs, Inc.		17,335		1.00	⁽¹⁾	12/20/20		207,066
South Africa	Goldman Sachs, Inc.		8,020		1.00	⁽¹⁾	12/20/20		90,555
South Africa	JPMorgan Chase Bank		5,200		1.00	⁽¹⁾	12/20/19		(57,247	)
South Africa	JPMorgan Chase Bank		4,590		1.00	⁽¹⁾	12/20/19		(102,415	)
South Africa	JPMorgan Chase Bank		5,100		1.00	⁽¹⁾	3/20/20		40,293
South Africa	JPMorgan Chase Bank		5,000		1.00	⁽¹⁾	3/20/20		32,469
South Africa	JPMorgan Chase Bank		5,200		1.00	⁽¹⁾	3/20/20		(47,112	)
South Africa	JPMorgan Chase Bank		5,000		1.00	⁽¹⁾	6/20/20		(58,306	)
South Africa	JPMorgan Chase Bank		5,000		1.00	⁽¹⁾	6/20/20		(184,907	)
Spain	Bank of America		15,000		1.00	⁽¹⁾	6/20/20		1,279,886


		Notional		Contract				Net Unrealized
		Amount		Annual			Termination	Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate**			Date	(Depreciation)
Spain	Bank of America	$	7,500		1.00	%⁽¹⁾	9/20/20	$	266,075
Spain	Barclays Bank PLC		11,400		1.00	⁽¹⁾	3/20/20		1,083,318
Spain	Barclays Bank PLC		10,000		1.00	⁽¹⁾	6/20/20		280,024
Spain	Barclays Bank PLC		7,412		1.00	⁽¹⁾	9/20/20		116,011
Spain	Barclays Bank PLC		44,330		1.00	⁽¹⁾	12/20/20		395,332
Spain	Barclays Bank PLC		5,200		1.00	⁽¹⁾	12/20/20		56,221
Spain	Barclays Bank PLC		4,700		1.00	⁽¹⁾	12/20/20		49,088
Spain	Citigroup Global Markets		11,400		1.00	⁽¹⁾	3/20/20		922,894
Spain	Citigroup Global Markets		11,800		1.00	⁽¹⁾	3/20/20		642,310
Spain	Citigroup Global Markets		5,000		1.00	⁽¹⁾	9/20/20		275,764
Spain	Deutsche Bank		11,400		1.00	⁽¹⁾	3/20/20		938,794
Spain	Deutsche Bank		11,800		1.00	⁽¹⁾	3/20/20		642,310
Spain	Deutsche Bank		10,000		1.00	⁽¹⁾	6/20/20		577,547
Spain	Deutsche Bank		13,950		1.00	⁽¹⁾	6/20/20		577,288
Spain	Deutsche Bank		43,055		1.00	⁽¹⁾	12/20/20		383,962
Spain	Deutsche Bank		12,825		1.00	⁽¹⁾	12/20/20		301,590
Spain	Goldman Sachs, Inc.		5,000		1.00	⁽¹⁾	6/20/20		136,777
Spain	Goldman Sachs, Inc.		8,543		1.00	⁽¹⁾	9/20/20		116,592
Spain	JPMorgan Chase Bank		5,000		1.00	⁽¹⁾	9/20/20		282,930
Spain	JPMorgan Chase Bank		15,000		1.00	⁽¹⁾	9/20/20		67,510
Thailand	Bank of America		4,000		1.00	⁽¹⁾	9/20/15		8,330
Thailand	Barclays Bank PLC		7,500		0.97		9/20/19		254,343
Thailand	Citigroup Global Markets		7,700		0.86		12/20/14		65,518
Thailand	Citigroup Global Markets		3,700		0.95		9/20/19		131,014
Thailand	Credit Suisse		5,000		1.00	⁽¹⁾	9/20/15		(2,533	)
Thailand	Deutsche Bank		10,000		1.00	⁽¹⁾	3/20/15		(23,476	)
Thailand	Goldman Sachs, Inc.		9,000		1.00	⁽¹⁾	9/20/15		22,683
Thailand	Goldman Sachs, Inc.		4,700		1.00	⁽¹⁾	9/20/15		11,873
Thailand	HSBC Bank USA		10,000		1.00	⁽¹⁾	9/20/15		25,204
Thailand	JPMorgan Chase Bank		3,900		0.87		12/20/14		31,671
Thailand	Standard Chartered Bank		5,000		1.00	⁽¹⁾	9/20/15		12,630
Thailand	Standard Chartered Bank		5,000		1.00	⁽¹⁾	9/20/15		(388	)
Turkey	Credit Suisse		5,000		2.87		7/20/11		(58,333	)
Uruguay	Citigroup Global Markets		4,600		1.00	⁽¹⁾	6/20/20		(21,335	)
Uruguay	Deutsche Bank		9,200		1.00	⁽¹⁾	6/20/20		(27,232	)
Banco Comercial Portugues, S.A.	JPMorgan Chase Bank		4,350		1.00	⁽¹⁾	3/20/15		1,256,427
Banco de Sabadell, S.A.	JPMorgan Chase Bank		4,350		3.00	⁽¹⁾	3/20/15		697,571
Citibank Corp.	Bank of America		16,801		1.00	⁽¹⁾	9/20/20		(348,759	)
Citibank Corp.	JPMorgan Chase Bank		18,407		1.00	⁽¹⁾	9/20/20		(447,681	)
Erste Group Bank AG	Barclays Bank PLC		4,350		1.00	⁽¹⁾	3/20/15		54,542
ING Verzekeringen N.V.	JPMorgan Chase Bank		4,350		1.00	⁽¹⁾	3/20/15		156,256
OAO Gazprom	Bank of America		9,300		1.00	⁽¹⁾	6/20/20		(302,504	)
OAO Gazprom	Bank of America		10,000		1.00	⁽¹⁾	6/20/20		(384,556	)
OAO Gazprom	Barclays Bank PLC		9,350		1.00	⁽¹⁾	6/20/15		(140,267	)
OAO Gazprom	Deutsche Bank		9,350		1.00	⁽¹⁾	6/20/15		(143,735	)
OAO Gazprom	Deutsche Bank		9,200		1.00	⁽¹⁾	9/20/20		(150,802	)
OAO Gazprom	Deutsche Bank		9,100		1.00	⁽¹⁾	9/20/20		(182,556	)
OAO Gazprom	Goldman Sachs, Inc.		9,200		1.00	⁽¹⁾	9/20/20		(157,084	)
OAO Gazprom	Goldman Sachs, Inc.		8,900		1.00	⁽¹⁾	9/20/20		(203,761	)
Rabobank Nederland N.V.	JPMorgan Chase Bank		4,350		1.00	⁽¹⁾	3/20/15		12,370
Raiffeisen Zentralbank	Barclays Bank PLC		4,350		1.00	⁽¹⁾	3/20/15		27,206
iTraxx Europe Senior Financials 5-Year Index	Bank of America	EUR	17,510		1.00	⁽¹⁾	12/20/15		(183,785	)
iTraxx Europe Senior Financials 5-Year Index	Credit Suisse	EUR	7,400		1.00	⁽¹⁾	12/20/15		(125,312	)
iTraxx Europe Senior Financials 5-Year Index	Credit Suisse	EUR	17,510		1.00	⁽¹⁾	12/20/15		(188,614	)
iTraxx Europe Subordinated Financials 5-Year Index	Bank of America	EUR	14,150		1.00	⁽¹⁾	12/20/15		855,715

Notional

Contract

Net Unrealized

Amount

Annual

Termination

Appreciation

Reference Entity

Counterparty

(000’s omitted)

Fixed Rate**

Date

(Depreciation)

iTraxx Europe
Subordinated Financials 5-Year Index

Bank of America

EUR

16,650

1.00

%⁽¹⁾

12/20/15

39,884

iTraxx Europe
Subordinated Financials 5-Year Index

Citigroup Global Markets

EUR

1,500

1.00

⁽¹⁾

12/20/15

89,801

iTraxx Europe
Subordinated Financials 5-Year Index

Credit Suisse

EUR

17,490

1.00

⁽¹⁾

12/20/15

1,067,314

iTraxx Europe
Subordinated Financials 5-Year Index

Deutsche Bank

EUR

14,100

1.00

⁽¹⁾

12/20/15

844,137

iTraxx Europe
Subordinated Financials 5-Year Index

Goldman Sachs, Inc.

EUR

4,000

1.00

⁽¹⁾

12/20/15

239,471

iTraxx Europe
Subordinated Financials 5-Year Index

JPMorgan Chase Bank

EUR

16,100

1.00

⁽¹⁾

12/20/15

973,641

46,208,244


*	If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At January 31, 2011, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $224,240,000.

**	The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) annually 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.


EUR		-		Euro

Cross-Currency Swaps


	Notional Amount		Notional Amount
	on Fixed Rate		on Floating Rate							Net Unrealized
	(Currency Received)		(Currency Delivered)		Floating	Fixed			Termination	Appreciation
Counterparty	(000’s omitted)		(000’s omitted)		Rate	Rate			Date	(Depreciation)
Bank of America	TRY	17,118	$	11,435	3 Month USD- LIBOR-BBA		8.28	%	8/11/20	$	186,708
Barclays Bank PLC	TRY	60,000		40,080	3 Month USD- LIBOR-BBA		8.25		8/11/20		734,386
Barclays Bank PLC	TRY	25,350		16,650	3 Month USD- LIBOR-BBA		8.32		8/16/20		(33,134	)
Citigroup Global Markets	TRY	25,000		16,700	3 Month USD- LIBOR-BBA		8.20		8/11/20		361,530
Deutsche Bank	TRY	22,254		14,861	3 Month USD- LIBOR-BBA		8.26		8/11/20		257,530
Goldman Sachs, Inc.	TRY	34,237		22,802	3 Month USD- LIBOR-BBA		8.31		8/11/20		266,803
JPMorgan Chase Bank	TRY	27,000		18,012	3 Month USD- LIBOR-BBA		8.29		8/11/20		258,413
JPMorgan Chase Bank	TRY	20,000		13,333	3 Month USD- LIBOR-BBA		8.36		8/11/20		120,316

										$	2,152,552


TRY		-		New Turkish Lira

At January 31, 2011, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:

Credit Risk: The Portfolio enters into credit default swap contracts to manage its credit risk, to gain a particular exposure to credit risk, or to enhance return.

Equity Risk: The Portfolio enters into equity index options to enhance return.

The fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at January 31, 2011 was as follows:


		Fair Value
		Asset		Liability
Risk	Derivative	Derivatives		Derivatives
Commodity	Futures Contracts*	$	4,860,150	$	(4,132,360	)
Commodity	Put Options Purchased		600,000		—

		$	5,460,150	$	(4,132,360	)

Credit	Credit Default Swaps	$	59,972,176	$	(14,319,794	)

		$	59,972,176	$	(14,319,794	)

Equity	Put Options Purchased	$	6,799,437	$	—

		$	6,799,437	$	—


Foreign Exchange	Currency Options Purchased	$	4,410,920	$	—
Foreign Exchange	Forward Foreign Currency Exchange Contracts		49,070,303		(99,987,408	)

		$	53,481,223	$	(99,987,408	)


Interest Rate	Cross-Currency Swaps	$	2,185,686	$	(33,134	)
Interest Rate	Futures Contracts*		7,365,762		(455,706	)
Interest Rate	Interest Rate Swaps		11,482,544		(701,102	)

		$	21,033,992	$	(1,189,942	)


*		Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	8,604,821,873

Gross unrealized appreciation	$	130,610,200
Gross unrealized depreciation		(91,037,201	)

Net unrealized appreciation	$	39,572,999


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for			Significant Other			Significant
	Identical Assets			Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)			(Level 2)			(Level 3)		Total

Foreign Government Bonds	$	—		$	1,394,523,757		$	—	$	1,394,523,757
Foreign Corporate Bonds & Notes		—			3,896,300			—		3,896,300
Corporate Bonds & Notes		—			638,399			—		638,399
Collateralized Mortgage Obligations		—			125,759,696			—		125,759,696
Commercial Mortgage-Backed Securities		—			54,907,766			—		54,907,766
Mortgage Pass-Throughs		—			1,087,146,323			—		1,087,146,323
U.S. Government Agency Obligations		—			375,267,058			—		375,267,058
U.S. Treasury Obligations		—			1,164,748,595			—		1,164,748,595
Common Stocks		—			122,325			—		122,325
Precious Metals		88,208,043			—			—		88,208,043
Currency Options Purchased		—			4,410,920			—		4,410,920
Put Options Purchased		—			7,399,437			—		7,399,437
Short-Term Investments —
Foreign Government Securities		—			3,529,692,196			196,544,669		3,726,236,865
U.S. Treasury Obligations		—			472,268,422			—		472,268,422
Repurchase Agreements		—			114,215,688			—		114,215,688
Other Securities		—			24,645,278			—		24,645,278


Total Investments	$	88,208,043		$	8,359,642,160		$	196,544,669	$	8,644,394,872



Forward Foreign Currency Exchange Contracts	$	—		$	49,070,303		$	—	$	49,070,303
Swaps Contracts		—			73,640,406			—		73,640,406
Futures Contracts		12,225,912			—			—		12,225,912


Total	$	100,433,955		$	8,482,352,869		$	196,544,669	$	8,779,331,493



Liability Description
Securities Sold Short	$	—		$	(19,914,853	)	$	—	$	(19,914,853	)
Forward Foreign Currency Exchange Contracts		—			(99,987,408	)		—		(99,987,408	)
Swaps Contracts		—			(15,054,030	)		—		(15,054,030	)
Futures Contracts		(4,588,066	)		—			—		(4,588,066	)


Total	$	(4,588,066	)	$	(134,956,291	)	$	—	$	(139,544,357	)

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:


	Investments in
	Short-Term
	Investments –
	Foreign
	Government
	Securities
Balance as of October 31, 2010	$	—
Realized gains (losses)		—
Change in net unrealized appreciation (depreciation)		(8,324,191	)
Cost of purchases		133,965,191
Proceeds from sales		—
Accrued discount (premium)		3,654,242
Transfers to Level 3*		67,249,427
Transfers from Level 3*		—

Balance as of January 31, 2011	$	196,544,669

Change in net unrealized appreciation (depreciation) on investments still held as of January 31, 2011	$	(8,324,191	)


*		Transfers are reflected at the value of the securities at the beginning of the period. Transfers from Level 2 to Level 3 were due to the effects of the market closure in Egypt.

At January 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.


Eaton Vance Tax-Managed Global Dividend Income Fund	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 73.9%


Security	Shares		Value
Aerospace & Defense — 1.2%
United Technologies Corp.		175,000	$	14,227,500

			$	14,227,500

Beverages — 1.2%
PepsiCo, Inc.		225,000	$	14,469,750

			$	14,469,750

Building Products — 0.9%
Compagnie de Saint-Gobain		200,000	$	11,536,942

			$	11,536,942

Chemicals — 1.0%
Air Products and Chemicals, Inc.		145,000	$	12,651,250

			$	12,651,250

Commercial Banks — 1.0%
U.S. Bancorp		463,421	$	12,512,367

			$	12,512,367

Communications Equipment — 1.7%
Telefonaktiebolaget LM Ericsson, Class B		1,650,000	$	20,342,543

			$	20,342,543

Diversified Telecommunication Services — 1.1%
France Telecom SA		200,000	$	4,362,025
Tele2 AB		400,000		8,841,454

			$	13,203,479

Energy Equipment & Services — 4.0%
Schlumberger, Ltd.		250,000	$	22,247,500
Seadrill, Ltd.		790,000		26,017,819

			$	48,265,319

Food & Staples Retailing — 1.4%
Wal-Mart Stores, Inc.		298,769	$	16,751,978

			$	16,751,978

Food Products — 3.0%
Nestle SA		668,000	$	36,089,215

			$	36,089,215

Health Care Providers & Services — 1.9%
Fresenius Medical Care AG & Co. KGaA		401,000	$	23,459,316

			$	23,459,316

Hotels, Restaurants & Leisure — 3.6%
Carnival Corp.		320,000	$	14,307,200
McDonald’s Corp.		400,000		29,468,000

			$	43,775,200

Household Products — 2.0%
Henkel AG & Co. KGaA, PFC Shares		395,000	$	24,033,216

			$	24,033,216

Independent Power Producers & Energy Traders — 2.1%
International Power PLC		3,800,000	$	25,688,126

			$	25,688,126


Security	Shares		Value
Industrial Conglomerates — 1.6%
Siemens AG		150,000	$	19,229,032

			$	19,229,032

Insurance — 3.4%
MetLife, Inc.		295,000	$	13,502,150
Progressive Corp.		775,758		15,367,766
Prudential Financial, Inc.		200,000		12,302,000

			$	41,171,916

IT Services — 5.0%
Accenture PLC, Class A		555,000	$	28,565,850
International Business Machines Corp.		200,000		32,400,000

			$	60,965,850

Metals & Mining — 6.1%
BHP Billiton, Ltd. ADR		386,931	$	34,448,467
Southern Copper Corp.		880,000		39,441,600

			$	73,890,067

Multi-Utilities — 2.3%
CMS Energy Corp.		875,000	$	17,062,500
National Grid PLC		1,250,000		11,085,878

			$	28,148,378

Oil, Gas & Consumable Fuels — 6.8%
Chevron Corp.		327,000	$	31,042,110
Exxon Mobil Corp.		250,000		20,170,000
Royal Dutch Shell PLC, Class A		330,000		11,626,409
Total SA		340,000		19,895,541

			$	82,734,060

Pharmaceuticals — 7.7%
Abbott Laboratories		335,000	$	15,128,600
Merck & Co., Inc.		712,440		23,631,635
Novartis AG		590,000		32,845,195
Pfizer, Inc.		685,000		12,480,700
Roche Holding AG		60,000		9,128,278

			$	93,214,408

Road & Rail — 4.4%
Canadian National Railway Co.		370,000	$	25,123,000
Norfolk Southern Corp.		110,000		6,730,900
Union Pacific Corp.		230,000		21,764,900

			$	53,618,800

Software — 4.3%
Microsoft Corp.		1,025,000	$	28,418,125
Oracle Corp.		750,000		24,022,500

			$	52,440,625

Specialty Retail — 2.1%
TJX Companies, Inc. (The)		535,000	$	25,353,650

			$	25,353,650

Tobacco — 2.2%
Philip Morris International, Inc.		467,000	$	26,731,080

			$	26,731,080

Wireless Telecommunication Services — 1.9%
Vodafone Group PLC ADR		811,000	$	22,999,960

			$	22,999,960


Total Common Stocks (identified cost $677,039,142)			$	897,504,027

Preferred Stocks — 17.5%


Security	Shares		Value
Commercial Banks — 10.5%
Abbey National Capital Trust I, 8.963%⁽¹⁾		1,750	$	1,899,937
Bank of America Corp., 8.125%		8,750		9,234,986
Barclays Bank PLC, 7.434%⁽¹⁾⁽²⁾		9,200		9,129,188
BBVA International SA Unipersonal, 5.919%⁽¹⁾		6,250		4,846,075
BNP Paribas, 7.195%⁽¹⁾⁽²⁾		9,920		9,572,909
CoBank, ACB, 11.00%⁽²⁾		150,000		8,381,250
Credit Agricole SA/London, 6.637%⁽¹⁾⁽²⁾		3,205		2,816,717
DB Contingent Capital Trust II, 6.55%		78,923		1,814,440
Farm Credit Bank of Texas, Series I, 10.00%		8,400		8,893,500
HSBC Capital Funding LP, 10.176%⁽¹⁾⁽²⁾		3,250		4,417,481
JPMorgan Chase & Co., 7.90%⁽¹⁾		13,580		14,963,979
KeyCorp Capital X, 8.00%		75,000		1,946,250
KeyCorp, Series A, 7.75%		51,500		5,695,900
Landsbanki Islands HF, 7.431%^{(1)(2)(3)(4)(5)}		14,750		0
Lloyds Banking Group PLC, 6.657%^(1)(2)(3)		11,350		8,143,625
Rabobank Nederland, 11.00%⁽¹⁾⁽²⁾		1,075		1,404,248
Royal Bank of Scotland Group PLC, 7.648%⁽¹⁾		3,020		2,721,183
Royal Bank of Scotland Group PLC, Series F, 7.65%		150,660		3,306,987
Royal Bank of Scotland Group PLC, Series H, 7.25%		120,000		2,517,600
Royal Bank of Scotland Group PLC, Series L, 5.75%		233,790		4,149,772
Santander Finance SA Unipersonal, 10.50%		112,372		3,144,169
Standard Chartered PLC, 6.409%⁽¹⁾⁽²⁾		103		9,655,302
Wells Fargo & Co., 7.98%⁽¹⁾		3,400		3,759,179
Wells Fargo & Co., Class A, 7.50%		5,350		5,577,375

			$	127,992,052

Diversified Financial Services — 1.5%
Heller Financial, Inc., Series D, 6.95%		34,000	$	3,377,689
PPTT, 2006-A GS, Class A, 5.991%⁽¹⁾⁽²⁾		70		14,189,070

			$	17,566,759

Electric Utilities — 0.6%
Entergy Arkansas, Inc., 6.45%		51,500	$	1,281,063
Entergy Louisiana, LLC, 6.95%		50,600		4,973,034
Southern California Edison Co., 6.00%		15,000		1,424,062

			$	7,678,159

Food Products — 0.1%
Ocean Spray Cranberries, Inc., 6.25%⁽²⁾		13,250	$	1,040,125

			$	1,040,125

Insurance — 3.3%
Aegon NV, 6.375%		64,485	$	1,389,007
Allianz SE, 8.375%		66,520		1,752,390
Arch Capital Group, Ltd., Series A, 8.00%		185,500		4,711,700
AXA SA, 6.379%⁽¹⁾⁽²⁾		2,550		2,322,826
AXA SA, 6.463%⁽¹⁾⁽²⁾		9,090		8,122,124
Endurance Specialty Holdings, Ltd., Series A, 7.75%		181,550		4,740,270
ING Capital Funding Trust III, 3.903%⁽¹⁾		11,750		11,270,388
PartnerRe, Ltd., 6.75%		139,700		3,491,103
RAM Holdings, Ltd., Series A, 7.50%⁽¹⁾		5,000		2,500,313

			$	40,300,121

Marine — 0.6%
Seaspan Corp., 9.50%		260,000	$	6,734,000

			$	6,734,000


Security	Shares		Value
Real Estate Investment Trusts (REITs) — 0.9%
CapLease, Inc., Series A, 8.125%		225,000	$	5,632,875
Developers Diversified Realty Corp., Series I, 7.50%		187,500		4,402,500
Regency Centers Corp., Series C, 7.45%		41,750		1,054,187

			$	11,089,562


Total Preferred Stocks (identified cost $226,578,456)			$	212,400,778

Corporate Bonds & Notes — 8.2%


	Principal
	Amount
Security	(000’s omitted)		Value
Commercial Banks — 2.5%
Banco Industriale Comercial SA, 8.50%, 4/27/20⁽²⁾	$	1,200	$	1,240,500
Citigroup Capital XXI, 8.30% to 12/21/37, 12/21/57, 12/21/77⁽⁶⁾⁽⁷⁾		8,600		9,019,250
Fifth Third Capital Trust IV, 6.50% to 4/15/17, 4/15/37, 4/15/67⁽⁶⁾⁽⁷⁾		1,500		1,481,250
Groupe BPCE, 12.50% to 9/30/19, 8/29/49⁽²⁾⁽⁶⁾		5,040		5,578,554
Northgroup Preferred Capital Corp., 6.378% to 10/15/17, 1/29/49⁽²⁾⁽⁶⁾		9,900		9,152,263
PNC Preferred Funding Trust II, 6.113% to 3/15/12, 3/29/49⁽²⁾⁽⁶⁾		2,600		1,974,282
SunTrust Preferred Capital I, 5.853% to 12/15/11, 6/29/49⁽⁶⁾		3,100		2,379,250

			$	30,825,349

Diversified Financial Services — 0.4%
GE Capital Trust I, 6.375% to 11/15/17, 11/15/67⁽⁶⁾	$	5,220	$	5,291,775

			$	5,291,775

Electric Utilities — 1.9%
Energisa SA, 9.50%, 1/29/49⁽²⁾	$	2,610	$	2,577,375
Integrys Energy Group, Inc., 6.11% to 12/1/16, 12/1/66⁽⁶⁾		6,800		6,603,949
PPL Capital Funding, Inc., Series A, 6.70% to 3/30/17, 3/30/67⁽⁶⁾		10,200		10,033,944
Wisconsin Energy Corp., 6.25% to 5/15/17, 5/15/67⁽⁶⁾		3,200		3,196,099

			$	22,411,367

Insurance — 1.6%
MetLife, Inc., 10.75% to 8/1/34, 8/1/39, 8/1/69⁽⁶⁾⁽⁷⁾	$	3,865	$	5,376,713
QBE Capital Funding II LP, 6.797% to 6/1/17, 6/29/49⁽²⁾⁽⁶⁾		2,290		2,083,165
XL Capital, Ltd., 6.50% to 4/15/17, 12/29/49⁽⁶⁾		12,285		11,226,033

			$	18,685,911

Pipelines — 0.6%
Enbridge Energy Partners, LP, 8.05% to 10/1/17, 10/1/37, 10/1/77⁽⁶⁾⁽⁷⁾	$	2,750	$	2,913,818
Enterprise Products Operating, LLC, 7.00% to 6/1/17, 6/1/67⁽⁶⁾		1,680		1,675,328
Enterprise Products Operating, LLC, 7.034% to 1/15/18, 1/15/68⁽⁶⁾		1,295		1,351,888
TransCanada Pipelines, Ltd., 6.35% to 5/15/17, 5/15/67⁽⁶⁾		1,290		1,295,734

			$	7,236,768

Retail-Food and Drug — 1.2%
CVS Caremark Corp., 6.302% to 6/1/12, 6/1/37, 6/1/62⁽⁶⁾⁽⁷⁾	$	15,000	$	14,460,735

			$	14,460,735


Total Corporate Bonds & Notes (identified cost $92,512,425)			$	98,911,905

Short-Term Investments — 0.3%


	Interest
Description	(000’s Omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽⁸⁾	$	3,905	$	3,905,013


Total Short-Term Investments (identified cost $3,905,013)			$	3,905,013


Total Investments — 99.9% (identified cost $1,000,035,036)			$	1,212,721,723


Other Assets, Less Liabilities — 0.1%			$	1,594,303


Net Assets — 100.0%			$	1,214,316,026

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


ADR	-	American Depositary Receipt

PFC Shares	-	Preference Shares

PPTT	-	Preferred Pass-Through Trust

(1)		Variable rate security. The stated interest rate represents the rate in effect at January 31, 2011.

(2)		Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At January 31, 2011, the aggregate value of these securities is $101,801,004 or 8.4% of the Fund’s net assets.

(3)		Non-income producing security.

(4)		Defaulted security.

(5)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.

(6)		Security converts to floating rate after the indicated fixed-rate coupon period.

(7)		The maturity dates shown are the scheduled maturity date and final maturity date, respectively. The scheduled maturity date is earlier than the final maturity date due to the possibility of earlier repayment.

(8)		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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $2,875.

Country Concentration of Portfolio


	Percentage
Country	of Net Assets			Value
United States		70.6	%	$	855,690,926
Switzerland		6.4			78,062,688
Germany		5.6			68,473,954
United Kingdom		4.8			58,374,772
France		3.4			41,373,062
Sweden		2.4			29,183,997
Ireland		2.4			28,565,850
Bermuda		2.1			26,017,819
Cayman Islands		0.9			11,226,033
Hong Kong		0.6			6,734,000
Brazil		0.3			3,817,875
Canada		0.1			1,295,734
Iceland		0.0			0

Long-Term Investments		99.6	%	$	1,208,816,710
Short-Term Investments				$	3,905,013

Total Investments				$	1,212,721,723

The Fund did not have any open financial instruments at January 31, 2011.

The cost and unrealized appreciation (depreciation) of investments of the Fund at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	1,015,626,336

Gross unrealized appreciation	$	222,386,963
Gross unrealized depreciation		(25,291,576	)

Net unrealized appreciation	$	197,095,387


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Fund’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other			Significant
	Identical Assets		Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)		(Level 2)			(Level 3)		Total

Common Stocks
Consumer Discretionary	$	69,128,850	$	—		$	—	$	69,128,850
Consumer Staples		57,952,808		60,122,431			—		118,075,239
Energy		73,459,610		57,539,769			—		130,999,379
Financials		53,684,283		—			—		53,684,283
Health Care		51,240,935		65,432,789			—		116,673,724
Industrials		87,075,332		11,536,942			—		98,612,274
Information Technology		113,406,475		20,342,543			—		133,749,018
Materials		86,541,317		—			—		86,541,317
Telecommunication Services		22,999,960		13,203,479			—		36,203,439
Utilities		17,062,500		36,774,004			—		53,836,504


Total Common Stocks	$	632,552,070	$	264,951,957	*	$	—	$	897,504,027


Preferred Stocks
Consumer Staples	$	—	$	1,040,125		$	—	$	1,040,125
Financials		53,574,135		143,374,359			0		196,948,494
Industrials		6,734,000		—			—		6,734,000
Utilities		—		7,678,159			—		7,678,159


Total Preferred Stocks	$	60,308,135	$	152,092,643		$	0	$	212,400,778


Corporate Bonds & Notes	$	—	$	98,911,905		$	—	$	98,911,905
Short-Term Investments		—		3,905,013			—		3,905,013


Total Investments	$	692,860,205	$	519,861,518		$	0	$	1,212,721,723


*		Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

There was no activity in investments valued based on Level 3 inputs during the fiscal year to date ended January 31, 2011 to require a reconciliation of Level 3 investments. At January 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.

For additional 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.


Tax-Managed International Equity Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 99.8%


Security	Shares		Value
Automobiles — 6.2%
Bayerische Motoren Werke AG		48,300	$	3,706,884
Fiat SpA		78,400		760,799
Honda Motor Co., Ltd.		62,000		2,672,336
Nissan Motor Co., Ltd.		253,900		2,568,840

			$	9,708,859

Beverages — 2.5%
Anheuser-Busch InBev NV ADR		26,400	$	1,460,184
Central European Distribution Corp.⁽¹⁾		20,800		477,152
Fomento Economico Mexicano SA de CV ADR		36,000		1,910,520

			$	3,847,856

Capital Markets — 1.6%
3i Group PLC		195,000	$	966,899
UBS AG⁽¹⁾		83,900		1,502,175

			$	2,469,074

Chemicals — 4.3%
Agrium, Inc.		33,200	$	2,934,548
BASF SE		48,400		3,726,026

			$	6,660,574

Commercial Banks — 12.9%
Banco Bradesco SA ADR		70,600	$	1,335,752
Barclays PLC		412,000		1,929,585
BNP Paribas		43,300		3,231,849
BOC Hong Kong Holdings, Ltd.		692,500		2,239,149
DBS Group Holdings, Ltd.		402,300		4,743,769
HSBC Holdings PLC		160,000		1,744,487
Industrial & Commercial Bank of China, Ltd., Class H		1,862,730		1,394,088
Resona Holdings, Inc.		187,200		966,328
Societe Generale		39,700		2,564,345

			$	20,149,352

Communications Equipment — 0.6%
AAC Acoustic Technologies Holdings, Inc.		350,000	$	955,591

			$	955,591

Diversified Financial Services — 1.3%
ORIX Corp.		21,200	$	2,094,913

			$	2,094,913

Diversified Telecommunication Services — 3.7%
BT Group PLC		1,047,800	$	2,949,848
Koninklijke KPN NV		185,200		2,914,696

			$	5,864,544

Electric Utilities — 0.8%
Hongkong Electric Holdings, Ltd.		189,500	$	1,198,252

			$	1,198,252

Electrical Equipment — 1.2%
ABB, Ltd. ADR⁽¹⁾		82,900	$	1,962,243

			$	1,962,243

Electronic Equipment, Instruments & Components — 3.6%
FUJIFILM Holdings Corp.		125,600	$	4,545,978


Security	Shares		Value
Hon Hai Precision Industry Co., Ltd.		272,480	$	1,162,506

			$	5,708,484

Energy Equipment & Services — 1.9%
OAO TMK GDR⁽¹⁾		62,719	$	1,261,916
Precision Drilling Corp.⁽¹⁾		156,100		1,640,611

			$	2,902,527

Food Products — 2.9%
Nestle SA		84,000	$	4,538,165

			$	4,538,165

Hotels, Restaurants & Leisure — 1.6%
Carnival PLC		26,500	$	1,207,346
InterContinental Hotels Group PLC		61,100		1,288,511

			$	2,495,857

Household Durables — 0.9%
Sony Corp.		43,000	$	1,479,693

			$	1,479,693

Household Products — 1.1%
Henkel AG & Co. KGaA		34,100	$	1,755,219

			$	1,755,219

Industrial Conglomerates — 7.7%
Cookson Group PLC⁽¹⁾		263,700	$	2,804,804
Keppel Corp., Ltd.		745,900		6,859,276
Siemens AG ADR		18,700		2,401,267

			$	12,065,347

Insurance — 1.5%
Swiss Reinsurance Co., Ltd.		18,100	$	1,034,704
Zurich Financial Services AG		4,800		1,312,397

			$	2,347,101

Machinery — 3.4%
Atlas Copco AB		58,000	$	1,262,068
Fiat Industrial SpA⁽¹⁾		69,000		933,849
Volvo AB⁽¹⁾		176,900		3,066,206

			$	5,262,123

Media — 1.4%
Focus Media Holding, Ltd. ADR⁽¹⁾		89,900	$	2,239,409

			$	2,239,409

Metals & Mining — 7.4%
Anglo American PLC ADR		107,400	$	2,638,818
BHP Billiton PLC ADR		25,900		1,986,789
Thompson Creek Metals Co., Inc.⁽¹⁾		182,600		2,472,404
Vale SA ADR		146,000		4,523,080

			$	11,621,091

Office Electronics — 2.2%
Canon, Inc.		71,000	$	3,494,884

			$	3,494,884

Oil, Gas & Consumable Fuels — 9.2%
Afren PLC⁽¹⁾		340,000	$	790,154
CNOOC, Ltd.		840,000		1,871,970
HRT Participacoes em Petroleo SA⁽¹⁾		1,700		1,854,045
Petroleo Brasileiro SA ADR		69,400		2,307,550
Rosneft Oil Co. GDR		333,900		2,856,401


Security	Shares		Value
Statoil ASA		45,000	$	1,093,518
Total SA		62,400		3,651,417

			$	14,425,055

Pharmaceuticals — 7.9%
AstraZeneca PLC ADR		43,100	$	2,107,590
Genomma Lab Internacional SA de CV⁽¹⁾		480,000		1,216,717
GlaxoSmithKline PLC ADR		48,500		1,762,005
Novartis AG		80,000		4,453,586
Novo Nordisk A/S, Class B		9,500		1,069,603
Sanofi-Aventis		25,100		1,715,402

			$	12,324,903

Real Estate Management & Development — 1.5%
Brasil Brokers Participacoes SA		167,700	$	814,883
Raven Russia, Ltd.		1,425,551		1,518,541

			$	2,333,424

Semiconductors & Semiconductor Equipment — 0.6%
Infineon Technologies AG⁽¹⁾		83,000	$	879,239

			$	879,239

Textiles, Apparel & Luxury Goods — 0.7%
LVMH Moet Hennessy Louis Vuitton SA		7,500	$	1,170,363

			$	1,170,363

Tobacco — 3.2%
British American Tobacco PLC		136,100	$	5,026,550

			$	5,026,550

Trading Companies & Distributors — 2.8%
Mitsubishi Corp.		39,000	$	1,088,757
Mitsui & Co., Ltd.		195,000		3,291,514

			$	4,380,271

Wireless Telecommunication Services — 3.2%
Turkcell Iletisim Hizmetleri AS ADR		158,000	$	2,442,680
Vodafone Group PLC ADR		88,000		2,495,680

			$	4,938,360


Total Common Stocks (identified cost $141,138,484)			$	156,299,323

Short-Term Investments — 0.4%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽²⁾	$	588	$	588,287


Total Short-Term Investments (identified cost $588,287)			$	588,287


Total Investments — 100.2% (identified cost $141,726,771)			$	156,887,610


Other Assets, Less Liabilities — (0.2)%			$	(333,498	)


Net Assets — 100.0%			$	156,554,112


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

ADR	-	American Depositary Receipt

GDR	-	Global Depositary Receipt

(1)		Non-income producing security.

(2)		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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $117.

Country Concentration of Portfolio


	Percentage
Country	of Net Assets			Value
United Kingdom		19.0	%	$	29,699,066
Japan		14.2			22,203,243
Switzerland		9.4			14,803,270
Germany		8.0			12,468,635
France		7.9			12,333,376
Singapore		7.4			11,603,045
Brazil		6.9			10,835,310
Canada		4.5			7,047,563
Russia		3.6			5,636,858
China		3.5			5,505,467
Hong Kong		2.8			4,392,992
Sweden		2.8			4,328,274
Mexico		2.0			3,127,237
Netherlands		1.9			2,914,696
Turkey		1.5			2,442,680
Italy		1.1			1,694,648
Belgium		0.9			1,460,184
Taiwan		0.7			1,162,506
Norway		0.7			1,093,518
Denmark		0.7			1,069,603
United States		0.4			588,287
Poland		0.3			477,152

Total Investments		100.2	%	$	156,887,610

The Portfolio did not have any financial instruments outstanding at January 31, 2011.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	142,258,390

Gross unrealized appreciation	$	15,775,619
Gross unrealized depreciation		(1,146,399	)

Net unrealized appreciation	$	14,629,220


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other			Significant
	Identical Assets		Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)		(Level 2)			(Level 3)		Total

Common Stocks
Consumer Discretionary	$	2,239,409	$	14,854,772		$	—	$	17,094,181
Consumer Staples		3,847,856		11,319,934			—		15,167,790
Energy		5,802,206		11,525,376			—		17,327,582
Financials		3,669,176		25,724,688			—		29,393,864
Health Care		5,086,312		7,238,591			—		12,324,903
Industrials		5,297,359		18,372,625			—		23,669,984
Information Technology		—		11,038,198			—		11,038,198
Materials		14,555,639		3,726,026			—		18,281,665
Telecommunication Services		4,938,360		5,864,544			—		10,802,904
Utilities		1,198,252		—			—		1,198,252


Total Common Stocks	$	46,634,569	$	109,664,754	*	$	—	$	156,299,323


Short-Term Investments		—		588,287			—		588,287


Total Investments	$	46,634,569	$	110,253,041		$	—	$	156,887,610


*		Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.


Tax-Managed Mid-Cap Core Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 98.2%


Security	Shares		Value
Auto Components — 2.2%
BorgWarner, Inc.⁽¹⁾		30,000	$	2,022,000

			$	2,022,000

Beverages — 1.1%
Hansen Natural Corp.⁽¹⁾		18,000	$	1,019,520

			$	1,019,520

Capital Markets — 5.5%
Affiliated Managers Group, Inc.⁽¹⁾		27,400	$	2,790,142
Greenhill & Co., Inc.		19,000		1,318,980
SEI Investments Co.		45,000		1,041,750

			$	5,150,872

Chemicals — 1.3%
RPM International, Inc.		50,000	$	1,171,500

			$	1,171,500

Commercial Banks — 4.6%
City National Corp.		24,200	$	1,398,518
Cullen/Frost Bankers, Inc.		15,000		866,700
Trustmark Corp.		60,000		1,439,400
Umpqua Holdings Corp.		54,900		602,253

			$	4,306,871

Communications Equipment — 2.0%
Acme Packet, Inc.⁽¹⁾		17,000	$	914,260
F5 Networks, Inc.⁽¹⁾		9,000		975,420

			$	1,889,680

Construction & Engineering — 1.1%
Chicago Bridge & Iron Co. NV⁽¹⁾		15,000	$	493,350
Jacobs Engineering Group, Inc.⁽¹⁾		11,000		565,070

			$	1,058,420

Construction Materials — 0.5%
Martin Marietta Materials, Inc.		6,000	$	501,000

			$	501,000

Containers & Packaging — 3.3%
Rock-Tenn Co., Class A		19,000	$	1,268,250
Sonoco Products Co.		52,000		1,848,600

			$	3,116,850

Electric Utilities — 1.3%
DPL, Inc.		45,000	$	1,178,100

			$	1,178,100

Electrical Equipment — 2.9%
AMETEK, Inc.		66,000	$	2,691,480

			$	2,691,480

Electronic Equipment, Instruments & Components — 4.3%
Amphenol Corp., Class A		25,600	$	1,416,704
FLIR Systems, Inc.⁽¹⁾		45,000		1,396,800
National Instruments Corp.		28,000		1,184,680

			$	3,998,184


Security	Shares		Value
Energy Equipment & Services — 4.5%
Dril-Quip, Inc.⁽¹⁾		12,000	$	925,440
FMC Technologies, Inc.⁽¹⁾		19,000		1,786,000
Oceaneering International, Inc.⁽¹⁾		19,000		1,467,370

			$	4,178,810

Food & Staples Retailing — 0.6%
Ruddick Corp.		18,000	$	606,600

			$	606,600

Food Products — 1.9%
Diamond Foods, Inc.		12,000	$	597,240
Green Mountain Coffee Roasters, Inc.⁽¹⁾		35,000		1,175,300

			$	1,772,540

Gas Utilities — 2.8%
AGL Resources, Inc.		30,000	$	1,101,000
National Fuel Gas Co.		22,500		1,537,650

			$	2,638,650

Health Care Equipment & Supplies — 1.1%
DENTSPLY International, Inc.		28,400	$	1,007,632

			$	1,007,632

Health Care Providers & Services — 2.6%
Henry Schein, Inc.⁽¹⁾		21,000	$	1,378,860
Universal Health Services, Inc., Class B		25,000		1,052,500

			$	2,431,360

Health Care Technology — 1.7%
Allscripts Healthcare Solutions, Inc.⁽¹⁾		75,000	$	1,583,250

			$	1,583,250

Hotels, Restaurants & Leisure — 0.7%
Chipotle Mexican Grill, Inc.⁽¹⁾		3,000	$	656,760

			$	656,760

Household Durables — 1.2%
Mohawk Industries, Inc.⁽¹⁾		20,000	$	1,111,000

			$	1,111,000

Household Products — 0.3%
Church & Dwight Co., Inc.		4,000	$	275,240

			$	275,240

Insurance — 4.0%
Arthur J. Gallagher & Co.		40,000	$	1,187,200
HCC Insurance Holdings, Inc.		40,000		1,211,200
Markel Corp.⁽¹⁾		3,200		1,288,000

			$	3,686,400

Internet & Catalog Retail — 3.2%
Netflix, Inc.⁽¹⁾		13,800	$	2,954,304

			$	2,954,304

Internet Software & Services — 2.2%
GSI Commerce, Inc.⁽¹⁾		40,000	$	921,600
MercadoLibre, Inc.⁽¹⁾		16,000		1,084,480

			$	2,006,080

IT Services — 1.7%
Jack Henry & Associates, Inc.		52,200	$	1,543,032

			$	1,543,032


Security	Shares		Value
Life Sciences Tools & Services — 3.3%
Bio-Rad Laboratories, Inc., Class A⁽¹⁾		13,000	$	1,415,440
Mettler-Toledo International, Inc.⁽¹⁾		11,200		1,670,928

			$	3,086,368

Machinery — 8.3%
Donaldson Co., Inc.		36,000	$	2,109,600
Graco, Inc.		34,000		1,444,320
IDEX Corp.		55,000		2,181,300
Snap-On, Inc.		20,000		1,132,600
Valmont Industries, Inc.		9,000		836,460

			$	7,704,280

Media — 1.3%
Morningstar, Inc.		23,000	$	1,228,660

			$	1,228,660

Metals & Mining — 1.4%
Cliffs Natural Resources, Inc.		15,000	$	1,281,900

			$	1,281,900

Multi-Utilities — 1.6%
OGE Energy Corp.		33,000	$	1,514,370

			$	1,514,370

Multiline Retail — 1.1%
Dollar Tree, Inc.⁽¹⁾		19,500	$	986,310

			$	986,310

Oil, Gas & Consumable Fuels — 5.3%
Arch Coal, Inc.		30,000	$	1,027,500
Denbury Resources, Inc.⁽¹⁾		105,000		2,136,750
Newfield Exploration Co.⁽¹⁾		24,000		1,756,080

			$	4,920,330

Pharmaceuticals — 2.1%
Mylan, Inc.⁽¹⁾		85,000	$	1,968,600

			$	1,968,600

Real Estate Investment Trusts (REITs) — 3.3%
Health Care REIT, Inc.		28,000	$	1,374,240
Rayonier, Inc.		28,000		1,657,880

			$	3,032,120

Road & Rail — 1.1%
J.B. Hunt Transport Services, Inc.		25,000	$	1,025,000

			$	1,025,000

Semiconductors & Semiconductor Equipment — 1.5%
Microchip Technology, Inc.		37,650	$	1,373,096

			$	1,373,096

Software — 2.7%
ANSYS, Inc.⁽¹⁾		31,200	$	1,636,440
Fair Isaac Corp.		34,000		862,920

			$	2,499,360

Specialty Retail — 2.8%
O’Reilly Automotive, Inc.⁽¹⁾		28,000	$	1,591,240
Ross Stores, Inc.		15,000		978,000

			$	2,569,240


Security	Shares		Value
Textiles, Apparel & Luxury Goods — 1.6%
Columbia Sportswear Co.		24,000	$	1,463,520

			$	1,463,520

Thrifts & Mortgage Finance — 0.9%
Capitol Federal Financial, Inc.		70,000	$	853,300

			$	853,300

Trading Companies & Distributors — 1.3%
Aircastle, Ltd.		110,000	$	1,168,200

			$	1,168,200


Total Common Stocks — 98.2% (identified cost $60,821,362)			$	91,230,789


Other Assets, Less Liabilities — 1.8%			$	1,634,536


Net Assets — 100.0%			$	92,865,325

The Portfolio did not have any open financial instruments at January 31, 2011.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	60,932,447

Gross unrealized appreciation	$	30,500,990
Gross unrealized depreciation		(202,648	)

Net unrealized appreciation	$	30,298,342


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs

Asset Description	(Level 1)		(Level 2)		(Level 3)		Total

Common Stocks	$	91,230,789	$	—	$	—	$	91,230,789


Total Investments	$	91,230,789	$	—	$	—	$	91,230,789

The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.


Tax-Managed Multi-Cap Growth Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 99.6%⁽¹⁾


Security	Shares		Value
Aerospace & Defense — 1.3%
Precision Castparts Corp.		11,100	$	1,587,189

			$	1,587,189

Auto Components — 1.1%
Dana Holding Corp.⁽²⁾		77,200	$	1,383,424

			$	1,383,424

Automobiles — 1.7%
Ford Motor Co.⁽²⁾		134,400	$	2,143,680

			$	2,143,680

Beverages — 1.3%
Anheuser-Busch InBev NV ADR		29,100	$	1,609,521

			$	1,609,521

Building Products — 1.0%
Armstrong World Industries, Inc.		28,935	$	1,175,050

			$	1,175,050

Capital Markets — 3.0%
Lazard, Ltd., Class A		47,500	$	1,981,700
State Street Corp.		35,700		1,667,904

			$	3,649,604

Chemicals — 4.5%
Albemarle Corp.		19,700	$	1,106,352
Celanese Corp., Class A		29,900		1,240,551
Monsanto Co.		24,200		1,775,796
Mosaic Co. (The)		17,700		1,434,408

			$	5,557,107

Commercial Banks — 0.9%
CIT Group, Inc.⁽²⁾		23,000	$	1,096,870

			$	1,096,870

Commercial Services & Supplies — 1.0%
Waste Connections, Inc.		44,550	$	1,290,614

			$	1,290,614

Communications Equipment — 7.6%
Acme Packet, Inc.⁽²⁾		33,300	$	1,790,874
Brocade Communications Systems, Inc.⁽²⁾		251,400		1,417,896
QUALCOMM, Inc.		60,900		3,296,517
Research In Motion, Ltd.⁽²⁾		49,200		2,908,212

			$	9,413,499

Computers & Peripherals — 9.7%
Apple, Inc.⁽²⁾		21,900	$	7,431,108
EMC Corp.⁽²⁾		164,000		4,081,960
Quantum Corp.⁽²⁾		174,000		468,060

			$	11,981,128

Construction & Engineering — 2.6%
Foster Wheeler AG⁽²⁾		36,000	$	1,325,160
Shaw Group, Inc. (The)⁽²⁾		50,300		1,899,831

			$	3,224,991


Security	Shares		Value
Diversified Financial Services — 1.2%
CME Group, Inc.		4,900	$	1,511,944

			$	1,511,944

Electrical Equipment — 2.5%
Emerson Electric Co.		21,400	$	1,260,032
Regal Beloit Corp.		26,900		1,795,306

			$	3,055,338

Energy Equipment & Services — 6.0%
Halliburton Co.		67,000	$	3,015,000
Patterson-UTI Energy, Inc.		29,700		693,198
Rowan Cos., Inc.⁽²⁾		37,200		1,275,216
Tidewater, Inc.		41,400		2,462,886

			$	7,446,300

Food Products — 2.0%
Flowers Foods, Inc.		50,300	$	1,269,069
Green Mountain Coffee Roasters, Inc.⁽²⁾		37,400		1,255,892

			$	2,524,961

Health Care Equipment & Supplies — 0.5%
Analogic Corp.		12,300	$	628,161

			$	628,161

Health Care Providers & Services — 3.7%
AmerisourceBergen Corp.		44,200	$	1,585,012
Express Scripts, Inc.⁽²⁾		23,700		1,335,021
Lincare Holdings, Inc.		60,550		1,637,878

			$	4,557,911

Hotels, Restaurants & Leisure — 1.0%
Yum! Brands, Inc.		27,000	$	1,262,520

			$	1,262,520

Household Durables — 1.6%
Tempur-Pedic International, Inc.⁽²⁾		45,872	$	2,001,854

			$	2,001,854

Household Products — 1.0%
Henkel AG & Co. KGaA		24,100	$	1,240,492

			$	1,240,492

Insurance — 0.8%
Lincoln National Corp.		32,900	$	948,836

			$	948,836

Internet & Catalog Retail — 2.9%
Amazon.com, Inc.⁽²⁾		12,000	$	2,035,680
Priceline.com, Inc.⁽²⁾		3,700		1,585,524

			$	3,621,204

Internet Software & Services — 5.4%
Google, Inc., Class A⁽²⁾		4,700	$	2,821,692
Rackspace Hosting, Inc.⁽²⁾		78,900		2,643,939
VeriSign, Inc.		34,600		1,164,290

			$	6,629,921

IT Services — 0.8%
Accenture PLC, Class A		18,800	$	967,636

			$	967,636

Machinery — 3.8%
Danaher Corp.		33,900	$	1,561,434
Kennametal, Inc.		30,800		1,250,480


Security	Shares		Value
Parker Hannifin Corp.		20,400	$	1,823,964

			$	4,635,878

Media — 0.7%
IMAX Corp.⁽²⁾		33,800	$	864,942

			$	864,942

Metals & Mining — 1.1%
Cliffs Natural Resources, Inc.		16,400	$	1,401,544

			$	1,401,544

Multiline Retail — 1.8%
Target Corp.		41,400	$	2,269,962

			$	2,269,962

Oil, Gas & Consumable Fuels — 7.0%
Cabot Oil & Gas Corp.		34,000	$	1,415,420
Hess Corp.		29,500		2,481,540
James River Coal Co.⁽²⁾		88,500		1,989,923
NAL Energy Corp.		100,000		1,291,257
Rosetta Resources, Inc.⁽²⁾		35,855		1,432,407

			$	8,610,547

Pharmaceuticals — 4.1%
Allergan, Inc.		13,500	$	953,235
Teva Pharmaceutical Industries, Ltd. ADR		40,500		2,213,325
Warner Chilcott PLC, Class A		81,000		1,943,190

			$	5,109,750

Road & Rail — 1.0%
Kansas City Southern⁽²⁾		25,332	$	1,266,093

			$	1,266,093

Semiconductors & Semiconductor Equipment — 5.5%
Atheros Communications, Inc.⁽²⁾		27,500	$	1,226,225
Cirrus Logic, Inc.⁽²⁾		78,700		1,655,061
Cree, Inc.⁽²⁾		23,300		1,176,417
Cypress Semiconductor Corp.⁽²⁾		124,000		2,684,600

			$	6,742,303

Software — 3.3%
Oracle Corp.		125,200	$	4,010,156

			$	4,010,156

Specialty Retail — 0.5%
Advance Auto Parts, Inc.		9,896	$	632,750

			$	632,750

Textiles, Apparel & Luxury Goods — 2.2%
NIKE, Inc., Class B		17,600	$	1,451,648
Warnaco Group, Inc. (The)⁽²⁾		25,800		1,317,864

			$	2,769,512

Trading Companies & Distributors — 2.0%
WESCO International, Inc.⁽²⁾		43,246	$	2,423,938

			$	2,423,938

Wireless Telecommunication Services — 1.5%
Crown Castle International Corp.⁽²⁾		42,700	$	1,800,659

			$	1,800,659


Total Common Stocks — 99.6% (identified cost $102,334,592)			$	123,047,789

Covered Call Options Written — (0.1)%


	Number		Strike		Expiration
Security	of Contracts		Price		Date	Value
Acme Packet, Inc.		120	$	62.50	3/19/11	$	(24,000	)
Amazon.com, Inc.		30		180.00	3/19/11		(10,500	)
Apple, Inc.		40		355.00	3/19/11		(22,900	)
Cypress Semiconductor Corp.		295		25.00	3/19/11		(5,900	)
Dana Holding Corp.		175		19.00	3/19/11		(11,813	)
Hess Corp.		80		85.00	3/19/11		(24,400	)
Mosaic Co. (The)		45		85.00	3/19/11		(13,725	)
QUALCOMM, Inc.		120		57.50	3/19/11		(6,240	)
Rosetta Resources, Inc.		90		40.00	3/19/11		(24,525	)
Rowan Cos., Inc.		95		37.00	3/19/11		(5,700	)


Total Covered Call Options Written (premiums received $111,227)						$	(149,703	)


Other Assets, Less Liabilities — 0.5%						$	642,585


Net Assets — 100.0%						$	123,540,671



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

ADR	-	American Depositary Receipt

During the fiscal year to date ended January 31, 2011, the Portfolio held interests in Eaton Vance Cash Reserves Fund, LLC, an affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $887.

(1)		A portion of each applicable common stock for which a written call option is outstanding at January 31, 2011 has been pledged as collateral for such written option.

(2)		Non-income producing security.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	103,209,576

Gross unrealized appreciation	$	21,094,458
Gross unrealized depreciation		(1,256,245	)

Net unrealized appreciation	$	19,838,213

Written call options activity for the fiscal year to date ended January 31, 2011 was as follows:


	Number of		Premiums
	Contracts		Received
Outstanding, beginning of period		—	$	—
Options written		1,090		111,227

Outstanding, end of period		1,090	$	111,227

At January 31, 2011, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

The Portfolio is subject to equity price risk in the normal course of pursuing its investment objectives. The Portfolio generally intends to write covered call options on individual stocks above the current value of the stock to generate premium income. In writing call options on individual stocks, the Portfolio in effect, sells potential appreciation in the value of the applicable stock above the exercise price in exchange for the option premium received. The Portfolio retains the risk of loss, minus the premium received, should the price of the underlying stock decline.

At January 31, 2011, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in a liability position and whose primary underlying risk exposure is equity price risk was $149,703.


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for			Significant Other			Significant
	Identical Assets			Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)			(Level 2)			(Level 3)		Total

Common Stocks
Consumer Discretionary	$	16,949,848		$	—		$	—	$	16,949,848
Consumer Staples		4,134,482			1,240,492			—		5,374,974
Energy		16,056,847			—			—		16,056,847
Financials		7,207,254			—			—		7,207,254
Health Care		10,295,822			—			—		10,295,822
Industrials		18,659,091			—			—		18,659,091
Information Technology		39,744,643			—			—		39,744,643
Materials		6,958,651			—			—		6,958,651
Telecommunication Services		1,800,659			—			—		1,800,659


Total Common Stocks	$	121,807,297		$	1,240,492	*	$	—	$	123,047,789


Total Investments	$	121,807,297		$	1,240,492		$	—	$	123,047,789



Liability Description

Covered Call Options Written	$	(149,703	)	$	—		$	—	$	(149,703	)


Total	$	(149,703	)	$	—		$	—	$	(149,703	)


*		Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

Exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority for U.S. listed options or by the relevant exchange or board of trade for non-U.S. listed options. Over-the-counter options are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration.


Tax-Managed Small-Cap Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 94.2%


Security	Shares		Value
Aerospace & Defense — 2.4%
Aerovironment, Inc.⁽¹⁾		115,930	$	3,269,226
KEYW Holding Corp. (The)⁽¹⁾		85,153		1,240,679

			$	4,509,905

Auto Components — 3.4%
Dana Holding Corp.⁽¹⁾		200,490	$	3,592,781
Tenneco, Inc.⁽¹⁾		68,290		2,822,425

			$	6,415,206

Building Products — 3.1%
Armstrong World Industries, Inc.		74,960	$	3,044,126
Trex Co., Inc.⁽¹⁾		121,090		2,818,975

			$	5,863,101

Capital Markets — 4.5%
Greenhill & Co., Inc.		37,570	$	2,608,109
Lazard, Ltd., Class A		72,880		3,040,554
Stifel Financial Corp.⁽¹⁾		45,900		2,944,944

			$	8,593,607

Chemicals — 3.2%
Kraton Performance Polymers, Inc.⁽¹⁾		99,810	$	3,133,036
NewMarket Corp.		23,120		2,933,003

			$	6,066,039

Commercial Banks — 3.8%
PrivateBancorp, Inc.		70,720	$	1,086,967
SVB Financial Group⁽¹⁾		55,430		2,908,412
Texas Capital Bancshares, Inc.⁽¹⁾		43,010		1,049,014
Webster Financial Corp.		93,490		2,139,051

			$	7,183,444

Commercial Services & Supplies — 2.3%
Team, Inc.⁽¹⁾		166,894	$	4,265,811

			$	4,265,811

Communications Equipment — 2.6%
Brocade Communications Systems, Inc.⁽¹⁾		516,450	$	2,912,778
Sycamore Networks, Inc.		94,600		1,973,356

			$	4,886,134

Computers & Peripherals — 1.4%
Quantum Corp.⁽¹⁾		1,019,420	$	2,742,240

			$	2,742,240

Construction & Engineering — 1.7%
Shaw Group, Inc. (The)⁽¹⁾		84,060	$	3,174,946

			$	3,174,946

Distributors — 1.6%
LKQ Corp.⁽¹⁾		124,190	$	3,000,430

			$	3,000,430

Electronic Equipment, Instruments & Components — 2.1%
Elster Group SE ADR⁽¹⁾		49,740	$	791,363
National Instruments Corp.		74,810		3,165,211

			$	3,956,574


Security	Shares		Value
Energy Equipment & Services — 3.3%
Patterson-UTI Energy, Inc.		134,830	$	3,146,932
Tidewater, Inc.		51,860		3,085,152

			$	6,232,084

Food Products — 4.0%
Corn Products International, Inc.		62,540	$	2,884,970
Flowers Foods, Inc.		110,750		2,794,223
Mead Johnson Nutrition Co., Class A		31,930		1,850,982

			$	7,530,175

Health Care Equipment & Supplies — 2.4%
Analogic Corp.		33,040	$	1,687,353
West Pharmaceutical Services, Inc.		72,620		2,904,074

			$	4,591,427

Health Care Providers & Services — 3.0%
Owens & Minor, Inc.		98,010	$	2,894,235
VCA Antech, Inc.⁽¹⁾		124,440		2,852,165

			$	5,746,400

Hotels, Restaurants & Leisure — 1.4%
WMS Industries, Inc.⁽¹⁾		62,570	$	2,624,811

			$	2,624,811

Household Durables — 1.9%
Tempur-Pedic International, Inc.⁽¹⁾		80,910	$	3,530,912

			$	3,530,912

Household Products — 1.5%
Church & Dwight Co., Inc.		40,900	$	2,814,329

			$	2,814,329

Insurance — 1.5%
Hanover Insurance Group, Inc. (The)		60,560	$	2,864,488

			$	2,864,488

IT Services — 1.5%
Euronet Worldwide, Inc.⁽¹⁾		159,620	$	2,919,450

			$	2,919,450

Life Sciences Tools & Services — 1.6%
Bruker Corp.⁽¹⁾		178,020	$	3,115,350

			$	3,115,350

Machinery — 7.1%
Astec Industries, Inc.⁽¹⁾		81,266	$	2,446,107
Badger Meter, Inc.		30,630		1,255,524
Kadant, Inc.⁽¹⁾		67,410		1,426,396
RBC Bearings, Inc.⁽¹⁾		48,446		1,684,467
Tennant Co.		84,930		3,426,076
Valmont Industries, Inc.		34,480		3,204,571

			$	13,443,141

Media — 3.0%
IMAX Corp.⁽¹⁾		110,080	$	2,816,947
John Wiley & Sons, Inc., Class A		62,550		2,874,173

			$	5,691,120

Metals & Mining — 0.8%
Compass Minerals International, Inc.		15,970	$	1,467,164

			$	1,467,164


Security	Shares		Value
Multiline Retail — 1.5%
Big Lots, Inc.⁽¹⁾		89,850	$	2,856,331

			$	2,856,331

Oil, Gas & Consumable Fuels — 9.7%
Brigham Exploration Co.⁽¹⁾		105,230	$	3,115,860
Cabot Oil & Gas Corp.		76,380		3,179,700
James River Coal Co.⁽¹⁾		132,320		2,975,215
NAL Energy Corp.		223,260		2,882,860
Rosetta Resources, Inc.⁽¹⁾		117,620		4,698,919
SM Energy Co.		25,220		1,567,675

			$	18,420,229

Professional Services — 2.2%
Kelly Services, Inc., Class A⁽¹⁾		208,037	$	4,093,128

			$	4,093,128

Real Estate Investment Trusts (REITs) — 1.4%
American Campus Communities, Inc.		41,370	$	1,337,906
Mid-America Apartment Communities, Inc.		20,700		1,319,625

			$	2,657,531

Real Estate Management & Development — 1.5%
Forestar Real Estate Group, Inc.⁽¹⁾		149,241	$	2,784,837

			$	2,784,837

Road & Rail — 1.6%
Genesee & Wyoming, Inc., Class A⁽¹⁾		57,790	$	2,990,632

			$	2,990,632

Semiconductors & Semiconductor Equipment — 4.5%
Cirrus Logic, Inc.⁽¹⁾		190,660	$	4,009,580
Cypress Semiconductor Corp.⁽¹⁾		209,860		4,543,469

			$	8,553,049

Software — 3.5%
Mentor Graphics Corp.⁽¹⁾		270,560	$	3,445,582
Parametric Technology Corp.⁽¹⁾		145,980		3,245,135

			$	6,690,717

Specialty Retail — 1.5%
Jo-Ann Stores, Inc.⁽¹⁾		46,760	$	2,821,031

			$	2,821,031

Thrifts & Mortgage Finance — 1.7%
BankUnited, Inc.⁽¹⁾		67,300	$	1,884,400
MGIC Investment Corp.⁽¹⁾		151,710		1,272,847

			$	3,157,247


Total Common Stocks (identified cost $149,367,762)			$	178,253,020

Private Placements — 0.0%


Security	Shares		Value
Metals & Mining — 0.0%
Nevada Pacific Mining Co.^(1)(2)(3)		80,000	$	0


Total Private Placements (identified cost $80,000)			$	0

Special Warrants — 0.0%


Security	Shares		Value
Metals & Mining — 0.0%
Western Exploration and Development, Ltd.^(1)(2)(3)		600,000	$	0


Total Special Warrants (identified cost $480,000)			$	0

Short-Term Investments — 4.4%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽⁴⁾	$	8,305	$	8,304,778


Total Short-Term Investments (identified cost $8,304,778)			$	8,304,778


Total Investments — 98.6% (identified cost $158,232,540)			$	186,557,798


Other Assets, Less Liabilities — 1.4%			$	2,666,503


Net Assets — 100.0%			$	189,224,301



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

ADR	-	American Depositary Receipt

(1)		Non-income producing security.

(2)		Restricted security.

(3)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio.

(4)		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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $2,380.

The Portfolio did not have any open financial instruments at January 31, 2011.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	158,434,255

Gross unrealized appreciation	$	30,787,215
Gross unrealized depreciation		(2,663,672	)

Net unrealized appreciation	$	28,123,543

Restricted Securities

At January 31, 2011, the Portfolio owned the following securities (representing 0.0% of net assets) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Portfolio has various registration rights (exercisable under a variety of circumstances) with respect to these securities. The value of these securities is determined based on valuations provided by brokers when available, or if not available, they are valued at fair value using methods determined in good faith by or at the direction of the Trustees.


	Date of
Description	Acquisition		Shares		Cost		Value
Private Placements
Nevada Pacific Mining Co.		12/21/98		80,000	$	80,000	$	0

					$	80,000	$	0

Special Warrants
Western Exploration and Development, Ltd.		12/21/98		600,000	$	480,000	$	0

					$	480,000	$	0

Total Restricted Securities							$	0


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs

Asset Description	(Level 1)		(Level 2)		(Level 3)		Total

Common Stocks	$	178,253,020	$	—	$	—	$	178,253,020
Private Placements		—		—		0		0
Special Warrants		—		—		0		0
Short-Term Investments		—		8,304,778		—		8,304,778


Total Investments	$	178,253,020	$	8,304,778	$	0	$	186,557,798

The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.


Tax-Managed Small-Cap Value Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 96.0%


Security	Shares		Value
Aerospace & Defense — 3.1%
AAR Corp.⁽¹⁾		47,700	$	1,277,883
GeoEye, Inc.⁽¹⁾		27,500		1,097,800

			$	2,375,683

Building Products — 2.8%
A.O. Smith Corp.		51,450	$	2,202,575

			$	2,202,575

Chemicals — 2.5%
RPM International, Inc.		82,400	$	1,930,632

			$	1,930,632

Commercial Banks — 6.4%
First Midwest Bancorp, Inc.		70,300	$	821,807
National Penn Bancshares, Inc.		119,900		978,384
Prosperity Bancshares, Inc.		40,500		1,638,225
Trustmark Corp.		64,700		1,552,153

			$	4,990,569

Commercial Services & Supplies — 1.8%
Brink’s Co. (The)		52,900	$	1,428,300

			$	1,428,300

Communications Equipment — 1.5%
NETGEAR, Inc.⁽¹⁾		33,200	$	1,150,546

			$	1,150,546

Construction & Engineering — 5.8%
Chicago Bridge & Iron Co. NV⁽¹⁾		36,900	$	1,213,641
Emcor Group, Inc.⁽¹⁾		39,400		1,193,032
Tutor Perini Corp.		90,800		2,062,068

			$	4,468,741

Containers & Packaging — 2.7%
AptarGroup, Inc.		42,900	$	2,061,774

			$	2,061,774

Electric Utilities — 7.6%
Cleco Corp.		70,100	$	2,191,326
Portland General Electric Co.		80,200		1,791,668
Westar Energy, Inc.		75,900		1,935,450

			$	5,918,444

Electrical Equipment — 2.1%
General Cable Corp.⁽¹⁾		44,200	$	1,635,842

			$	1,635,842

Energy Equipment & Services — 4.7%
Bristow Group, Inc.⁽¹⁾		35,800	$	1,843,342
Oil States International, Inc.⁽¹⁾		26,100		1,768,536

			$	3,611,878

Food & Staples Retailing — 2.6%
BJ’s Wholesale Club, Inc.⁽¹⁾		46,600	$	2,047,604

			$	2,047,604


Security	Shares		Value
Food Products — 3.7%
J & J Snack Foods Corp.		32,900	$	1,397,263
Lancaster Colony Corp.		13,700		761,309
TreeHouse Foods, Inc.⁽¹⁾		14,800		708,180

			$	2,866,752

Health Care Equipment & Supplies — 3.9%
Teleflex, Inc.		29,900	$	1,713,868
West Pharmaceutical Services, Inc.		33,600		1,343,664

			$	3,057,532

Health Care Providers & Services — 3.6%
Magellan Health Services, Inc.⁽¹⁾		26,200	$	1,268,342
Owens & Minor, Inc.		51,450		1,519,318

			$	2,787,660

Hotels, Restaurants & Leisure — 1.0%
Jack in the Box, Inc.⁽¹⁾		36,700	$	805,198

			$	805,198

Insurance — 8.4%
Argo Group International Holding, Ltd.		54,700	$	1,948,414
Aspen Insurance Holdings, Ltd.		66,700		2,004,335
Protective Life Corp.		48,500		1,337,145
Tower Group, Inc.		45,500		1,184,820

			$	6,474,714

IT Services — 1.0%
MAXIMUS, Inc.		11,600	$	787,060

			$	787,060

Machinery — 4.2%
Barnes Group, Inc.		75,700	$	1,500,374
Crane Co.		21,000		932,610
Wabtec Corp.		15,500		840,100

			$	3,273,084

Oil, Gas & Consumable Fuels — 2.2%
Stone Energy Corp.⁽¹⁾		72,200	$	1,678,650

			$	1,678,650

Professional Services — 2.1%
Towers Watson & Co., Class A		30,100	$	1,641,353

			$	1,641,353

Road & Rail — 4.2%
Arkansas Best Corp.		49,800	$	1,272,390
Genesee & Wyoming, Inc., Class A⁽¹⁾		16,800		869,400
Old Dominion Freight Line, Inc.⁽¹⁾		33,600		1,080,912

			$	3,222,702

Semiconductors & Semiconductor Equipment — 0.6%
AXT, Inc.⁽¹⁾		44,700	$	484,101

			$	484,101

Software — 3.7%
JDA Software Group, Inc.⁽¹⁾		69,900	$	2,109,582
NetScout Systems, Inc.⁽¹⁾		33,700		772,404

			$	2,881,986

Specialty Retail — 5.7%
Buckle, Inc. (The)		24,700	$	883,025
Children’s Place Retail Stores, Inc. (The)⁽¹⁾		33,900		1,420,071
Dick’s Sporting Goods, Inc.⁽¹⁾		20,800		750,672


Security	Shares		Value
Finish Line, Inc., Class A (The)		52,800	$	812,592
hhgregg, Inc.⁽¹⁾		31,000		568,230

			$	4,434,590

Textiles, Apparel & Luxury Goods — 3.0%
Carter’s, Inc.⁽¹⁾		44,600	$	1,235,420
Hanesbrands, Inc.⁽¹⁾		46,200		1,063,524

			$	2,298,944

Thrifts & Mortgage Finance — 5.1%
Astoria Financial Corp.		93,800	$	1,335,712
First Niagara Financial Group, Inc.		98,100		1,361,628
Washington Federal, Inc.		71,300		1,232,777

			$	3,930,117


Total Common Stocks (identified cost $59,403,072)			$	74,447,031

Short-Term Investments — 4.1%


	Principal
	Amount
Description	(000’s omitted)		Value
State Street Bank and Trust Euro Time Deposit, 0.01%, 2/1/11	$	3,150	$	3,150,269


Total Short-Term Investments (identified cost $3,150,269)			$	3,150,269


Total Investments — 100.1% (identified cost $62,553,341)			$	77,597,300


Other Assets, Less Liabilities — (0.1)%			$	(83,595	)


Net Assets — 100.0%			$	77,513,705

The Portfolio did not have any open financial instruments at January 31, 2011.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	62,748,262

Gross unrealized appreciation	$	15,305,713
Gross unrealized depreciation		(456,675	)

Net unrealized appreciation	$	14,849,038


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs

Asset Description	(Level 1)		(Level 2)		(Level 3)		Total

Common Stocks	$	74,447,031	$	—	$	—	$	74,447,031
Short-Term Investments		—		3,150,269		—		3,150,269


Total Investments	$	74,447,031	$	3,150,269	$	—	$	77,597,300

The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.


Tax-Managed Value Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 98.2%


Security	Shares		Value
Aerospace & Defense — 3.4%
Boeing Co. (The)		175,000	$	12,159,000
General Dynamics Corp.		400,000		30,160,000
United Technologies Corp.		360,000		29,268,000

			$	71,587,000

Beverages — 1.0%
PepsiCo, Inc.		330,000	$	21,222,300

			$	21,222,300

Biotechnology — 1.3%
Amgen, Inc.⁽¹⁾		500,000	$	27,540,000

			$	27,540,000

Capital Markets — 2.0%
Goldman Sachs Group, Inc. (The)		255,000	$	41,723,100

			$	41,723,100

Chemicals — 0.6%
Air Products and Chemicals, Inc.⁽²⁾		150,000	$	13,087,500

			$	13,087,500

Commercial Banks — 9.0%
Fifth Third Bancorp⁽²⁾		1,650,000	$	24,535,500
KeyCorp		2,500,000		22,250,000
PNC Financial Services Group, Inc.		775,000		46,500,000
U.S. Bancorp		1,275,000		34,425,000
Wells Fargo & Co.		1,950,000		63,219,000

			$	190,929,500

Commercial Services & Supplies — 0.7%
Waste Management, Inc.⁽²⁾		400,000	$	15,148,000

			$	15,148,000

Communications Equipment — 0.9%
Cisco Systems, Inc.⁽¹⁾		415,001	$	8,777,271
Telefonaktiebolaget LM Ericsson, Class B		904,200		11,147,714

			$	19,924,985

Computers & Peripherals — 1.2%
Hewlett-Packard Co.		540,000	$	24,672,600

			$	24,672,600

Consumer Finance — 1.0%
American Express Co.		500,000	$	21,690,000

			$	21,690,000

Diversified Financial Services — 6.1%
Bank of America Corp.		2,500,000	$	34,325,000
Citigroup, Inc.⁽¹⁾		7,650,000		36,873,000
JPMorgan Chase & Co.		1,300,000		58,422,000

			$	129,620,000

Diversified Telecommunication Services — 1.6%
AT&T, Inc.		800,000	$	22,016,000
Verizon Communications, Inc.		350,000		12,467,000

			$	34,483,000


Security	Shares		Value
Electric Utilities — 2.1%
American Electric Power Co., Inc.		250,000	$	8,920,000
Entergy Corp.		175,000		12,629,750
Exelon Corp.⁽²⁾		300,000		12,753,000
NextEra Energy, Inc.		200,000		10,692,000

			$	44,994,750

Food & Staples Retailing — 3.0%
CVS Caremark Corp.		400,000	$	13,680,000
Wal-Mart Stores, Inc.		900,000		50,463,000

			$	64,143,000

Food Products — 2.9%
Kraft Foods, Inc., Class A		625,000	$	19,106,250
Nestle SA		800,000		43,220,617

			$	62,326,867

Health Care Equipment & Supplies — 1.1%
Covidien PLC		500,000	$	23,735,000

			$	23,735,000

Health Care Providers & Services — 1.2%
UnitedHealth Group, Inc.		600,000	$	24,630,000

			$	24,630,000

Hotels, Restaurants & Leisure — 2.5%
Carnival Corp.		375,000	$	16,766,250
McDonald’s Corp.		500,000		36,835,000

			$	53,601,250

Household Products — 0.6%
Kimberly-Clark Corp.		182,000	$	11,780,860

			$	11,780,860

Industrial Conglomerates — 2.6%
General Electric Co.		2,225,000	$	44,811,500
Tyco International, Ltd.		250,000		11,207,500

			$	56,019,000

Insurance — 5.7%
Lincoln National Corp.		780,000	$	22,495,200
MetLife, Inc.		915,000		41,879,550
Prudential Financial, Inc.		725,000		44,594,750
Travelers Companies, Inc. (The)		220,000		12,377,200

			$	121,346,700

IT Services — 2.9%
Accenture PLC, Class A		250,000	$	12,867,500
International Business Machines Corp.		192,600		31,201,200
MasterCard, Inc., Class A		78,400		18,542,384

			$	62,611,084

Life Sciences Tools & Services — 0.7%
Thermo Fisher Scientific, Inc.⁽¹⁾		250,000	$	14,317,500

			$	14,317,500

Machinery — 1.8%
Caterpillar, Inc.		125,000	$	12,126,250
Illinois Tool Works, Inc.		270,000		14,442,300
PACCAR, Inc.		200,000		11,298,000

			$	37,866,550


Security	Shares		Value
Media — 1.5%
Time Warner Cable, Inc.⁽²⁾		240,000	$	16,279,200
Walt Disney Co. (The)		398,000		15,470,260

			$	31,749,460

Metals & Mining — 3.6%
BHP Billiton, Ltd. ADR⁽²⁾		325,000	$	28,934,750
Freeport-McMoRan Copper & Gold, Inc.		290,000		31,537,500
United States Steel Corp.⁽²⁾		286,800		16,539,756

			$	77,012,006

Multi-Utilities — 2.7%
Dominion Resources, Inc.		300,000	$	13,062,000
PG&E Corp.		325,000		15,041,000
Public Service Enterprise Group, Inc.		449,000		14,561,070
Sempra Energy		300,000		15,621,000

			$	58,285,070

Multiline Retail — 1.0%
Target Corp.		400,000	$	21,932,000

			$	21,932,000

Oil, Gas & Consumable Fuels — 14.0%
Apache Corp.		425,000	$	50,728,000
Chevron Corp.		280,100		26,589,893
ConocoPhillips		800,000		57,168,000
Exxon Mobil Corp.		450,000		36,306,000
Hess Corp.		400,000		33,648,000
Occidental Petroleum Corp.		560,000		54,140,800
Peabody Energy Corp.⁽²⁾		635,000		40,271,700

			$	298,852,393

Pharmaceuticals — 7.9%
Abbott Laboratories		800,000	$	36,128,000
Johnson & Johnson		725,000		43,333,250
Merck & Co., Inc.		1,150,000		38,145,500
Pfizer, Inc.		2,825,000		51,471,500

			$	169,078,250

Real Estate Investment Trusts (REITs) — 2.5%
AvalonBay Communities, Inc.		175,000	$	20,287,750
Boston Properties, Inc.⁽²⁾		150,000		14,155,500
Vornado Realty Trust		220,000		19,379,800

			$	53,823,050

Road & Rail — 1.7%
Union Pacific Corp.		370,000	$	35,013,100

			$	35,013,100

Semiconductors & Semiconductor Equipment — 0.5%
Intel Corp.		525,000	$	11,266,500

			$	11,266,500

Software — 1.7%
Microsoft Corp.		825,000	$	22,873,125
Oracle Corp.		415,000		13,292,450

			$	36,165,575

Specialty Retail — 2.4%
Best Buy Co., Inc.		425,000	$	14,450,000
Staples, Inc.		550,000		12,270,500
TJX Companies, Inc. (The)		525,000		24,879,750

			$	51,600,250


Security	Shares		Value
Tobacco — 1.1%
Philip Morris International, Inc.		400,000	$	22,896,000

			$	22,896,000

Wireless Telecommunication Services — 1.7%
Rogers Communications, Inc., Class B⁽²⁾		650,000	$	22,698,000
Vodafone Group PLC ADR⁽²⁾		450,000		12,762,000

			$	35,460,000


Total Common Stocks (identified cost $1,460,328,047)			$	2,092,134,200

Short-Term Investments — 3.4%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Collateral Fund, LLC, 0.23%⁽³⁾⁽⁴⁾	$	36,082	$	36,081,962
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽⁴⁾		35,566		35,565,611


Total Short-Term Investments (identified cost $71,647,573)			$	71,647,573


Total Investments — 101.6% (identified cost $1,531,975,620)			$	2,163,781,773


Other Assets, Less Liabilities — (1.6)%			$	(34,134,178	)


Net Assets — 100.0%			$	2,129,647,595


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

ADR	-	American Depositary Receipt

(1)		Non-income producing security.

(2)		All or a portion of this security was on loan at January 31, 2011.

(3)		The amount invested in Eaton Vance Cash Collateral Fund, LLC represents cash collateral received for securities on loan at January 31, 2011. Other Assets, Less Liabilities includes an equal and offsetting liability of the Portfolio to repay collateral amounts upon the return of loaned securities. As of January 31, 2011, the Portfolio loaned securities having a market value of $35,695,870 and received $36,081,962 of cash collateral for the loans.

(4)		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, 2011. Income earned from investments in Eaton Vance Cash Collateral Fund, LLC (excluding loan rebate fees) and net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 were $37,911 and $16,314, respectively.

The Portfolio did not have any open financial instruments at January 31, 2011.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	1,537,232,936

Gross unrealized appreciation	$	629,154,728
Gross unrealized depreciation		(2,605,891	)

Net unrealized appreciation	$	626,548,837


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other			Significant
	Identical Assets		Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)		(Level 2)			(Level 3)		Total

Common Stocks
Consumer Discretionary	$	158,882,960	$	—		$	—	$	158,882,960
Consumer Staples		139,148,410		43,220,617			—		182,369,027
Energy		298,852,393		—			—		298,852,393
Financials		559,132,350		—			—		559,132,350
Health Care		259,300,750		—			—		259,300,750
Industrials		215,633,650		—			—		215,633,650
Information Technology		143,493,030		11,147,714			—		154,640,744
Materials		90,099,506		—			—		90,099,506
Telecommunication Services		69,943,000		—			—		69,943,000
Utilities		103,279,820		—			—		103,279,820


Total Common Stocks	$	2,037,765,869	$	54,368,331	*	$	—	$	2,092,134,200


Short-Term Investments	$	—	$	71,647,573		$	—	$	71,647,573


Total Investments	$	2,037,765,869	$	126,015,904		$	—	$	2,163,781,773


*		Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

Eaton Vance Build America Bond Fund as of January 31, 2011 (Unaudited)

As of January 31, 2011, Eaton Vance Build America Bond Fund (the Fund), a diversified series of Eaton Vance Mutual Funds Trust, invested substantially all of its assets in Build America Bond Portfolio (the Portfolio) and owned a pro rata interest in the Portfolio’s net assets. At January 31, 2011, the value of the Fund’s investment in the Portfolio was $46,373,773 and the Fund owned 99.8% of the Portfolio’s outstanding interests. The Portfolio’s Portfolio of Investments is set forth below.

Subsequent Events

As of the close of business on February 28, 2011, the Fund received its pro rata share of cash and securities from the Portfolio in a complete liquidation of its interest in the Portfolio. As of March 1, 2011, the Fund invests directly in securities and maintains the same investment objective.

Effective March 1, 2011, the fiscal year-end of the Fund changed from October 31 to September 30.


Build America Bond Portfolio	as of January 31, 2011

PORTFOLIO OF INVESTMENTS (Unaudited)

Taxable Municipal Securities — 98.1%⁽¹⁾


Principal
Amount
(000’s omitted)		Security	Value
Education — 4.7%
$	1,875	University of Texas, 6.276%, 8/15/41	$	1,924,238
	260	University of Virginia, 6.20%, 9/1/39		285,659

			$	2,209,897

General Obligations — 24.7%
$	140	California, 7.55%, 4/1/39	$	145,165
	1,000	California, 7.70%, 11/1/30		1,027,390
	125	California, 7.95%, 3/1/36		128,562
	1,500	Commonwealth of Pennsylvania, 5.85%, 7/15/30		1,479,570
	740	Connecticut, 5.632%, 12/1/29		738,401
	1,000	Denton County, TX, 5.968%, 7/15/35		1,001,680
	75	Denver, CO, City & County School District No. 1, 5.664%, 12/1/33		74,936
	1,000	Detroit, MI, City School District, 7.747%, 5/1/39		1,049,270
	225	Kauai, HI, 5.763%, 8/1/33		223,153
	1,000	Metropolitan Government of Nashville and Davidson County, TN, 5.707%, 7/1/34		974,380
	1,030	Montgomery County, PA, 6.03%, 9/1/39		1,047,211
	1,500	New York, NY, 6.646%, 12/1/31		1,546,320
	200	Oxford, MI, 6.50%, 5/1/39		192,000
	1,000	Santa Monica, CA, Community College District, 6.763%, 8/1/34		1,006,470
	400	Southwest Regional Sanitary Sewer & Water Authority, MI, 6.50%, 4/1/40		392,268
	175	Texas, 5.517%, 4/1/39		172,209
	275	Washington, 5.481%, 8/1/39		273,859

			$	11,472,844

Hospital — 1.6%
$	250	King County, WA, Public Hospital District No. 1, 7.90%, 6/15/30	$	250,915
	500	King County, WA, Public Hospital District No. 1, 8.00%, 6/15/40		506,820

			$	757,735

Lease Revenue/Certificates of Participation — 4.4%
$	1,525	New Jersey Transportation Trust Fund Authority, 6.561%, 12/15/40	$	1,539,060
	500	Oregon Department of Administrative Services, 6.18%, 5/1/35		490,100

			$	2,029,160

Other Revenue — 1.1%
$	250	Battery Park City Authority, NY, 6.375%, 11/1/39	$	248,500
	250	Florida State Board of Education, 6.584%, 7/1/29		251,488

			$	499,988

Public Power/Electric Utilities — 14.8%
$	1,000	American Municipal Power-Ohio, Inc., 7.499%, 2/15/50	$	1,026,870
	1,000	Indiana Municipal Power Agency, 5.594%, 1/1/42		895,890
	1,000	Municipal Electric Authority of Georgia, 6.655%, 4/1/57		964,710
	1,000	Nebraska Public Power District, 5.323%, 1/1/30		908,540
	1,000	Northern Illinois Municipal Power Agency, 7.62%, 1/1/30		1,077,000
	500	Orlando, FL, Utilities Commission, 5.662%, 10/1/40		486,790
	1,500	San Antonio, TX, Electric & Gas Revenue, 6.168%, 2/1/41		1,511,115

			$	6,870,915

Special Tax Revenue — 11.3%
$	980	Massachusetts School Building Authority, 5.715%, 8/15/39	$	986,174
	1,000	Miami-Dade County, FL, Transit Sales Surtax Revenue, 5.534%, 7/1/32		936,180
	1,115	Miami-Dade County, FL, Transit Sales Surtax Revenue, 5.624%, 7/1/40		1,003,366


Principal
Amount
(000’s omitted)		Security	Value
$	1,000	New York City Transitional Finance Authority, 5.508%, 8/1/37	$	963,340
	1,385	New York Urban Development Corp., 5.77%, 3/15/39		1,365,929

			$	5,254,989

Transportation — 8.8%
$	450	Maryland Transportation Authority, 5.604%, 7/1/30	$	442,557
	500	Maryland Transportation Authority, 5.888%, 7/1/43		504,905
	1,000	New Jersey Turnpike Authority, 7.102%, 1/1/41		1,061,000
	1,500	Pennsylvania Turnpike Commission, 5.511%, 12/1/45		1,313,220
	790	Pennsylvania Turnpike Commission, 6.378%, 12/1/37		752,767

			$	4,074,449

Water and Sewer — 26.7%
$	750	Chesapeake, VA, Water and Sewer Revenue, 6.283%, 7/1/40	$	777,608
	1,460	Chicago, IL, Metropolitan Water Reclamation District, 5.72%, 12/1/38		1,425,515
	1,500	East Bay, CA, Municipal Utility District Water System Revenue, 5.874%, 6/1/40		1,488,240
	100	Jea, FL, Water and Sewer Revenue, 6.21%, 10/1/33		102,074
	380	Knoxville, TN, Wastewater System Revenue, 6.50%, 4/1/43		388,105
	1,000	Los Angeles, CA, Department of Water and Power Waterworks Revenue, 6.008%, 7/1/39		984,540
	1,325	Metropolitan St. Louis, MO, Sewer District Wastewater System Revenue, 5.856%, 5/1/39		1,317,434
	1,500	Metropolitan Water District of Southern California, 6.538%, 7/1/39		1,502,580
	1,525	New York, NY, Municipal Water Finance Authority, 6.452%, 6/15/41		1,537,856
	1,000	San Diego County, CA, Water Authority, 6.138%, 5/1/49		1,013,840
	1,000	Washington County, OR, Clean Water Services, 5.701%, 10/1/30		991,390
	1,000	Williamsport Sanitary Authority, PA, 5.75%, 1/1/40		887,340

			$	12,416,522


Total Taxable Municipal Securities — 98.1% (identified cost $47,403,071)			$	45,586,499

Short-Term Investments — 2.8%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽²⁾	$	1,314	$	1,314,197


Total Short-Term Investments — 2.8% (identified cost $1,314,197)			$	1,314,197


Total Investments — 100.9% (identified cost $48,717,268)			$	46,900,696


Other Assets, Less Liabilities — (0.9)%			$	(413,667	)


Net Assets — 100.0%			$	46,487,029



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

At January 31, 2011, the concentration of the Portfolio’s investments in the various states, determined as a percentage of net assets, is as follows:


	California	15.7%

	New York	12.2%
	Pennsylvania	11.8%
	Others, representing less than 10% individually	61.2%

(1)	Build America Bonds. Represent taxable municipal obligations issued pursuant to the American Recovery and Reinvestment Act of 2009 or other legislation providing for the issuance of taxable municipal debt on which the issuer receives federal support.

(2)	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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $495.

The Portfolio did not have any open financial instruments at January 31, 2011.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	48,759,609

Gross unrealized appreciation	$	173,743
Gross unrealized depreciation		(2,032,656	)

Net unrealized depreciation	$	(1,858,913	)


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs

Asset Description	(Level 1)		(Level 2)		(Level 3)		Total

Taxable Municipal Securities	$	—	$	45,586,499	$	—	$	45,586,499
Short-Term Investments		—		1,314,197		—		1,314,197


Total Investments	$	—	$	46,900,696	$	—	$	46,900,696

Subsequent Events

As of the close of business on February 28, 2011, the Eaton Vance Build America Bond Fund withdrew its entire interest in the Portfolio in cash and securities. On March 11, 2011, the Portfolio terminated.


Global Macro Absolute Return Advantage Portfolio	as of January 31, 2011

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

Foreign Government Bonds — 12.4%


	Principal
Security	Amount		Value
Colombia — 1.7%
Titulos De Tesoreria B, 9.25%, 8/15/12	COP	2,270,700,000	$	1,300,128
Titulos De Tesoreria B, 11.00%, 5/18/11	COP	15,462,000,000		8,471,649


Total Colombia			$	9,771,777

Costa Rica — 2.3%
Republic of Costa Rica, 9.00%, 3/1/11⁽¹⁾	USD	13,215,000	$	13,347,150


Total Costa Rica			$	13,347,150

Philippines — 1.5%
Philippine Government International Bond, 6.25%, 1/14/36	PHP	417,000,000	$	8,598,043


Total Philippines			$	8,598,043

South Africa — 2.9%
Republic of South Africa, 2.50%, 1/31/17⁽²⁾	ZAR	33,311,355	$	4,749,590
Republic of South Africa, 2.60%, 3/31/28⁽²⁾	ZAR	27,192,487		3,739,948
Republic of South Africa, 2.75%, 1/31/22⁽²⁾	ZAR	56,084,316		7,849,589
Republic of South Africa, 5.50%, 12/7/23⁽²⁾	ZAR	4,939,071		896,215


Total South Africa			$	17,235,342

Sri Lanka — 0.2%
Republic of Sri Lanka, 6.25%, 10/4/20⁽³⁾	USD	1,040,000	$	1,040,000


Total Sri Lanka			$	1,040,000

Turkey — 1.3%
Turkey Government Bond, 4.00%, 4/1/20⁽²⁾	TRY	11,206,705	$	7,578,469


Total Turkey			$	7,578,469

Venezuela — 2.5%
Bolivarian Republic of Venezuela, 7.00%, 3/31/38⁽¹⁾	USD	20,033,000	$	11,168,397
Bolivarian Republic of Venezuela, 9.25%, 5/7/28⁽¹⁾	USD	4,816,900		3,251,408


Total Venezuela			$	14,419,805


Total Foreign Government Bonds (identified cost $73,461,665)			$	71,990,586

Precious Metals — 1.7%


	Troy
Description	Ounces		Value
Gold		7,234	$	9,629,135


Total Precious Metals (identified cost $9,840,483)			$	9,629,135

Put Options Purchased — 0.1%

Number of

Strike

Expiration

Description

Contracts

Price

Date

Value

KOSPI 200 Index

27,745,000

KRW

205

10/13/11

53,042

KOSPI 200 Index

27,745,000

KRW

200

10/11/12

154,175

KOSPI 200 Index

66,800,000

KRW

200

12/13/12

404,624

Light Sweet Crude Oil Future 12/11

USD

11/15/11

22,500

Total Put Options Purchased
(identified cost $1,295,228)

634,341

Short-Term Investments — 77.7%

Foreign Government Securities — 40.5%


	Principal
	Amount
Security	(000’s omitted)		Value
Brazil — 1.6%
Letras Do Tesouro Nacional, 0.00%, 7/1/11	BRL	16,400	$	9,384,771


Total Brazil			$	9,384,771

Croatia — 2.0%
Croatia Treasury Bill, 0.00%, 9/8/11	EUR	8,707	$	11,765,263


Total Croatia			$	11,765,263

Egypt — 3.6%
Egypt Treasury Bill, 0.00%, 6/14/11⁽⁴⁾	EGP	15,400	$	2,471,584
Egypt Treasury Bill, 0.00%, 7/12/11⁽⁴⁾	EGP	28,875		4,590,569
Egypt Treasury Bill, 0.00%, 7/26/11⁽⁴⁾	EGP	19,325		3,058,192
Egypt Treasury Bill, 0.00%, 8/30/11⁽⁴⁾	EGP	67,400		10,544,575


Total Egypt			$	20,664,920

Georgia — 0.3%
Bank of Georgia Promissory Note, 9.00%, 12/7/11	USD	1,850	$	1,850,000


Total Georgia			$	1,850,000

Hong Kong — 5.3%
Hong Kong Treasury Bill, 0.00%, 2/9/11	HKD	48,000	$	6,156,457
Hong Kong Treasury Bill, 0.00%, 2/16/11	HKD	11,500		1,474,968
Hong Kong Treasury Bill, 0.00%, 3/2/11	HKD	10,500		1,346,657
Hong Kong Treasury Bill, 0.00%, 3/9/11	HKD	24,500		3,142,127
Hong Kong Treasury Bill, 0.00%, 4/6/11	HKD	10,000		1,282,332
Hong Kong Treasury Bill, 0.00%, 5/11/11	HKD	70,000		8,974,321
Hong Kong Treasury Bill, 0.00%, 6/22/11	HKD	20,000		2,563,323
Hong Kong Treasury Bill, 0.00%, 6/29/11	HKD	7,000		897,094
Hong Kong Treasury Bill, 0.00%, 7/13/11	HKD	12,500		1,601,760
Hong Kong Treasury Bill, 0.00%, 7/20/11	HKD	15,000		1,922,079
Hong Kong Treasury Bill, 0.00%, 7/27/11	HKD	12,500		1,601,631


Total Hong Kong			$	30,962,749

Indonesia — 1.1%
Indonesia Treasury Bill, 0.00%, 2/10/11	IDR	10,746,000	$	1,186,064
Indonesia Treasury Bill, 0.00%, 4/7/11	IDR	34,694,000		3,792,134
Indonesia Treasury Bill, 0.00%, 5/5/11	IDR	9,700,000		1,054,878


Total Indonesia			$	6,033,076


	Principal
	Amount
Security	(000’s omitted)		Value
Israel — 5.6%
Israel Treasury Bill, 0.00%, 3/2/11	ILS	29,125	$	7,838,372
Israel Treasury Bill, 0.00%, 4/6/11	ILS	35,795		9,613,143
Israel Treasury Bill, 0.00%, 5/4/11	ILS	11,560		3,098,663
Israel Treasury Bill, 0.00%, 6/1/11	ILS	35,933		9,611,488
Israel Treasury Bill, 0.00%, 9/7/11	ILS	9,369		2,487,372


Total Israel			$	32,649,038

Kazakhstan — 3.4%
Kazakhstan National Bank, 0.00%, 4/8/11	KZT	737,000	$	5,007,227
Kazakhstan National Bank, 0.00%, 4/15/11	KZT	296,543		2,014,249
Kazakhstan National Bank, 0.00%, 4/29/11	KZT	1,239,051		8,411,787
Kazakhstan National Bank, 0.00%, 7/22/11	KZT	642,920		4,345,687


Total Kazakhstan			$	19,778,950

Malaysia — 7.2%
Malaysia Treasury Bill, 0.00%, 2/8/11	MYR	12,176	$	3,974,709
Malaysia Treasury Bill, 0.00%, 2/10/11	MYR	2,727		890,063
Malaysia Treasury Bill, 0.00%, 2/14/11	MYR	4,823		1,573,702
Malaysia Treasury Bill, 0.00%, 3/1/11	MYR	12,615		4,111,464
Malaysia Treasury Bill, 0.00%, 3/10/11	MYR	13,973		4,550,958
Malaysia Treasury Bill, 0.00%, 3/15/11	MYR	5,947		1,936,179
Malaysia Treasury Bill, 0.00%, 3/17/11	MYR	15,007		4,885,130
Malaysia Treasury Bill, 0.00%, 3/22/11	MYR	2,073		674,553
Malaysia Treasury Bill, 0.00%, 4/5/11	MYR	13,773		4,476,911
Malaysia Treasury Bill, 0.00%, 4/7/11	MYR	2,691		874,577
Malaysia Treasury Bill, 0.00%, 5/10/11	MYR	24,165		7,833,833
Malaysia Treasury Bill, 0.00%, 5/18/11	MYR	9,036		2,927,499
Malaysia Treasury Bill, 0.00%, 5/24/11	MYR	8,309		2,690,715


Total Malaysia			$	41,400,293

Mexico — 4.4%
Mexico Treasury Bill, 0.00%, 2/10/11	MXN	77,900	$	6,411,932
Mexico Treasury Bill, 0.00%, 2/24/11	MXN	91,300		7,503,368
Mexico Treasury Bill, 0.00%, 3/3/11	MXN	39,000		3,202,655
Mexico Treasury Bill, 0.00%, 4/14/11	MXN	39,966		3,267,520
Mexico Treasury Bill, 0.00%, 4/20/11	MXN	18,752		1,531,045
Mexico Treasury Bill, 0.00%, 5/5/11	MXN	46,106		3,757,666


Total Mexico			$	25,674,186

South Korea — 1.0%
Korea Monetary Stabilization Bond, 0.00%, 2/1/11	KRW	1,062,100	$	947,133
Korea Monetary Stabilization Bond, 0.00%, 4/12/11	KRW	538,170		477,324
Korea Monetary Stabilization Bond, 0.00%, 4/19/11	KRW	1,850,080		1,639,944
Korea Monetary Stabilization Bond, 0.00%, 4/26/11	KRW	2,484,860		2,201,117
Korea Monetary Stabilization Bond, 0.00%, 5/17/11	KRW	531,050		469,576


Total South Korea			$	5,735,094

Thailand — 1.6%
Bank of Thailand Bond, 0.00%, 6/2/11	THB	46,668	$	1,499,738
Bank of Thailand Bond, 0.00%, 7/14/11	THB	147,100		4,714,314
Bank of Thailand Bond, 0.00%, 8/4/11	THB	91,668		2,931,079


Total Thailand			$	9,145,131


	Principal
	Amount
Security	(000’s omitted)		Value
Turkey — 3.4%
Turkey Government Bond, 0.00%, 2/2/11	TRY	8,592	$	5,354,857
Turkey Government Bond, 0.00%, 5/11/11	TRY	14,151		8,662,782
Turkey Government Bond, 0.00%, 6/8/11	TRY	9,293		5,661,385


Total Turkey			$	19,679,024


Total Foreign Government Securities (identified cost $235,501,651)			$	234,722,495

U.S. Treasury Obligations — 8.5%


	Principal
	Amount
Security	(000’s omitted)		Value
United States Treasury Bill, 0.00%, 2/3/11⁽⁵⁾	$	24,000	$	23,999,856
United States Treasury Bill, 0.00%, 3/17/11		24,000		23,995,824
United States Treasury Bill, 0.00%, 7/28/11		1,240		1,239,355


Total U.S. Treasury Obligations (identified cost $49,234,946)			$	49,235,035

Repurchase Agreements — 0.9%


	Principal
	Amount
Description	(000’s omitted)		Value
Bank of America, dated 1/6/11 with a maturity date of 4/11/11, an interest rate of 0.40% and repurchase proceeds of EUR 3,904,117, collateralized by EUR 4,000,000 Spanish Government Bond 4.60% due 7/30/19 and a market value, including accrued interest, of $5,331,234.	EUR	3,900	$	5,339,686


Total Repurchase Agreements (identified cost $5,076,043)			$	5,339,686

Other Securities — 27.8%


	Interest
Description	(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.21%⁽⁶⁾	$	161,489	$	161,488,651


Total Other Securities (identified cost $161,488,651)			$	161,488,651


Total Short-Term Investments (identified cost $451,301,291)			$	450,785,867


Total Investments — 91.9% (identified cost $535,898,667)			$	533,039,929


Other Assets, Less Liabilities — 8.1%			$	46,847,052


Net Assets — 100.0%			$	579,886,981


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

BRL	-	Brazilian Real

COP	-	Colombian Peso

EGP	-	Egyptian Pound

EUR	-	Euro

HKD	-	Hong Kong Dollar

IDR	-	Indonesian Rupiah

ILS	-	Israeli Shekel

KRW	-	South Korean Won

KZT	-	Kazak Tenge

MXN	-	Mexican Peso

MYR	-	Malaysian Ringgit

PHP	-	Philippine Peso

THB	-	Thailand Baht

TRY	-	New Turkish Lira

USD	-	United States Dollar

ZAR	-	South African Rand

(1)		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.

(2)		Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.

(3)		Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At January 31, 2011, the aggregate value of these securities is $1,040,000 or 0.2% of the Portfolio’s net assets.

(4)		Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.

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

(6)		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, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2011 was $41,531.

Securities Sold Short

Foreign Government Bonds


	Principal
	Amount
Security	(000’s omitted)			Value
Spanish Government Bond, 4.60%, 7/30/19	EUR	(4,000	)	$	(5,310,627	)


Total Foreign Government Bonds (proceeds $4,963,544)				$	(5,310,627	)


Total Securities Sold Short (proceeds $4,963,544)				$	(5,310,627	)

Basis for Consolidation

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMAP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at January 31, 2011 were $13,217,276 or 2.3% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.

A summary of open financial instruments at January 31, 2011 is as follows:

Forward Foreign Currency Exchange Contracts

Sales


				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
2/4/11	South African Rand 61,700,000	United States Dollar 8,758,109	Bank of America	$	179,106
2/4/11	South African Rand 20,628,000	United States Dollar 2,995,991	Barclays Bank PLC		127,796
2/4/11	South African Rand 15,170,000	United States Dollar 2,180,851	Credit Suisse		71,557
2/10/11	Mexican Peso 77,900,000	United States Dollar 6,279,119	Bank of America		(138,063	)
2/14/11	Euro 3,250,000	United States Dollar 4,214,633	Citigroup Global Markets		(234,409	)
2/14/11	Euro 1,500,000	United States Dollar 2,050,860	Credit Suisse		(2,544	)
2/14/11	Euro 25,517,000	United States Dollar 33,085,725	Deutsche Bank		(1,845,414	)
2/14/11	Euro 1,550,000	United States Dollar 2,077,501	Goldman Sachs, Inc.		(44,350	)
2/14/11	Euro 4,710,000	United States Dollar 6,150,177	Goldman Sachs, Inc.		(297,512	)
2/16/11	South African Rand 10,664,927	United States Dollar 1,490,910	Credit Suisse		10,770
2/16/11	South African Rand 1,378,021	United States Dollar 194,361	Credit Suisse		3,112
2/17/11	South African Rand 20,141,215	United States Dollar 2,830,731	Credit Suisse		35,849
2/18/11	South African Rand 56,300,000	United States Dollar 7,798,781	Credit Suisse		(12,442	)
2/23/11	South African Rand 21,285,115	United States Dollar 3,007,349	Bank of America		56,473
2/24/11	Euro 24,459,500	United States Dollar 32,824,649	HSBC Bank USA		(654,473	)
2/24/11	Mexican Peso 39,000,000	United States Dollar 3,126,253	Citigroup Global Markets		(82,624	)
2/25/11	Colombian Peso 9,299,568,760	United States Dollar 5,078,956	Bank of America		92,153
2/28/11	South African Rand 4,800,000	United States Dollar 666,500	Bank of America		1,562
2/28/11	South African Rand 19,155,858	United States Dollar 2,637,967	Credit Suisse		(15,669	)
3/2/11	Israeli Shekel 7,090,000	United States Dollar 1,939,543	Barclays Bank PLC		28,569
3/3/11	Mexican Peso 39,000,000	United States Dollar 3,118,877	Bank of America		(88,104	)
3/15/11	South African Rand 20,152,145	United States Dollar 2,918,486	Credit Suisse		133,205
4/6/11	Israeli Shekel 11,538,000	United States Dollar 3,154,614	Barclays Bank PLC		45,748
4/7/11	South African Rand 27,635,352	United States Dollar 4,002,571	HSBC Bank USA		196,243
4/11/11	South African Rand 30,700,000	United States Dollar 4,474,566	Standard Chartered Bank		248,593
4/13/11	South African Rand 34,300,000	United States Dollar 4,719,707	Barclays Bank PLC		(447	)
4/13/11	South African Rand 11,740,000	United States Dollar 1,690,060	HSBC Bank USA		74,473


				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
4/13/11	South African Rand 15,200,000	United States Dollar 2,155,111	Standard Chartered Bank	$	63,381
5/4/11	Israeli Shekel 11,560,000	United States Dollar 3,158,901	Barclays Bank PLC		44,951
6/1/11	Israeli Shekel 11,580,000	United States Dollar 3,162,638	Barclays Bank PLC		44,195
6/2/11	Thai Baht 46,668,000	United States Dollar 1,503,479	Standard Chartered Bank		(3,455	)
7/14/11	Thai Baht 147,100,000	United States Dollar 4,748,225	Standard Chartered Bank		4,739
8/4/11	Thai Baht 45,000,000	United States Dollar 1,463,891	Barclays Bank PLC		13,794
8/4/11	Thai Baht 46,668,000	United States Dollar 1,499,133	Barclays Bank PLC		(4,714	)
9/8/11	Euro 8,707,000	United States Dollar 11,056,497	Citigroup Global Markets		(824,374	)

				$	(2,772,325	)

Purchases


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
2/2/11	New Turkish Lira 4,694,000	United States Dollar 2,976,160	Credit Suisse	$	(50,961	)
2/4/11	Czech Koruna 90,487,000	Euro 3,683,484	Deutsche Bank		77,283
2/4/11	Czech Koruna 51,400,000	Euro 2,096,162	Deutsche Bank		38,689
2/7/11	Czech Koruna 66,500,000	Euro 2,674,915	Barclays Bank PLC		100,814
2/8/11	Czech Koruna 52,350,000	Euro 2,143,822	Bank of America		27,238
2/10/11	New Taiwan Dollar 54,000,000	United States Dollar 1,852,424	Citigroup Global Markets		7,479
2/10/11	Polish Zloty 87,302,000	Euro 22,357,611	Credit Suisse		(220,850	)
2/10/11	South Korean Won 1,960,000,000	United States Dollar 1,742,455	Credit Suisse		4,982
2/14/11	Chilean Peso 6,660,000,000	United States Dollar 13,488,608	Standard Chartered Bank		278,631
2/14/11	Indonesian Rupiah 8,000,000,000	United States Dollar 875,274	Deutsche Bank		6,311
2/14/11	New Taiwan Dollar 81,010,000	United States Dollar 2,783,179	Barclays Bank PLC		7,238
2/14/11	New Turkish Lira 5,000,000	United States Dollar 3,147,742	Barclays Bank PLC		(37,126	)
2/14/11	New Turkish Lira 2,570,000	United States Dollar 1,666,126	HSBC Bank USA		(67,269	)
2/14/11	South Korean Won 1,230,000,000	United States Dollar 1,089,170	Goldman Sachs, Inc.		7,268
2/14/11	South Korean Won 1,360,000,000	United States Dollar 1,212,337	Standard Chartered Bank		(15	)
2/15/11	New Taiwan Dollar 139,540,000	United States Dollar 4,807,083	Credit Suisse		(485	)
2/17/11	Colombian Peso 1,980,000,000	United States Dollar 1,063,087	Credit Suisse		(1,819	)
2/18/11	Indian Rupee 34,500,000	United States Dollar 757,077	Standard Chartered Bank		(8,217	)


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
2/18/11	Swedish Krona 51,540,000	Euro 5,744,539	Goldman Sachs, Inc.	$	122,591
2/22/11	Indian Rupee 59,600,000	United States Dollar 1,300,742	Credit Suisse		(8,181	)
2/22/11	Indonesian Rupiah 3,960,000,000	United States Dollar 433,450	Citigroup Global Markets		2,084
2/22/11	Norwegian Krone 6,700,000	Euro 849,026	Citigroup Global Markets		(3,201	)
2/22/11	Norwegian Krone 2,830,000	Euro 360,835	Citigroup Global Markets		(4,387	)
2/22/11	Norwegian Krone 12,550,000	Euro 1,625,633	Goldman Sachs, Inc.		(54,307	)
2/22/11	Norwegian Krone 33,169,000	Euro 4,189,222	HSBC Bank USA		3,262
2/22/11	South Korean Won 1,300,000,000	United States Dollar 1,165,501	Goldman Sachs, Inc.		(7,018	)
2/24/11	Indian Rupee 96,000,000	United States Dollar 2,092,415	Standard Chartered Bank		(11,340	)
2/24/11	Indonesian Rupiah 13,840,700,000	United States Dollar 1,516,124	Standard Chartered Bank		5,381
2/24/11	South Korean Won 5,020,000,000	United States Dollar 4,481,463	Standard Chartered Bank		(8,278	)
2/28/11	Chilean Peso 2,602,256,250	United States Dollar 5,271,353	Bank of America		100,690
2/28/11	Czech Koruna 472,812,000	Euro 19,493,383	Goldman Sachs, Inc.		68,762
2/28/11	Indian Rupee 71,900,000	United States Dollar 1,567,473	Standard Bank		(10,185	)
2/28/11	Swedish Krona 9,980,000	Euro 1,107,829	Citigroup Global Markets		29,514
2/28/11	Swedish Krona 90,118,500	Euro 10,034,127	Standard Chartered Bank		224,721
3/2/11	Brazilian Real 17,080,000	United States Dollar 10,160,014	Goldman Sachs, Inc.		16,950
3/2/11	Israeli Shekel 1,672,600	United States Dollar 466,482	Citigroup Global Markets		(15,665	)
3/2/11	Israeli Shekel 8,830,000	United States Dollar 2,454,435	Citigroup Global Markets		(74,477	)
3/2/11	Israeli Shekel 12,695,104	United States Dollar 3,543,096	Credit Suisse		(121,373	)
3/2/11	Israeli Shekel 4,677,400	United States Dollar 1,300,000	HSBC Bank USA		(39,296	)
3/2/11	Israeli Shekel 19,325,000	United States Dollar 5,425,171	Standard Chartered Bank		(216,486	)
3/7/11	South Korean Won 4,196,000,000	United States Dollar 3,730,441	Credit Suisse		6,534
3/7/11	South Korean Won 4,196,000,000	United States Dollar 3,730,176	Goldman Sachs, Inc.		6,799
3/14/11	Indian Rupee 99,000,000	United States Dollar 2,161,100	Credit Suisse		(22,409	)
3/14/11	Indian Rupee 88,200,000	United States Dollar 1,922,825	Deutsche Bank		(17,446	)
3/18/11	Swedish Krona 15,230,000	Euro 1,694,548	Standard Chartered Bank		38,383
3/21/11	Norwegian Krone 32,000,000	Euro 4,078,511	Goldman Sachs, Inc.		(53,279	)
3/21/11	Norwegian Krone 6,800,000	Euro 864,238	HSBC Bank USA		(7,976	)
3/24/11	New Taiwan Dollar 87,200,000	United States Dollar 3,027,042	Citigroup Global Markets		(20,945	)


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
3/29/11	Indian Rupee 22,400,000	United States Dollar 489,457	Deutsche Bank	$	(6,854	)
3/29/11	Indian Rupee 26,000,000	United States Dollar 568,182	Standard Chartered Bank		(8,018	)
3/29/11	South Korean Won 500,000,000	United States Dollar 432,788	Bank of America		11,933
3/29/11	South Korean Won 505,000,000	United States Dollar 437,135	Credit Suisse		12,034
3/30/11	Indian Rupee 32,000,000	United States Dollar 698,843	Deutsche Bank		(9,534	)
3/31/11	Indonesian Rupiah 17,500,000,000	United States Dollar 1,929,863	Standard Chartered Bank		(18,577	)
4/5/11	Indian Rupee 99,200,000	United States Dollar 2,179,741	Barclays Bank PLC		(45,194	)
4/6/11	Indian Rupee 329,390,000	United States Dollar 7,242,918	Barclays Bank PLC		(156,541	)
4/6/11	Indonesian Rupiah 11,798,600,000	United States Dollar 1,311,247	Barclays Bank PLC		(24,068	)
4/6/11	Indonesian Rupiah 14,421,400,000	United States Dollar 1,602,556	Credit Suisse		(29,241	)
4/6/11	Indonesian Rupiah 14,421,400,000	United States Dollar 1,602,734	Deutsche Bank		(29,419	)
4/6/11	Indonesian Rupiah 11,798,600,000	United States Dollar 1,310,956	Standard Chartered Bank		(23,777	)
4/6/11	Polish Zloty 8,400,000	Euro 2,118,778	Barclays Bank PLC		11,514
4/7/11	South Korean Won 800,000,000	United States Dollar 707,026	Citigroup Global Markets		4,119
4/7/11	Swedish Krona 45,539,000	Euro 5,058,874	Credit Suisse		121,467
4/7/11	Swedish Krona 19,018,000	Euro 2,119,644	Credit Suisse		41,211
4/7/11	Swedish Krona 24,420,000	Euro 2,737,883	Goldman Sachs, Inc.		30,806
4/7/11	Swedish Krona 16,588,950	Euro 1,850,000	HSBC Bank USA		34,462
4/13/11	Czech Koruna 67,130,000	Euro 2,735,311	Goldman Sachs, Inc.		54,207
4/13/11	Israeli Shekel 12,700,000	United States Dollar 3,579,073	Credit Suisse		(157,342	)
4/13/11	Polish Zloty 3,830,000	Euro 978,446	Goldman Sachs, Inc.		(12,339	)
4/19/11	Indonesian Rupiah 4,760,000,000	United States Dollar 517,110	Credit Suisse		809
4/21/11	Indian Rupee 58,800,000	United States Dollar 1,275,211	Goldman Sachs, Inc.		(13,699	)
4/21/11	Indonesian Rupiah 15,280,000,000	United States Dollar 1,666,303	Credit Suisse		(4,417	)
4/27/11	Indonesian Rupiah 9,500,000,000	United States Dollar 1,034,295	Citigroup Global Markets		(2,317	)
4/27/11	Indonesian Rupiah 6,030,000,000	United States Dollar 656,005	Credit Suisse		(971	)
4/27/11	Indonesian Rupiah 6,030,000,000	United States Dollar 656,219	Standard Bank		(1,185	)
4/28/11	Indian Rupee 100,000,000	United States Dollar 2,161,228	Citigroup Global Markets		(18,556	)
5/2/11	Czech Koruna 102,000,000	Euro 4,206,706	Credit Suisse		13,350
5/2/11	New Turkish Lira 9,450,000	United States Dollar 5,817,175	HSBC Bank USA		(1,790	)


				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
5/2/11	Polish Zloty 13,800,000	Euro 3,486,609	Bank of America	$	2,374
5/26/11	Yuan Renminbi 10,536,000	United States Dollar 1,600,000	Bank of America		5,656
5/26/11	Yuan Renminbi 10,540,800	United States Dollar 1,600,000	Barclays Bank PLC		6,387
5/26/11	Yuan Renminbi 10,537,600	United States Dollar 1,600,000	Citigroup Global Markets		5,900
6/3/11	Yuan Renminbi 18,050,000	United States Dollar 2,728,235	Bank of America		24,029
6/3/11	Yuan Renminbi 18,050,000	United States Dollar 2,726,998	Deutsche Bank		25,265
9/2/11	Yuan Renminbi 32,173,000	United States Dollar 4,793,355	Bank of America		141,121
10/12/11	Yuan Renminbi 6,300,000	United States Dollar 962,861	Bank of America		5,586
11/28/11	Yuan Renminbi 8,720,000	United States Dollar 1,346,926	Bank of America		(3,001	)
11/28/11	Yuan Renminbi 10,390,400	United States Dollar 1,600,000	Barclays Bank PLC		1,367
11/28/11	Yuan Renminbi 20,784,000	United States Dollar 3,200,000	Standard Chartered Bank		3,227
12/9/11	Yuan Renminbi 15,060,000	United States Dollar 2,316,210	Barclays Bank PLC		6,204
12/13/11	Yuan Renminbi 5,400,000	United States Dollar 829,238	Barclays Bank PLC		3,679
12/16/11	Yuan Renminbi 29,200,000	United States Dollar 4,467,564	Barclays Bank PLC		37,082
12/16/11	Yuan Renminbi 10,220,000	United States Dollar 1,573,276	Barclays Bank PLC		3,350
12/30/11	Yuan Renminbi 8,200,000	United States Dollar 1,268,368	Bank of America		(2,414	)
12/30/11	Yuan Renminbi 13,090,000	United States Dollar 2,035,770	Bank of America		(14,874	)
1/17/12	Yuan Renminbi 19,230,000	United States Dollar 2,985,330	Bank of America		(13,639	)
1/30/12	Yuan Renminbi 7,180,000	United States Dollar 1,111,834	Bank of America		(1,503	)
1/30/12	Yuan Renminbi 24,719,200	United States Dollar 3,832,256	Barclays Bank PLC		(9,626	)
10/22/12	Yuan Renminbi 3,300,000	United States Dollar 524,642	Citigroup Global Markets		(7,061	)
10/29/12	Yuan Renminbi 1,970,000	United States Dollar 312,203	Citigroup Global Markets		(3,107	)
11/5/12	Yuan Renminbi 4,480,000	United States Dollar 709,422	Bank of America		(6,239	)
11/13/12	Yuan Renminbi 7,080,000	United States Dollar 1,128,287	Bank of America		(16,531	)
11/19/12	Yuan Renminbi 3,100,000	United States Dollar 488,574	Deutsche Bank		(1,632	)

				$	62,286

At January 31, 2011, closed forward foreign currency purchases and sales contracts excluded above amounted to a receivable of $992,444 and a payable of $160,047.

Futures Contracts


									Net Unrealized
Expiration			Aggregate						Appreciation
Date	Contracts	Position	Cost			Value			(Depreciation)
2/11	158 Brent Crude Oil	Short	$	(15,264,800	)	$	(15,959,580	)	$	(694,780	)
2/11	158 Light Sweet Crude Oil	Long		13,749,050			14,566,020			816,970
3/11	43 Euro-Bund	Short		(7,395,096	)		(7,285,003	)		110,093
3/11	28 Euro-Buxl	Short		(4,132,782	)		(4,036,037	)		96,745
3/11	19 Japan 10-Year Bond	Short		(32,437,744	)		(32,412,037	)		25,707
3/11	10 U.S. 10-Year Treasury Note	Short		(1,242,188	)		(1,207,969	)		34,219

									$	388,954


•	Euro-Bund: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 8.5 to 10.5 years.

•	Euro-Buxl: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 24 to 35 years.

•	Japan 10-Year Bond: Japanese Government Bonds (JGB) having a maturity of 7 years or more but less than 11 years.

Interest Rate Swaps

Notional

Portfolio

Amount

Pays/Receives

Floating

Annual

Termination

Net Unrealized

Counterparty

(000’s omitted)

Floating Rate

Rate Index

Fixed Rate

Date

Appreciation

Bank of America

ZAR

10,073

Receive

3-Month ZAR JIBAR

6.86

11/17/15

55,236

Bank of America

ZAR

20,153

Receive

3-Month ZAR JIBAR

7.18

12/15/15

76,547

Bank of America

ZAR

5,063

Receive

3-Month ZAR JIBAR

7.26

11/16/20

59,631

Bank of America

ZAR

10,070

Receive

3-Month ZAR JIBAR

7.42

11/17/20

103,216

Bank of America

ZAR

7,680

Receive

3-Month ZAR JIBAR

7.31

11/19/20

86,126

Citigroup Global Markets

ZAR

5,016

Receive

3-Month ZAR JIBAR

7.29

11/19/20

57,219

Citigroup Global Markets

ZAR

27,635

Receive

3-Month ZAR JIBAR

7.69

1/7/21

222,254

Deutsche Bank

ZAR

3,910

Receive

3-Month ZAR JIBAR

6.71

11/19/15

24,540

Deutsche Bank

ZAR

6,983

Receive

3-Month ZAR JIBAR

7.26

11/16/20

82,248

Deutsche Bank

ZAR

4,655

Receive

3-Month ZAR JIBAR

7.27

11/19/20

53,994

Deutsche Bank

ZAR

4,800

Receive

3-Month ZAR JIBAR

7.77

11/26/20

32,925

Standard Bank

ZAR

16,000

Receive

3-Month ZAR JIBAR

7.87

11/30/20

94,376

948,312


ZAR		-		South African Rand

Credit Default Swaps — Sell Protection


		Notional		Contract				Current			Net Unrealized
		Amount*		Annual			Termination	Market Annual			Appreciation
Reference Entity	Counterparty	(000’s omitted)		Fixed Rate**			Date	Fixed Rate***			(Depreciation)
South Africa	Bank of America	$	890		1.00	%⁽¹⁾	12/20/15		1.34	%	$	(5,762	)
South Africa	Bank of America		3,190		1.00	⁽¹⁾	12/20/15		1.34			(19,445	)
South Africa	Barclays Bank PLC		2,280		1.00	⁽¹⁾	12/20/15		1.34			(11,643	)
South Africa	Barclays Bank PLC		3,830		1.00	⁽¹⁾	12/20/15		1.34			(19,855	)
South Africa	Citigroup Global Markets		4,800		1.00	⁽¹⁾	9/20/15		1.30			67,125
South Africa	Credit Suisse		890		1.00	⁽¹⁾	12/20/15		1.34			(4,533	)
South Africa	Credit Suisse		2,000		1.00	⁽¹⁾	12/20/15		1.34			(11,346	)
South Africa	Credit Suisse		4,785		1.00	⁽¹⁾	12/20/15		1.34			(20,450	)
South Africa	Credit Suisse		8,100		1.00	⁽¹⁾	3/20/16		1.37			(61,614	)

											$	(87,523	)

Credit Default Swaps — Buy Protection


				Contract
		Notional		Annual				Net Unrealized
		Amount		Fixed			Termination	Appreciation
Reference Entity	Counterparty	(000’s omitted)		Rate**			Date	(Depreciation)
Brazil	Bank of America	$	4,600		1.00	%⁽¹⁾	12/20/20	$	38,454
Brazil	Bank of America		1,217		1.00	⁽¹⁾	12/20/20		3,687
Brazil	Bank of America		533		1.00	⁽¹⁾	12/20/20		2,044
Brazil	Bank of America		280		1.00	⁽¹⁾	12/20/20		1,511
Brazil	Barclays Bank PLC		1,430		1.00	⁽¹⁾	12/20/20		3,104
Brazil	Citigroup Global Markets		2,400		1.00	⁽¹⁾	9/20/20		(19,613	)
Brazil	Citigroup Global Markets		270		1.00	⁽¹⁾	12/20/20		1,348
Brazil	Standard Chartered Bank		2,400		1.00	⁽¹⁾	9/20/20		(2,438	)
Brazil	Standard Chartered Bank		280		1.00	⁽¹⁾	12/20/20		1,398
Egypt	Citigroup Global Markets		1,300		1.00	⁽¹⁾	12/20/15		96,720
Egypt	Credit Suisse		2,130		1.00	⁽¹⁾	12/20/15		167,316
Egypt	Credit Suisse		2,155		1.00	⁽¹⁾	12/20/15		160,322
Egypt	Deutsche Bank		8,600		1.00	⁽¹⁾	12/20/15		781,023
Philippines	Bank of America		2,000		1.00	⁽¹⁾	12/20/15		2,543
Philippines	Bank of America		1,400		1.00	⁽¹⁾	12/20/15		587
Philippines	Barclays Bank PLC		2,400		1.00	⁽¹⁾	12/20/15		(12,858	)
Philippines	Barclays Bank PLC		1,600		1.00	⁽¹⁾	3/20/16		9,053
Philippines	Barclays Bank PLC		1,400		1.00	⁽¹⁾	3/20/16		3,321
Philippines	Barclays Bank PLC		1,600		1.00	⁽¹⁾	3/20/16		82
Philippines	Citigroup Global Markets		6,600		1.00	⁽¹⁾	9/20/15		(96,031	)
Philippines	Citigroup Global Markets		2,000		1.00	⁽¹⁾	3/20/16		1,068
Philippines	Deutsche Bank		1,300		1.00	⁽¹⁾	12/20/15		516
Philippines	Deutsche Bank		1,000		1.00	⁽¹⁾	12/20/15		(545	)
Philippines	Deutsche Bank		2,300		1.00	⁽¹⁾	12/20/15		(1,132	)
Philippines	Goldman Sachs, Inc.		2,000		1.00	⁽¹⁾	3/20/16		121
Philippines	Standard Chartered Bank		1,000		1.00	⁽¹⁾	12/20/15		1,844
Russia	Bank of America		1,980		1.00	⁽¹⁾	12/20/20		(4,234	)
Russia	Barclays Bank PLC		990		1.00	⁽¹⁾	12/20/20		(1,357	)
South Africa	Bank of America		3,190		1.00	⁽¹⁾	12/20/20		33,537
South Africa	Bank of America		890		1.00	⁽¹⁾	12/20/20		12,640
South Africa	Barclays Bank PLC		3,830		1.00	⁽¹⁾	12/20/20		46,229
South Africa	Barclays Bank PLC		2,280		1.00	⁽¹⁾	12/20/20		32,703
South Africa	Citigroup Global Markets		4,800		1.00	⁽¹⁾	9/20/20		(60,168	)
South Africa	Credit Suisse		4,785		1.00	⁽¹⁾	12/20/20		46,586
South Africa	Credit Suisse		2,000		1.00	⁽¹⁾	12/20/20		20,453
South Africa	Credit Suisse		890		1.00	⁽¹⁾	12/20/20		10,498
South Africa	Credit Suisse		8,100		1.00	⁽¹⁾	3/20/21		73,393
Spain	Bank of America		2,400		1.00	⁽¹⁾	9/20/20		5,657
Spain	Barclays Bank PLC		2,421		1.00	⁽¹⁾	9/20/20		37,893
Spain	Barclays Bank PLC		3,900		1.00	⁽¹⁾	12/20/20		34,780
Spain	Barclays Bank PLC		1,100		1.00	⁽¹⁾	12/20/20		11,893
Spain	Barclays Bank PLC		3,200		1.00	⁽¹⁾	12/20/20		(113,916	)
Spain	Credit Suisse		2,200		1.00	⁽¹⁾	3/20/21		(97,071	)
Spain	Deutsche Bank		3,500		1.00	⁽¹⁾	12/20/20		(21,479	)
Thailand	Bank of America		1,000		1.00	⁽¹⁾	3/20/16		7,722
Thailand	Barclays Bank PLC		3,000		1.00	⁽¹⁾	3/20/16		34,599
Thailand	Standard Chartered Bank		3,300		1.00	⁽¹⁾	9/20/15		(11,610	)
iTraxx Europe Senior Financials 5-Year Index	Bank of America	EUR	2,275		1.00	⁽¹⁾	12/20/15		(23,877	)
iTraxx Europe Senior Financials 5-Year Index	Credit Suisse	EUR	2,275		1.00	⁽¹⁾	12/20/15		(24,506	)
iTraxx Europe Subordinated Financials 5-Year Index	Bank of America	EUR	1,000		1.00	⁽¹⁾	12/20/15		60,475
iTraxx Europe Subordinated Financials 5-Year Index	Bank of America	EUR	2,850		1.00	%⁽¹⁾	12/20/15		6,827

Contract

Notional

Annual

Net Unrealized

Amount

Fixed

Termination

Appreciation

Reference Entity

Counterparty

(000’s omitted)

Rate**

Date

(Depreciation)

iTraxx Europe Subordinated Financials 5-Year Index

Barclays Bank PLC

EUR

1,000

1.00

⁽¹⁾

12/20/15

703

iTraxx Europe Subordinated Financials 5-Year Index

Barclays Bank PLC

EUR

1,200

1.00

⁽¹⁾

12/20/15

(25,163

)

iTraxx Europe Subordinated Financials 5-Year Index

Citigroup Global Markets

EUR

400

1.00

⁽¹⁾

12/20/15

23,947

iTraxx Europe Subordinated Financials 5-Year Index

Credit Suisse

EUR

1,015

1.00

⁽¹⁾

12/20/15

61,940

iTraxx Europe Subordinated Financials 5-Year Index

Credit Suisse

EUR

1,000

1.00

⁽¹⁾

12/20/15

(24,155

)

1,298,384


*	If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At January 31, 2011, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $30,765,000.

**	The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) annually 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.

EUR - Euro

Cross-Currency Swaps

Notional Amount

on Fixed Rate

on Floating Rate

(Currency Received)

(Currency Delivered)

Floating

Fixed

Termination

Net Unrealized

Counterparty

(000’s omitted)

Rate

Date

Appreciation

Citigroup Global Markets

TRY

10,951

7,200

3-Month USD-LIBOR-BBA

8.23

9/3/20

66,222

66,222

TRY - New Turkish Lira

At January 31, 2011, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:

Credit Risk: The Portfolio enters into credit default swap contracts to manage its credit risk, to gain a particular exposure to credit risk, or to enhance return.

Equity Risk: The Portfolio enters into equity index options to enhance return.

Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts and cross currency swaps to enhance return or to hedge against fluctuations in currency exchange rates. It also enters into forward foreign currency exchange contracts as a substitute for the purchase or sale of securities or currencies.

The fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at January 31, 2011 was as follows:


		Fair Value
		Asset		Liability
Risk	Derivative	Derivatives		Derivatives
Commodity	Futures Contracts*	$	816,970	$	(694,780	)
Commodity	Put Options Purchased		22,500		—

		$	839,470	$	(694,780	)

Credit	Credit Default Swaps	$	1,905,662	$	(694,801	)

		$	1,905,662	$	(694,801	)

Equity	Put Options Purchased	$	611,841	$	—

		$	611,841	$	—

Foreign Exchange	Forward Foreign Currency Exchange Contracts	$	4,257,456	$	(6,135,098	)

		$	4,257,456	$	(6,135,098	)

Interest Rate	Cross-Currency Swaps	$	66,222	$	—
Interest Rate	Futures Contracts*		266,764		—
Interest Rate	Interest Rate Swaps		948,312		—

		$	1,281,298	$	—


*		Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2011, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	536,079,954

Gross unrealized appreciation	$	2,330,702
Gross unrealized depreciation		(5,370,727	)

Net unrealized depreciation	$	(3,040,025	)


	•	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)

At January 31, 2011, the hierarchy of inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:


	Quoted Prices in
	Active Markets for			Significant Other			Significant
	Identical Assets			Observable Inputs			Unobservable Inputs

Asset Description	(Level 1)			(Level 2)			(Level 3)		Total

Foreign Government Bonds	$	—		$	71,990,586		$	—	$	71,990,586
Precious Metals		9,629,135			—			—		9,629,135
Put Options Purchased		—			634,341			—		634,341
Short-Term Investments —
Foreign Government Securities		—			214,057,575			20,664,920		234,722,495
U.S. Treasury Obligations		—			49,235,035			—		49,235,035
Repurchase Agreements		—			5,339,686			—		5,339,686
Other Securities		—			161,488,651			—		161,488,651


Total Investments	$	9,629,135		$	502,745,874		$	20,664,920	$	533,039,929



Forward Foreign Currency Exchange Contracts	$	—		$	4,257,456		$	—	$	4,257,456
Swaps Contracts		—			2,920,196			—		2,920,196
Futures Contracts		1,083,734			—			—		1,083,734


Total	$	10,712,869		$	509,923,526		$	20,664,920	$	541,301,315



Liability Description

Securities Sold Short	$	—		$	(5,310,627	)	$	—	$	(5,310,627	)
Forward Foreign Currency Exchange Contracts		—			(6,135,098	)		—		(6,135,098	)
Swaps Contracts		—			(694,801	)		—		(694,801	)
Futures Contracts		(694,780	)		—			—		(694,780	)


Total	$	(694,780	)	$	(12,140,526	)	$	—	$	(12,835,306	)

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:


	Investment in
	Short-Term
	Investments –
	Foreign
	Government
	Securities
Balance as of October 31, 2010	$	—
Realized gains (losses)		—
Change in net unrealized appreciation (depreciation)		(885,948	)
Cost of purchases		17,320,229
Proceeds from sales		—
Accrued discount (premium)		322,858
Transfers to Level 3*		3,907,781
Transfers from Level 3*		—

Balance as of January 31, 2011	$	20,664,920


Change in net unrealized appreciation (depreciation) on investments still held as of January 31, 2011	$	(885,948	)


*		Transfers are reflected at the value of the securities at the beginning of the period. Transfers from Level 2 to Level 3 were due to the effects of the market closure in Egypt.

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.


Eaton Vance Build America Bond Fund
Eaton Vance Emerging Markets Local Income Fund
Eaton Vance Floating-Rate & High Income Fund
Eaton Vance Floating-Rate Advantage Fund
Eaton Vance Floating-Rate Fund
Eaton Vance Global Dividend Income Fund (formerly, Eaton Vance Dividend Income Fund)
Eaton Vance Global Macro Absolute Return Advantage Fund
Eaton Vance Global Macro Absolute Return Fund (formerly, Eaton Vance Global Macro Fund)
Eaton Vance Government Obligations Fund
Eaton Vance High Income Opportunities Fund
Eaton Vance International Equity Fund
Eaton Vance International Multi-Market Local Income Fund (formerly, Eaton Vance International Income Fund)
Eaton Vance Low Duration Fund
Eaton Vance Multi-Strategy Absolute Return Fund (formerly, Eaton Vance Diversified Income Fund)
Eaton Vance Parametric Structured Emerging Markets Fund (formerly, Eaton Vance Structured Emerging Markets Fund)
Eaton Vance Strategic Income Fund
Eaton Vance Tax-Managed Equity Asset Allocation Fund
Eaton Vance Tax-Managed Global Dividend Income Fund (formerly, Eaton Vance Tax-Managed Dividend Income Fund)
Eaton Vance Tax-Managed International Equity Fund
Eaton Vance Tax-Managed Mid-Cap Core Fund
Eaton Vance Tax-Managed Multi-Cap Growth Fund
Eaton Vance Tax-Managed Small-Cap Fund
Eaton Vance Tax-Managed Small-Cap Value Fund
Eaton Vance Tax-Managed Value Fund
Eaton Vance U.S. Government Money Market Fund


Eaton Vance Parametric Structured Emerging Markets Fund	as of January 31, 2011


	Maturity
Security	Date	Shares		Value
Saudi Arabia — 0.8%
Al Abdullatif Industrial Investment Co.⁽⁷⁾	7/6/12		24,300	$	171,378
Al Rajhi Bank⁽⁷⁾	4/30/12		74,893		1,600,044
Alinma Bank⁽¹⁾⁽⁷⁾	6/4/12		156,100		425,583


	Percentage
Currency	of Net Assets			Value
United States Dollar		12.5	%	$	270,540,523
Hong Kong Dollar		8.4			181,452,342
Brazilian Real		6.4			138,693,216
New Taiwan Dollar		6.2			134,830,190
Mexican Peso		6.2			134,315,040
Indian Rupee		6.1			133,154,340
South Korean Won		6.1			132,991,832
South African Rand		5.9			128,618,917
Polish Zloty		3.2			70,349,010
Malaysian Ringgit		3.1			67,810,352
Indonesian Rupiah		3.1			66,884,149
Chilean Peso		3.0			65,383,598
Thailand Baht		3.0			64,919,367
New Turkish Lira		2.8			61,419,983
Hungarian Forint		1.7			37,290,062
Czech Koruna		1.6			35,301,338
Moroccan Dirham		1.6			34,238,096
Philippine Peso		1.6			34,090,495
Qatari Riyal		1.5			33,646,166
Kuwaiti Dinar		1.5			32,456,631
Colombian Peso		1.4			30,045,701
Euro		1.3			29,276,916
United Arab Emirates Dirham		1.2			25,436,520
Egyptian Pound		1.2			25,416,221
Other currency, less than 1% each		9.2			199,212,631

Total Investments		99.8	%	$	2,167,773,636


	Percentage
Sector	of Net Assets			Value
Financials		26.0	%	$	564,318,219
Materials		12.7			275,004,729
Industrials		10.6			229,437,355
Energy		10.5			228,768,470
Telecommunication Services		10.1			219,533,279
Consumer Staples		7.6			165,957,292
Consumer Discretionary		7.5			162,409,843
Information Technology		6.7			145,825,688
Utilities		5.1			111,467,435
Health Care		2.0			43,764,101
Other		0.9			18,832,566
Investment Funds		0.1			2,454,659

Total Investments		99.8	%	$	2,167,773,636


Aggregate cost	$	1,799,969,479

Gross unrealized appreciation	$	449,534,721
Gross unrealized depreciation		(81,730,564	)

Net unrealized appreciation	$	367,804,157