Edgar Filing: EATON VANCE SENIOR INCOME TRUST

Eaton Vance Senior Income Trust

UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-09013

Investment Company Act File Number

Eaton Vance Senior Income Trust

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

June 30

Date of Fiscal Year End

September 30, 2009

Date of Reporting Period

TABLE OF CONTENTS


	Item 1. Schedule of Investments
	Item 2. Controls and Procedures
Signatures
EX-99.CERT Section 302 Certification

Item 1. Schedule of Investments


Eaton Vance Senior Income Trust	as of September 30, 2009

PORTFOLIO OF INVESTMENTS (Unaudited)

Senior Floating-Rate Interests — 141.5%⁽¹⁾


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Aerospace and Defense — 3.1%
		ACTS Aero Technical Support & Service, Inc.
	376	Term Loan, 0.00%, Maturing October 5, 2014⁽²⁾	$	118,297
		AWAS Capital, Inc.
	882	Term Loan - Second Lien, 6.31%, Maturing March 22, 2013		516,152
		DAE Aviation Holdings, Inc.
	218	Term Loan, 4.24%, Maturing July 31, 2014		196,000
	223	Term Loan, 4.24%, Maturing July 31, 2014		200,346
		Evergreen International Aviation
	595	Term Loan, 11.50%, Maturing October 31, 2011		464,080
		Hawker Beechcraft Acquisition
	1,509	Term Loan, 2.26%, Maturing March 26, 2014		1,159,550
	89	Term Loan, 2.28%, Maturing March 26, 2014		68,613
		Hexcel Corp.
	469	Term Loan, 6.50%, Maturing May 21, 2014		471,094
		IAP Worldwide Services, Inc.
	477	Term Loan, 9.25%, Maturing December 30, 2012⁽³⁾		392,121
		Spirit AeroSystems, Inc.
	615	Term Loan, 2.26%, Maturing December 31, 2011		598,847
		TransDigm, Inc.
	1,375	Term Loan, 2.29%, Maturing June 23, 2013		1,333,750
		Vought Aircraft Industries, Inc.
	472	Term Loan, 7.50%, Maturing December 17, 2011		473,663
	215	Term Loan, 7.50%, Maturing December 22, 2011		213,736
		Wesco Aircraft Hardware Corp.
	973	Term Loan, 2.50%, Maturing September 29, 2013		910,503

			$	7,116,752

Air Transport — 1.0%
		Airport Development and Investment, Ltd.
GBP	783	Term Loan - Second Lien, 5.05%, Maturing April 7, 2011	$	1,032,234
		Delta Air Lines, Inc.
	225	Term Loan, Maturing September 30, 2013⁽⁴⁾		225,797
	1,128	Term Loan - Second Lien, 3.50%, Maturing April 30, 2014		945,487

			$	2,203,518

Automotive — 5.1%
		Accuride Corp.
	862	Term Loan, 10.00%, Maturing January 31, 2012	$	838,730
		Adesa, Inc.
	1,130	Term Loan, 2.50%, Maturing October 18, 2013		1,087,219
		Allison Transmission, Inc.
	550	Term Loan, 3.00%, Maturing September 30, 2014		482,095
		Cooper Standard Automotive, Inc.
	83	Revolving Loan, 6.75%, Maturing December 23, 2011		74,030
	26	Term Loan, 2.50%, Maturing December 23, 2011		23,135
	21	Term Loan, 7.00%, Maturing December 23, 2011		18,564
	64	Term Loan, 7.00%, Maturing December 23, 2011		56,607
	88	Term Loan, 7.00%, Maturing December 23, 2011		78,006
	159	Term Loan, 7.00%, Maturing December 23, 2011		141,401
	177	Term Loan, 7.00%, Maturing December 23, 2011		157,182
		Dayco Products, LLC
	939	Term Loan, 0.00%, Maturing June 21, 2011⁽²⁾		441,288


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Federal-Mogul Corp.
	1,761	Term Loan, 2.20%, Maturing December 27, 2014	$	1,352,886
	591	Term Loan, 2.19%, Maturing December 27, 2015		454,068
		Ford Motor Co.
	1,417	Term Loan, 3.49%, Maturing December 15, 2013		1,262,980
		Goodyear Tire & Rubber Co.
	2,300	Term Loan - Second Lien, 2.00%, Maturing April 30, 2010		2,155,429
		HLI Operating Co., Inc.
	106	DIP Loan, 26.00%, Maturing November 30, 2009⁽³⁾		101,997
EUR	22	Term Loan, 8.25%, Maturing May 30, 2014		2,395
EUR	371	Term Loan, 11.50%, Maturing May 30, 2014		86,775
		Keystone Automotive Operations, Inc.
	448	Term Loan, 3.77%, Maturing January 12, 2012		268,933
		LKQ Corp.
	505	Term Loan, 2.25%, Maturing October 12, 2014		495,977
		TriMas Corp.
	127	Term Loan, 2.52%, Maturing August 2, 2011		113,432
	532	Term Loan, 2.64%, Maturing August 2, 2013		476,791
		TRW Automotive, Inc.
	916	Term Loan, 6.25%, Maturing February 2, 2014		917,970
		United Components, Inc.
	590	Term Loan, 2.72%, Maturing June 30, 2010		547,366

			$	11,635,256

Beverage and Tobacco — 0.1%
		Culligan International Co.
EUR	500	Term Loan - Second Lien, 5.23%, Maturing May 31, 2013	$	235,965

			$	235,965

Brokers, Dealers and Investment Houses — 0.4%
		AmeriTrade Holding Corp.
	1,025	Term Loan, 1.74%, Maturing December 31, 2012	$	1,008,117

			$	1,008,117

Building and Development — 3.0%
		AIMCO Properties, L.P.
	1,333	Term Loan, 1.74%, Maturing March 23, 2011	$	1,275,869
		Beacon Sales Acquisition, Inc.
	357	Term Loan, 2.56%, Maturing September 30, 2013		338,882
		Brickman Group Holdings, Inc.
	774	Term Loan, 2.28%, Maturing January 23, 2014		728,559
		Epco/Fantome, LLC
	726	Term Loan, 2.87%, Maturing November 23, 2010		555,390
		Hovstone Holdings, LLC
	335	Term Loan, 5.50%, Maturing October 15, 2009⁽³⁾⁽⁵⁾		134,819
		LNR Property Corp.
	1,184	Term Loan, 3.76%, Maturing July 3, 2011		871,452
		Metroflag BP, LLC
	300	Term Loan - Second Lien, 0.00%, Maturing October 2, 2009⁽²⁾		3,150
		Mueller Water Products, Inc.
	573	Term Loan, 5.97%, Maturing May 24, 2014		559,159
		November 2005 Land Investors
	152	Term Loan, 0.00%, Maturing May 9, 2011⁽²⁾		51,823
		Panolam Industries Holdings, Inc.
	663	Term Loan, 5.00%, Maturing September 30, 2012		541,929
		Re/Max International, Inc.
	453	Term Loan, 3.89%, Maturing December 17, 2012		444,148
	955	Term Loan, 7.89%, Maturing December 17, 2012		940,733
		Sanitec Europe OY
EUR	387	Term Loan, 2.50%, Maturing June 25, 2016		326,633


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		South Edge, LLC
	422	Term Loan, 0.00%, Maturing October 31, 2009⁽²⁾	$	129,726

			$	6,902,272

Business Equipment and Services — 10.3%
		Activant Solutions, Inc.
	796	Term Loan, 2.48%, Maturing May 1, 2013	$	740,180
		Acxiom Corp.
	610	Term Loan, 2.32%, Maturing September 15, 2012		597,800
		Affinion Group, Inc.
	1,372	Term Loan, 2.75%, Maturing October 17, 2012		1,320,809
		Allied Barton Security Service
	495	Term Loan, 6.75%, Maturing February 21, 2015		500,952
		Education Management, LLC
	1,997	Term Loan, 2.06%, Maturing June 1, 2013		1,904,935
		Info USA, Inc.
	131	Term Loan, 2.29%, Maturing February 14, 2012		126,414
		iPayment, Inc.
	435	Term Loan, 2.27%, Maturing May 10, 2013		366,512
		Kronos, Inc.
	558	Term Loan, 2.28%, Maturing June 11, 2014		525,597
		Mitchell International, Inc.
	500	Term Loan - Second Lien, 5.56%, Maturing March 28, 2015		350,000
		N.E.W. Holdings I, LLC
	1,000	Term Loan, 2.75%, Maturing May 22, 2014		940,241
		Protection One, Inc.
	1,203	Term Loan, 2.50%, Maturing March 31, 2012		1,154,604
		Quantum Corp.
	117	Term Loan, 3.78%, Maturing July 12, 2014		105,338
		Quintiles Transnational Corp.
	900	Term Loan - Second Lien, 4.28%, Maturing March 31, 2014		859,500
		Sabre, Inc.
	2,642	Term Loan, 2.64%, Maturing September 30, 2014		2,335,846
		Serena Software, Inc.
	719	Term Loan, 2.32%, Maturing March 10, 2013		668,897
		Sitel (Client Logic)
EUR	968	Term Loan, 5.94%, Maturing January 29, 2014		1,040,795
	501	Term Loan, 5.95%, Maturing January 29, 2014		420,725
		Solera Holdings, LLC
EUR	415	Term Loan, 2.50%, Maturing May 15, 2014		546,967
		SunGard Data Systems, Inc.
	1,860	Term Loan, 2.00%, Maturing February 11, 2013		1,753,400
	1,922	Term Loan, 4.08%, Maturing February 28, 2016		1,872,499
		TDS Investor Corp.
EUR	527	Term Loan, 3.24%, Maturing August 23, 2013		685,539
		Transaction Network Services, Inc.
	277	Term Loan, 9.50%, Maturing May 4, 2012		281,141
		Travelport, LLC
	723	Term Loan, 2.76%, Maturing August 23, 2013		674,406
	145	Term Loan, 2.78%, Maturing August 23, 2013		135,320
	499	Term Loan, 10.50%, Maturing August 23, 2013		508,725
		Valassis Communications, Inc.
	112	Term Loan, 2.04%, Maturing March 2, 2014		108,544
	570	Term Loan, 2.04%, Maturing March 2, 2014		551,020
		VWR International, Inc.
	998	Term Loan, 2.75%, Maturing June 28, 2013		930,169
		West Corp.
	724	Term Loan, 2.62%, Maturing October 24, 2013		685,584
	1,051	Term Loan, 4.12%, Maturing July 15, 2016		1,015,740

			$	23,708,199


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Cable and Satellite Television — 11.6%
		Atlantic Broadband Finance, LLC
	1,653	Term Loan, 6.75%, Maturing June 8, 2013	$	1,667,035
	61	Term Loan, 2.54%, Maturing September 1, 2013		61,071
		Bragg Communications, Inc.
	1,176	Term Loan, 2.86%, Maturing August 31, 2014		1,155,420
		Bresnan Broadband Holdings, LLC
	1,496	Term Loan, 2.49%, Maturing March 29, 2014		1,445,128
	650	Term Loan - Second Lien, 4.75%, Maturing March 29, 2014		614,250
		Cequel Communications, LLC
	2,099	Term Loan, 6.29%, Maturing May 5, 2014⁽³⁾		2,046,382
	875	Term Loan - Second Lien, 4.79%, Maturing May 5, 2014		823,959
		Charter Communications Operating, Inc.
	3,497	Term Loan, 6.25%, Maturing April 28, 2013		3,349,553
		CSC Holdings, Inc.
	1,990	Term Loan, 2.05%, Maturing March 29, 2013		1,914,144
		CW Media Holdings, Inc.
	319	Term Loan, 3.53%, Maturing February 15, 2015		281,394
		Foxco Acquisition Sub., LLC
	313	Term Loan, 7.25%, Maturing July 2, 2015		274,386
		Insight Midwest Holdings, LLC
	1,941	Term Loan, 2.26%, Maturing April 6, 2014		1,853,990
		MCC Iowa, LLC
	812	Term Loan, 2.00%, Maturing January 31, 2015		758,073
		Mediacom Illinois, LLC
	1,921	Term Loan, 1.75%, Maturing January 31, 2015		1,780,637
	1,000	Term Loan, 5.50%, Maturing March 31, 2017		1,004,063
		NTL Investment Holdings, Ltd.
GBP	294	Term Loan, 5.12%, Maturing September 3, 2012		451,097
		ProSiebenSat.1 Media AG
EUR	578	Term Loan, 3.53%, Maturing March 2, 2015		501,400
EUR	11	Term Loan, 2.73%, Maturing June 26, 2015		13,205
EUR	273	Term Loan, 2.73%, Maturing June 26, 2015		325,397
EUR	578	Term Loan, 3.78%, Maturing March 2, 2016		501,400
EUR	194	Term Loan, 8.15%, Maturing March 2, 2017⁽³⁾		61,187
EUR	271	Term Loan - Second Lien, 4.90%, Maturing September 2, 2016		115,785
		UPC Broadband Holding B.V.
	1,037	Term Loan, 2.01%, Maturing December 31, 2014		975,025
	1,563	Term Loan, 3.76%, Maturing December 31, 2016		1,509,606
EUR	726	Term Loan, 4.24%, Maturing December 31, 2016		984,959
EUR	524	Term Loan, 4.49%, Maturing December 31, 2017		711,235
		Virgin Media Investment Holdings, Ltd.
	1,204	Term Loan, 4.00%, Maturing March 30, 2012		1,197,629
GBP	150	Term Loan, 5.31%, Maturing March 30, 2012		229,371

			$	26,606,781

Chemicals and Plastics — 6.8%
		Ashland, Inc.
	290	Term Loan, 7.65%, Maturing November 20, 2014	$	296,959
		Brenntag Holding GmbH and Co. KG
	786	Term Loan, 2.25%, Maturing December 23, 2013		752,545
	192	Term Loan, 2.29%, Maturing December 23, 2013		183,744
	600	Term Loan - Second Lien, 4.25%, Maturing December 23, 2015		540,000
		Celanese Holdings, LLC
	2,224	Term Loan, 2.35%, Maturing April 2, 2014		2,112,344
		Georgia Gulf Corp.
	348	Term Loan, 9.02%, Maturing October 3, 2013		344,511


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Hexion Specialty Chemicals, Inc.
	489	Term Loan, 2.56%, Maturing May 5, 2012	$	386,113
	510	Term Loan, 2.56%, Maturing May 5, 2013		427,127
	2,353	Term Loan, 2.88%, Maturing May 5, 2013		1,971,339
		Huntsman International, LLC
	1,000	Term Loan, 2.00%, Maturing August 16, 2012		926,125
	1,000	Term Loan, 2.50%, Maturing June 30, 2016		930,938
		INEOS Group
	1,282	Term Loan, 7.50%, Maturing December 14, 2013		1,085,022
	1,282	Term Loan, 8.00%, Maturing December 14, 2014		1,085,023
		ISP Chemco, Inc.
	1,369	Term Loan, 2.01%, Maturing June 4, 2014		1,294,943
		Kranton Polymers, LLC
	1,224	Term Loan, 2.63%, Maturing May 12, 2013		1,096,592
		MacDermid, Inc.
EUR	362	Term Loan, 2.65%, Maturing April 12, 2014		403,556
		Millenium Inorganic Chemicals
	179	Term Loan, 2.53%, Maturing April 30, 2014		143,247
	500	Term Loan - Second Lien, 6.03%, Maturing October 31, 2014		372,500
		Rockwood Specialties Group, Inc.
	1,221	Term Loan, 6.00%, Maturing May 15, 2014		1,236,276

			$	15,588,904

Clothing/Textiles — 0.9%
		Hanesbrands, Inc.
	508	Term Loan, 5.25%, Maturing September 5, 2013	$	510,925
	450	Term Loan - Second Lien, 4.25%, Maturing March 5, 2014		433,125
		St. John Knits International, Inc.
	558	Term Loan, 9.25%, Maturing March 23, 2012		418,298
		The William Carter Co.
	722	Term Loan, 1.78%, Maturing July 14, 2012		709,380

			$	2,071,728

Conglomerates — 4.7%
		Amsted Industries, Inc.
	909	Term Loan, 2.48%, Maturing October 15, 2010	$	856,367
		Blount, Inc.
	249	Term Loan, 2.01%, Maturing August 9, 2010		237,679
		Doncasters (Dunde HoldCo 4 Ltd.)
	225	Term Loan, 2.75%, Maturing July 13, 2015		179,827
	225	Term Loan, 3.25%, Maturing July 13, 2015		179,827
EUR	417	Term Loan - Second Lien, 4.95%, Maturing January 13, 2016		375,624
		GenTek, Inc.
	265	Term Loan, 2.46%, Maturing February 25, 2011		261,805
		Jarden Corp.
	625	Term Loan, 2.03%, Maturing January 24, 2012		608,237
	887	Term Loan, 2.03%, Maturing January 24, 2012		864,764
		Johnson Diversey, Inc.
	833	Term Loan, 2.48%, Maturing December 16, 2011		816,406
		Manitowoc Company, Inc. (The)
	1,643	Term Loan, 7.50%, Maturing August 21, 2014		1,574,855
		Polymer Group, Inc.
	1,045	Term Loan, 7.00%, Maturing November 22, 2014		1,047,901
		RBS Global, Inc.
	729	Term Loan, 2.50%, Maturing July 19, 2013		700,200
	1,177	Term Loan, 2.93%, Maturing July 19, 2013		1,137,720
		RGIS Holdings, LLC
	104	Term Loan, 2.75%, Maturing April 30, 2014		92,738
	2,078	Term Loan, 2.88%, Maturing April 30, 2014		1,854,769

			$	10,788,719


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Containers and Glass Products — 3.8%
		Berry Plastics Corp.
	975	Term Loan, 2.30%, Maturing April 3, 2015	$	864,906
		Consolidated Container Co.
	500	Term Loan - Second Lien, 5.75%, Maturing September 28, 2014		408,125
		Crown Americas, Inc.
	340	Term Loan, 1.99%, Maturing November 15, 2012		334,973
		Graham Packaging Holdings Co.
	1,066	Term Loan, 2.55%, Maturing October 7, 2011		1,044,152
	659	Term Loan, 6.75%, Maturing April 5, 2014		660,059
		Graphic Packaging International, Inc.
	416	Term Loan, 2.53%, Maturing May 16, 2014		401,121
	493	Term Loan, 3.27%, Maturing May 16, 2014		479,880
		JSG Acquisitions
	990	Term Loan, 3.92%, Maturing December 31, 2013		959,681
	990	Term Loan, 4.17%, Maturing December 13, 2014		959,681
		Owens-Brockway Glass Container
	838	Term Loan, 1.75%, Maturing June 14, 2013		821,894
		Smurfit-Stone Container Corp.
	843	Revolving Loan, 2.84%, Maturing July 28, 2010		817,877
	280	Revolving Loan, 3.06%, Maturing July 28, 2010		271,265
	110	Term Loan, 2.57%, Maturing November 1, 2011		105,915
	193	Term Loan, 2.57%, Maturing November 1, 2011		185,858
	363	Term Loan, 2.57%, Maturing November 1, 2011		350,312
	169	Term Loan, 4.50%, Maturing November 1, 2011		163,316

			$	8,829,015

Cosmetics/Toiletries — 0.5%
		American Safety Razor Co.
	400	Term Loan - Second Lien, 6.54%, Maturing July 31, 2014	$	323,000
		KIK Custom Products, Inc.
	525	Term Loan - Second Lien, 5.25%, Maturing November 30, 2014		253,312
		Prestige Brands, Inc.
	538	Term Loan, 2.57%, Maturing April 7, 2011		530,246

			$	1,106,558

Drugs — 0.3%
		Graceway Pharmaceuticals, LLC
	396	Term Loan, 3.00%, Maturing May 3, 2012	$	317,100
	150	Term Loan, 8.50%, Maturing November 3, 2013		37,500
	500	Term Loan - Second Lien, 6.75%, Maturing May 3, 2013		186,250
		Pharmaceutical Holdings Corp.
	176	Term Loan, 3.50%, Maturing January 30, 2012		165,836

			$	706,686

Ecological Services and Equipment — 1.2%
		Blue Waste B.V. (AVR Acquisition)
EUR	500	Term Loan, 2.69%, Maturing April 1, 2015	$	690,060
		Kemble Water Structure, Ltd.
GBP	1,250	Term Loan - Second Lien, 4.49%, Maturing October 13, 2013		1,475,793
		Sensus Metering Systems, Inc.
	628	Term Loan, 7.00%, Maturing June 3, 2013		630,172

			$	2,796,025

Electronics/Electrical — 4.5%
		Aspect Software, Inc.
	706	Term Loan, 3.31%, Maturing July 11, 2011	$	645,654
	950	Term Loan - Second Lien, 7.38%, Maturing July 11, 2013		719,625
		FCI International S.A.S.
	110	Term Loan, 3.41%, Maturing November 1, 2013		97,092
	110	Term Loan, 3.41%, Maturing November 1, 2013		97,092


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
	114	Term Loan, 3.41%, Maturing November 1, 2013	$	100,852
	114	Term Loan, 3.41%, Maturing November 1, 2013		100,852
		Freescale Semiconductor, Inc.
	995	Term Loan, 2.01%, Maturing December 1, 2013		801,631
		Infor Enterprise Solutions Holdings
	492	Term Loan, 3.00%, Maturing July 28, 2012		443,199
	381	Term Loan, 4.00%, Maturing July 28, 2012		349,904
	731	Term Loan, 4.00%, Maturing July 28, 2012		670,650
	250	Term Loan, 5.75%, Maturing March 2, 2014		164,375
	92	Term Loan - Second Lien, 6.50%, Maturing March 2, 2014		57,292
	158	Term Loan - Second Lien, 6.50%, Maturing March 2, 2014		106,083
		Network Solutions, LLC
	341	Term Loan, 2.78%, Maturing March 7, 2014		303,265
		Open Solutions, Inc.
	1,170	Term Loan, 2.63%, Maturing January 23, 2014		964,936
		Sensata Technologies Finance Co.
	1,836	Term Loan, 2.25%, Maturing April 27, 2013		1,577,847
		Spectrum Brands, Inc.
	134	Term Loan, 8.00%, Maturing March 30, 2013		128,163
	1,609	Term Loan, 8.00%, Maturing March 30, 2013		1,538,303
		SS&C Technologies, Inc.
	719	Term Loan, 2.28%, Maturing November 23, 2012		690,173
		VeriFone, Inc.
	373	Term Loan, 3.00%, Maturing October 31, 2013		356,513
		Vertafore, Inc.
	481	Term Loan, 5.50%, Maturing July 31, 2014		458,490

			$	10,371,991

Equipment Leasing — 0.4%
		Hertz Corp.
	812	Term Loan, 2.00%, Maturing December 21, 2012	$	767,649
	88	Term Loan, 2.04%, Maturing December 21, 2012		83,398

			$	851,047

Farming/Agriculture — 0.4%
		Central Garden & Pet Co.
	1,004	Term Loan, 1.75%, Maturing February 28, 2014	$	960,919

			$	960,919

Financial Intermediaries — 2.4%
		Citco III, Ltd.
	1,459	Term Loan, 2.85%, Maturing June 30, 2014	$	1,251,008
		Grosvenor Capital Management
	1,186	Term Loan, 2.26%, Maturing December 5, 2013		1,073,470
		Jupiter Asset Management Group
GBP	213	Term Loan, 2.74%, Maturing June 30, 2015		296,829
		LPL Holdings, Inc.
	1,882	Term Loan, 2.01%, Maturing December 18, 2014		1,786,983
		Nuveen Investments, Inc.
	721	Term Loan, 3.39%, Maturing November 2, 2014		626,430
		Oxford Acquisition III, Ltd.
	449	Term Loan, 2.50%, Maturing May 24, 2014		330,174
		RJO Holdings Corp. (RJ O’Brien)
	237	Term Loan, 3.25%, Maturing July 31, 2014		116,175

			$	5,481,069

Food Products — 4.7%
		Acosta, Inc.
	1,597	Term Loan, 2.50%, Maturing July 28, 2013	$	1,528,238
		Advantage Sales & Marketing, Inc.
	1,597	Term Loan, 2.25%, Maturing March 29, 2013		1,527,954


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Dean Foods Co.
	814	Term Loan, 1.66%, Maturing April 2, 2014	$	766,849
		Michael Foods, Inc.
	936	Term Loan, 6.50%, Maturing April 30, 2014		949,007
		Pinnacle Foods Finance, LLC
	2,984	Term Loan, 3.01%, Maturing April 2, 2014		2,817,812
		Provimi Group SA
	120	Term Loan, 2.50%, Maturing June 28, 2015		110,870
	147	Term Loan, 2.50%, Maturing June 28, 2015		136,438
EUR	155	Term Loan, 2.69%, Maturing June 28, 2015		209,846
EUR	256	Term Loan, 2.69%, Maturing June 28, 2015		347,062
EUR	267	Term Loan, 2.69%, Maturing June 28, 2015		361,644
EUR	344	Term Loan, 2.69%, Maturing June 28, 2015		466,357
EUR	19	Term Loan - Second Lien, 4.69%, Maturing June 28, 2015		16,986
EUR	558	Term Loan - Second Lien, 2.23%, Maturing December 28, 2016⁽⁶⁾		489,891
	119	Term Loan - Second Lien, 4.50%, Maturing December 28, 2016		71,154
		Reddy Ice Group, Inc.
	1,055	Term Loan, 1.99%, Maturing August 9, 2012		920,488

			$	10,720,596

Food Service — 3.3%
		AFC Enterprises, Inc.
	161	Term Loan, 7.00%, Maturing May 11, 2011	$	161,934
		Aramark Corp.
	2,781	Term Loan, 2.16%, Maturing January 26, 2014		2,598,599
	184	Term Loan, 3.75%, Maturing January 26, 2014		171,492
GBP	486	Term Loan, 2.67%, Maturing January 27, 2014		724,647
		Buffets, Inc.
	56	Term Loan, 7.53%, Maturing November 1, 2013⁽³⁾		40,904
	276	Term Loan - Second Lien, 19.12%, Maturing November 1, 2013⁽³⁾		200,163
		CBRL Group, Inc.
	890	Term Loan, 1.97%, Maturing April 27, 2013		862,595
		Denny’s, Inc.
	65	Term Loan, 2.04%, Maturing March 31, 2012		62,160
	187	Term Loan, 2.91%, Maturing March 31, 2012		179,176
		Maine Beverage Co., LLC
	235	Term Loan, 2.35%, Maturing June 30, 2010		217,829
		NPC International, Inc.
	184	Term Loan, 2.13%, Maturing May 3, 2013		172,804
		OSI Restaurant Partners, LLC
	148	Term Loan, 2.93%, Maturing May 9, 2013		126,220
	1,691	Term Loan, 2.56%, Maturing May 9, 2014		1,444,675
		QCE Finance, LLC
	486	Term Loan, 2.56%, Maturing May 5, 2013		363,623
	500	Term Loan - Second Lien, 6.03%, Maturing November 5, 2013		223,333
		Sagittarius Restaurants, LLC
	176	Term Loan, 9.75%, Maturing March 29, 2013		156,143

			$	7,706,297

Food/Drug Retailers — 3.8%
		General Nutrition Centers, Inc.
	2,819	Term Loan, 2.67%, Maturing September 16, 2013	$	2,612,640
		Iceland Foods Group, Ltd.
GBP	553	Term Loan, 9.28%, Maturing May 2, 2016⁽³⁾		881,099
		Pantry, Inc. (The)
	119	Term Loan, 1.75%, Maturing May 15, 2014		112,461
	415	Term Loan, 1.75%, Maturing May 15, 2014		390,616
		Rite Aid Corp.
	3,065	Term Loan, 2.00%, Maturing June 1, 2014		2,689,920
	545	Term Loan, 6.00%, Maturing June 4, 2014		519,725
	500	Term Loan, 9.50%, Maturing June 4, 2014		522,083


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Roundy’s Supermarkets, Inc.
	995	Term Loan, 3.00%, Maturing November 3, 2011	$	976,646

			$	8,705,190

Forest Products — 2.7%
		Appleton Papers, Inc.
	709	Term Loan, 6.63%, Maturing June 5, 2014	$	630,732
		Georgia-Pacific Corp.
	4,302	Term Loan, 2.32%, Maturing December 20, 2012		4,151,018
	511	Term Loan, 3.59%, Maturing December 23, 2014		509,728
		Xerium Technologies, Inc.
	1,280	Term Loan, 5.78%, Maturing May 18, 2012		934,182

			$	6,225,660

Healthcare — 15.0%
		Accellent, Inc.
	897	Term Loan, 2.87%, Maturing November 22, 2012	$	845,249
		Alliance Imaging, Inc.
	1,086	Term Loan, 2.96%, Maturing December 29, 2011		1,056,259
		American Medical Systems
	442	Term Loan, 2.50%, Maturing July 20, 2012		428,329
		AMN Healthcare, Inc.
	102	Term Loan, 2.03%, Maturing November 2, 2011		96,744
		Biomet, Inc.
	1,997	Term Loan, 3.28%, Maturing December 26, 2014		1,929,834
		Bright Horizons Family Solutions, Inc.
	470	Term Loan, 6.25%, Maturing May 15, 2015		466,135
		Cardinal Health 409, Inc.
	1,299	Term Loan, 2.50%, Maturing April 10, 2014		1,147,561
		Carestream Health, Inc.
	1,258	Term Loan, 2.25%, Maturing April 30, 2013		1,182,306
	500	Term Loan - Second Lien, 5.50%, Maturing October 30, 2013		407,500
		Carl Zeiss Vision Holding GmbH
	630	Term Loan, 2.75%, Maturing March 23, 2015		402,150
		Community Health Systems, Inc.
	243	Term Loan, 2.50%, Maturing July 25, 2014		228,559
	4,757	Term Loan, 2.61%, Maturing July 25, 2014		4,480,191
		Concentra, Inc.
	363	Term Loan - Second Lien, 6.54%, Maturing June 25, 2015⁽³⁾		299,873
		ConMed Corp.
	252	Term Loan, 1.75%, Maturing April 13, 2013		234,050
		CRC Health Corp.
	241	Term Loan, 2.53%, Maturing February 6, 2013		211,730
	267	Term Loan, 2.53%, Maturing February 6, 2013		234,073
		DaVita, Inc.
	715	Term Loan, 1.81%, Maturing October 5, 2012		692,780
		DJO Finance, LLC
	442	Term Loan, 3.26%, Maturing May 15, 2014		427,203
		Fenwal, Inc.
	500	Term Loan - Second Lien, 5.62%, Maturing August 28, 2014		423,750
		Hanger Orthopedic Group, Inc.
	387	Term Loan, 2.25%, Maturing May 30, 2013		368,136
		HCA, Inc.
	3,706	Term Loan, 2.53%, Maturing November 18, 2013		3,502,857
		Health Management Association, Inc.
	2,418	Term Loan, 2.03%, Maturing February 28, 2014		2,277,041
		HealthSouth Corp.
	1,447	Term Loan, 2.55%, Maturing March 10, 2013		1,396,648


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Iasis Healthcare, LLC
	41	Term Loan, 2.25%, Maturing March 14, 2014	$	39,088
	153	Term Loan, 2.25%, Maturing March 14, 2014		144,747
	442	Term Loan, 2.25%, Maturing March 14, 2014		418,264
		Ikaria Acquisition, Inc.
	262	Term Loan, 2.64%, Maturing March 28, 2013		241,668
		IM U.S. Holdings, LLC
	350	Term Loan - Second Lien, 4.50%, Maturing June 26, 2015		341,250
		Invacare Corp.
	110	Term Loan, 2.50%, Maturing February 12, 2013		105,050
		inVentiv Health, Inc.
	461	Term Loan, 2.04%, Maturing July 6, 2014		433,748
		LifePoint Hospitals, Inc.
	1,086	Term Loan, 2.02%, Maturing April 15, 2012		1,059,500
		MultiPlan Merger Corp.
	292	Term Loan, 2.75%, Maturing April 12, 2013		276,482
	647	Term Loan, 2.75%, Maturing April 12, 2013		613,033
		Mylan, Inc.
	2,315	Term Loan, 3.55%, Maturing October 2, 2014		2,259,730
		National Mentor Holdings, Inc.
	548	Term Loan, 2.29%, Maturing June 29, 2013		493,535
	34	Term Loan, 2.44%, Maturing June 29, 2013		30,261
		National Renal Institutes, Inc.
	445	Term Loan, 5.31%, Maturing March 31, 2013⁽³⁾		352,826
		Physiotherapy Associates, Inc.
	396	Term Loan, 7.50%, Maturing June 27, 2013		285,121
		RadNet Management, Inc.
	293	Term Loan, 4.51%, Maturing November 15, 2012		280,803
	350	Term Loan, 9.32%, Maturing November 15, 2013		324,188
		ReAble Therapeutics Finance, LLC
	866	Term Loan, 2.29%, Maturing November 16, 2013		834,602
		Renal Advantage, Inc.
	1	Term Loan, 2.79%, Maturing October 5, 2012		454
		Select Medical Holdings Corp.
	1,223	Term Loan, 4.16%, Maturing August 5, 2014		1,214,044
		Sunrise Medical Holdings, Inc.
	211	Term Loan, 8.25%, Maturing May 13, 2010		127,585
		Vanguard Health Holding Co., LLC
	1,585	Term Loan, 2.50%, Maturing September 23, 2011		1,554,038
		Viant Holdings, Inc.
	289	Term Loan, 2.54%, Maturing June 25, 2014		283,038

			$	34,452,013

Home Furnishings — 1.6%
		Hunter Fan Co.
	223	Term Loan, 2.76%, Maturing April 16, 2014	$	177,631
		Interline Brands, Inc.
	157	Term Loan, 2.00%, Maturing June 23, 2013		144,008
	501	Term Loan, 2.04%, Maturing June 23, 2013		459,403
		National Bedding Co., LLC
	975	Term Loan, 2.26%, Maturing August 31, 2011		884,000
	350	Term Loan - Second Lien, 5.25%, Maturing August 31, 2012		244,125
		Oreck Corp.
	666	Term Loan, 0.00%, Maturing February 2, 2012⁽²⁾⁽⁵⁾		239,251
		Simmons Co.
	1,495	Term Loan, 10.50%, Maturing December 19, 2011		1,475,902
	545	Term Loan, 7.35%, Maturing February 15, 2012⁽³⁾		16,355

			$	3,640,675


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
Industrial Equipment — 3.3%
		Brand Energy and Infrastructure Services, Inc.
	488	Term Loan, 2.32%, Maturing February 7, 2014	$	443,625
	417	Term Loan, 3.68%, Maturing February 7, 2014		389,948
		CEVA Group PLC U.S.
	547	Term Loan, 3.25%, Maturing January 4, 2014		459,396
	66	Term Loan, 3.28%, Maturing January 4, 2014		54,057
		EPD Holdings (Goodyear Engineering Products)
	40	Term Loan, 2.50%, Maturing July 13, 2014		30,572
	278	Term Loan, 2.50%, Maturing July 13, 2014		212,913
	425	Term Loan - Second Lien, 5.99%, Maturing July 13, 2015		251,813
		Generac Acquisition Corp.
	678	Term Loan, 2.76%, Maturing November 7, 2013		588,460
	500	Term Loan - Second Lien, 6.26%, Maturing April 7, 2014		388,750
		Gleason Corp.
	84	Term Loan, 2.17%, Maturing June 30, 2013		81,385
	306	Term Loan, 2.17%, Maturing June 30, 2013		296,881
		Jason, Inc.
	265	Term Loan, 5.03%, Maturing April 30, 2010		145,752
		John Maneely Co.
	1,400	Term Loan, 3.61%, Maturing December 8, 2013		1,143,244
		LN Acquisitions Corp.
	127	Term Loan, 2.83%, Maturing July 11, 2014		115,488
	338	Term Loan, 2.98%, Maturing July 11, 2014		307,967
		Polypore, Inc.
	1,593	Term Loan, 2.52%, Maturing July 3, 2014		1,494,959
		Sequa Corp.
	397	Term Loan, 3.84%, Maturing November 30, 2014		346,036
		TFS Acquisition Corp.
	1,103	Term Loan, 14.00%, Maturing August 11, 2013		738,834

			$	7,490,080

Insurance — 3.2%
		AmWINS Group, Inc.
	500	Term Loan - Second Lien, 5.79%, Maturing June 8, 2014	$	300,000
		Applied Systems, Inc.
	1,658	Term Loan, 2.75%, Maturing September 26, 2013		1,587,160
		CCC Information Services Group, Inc.
	307	Term Loan, 2.50%, Maturing February 10, 2013		298,900
		Conseco, Inc.
	1,851	Term Loan, 6.50%, Maturing October 10, 2013		1,462,096
		Crawford & Company
	647	Term Loan, 3.04%, Maturing October 31, 2013		595,371
		Crump Group, Inc.
	444	Term Loan, 3.25%, Maturing August 4, 2014		399,987
		Getty Images, Inc.
	994	Term Loan, 6.25%, Maturing July 2, 2015		1,001,496
		Hub International Holdings, Inc.
	183	Term Loan, 2.75%, Maturing June 13, 2014		166,155
	812	Term Loan, 2.75%, Maturing June 13, 2014		739,217
		U.S.I. Holdings Corp.
	929	Term Loan, 3.04%, Maturing May 4, 2014		845,049

			$	7,395,431

Leisure Goods/Activities/Movies — 7.6%
		24 Hour Fitness Worldwide, Inc.
	869	Term Loan, 2.92%, Maturing June 8, 2012	$	799,020
		AMC Entertainment, Inc.
	1,957	Term Loan, 1.75%, Maturing January 26, 2013		1,867,855
		AMF Bowling Worldwide, Inc.
	500	Term Loan - Second Lien, 6.50%, Maturing December 8, 2013		325,000


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Bombardier Recreational Products
	980	Term Loan, 3.00%, Maturing June 28, 2013	$	704,193
		Carmike Cinemas, Inc.
	465	Term Loan, 3.54%, Maturing May 19, 2012		447,359
	360	Term Loan, 4.24%, Maturing May 19, 2012		345,954
		Cedar Fair, L.P.
	178	Term Loan, 2.25%, Maturing August 30, 2012		171,566
	644	Term Loan, 4.25%, Maturing February 17, 2014		629,777
		Cinemark, Inc.
	1,940	Term Loan, 2.08%, Maturing October 5, 2013		1,874,121
		Deluxe Entertainment Services
	598	Term Loan, 2.51%, Maturing January 28, 2011		541,315
	35	Term Loan, 2.53%, Maturing January 28, 2011		32,100
	62	Term Loan, 2.53%, Maturing January 28, 2011		55,748
		Easton-Bell Sports, Inc.
	653	Term Loan, 2.26%, Maturing March 16, 2012		617,048
		Mega Blocks, Inc.
	816	Term Loan, 9.75%, Maturing July 26, 2012		348,840
		Metro-Goldwyn-Mayer Holdings, Inc.
	2,250	Term Loan, 0.00%, Maturing April 8, 2012⁽²⁾		1,283,794
		National CineMedia, LLC
	1,900	Term Loan, 2.05%, Maturing February 13, 2015		1,802,625
		Regal Cinemas Corp.
	2,409	Term Loan, 4.03%, Maturing November 10, 2010		2,404,466
		Revolution Studios Distribution Co., LLC
	535	Term Loan, 4.00%, Maturing December 21, 2014		487,136
	450	Term Loan - Second Lien, 7.25%, Maturing June 21, 2015		258,750
		Six Flags Theme Parks, Inc.
	675	Term Loan, 2.59%, Maturing April 30, 2015		662,482
		Southwest Sports Group, LLC
	600	Term Loan, 6.75%, Maturing December 22, 2010		504,000
		Universal City Development Partners, Ltd.
	935	Term Loan, 6.00%, Maturing June 9, 2011		923,025
		Zuffa, LLC
	491	Term Loan, 2.31%, Maturing June 20, 2016		448,635

			$	17,534,809

Lodging and Casinos — 3.6%
		Ameristar Casinos, Inc.
	578	Term Loan, 3.76%, Maturing November 10, 2012	$	575,334
		Green Valley Ranch Gaming, LLC
	258	Term Loan, 2.45%, Maturing February 16, 2014		189,292
		Harrah’s Operating Co.
	1,594	Term Loan, 3.50%, Maturing January 28, 2015		1,294,545
	1,000	Term Loan, Maturing October 31, 2016⁽⁴⁾		990,536
		Herbst Gaming, Inc.
	463	Term Loan, 0.00%, Maturing December 2, 2011⁽²⁾		259,037
	514	Term Loan, 0.00%, Maturing December 2, 2011⁽²⁾		287,664
		LodgeNet Entertainment Corp.
	800	Term Loan, 2.29%, Maturing April 4, 2014		712,171
		New World Gaming Partners, Ltd.
	108	Term Loan, 3.10%, Maturing June 30, 2014		87,311
	534	Term Loan, 3.10%, Maturing June 30, 2014		432,169
		Penn National Gaming, Inc.
	388	Term Loan, 2.01%, Maturing October 3, 2012		377,424
		Venetian Casino Resort/Las Vegas Sands, Inc.
	454	Term Loan, 2.04%, Maturing May 14, 2014		380,832
	1,799	Term Loan, 2.04%, Maturing May 23, 2014		1,507,901


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		VML US Finance, LLC
	240	Term Loan, 5.79%, Maturing May 25, 2012	$	230,427
	481	Term Loan, 5.79%, Maturing May 25, 2013		460,853
		Wimar OpCo, LLC
	1,343	Term Loan, 0.00%, Maturing January 3, 2012⁽²⁾		417,897

			$	8,203,393

Nonferrous Metals/Minerals — 1.1%
		Euramax International, Inc.
	165	Term Loan, 10.00%, Maturing June 29, 2013	$	78,428
	162	Term Loan, 14.00%, Maturing June 29, 2013⁽³⁾		76,986
		Murray Energy Corp.
	684	Term Loan, 3.25%, Maturing January 28, 2010		670,597
		Noranda Aluminum Acquisition
	184	Term Loan, 2.25%, Maturing May 18, 2014		148,502
		Novelis, Inc.
	328	Term Loan, 2.25%, Maturing June 28, 2014		301,991
	722	Term Loan, 2.27%, Maturing June 28, 2014		664,400
		Oxbow Carbon and Mineral Holdings
	605	Term Loan, 2.27%, Maturing May 8, 2014		570,414
	58	Term Loan, 2.28%, Maturing May 8, 2014		54,410

			$	2,565,728

Oil and Gas — 2.6%
		Atlas Pipeline Partners, L.P.
	506	Term Loan, 6.75%, Maturing July 20, 2014	$	495,615
		Big West Oil, LLC
	174	Term Loan, 4.50%, Maturing May 1, 2014		162,920
	218	Term Loan, 4.50%, Maturing May 1, 2014		204,814
		Dresser, Inc.
	485	Term Loan, 2.68%, Maturing May 4, 2014		456,374
	700	Term Loan - Second Lien, 5.99%, Maturing May 4, 2015		609,875
		Dynegy Holdings, Inc.
	150	Term Loan, 4.00%, Maturing April 2, 2013		144,333
	1,850	Term Loan, 4.00%, Maturing April 2, 2013		1,786,109
		Enterprise GP Holdings, L.P.
	594	Term Loan, 2.66%, Maturing October 31, 2014		581,006
		Hercules Offshore, Inc.
	1,361	Term Loan, 8.50%, Maturing July 6, 2013		1,336,996
		Targa Resources, Inc.
	106	Term Loan, 2.25%, Maturing October 31, 2012		104,648
	66	Term Loan, 2.28%, Maturing October 31, 2012		64,881

			$	5,947,571

Publishing — 8.4%
		American Media Operations, Inc.
	2,953	Term Loan, 10.00%, Maturing January 31, 2013⁽³⁾	$	2,672,512
		Aster Zweite Beteiligungs GmbH
	500	Term Loan, 2.89%, Maturing September 27, 2013		405,416
EUR	236	Term Loan, 3.27%, Maturing September 27, 2013		280,219
		CanWest MediaWorks, Ltd.
	418	Term Loan, 4.75%, Maturing July 10, 2014		228,615
		Dex Media West, LLC
	326	Term Loan, 7.00%, Maturing October 24, 2014		279,947
		European Directories, S.A.
EUR	500	Term Loan, 4.44%, Maturing September 4, 2014		509,733
		GateHouse Media Operating, Inc.
	325	Term Loan, 2.25%, Maturing August 28, 2014		104,000
	725	Term Loan, 2.25%, Maturing August 28, 2014		232,000
	350	Term Loan, 2.50%, Maturing August 28, 2014		112,000


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Idearc, Inc.
	3,783	Term Loan, 0.00%, Maturing November 17, 2014⁽²⁾	$	1,621,630
		Laureate Education, Inc.
	246	Term Loan, 3.75%, Maturing August 17, 2014		223,644
	1,642	Term Loan, 3.75%, Maturing August 17, 2014		1,490,553
	500	Term Loan, Maturing August 31, 2014⁽⁴⁾		500,000
		Local Insight Regatta Holdings, Inc.
	817	Term Loan, 6.25%, Maturing April 23, 2015		639,686
		MediaNews Group, Inc.
	379	Term Loan, 6.75%, Maturing August 2, 2013		114,508
		Merrill Communications, LLC
	645	Term Loan, 8.50%, Maturing December 24, 2012		520,756
		Nebraska Book Co., Inc.
	442	Term Loan, 9.25%, Maturing March 4, 2011		441,923
		Nelson Education, Ltd.
	245	Term Loan, 2.78%, Maturing July 5, 2014		208,250
		Nielsen Finance, LLC
	2,322	Term Loan, 2.25%, Maturing August 9, 2013		2,176,568
	997	Term Loan, 4.00%, Maturing May 1, 2016		945,125
		PagesJaunes Group, SA
EUR	500	Term Loan, 5.03%, Maturing April 10, 2016		461,687
		Philadelphia Newspapers, LLC
	378	Term Loan, 0.00%, Maturing June 29, 2013⁽²⁾		79,304
		Reader’s Digest Association, Inc. (The)
	567	DIP Loan, 9.67%, Maturing August 21, 2010⁽⁶⁾		588,102
	507	Revolving Loan, 4.55%, Maturing March 3, 2014		233,721
	2,041	Term Loan, 4.25%, Maturing March 3, 2014		941,230
	182	Term Loan, 7.00%, Maturing March 3, 2014		84,034
		SGS International, Inc.
	342	Term Loan, 2.80%, Maturing December 30, 2011		327,295
		Source Media, Inc.
	546	Term Loan, 5.29%, Maturing November 8, 2011		412,307
		Tribune Co.
	790	Term Loan, 0.00%, Maturing April 10, 2010⁽²⁾		389,964
	497	Term Loan, 0.00%, Maturing May 17, 2014⁽²⁾		240,659
	1,083	Term Loan, 0.00%, Maturing May 17, 2014⁽²⁾		544,305
		Xsys, Inc.
	605	Term Loan, 2.89%, Maturing September 27, 2013		490,654
EUR	264	Term Loan, 3.27%, Maturing September 27, 2013		313,047
	618	Term Loan, 2.89%, Maturing September 27, 2014		501,165

			$	19,314,559

Radio and Television — 6.1%
		Block Communications, Inc.
	433	Term Loan, 2.28%, Maturing December 22, 2011	$	396,309
		CMP KC, LLC
	478	Term Loan, 6.25%, Maturing May 5, 2013⁽⁵⁾		137,213
		CMP Susquehanna Corp.
	899	Term Loan, 2.25%, Maturing May 5, 2013		619,544
		Discovery Communications, Inc.
	995	Term Loan, 5.25%, Maturing May 14, 2014		1,014,403
		Emmis Operating Co.
	415	Term Loan, 4.28%, Maturing November 2, 2013		290,251
		Gray Television, Inc.
	595	Term Loan, 3.76%, Maturing January 19, 2015		490,650
		HIT Entertainment, Inc.
	586	Term Loan, 2.73%, Maturing March 20, 2012		506,567


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Intelsat Corp.
	1,427	Term Loan, 2.75%, Maturing January 3, 2014	$	1,360,603
	1,427	Term Loan, 2.75%, Maturing January 3, 2014		1,360,603
	1,427	Term Loan, 2.75%, Maturing January 3, 2014		1,361,018
		Ion Media Networks, Inc.
	179	DIP Loan, 10.17%, Maturing May 29, 2010⁽⁶⁾		260,016
	1,350	Term Loan, 0.00%, Maturing January 15, 2012⁽²⁾		301,500
		NEP II, Inc.
	317	Term Loan, 2.53%, Maturing February 16, 2014		293,105
		Nexstar Broadcasting, Inc.
	941	Term Loan, 2.03%, Maturing October 1, 2012		821,062
	890	Term Loan, 2.24%, Maturing October 1, 2012		776,371
		NextMedia Operating, Inc.
	36	Term Loan, 8.25%, Maturing November 15, 2012		30,344
	81	Term Loan, 8.25%, Maturing November 15, 2012		68,275
		Raycom TV Broadcasting, LLC
	775	Term Loan, 1.75%, Maturing June 25, 2014		643,250
		SFX Entertainment
	544	Term Loan, 3.51%, Maturing June 21, 2013		511,622
		Sirius Satellite Radio, Inc.
	245	Term Loan, 2.56%, Maturing December 19, 2012		226,727
		Spanish Broadcasting System, Inc.
	962	Term Loan, 2.04%, Maturing June 10, 2012		697,607
		Univision Communications, Inc.
	1,700	Term Loan, 2.53%, Maturing September 29, 2014		1,443,938
		Young Broadcasting, Inc.
	860	Term Loan, 0.00%, Maturing November 3, 2012⁽²⁾		460,132

			$	14,071,110

Rail Industries — 0.4%
		Kansas City Southern Railway Co.
	989	Term Loan, 2.14%, Maturing April 26, 2013	$	929,878

			$	929,878

Retailers (Except Food and Drug) — 4.2%
		American Achievement Corp.
	103	Term Loan, 6.26%, Maturing March 25, 2011	$	89,882
		Amscan Holdings, Inc.
	293	Term Loan, 2.65%, Maturing May 25, 2013		261,422
		Cumberland Farms, Inc.
	823	Term Loan, 2.26%, Maturing September 29, 2013		753,298
		Harbor Freight Tools USA, Inc.
	867	Term Loan, 9.75%, Maturing July 15, 2010		873,591
		Josten’s Corp.
	880	Term Loan, 2.32%, Maturing October 4, 2011		875,977
		Mapco Express, Inc.
	173	Term Loan, 5.75%, Maturing April 28, 2011		159,144
		Neiman Marcus Group, Inc.
	1,000	Term Loan, Maturing April 5, 2013⁽⁴⁾		867,969
		Orbitz Worldwide, Inc.
	1,602	Term Loan, 3.28%, Maturing July 25, 2014		1,420,861
		Oriental Trading Co., Inc.
	845	Term Loan, 9.75%, Maturing July 31, 2013		697,452
	700	Term Loan - Second Lien, 6.25%, Maturing January 31, 2013		183,750
		Rent-A-Center, Inc.
	440	Term Loan, 2.00%, Maturing November 15, 2012		431,099
		Rover Acquisition Corp.
	1,118	Term Loan, 2.57%, Maturing October 26, 2013		1,084,824
		Savers, Inc.
	178	Term Loan, 3.01%, Maturing August 11, 2012		171,496
	194	Term Loan, 3.01%, Maturing August 11, 2012		187,637


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		Yankee Candle Company, Inc. (The)
	1,734	Term Loan, 2.25%, Maturing February 6, 2014	$	1,637,902

			$	9,696,304

Steel — 0.6%
		Algoma Acquisition Corp.
	1,167	Term Loan, 8.00%, Maturing June 20, 2013	$	1,116,232
		Niagara Corp.
	538	Term Loan, 9.25%, Maturing June 29, 2014		249,996

			$	1,366,228

Surface Transport — 0.7%
		Gainey Corp.
	400	Term Loan, 0.00%, Maturing April 20, 2012⁽²⁾	$	69,998
		Oshkosh Truck Corp.
	750	Term Loan, 6.42%, Maturing December 6, 2013		750,947
		Swift Transportation Co., Inc.
	1,000	Term Loan, 3.56%, Maturing May 10, 2014		914,275

			$	1,735,220

Telecommunications — 3.8%
		Alaska Communications Systems Holdings, Inc.
	528	Term Loan, 2.03%, Maturing February 1, 2012	$	508,123
		Asurion Corp.
	775	Term Loan, 3.25%, Maturing July 13, 2012		742,062
	500	Term Loan - Second Lien, 6.75%, Maturing January 13, 2013		478,125
		Centennial Cellular Operating Co., LLC
	1,658	Term Loan, 2.25%, Maturing February 9, 2011		1,646,193
		CommScope, Inc.
	1,011	Term Loan, 2.78%, Maturing November 19, 2014		991,764
		Crown Castle Operating Co.
	497	Term Loan, 1.78%, Maturing January 9, 2014		472,646
		Intelsat Subsidiary Holding Co.
	511	Term Loan, 2.75%, Maturing July 3, 2013		490,459
		Macquarie UK Broadcast Ventures, Ltd.
GBP	414	Term Loan, 2.51%, Maturing December 26, 2014		568,143
		NTelos, Inc.
	1,000	Term Loan, 5.75%, Maturing August 13, 2015		1,007,083
		Palm, Inc.
	417	Term Loan, 3.79%, Maturing April 24, 2014		376,412
		Stratos Global Corp.
	535	Term Loan, 2.78%, Maturing February 13, 2012		518,707
		Trilogy International Partners
	475	Term Loan, 3.78%, Maturing June 29, 2012		394,250
		Windstream Corp.
	638	Term Loan, 1.97%, Maturing July 17, 2013		623,017

			$	8,816,984

Utilities — 4.3%
		AEI Finance Holding, LLC
	145	Term Loan, 3.25%, Maturing March 30, 2012	$	131,794
	999	Term Loan, 3.28%, Maturing March 30, 2014		907,445
		Astoria Generating Co.
	625	Term Loan - Second Lien, 4.04%, Maturing August 23, 2013		569,922
		Calpine Corp.
	2,990	DIP Loan, 3.17%, Maturing March 29, 2014		2,733,106
		Covanta Energy Corp.
	604	Term Loan, 1.75%, Maturing February 9, 2014		577,909
	305	Term Loan, 1.79%, Maturing February 9, 2014		291,804


Principal
Amount*
(000’s omitted)		Borrower/Tranche Description	Value
		NRG Energy, Inc.
	1,542	Term Loan, 2.02%, Maturing June 1, 2014	$	1,467,602
	831	Term Loan, 2.03%, Maturing June 1, 2014		790,546
		Pike Electric, Inc.
	90	Term Loan, 1.75%, Maturing July 1, 2012		85,953
	153	Term Loan, 1.75%, Maturing December 10, 2012		146,781
		TXU Texas Competitive Electric Holdings Co., LLC
	436	Term Loan, 3.75%, Maturing October 10, 2014		346,313
	1,804	Term Loan, 3.75%, Maturing October 10, 2014		1,425,426
		Vulcan Energy Corp.
	519	Term Loan, Maturing December 31, 2015⁽⁴⁾		523,128

			$	9,997,729


Total Senior Floating-Rate Interests (identified cost $361,462,664)			$	325,484,976

Corporate Bonds & Notes — 8.8%


Principal
Amount*
(000’s omitted)		Security	Value
Aerospace and Defense — 0.0%
		Alion Science and Technologies Corp.
	75	10.25%, 2/1/15	$	56,625
		Hawker Beechcraft Acquisition
	65	9.75%, 4/1/17		39,975

			$	96,600

Air Transport — 0.0%
		Continental Airlines
	75	7.033%, 6/15/11	$	65,574

			$	65,574

Automotive — 0.1%
		Allison Transmission, Inc.
	25	11.00%, 11/1/15⁽⁷⁾	$	24,625
		Altra Industrial Motion, Inc.
	180	9.00%, 12/1/11		184,500
		Commercial Vehicle Group, Inc., Sr. Notes
	55	8.00%, 7/1/13		33,000
		United Components, Inc., Sr. Sub. Notes
	65	9.375%, 6/15/13		52,488

			$	294,613

Broadcast Radio and Television — 0.1%
		LBI Media, Inc., Sr. Disc. Notes
	80	11.00%, 10/15/13	$	48,000
		Rainbow National Services, LLC, Sr. Sub. Notes
	80	10.375%, 9/1/14⁽⁷⁾		84,600
		XM Satellite Radio Holdings, Inc., Sr. Notes
	110	13.00%, 8/1/14⁽⁷⁾		108,350

			$	240,950

Building and Development — 0.6%
		Grohe Holding GmbH, Variable Rate
EUR	1,000	4.31%, 1/15/14	$	1,243,847
		Interface, Inc., Sr. Sub. Notes
	20	9.50%, 2/1/14		19,925
		Panolam Industries International, Sr. Sub. Notes
	220	10.75%, 10/1/13⁽²⁾		11,000


Principal
Amount*
(000’s omitted)		Security	Value
		Texas Industries, Inc., Sr. Notes
	65	7.25%, 7/15/13⁽⁷⁾	$	62,725

			$	1,337,497

Business Equipment and Services — 0.8%
		Affinion Group, Inc.
	55	10.125%, 10/15/13	$	56,787
	110	11.50%, 10/15/15		113,575
		Education Management, LLC, Sr. Notes
	210	8.75%, 6/1/14		223,650
		Education Management, LLC, Sr. Sub. Notes
	310	10.25%, 6/1/16		345,650
		MediMedia USA, Inc., Sr. Sub. Notes
	90	11.375%, 11/15/14⁽⁷⁾		65,250
		Muzak, LLC/Muzak Finance, Sr. Notes
	20	10.00%, 12/31/09⁽²⁾		8,400
		Rental Service Corp.
	145	9.50%, 12/1/14		140,650
		SunGard Data Systems, Inc., Sr. Notes
	400	10.625%, 5/15/15⁽⁷⁾		426,000
		Ticketmaster Entertainment, Inc.
	105	10.75%, 8/1/16⁽⁷⁾		108,150
		West Corp.
	180	9.50%, 10/15/14		177,300

			$	1,665,412

Cable and Satellite Television — 0.2%
		CCO Holdings, LLC/CCO Capital Corp., Sr. Notes
	85	8.75%, 11/15/13⁽²⁾	$	86,700
		Charter Communications, Inc., Sr. Notes
	10	8.375%, 4/30/14⁽²⁾⁽⁷⁾		10,250
	100	10.875%, 9/15/14⁽²⁾⁽⁷⁾		108,750
		Kabel Deutschland GmbH
	135	10.625%, 7/1/14		142,763

			$	348,463

Chemicals and Plastics — 0.2%
		INEOS Group Holdings PLC, Sr. Sub. Notes
	180	8.50%, 2/15/16⁽⁷⁾	$	86,400
		Nova Chemicals Corp., Sr. Notes, Variable Rate
	105	4.538%, 11/15/13		93,187
		Reichhold Industries, Inc., Sr. Notes
	240	9.00%, 8/15/14⁽⁷⁾		200,400
		Wellman Holdings, Inc., Sr. Sub. Notes
	180	5.00%, 1/29/19⁽³⁾⁽⁵⁾		66,144

			$	446,131

Clothing/Textiles — 0.3%
		Levi Strauss & Co., Sr. Notes
	210	9.75%, 1/15/15	$	219,450
	40	8.875%, 4/1/16		40,700
		Perry Ellis International, Inc., Sr. Sub. Notes
	255	8.875%, 9/15/13		247,350
		Phillips Van Heusen, Sr. Notes
	65	8.125%, 5/1/13		66,462

			$	573,962


Principal
Amount*
(000’s omitted)		Security	Value
Conglomerates — 0.1%
		RBS Global & Rexnord Corp.
	87	9.50%, 8/1/14⁽⁷⁾	$	84,825
	90	11.75%, 8/1/16		81,900

			$	166,725

Containers and Glass Products — 0.4%
		Berry Plastics Corp., Sr. Notes, Variable Rate
	500	5.881%, 2/15/15	$	462,500
		Intertape Polymer US, Inc., Sr. Sub. Notes
	175	8.50%, 8/1/14		136,500
		Pliant Corp.
	230	11.625%, 6/15/09^(3)(12)		199,192
		Smurfit-Stone Container Corp., Sr. Notes
	20	8.375%, 7/1/12⁽²⁾		14,375
	155	8.00%, 3/15/17⁽²⁾		110,825

			$	923,392

Ecological Services and Equipment — 0.1%
		Waste Services, Inc., Sr. Sub. Notes
	245	9.50%, 4/15/14	$	245,000

			$	245,000

Electronics/Electrical — 0.3%
		Advanced Micro Devices, Inc., Sr. Notes
	110	7.75%, 11/1/12	$	99,275
		Amkor Technologies, Inc., Sr. Notes
	95	9.25%, 6/1/16		98,325
		Avago Technologies Finance
	115	11.875%, 12/1/15		125,925
		Ceridian Corp., Sr. Notes
	140	11.25%, 11/15/15		126,175
		NXP BV/NXP Funding, LLC, Variable Rate
	425	3.881%, 10/15/13		308,656

			$	758,356

Equipment Leasing — 0.0%
		Hertz Corp.
	50	8.875%, 1/1/14	$	50,750
	45	10.50%, 1/1/16		47,025

			$	97,775

Financial Intermediaries — 0.1%
		Ford Motor Credit Co., Sr. Notes
	160	8.00%, 12/15/16	$	148,639

			$	148,639

Food Products — 0.1%
		ASG Consolidated, LLC/ASG Finance, Inc., Sr. Disc. Notes
	290	11.50%, 11/1/11	$	282,750

			$	282,750

Food Service — 0.1%
		El Pollo Loco, Inc.
	145	11.75%, 11/15/13	$	134,125
		NPC International, Inc., Sr. Sub. Notes
	175	9.50%, 5/1/14		175,875

			$	310,000

Food/Drug Retailers — 0.2%
		General Nutrition Center, Sr. Notes, Variable Rate
	365	6.404%, 3/15/14⁽³⁾		324,850


Principal
Amount*
(000’s omitted)		Security	Value
		General Nutrition Center, Sr. Sub. Notes
	210	10.75%, 3/15/15	$	211,837

			$	536,687

Forest Products — 0.1%
		Jefferson Smurfit Corp., Sr. Notes
	50	8.25%, 10/1/12⁽²⁾	$	35,875
	40	7.50%, 6/1/13⁽²⁾		28,550
		NewPage Corp.
	90	10.00%, 5/1/12		59,850
	35	12.00%, 5/1/13		16,538
		Verso Paper Holdings, LLC/Verso Paper, Inc.
	120	11.375%, 8/1/16		75,900

			$	216,713

Healthcare — 0.7%
		Accellent, Inc.
	150	10.50%, 12/1/13	$	144,000
		AMR HoldCo, Inc./EmCare HoldCo, Inc., Sr. Sub. Notes
	170	10.00%, 2/15/15		180,625
		Biomet, Inc.
	335	11.625%, 10/15/17		366,825
		DJO Finance, LLC/DJO Finance Corp.
	95	10.875%, 11/15/14		97,613
		HCA, Inc.
	65	9.25%, 11/15/16		67,356
		MultiPlan, Inc., Sr. Sub. Notes
	260	10.375%, 4/15/16⁽⁷⁾		252,200
		National Mentor Holdings, Inc.
	155	11.25%, 7/1/14		148,412
		Res-Care, Inc., Sr. Notes
	105	7.75%, 10/15/13		102,900
		US Oncology, Inc.
	290	10.75%, 8/15/14		304,500

			$	1,664,431

Home Furnishings — 0.0%
		Interline Brands, Inc., Sr. Sub. Notes
	60	8.125%, 6/15/14	$	59,100

			$	59,100

Industrial Equipment — 0.1%
		Chart Industries, Inc., Sr. Sub. Notes
	105	9.125%, 10/15/15	$	105,525
		ESCO Corp., Sr. Notes
	80	8.625%, 12/15/13⁽⁷⁾		78,800
		ESCO Corp., Sr. Notes, Variable Rate
	80	4.504%, 12/15/13⁽⁷⁾		72,400

			$	256,725

Insurance — 0.1%
		Alliant Holdings I, Inc.
	55	11.00%, 5/1/15⁽⁷⁾	$	53,900
		HUB International Holdings, Inc.
	70	9.00%, 12/15/14⁽⁷⁾		67,900
		U.S.I. Holdings Corp., Sr. Notes, Variable Rate
	50	4.758%, 11/15/14⁽⁷⁾		41,813

			$	163,613

Leisure Goods/Activities/Movies — 0.4%
		AMC Entertainment, Inc.
	350	11.00%, 2/1/16	$	374,500


Principal
Amount*
(000’s omitted)		Security	Value
		Bombardier, Inc.
	70	8.00%, 11/15/14⁽⁷⁾	$	72,100
		HRP Myrtle Beach Operations, LLC/HRP Myrtle Beach Capital Corp., Variable Rate
	195	0.00%, 4/1/12⁽²⁾⁽⁷⁾		0
		Marquee Holdings, Inc., Sr. Disc. Notes
	335	9.505%, 8/15/14		278,887
		Royal Caribbean Cruises, Sr. Notes
	50	7.00%, 6/15/13		47,875
	20	6.875%, 12/1/13		18,750
	10	7.25%, 6/15/16		9,300
	20	7.25%, 3/15/18		17,500
		Universal City Development Partners, Sr. Notes
	145	11.75%, 4/1/10		146,450

			$	965,362

Lodging and Casinos — 0.7%
		Buffalo Thunder Development Authority
	265	9.375%, 12/15/14⁽²⁾⁽⁷⁾	$	48,362
		CCM Merger, Inc.
	180	8.00%, 8/1/13⁽⁷⁾		148,500
		Chukchansi EDA, Sr. Notes, Variable Rate
	150	4.913%, 11/15/12⁽⁷⁾		116,250
		Eldorado Casino Shreveport
	44	10.00%, 8/1/12⁽³⁾		37,467
		Fontainebleau Las Vegas Casino, LLC
	255	10.25%, 6/15/15⁽²⁾⁽⁷⁾		8,288
		Greektown Holdings, LLC, Sr. Notes
	60	10.75%, 12/1/13⁽²⁾⁽⁷⁾		14,850
		Host Hotels and Resorts, LP, Sr. Notes
	130	6.75%, 6/1/16		124,150
		Indianapolis Downs, LLC & Capital Corp., Sr. Notes
	60	11.00%, 11/1/12⁽⁷⁾		35,700
		Inn of the Mountain Gods, Sr. Notes
	270	12.00%, 11/15/10⁽²⁾		126,225
		Majestic HoldCo, LLC
	75	12.50%, 10/15/11⁽²⁾⁽⁷⁾		8
		MGM Mirage, Inc.
	10	7.50%, 6/1/16		7,800
		Mohegan Tribal Gaming Authority, Sr. Sub. Notes
	85	8.00%, 4/1/12		72,462
	120	7.125%, 8/15/14		85,800
	115	6.875%, 2/15/15		78,487
		Park Place Entertainment
	190	7.875%, 3/15/10		190,950
		Pinnacle Entertainment, Inc., Sr. Sub. Notes
	35	7.50%, 6/15/15		31,150
		Pokagon Gaming Authority, Sr. Notes
	56	10.375%, 6/15/14⁽⁷⁾		58,520
		San Pasqual Casino
	55	8.00%, 9/15/13⁽⁷⁾		53,350
		Seminole Hard Rock Entertainment, Variable Rate
	95	3.129%, 3/15/14⁽⁷⁾		76,950
		Tunica-Biloxi Gaming Authority, Sr. Notes
	165	9.00%, 11/15/15⁽⁷⁾		149,325
		Waterford Gaming, LLC, Sr. Notes
	146	8.625%, 9/15/14⁽⁷⁾		126,255

			$	1,590,849


Principal
Amount*
(000’s omitted)		Security	Value
Nonferrous Metals/Minerals — 0.2%
		FMG Finance PTY, Ltd.
	355	10.625%, 9/1/16⁽⁷⁾	$	394,938

			$	394,938

Oil and Gas — 0.7%
		Allis-Chalmers Energy, Inc., Sr. Notes
	180	9.00%, 1/15/14	$	147,600
		Clayton Williams Energy, Inc.
	95	7.75%, 8/1/13		82,175
		Compton Pet Finance Corp.
	195	7.625%, 12/1/13		148,200
		Denbury Resources, Inc., Sr. Sub. Notes
	30	7.50%, 12/15/15		29,925
		El Paso Corp., Sr. Notes
	130	9.625%, 5/15/12		135,643
		Forbes Energy Services, Sr. Notes
	165	11.00%, 2/15/15		132,825
		OPTI Canada, Inc., Sr. Notes
	50	7.875%, 12/15/14		38,500
	95	8.25%, 12/15/14		74,100
		Petrohawk Energy Corp., Sr. Notes
	165	9.125%, 7/15/13		170,362
		Petroleum Development Corp., Sr. Notes
	65	12.00%, 2/15/18		64,350
		Petroplus Finance, Ltd.
	140	7.00%, 5/1/17⁽⁷⁾		128,100
		Quicksilver Resources, Inc.
	155	7.125%, 4/1/16		135,238
		Sandridge Energy, Inc., Sr. Notes
	120	8.00%, 6/1/18⁽⁷⁾		116,100
		SemGroup, L.P., Sr. Notes
	290	8.75%, 11/15/15⁽²⁾⁽⁷⁾		20,300
		SESI, LLC, Sr. Notes
	30	6.875%, 6/1/14		28,800
		Stewart & Stevenson, LLC, Sr. Notes
	185	10.00%, 7/15/14		171,125

			$	1,623,343

Publishing — 0.4%
		Dex Media West/Finance, Series B
	97	9.875%, 8/15/13⁽²⁾	$	17,703
		Harland Clarke Holdings
	20	9.50%, 5/15/15		18,000
		Laureate Education, Inc.
	45	10.00%, 8/15/15⁽⁷⁾		42,525
	544	10.25%, 8/15/15⁽³⁾⁽⁷⁾		477,474
		Local Insight Regatta Holdings, Inc.
	50	11.00%, 12/1/17		25,250
		Nielsen Finance, LLC
	265	10.00%, 8/1/14		267,650
	40	12.50%, (0.00% until 2011), 8/1/16		31,700
		Reader’s Digest Association, Inc. (The), Sr. Sub. Notes
	245	9.00%, 2/15/17⁽²⁾		4,900

			$	885,202

Rail Industries — 0.2%
		American Railcar Industry, Sr. Notes
	100	7.50%, 3/1/14	$	93,500


Principal
Amount*
(000’s omitted)		Security	Value
		Kansas City Southern Mexico, Sr. Notes
	155	7.625%, 12/1/13	$	151,125
	100	7.375%, 6/1/14		93,750
	105	8.00%, 6/1/15		107,625

			$	446,000

Retailers (Except Food and Drug) — 0.6%
		Amscan Holdings, Inc., Sr. Sub. Notes
	220	8.75%, 5/1/14	$	210,100
		Neiman Marcus Group, Inc.
	354	9.00%, 10/15/15		297,504
	490	10.375%, 10/15/15		421,400
		Sally Holdings, LLC, Sr. Notes
	245	10.50%, 11/15/16		256,637
		Yankee Acquisition Corp., Series B
	215	8.50%, 2/15/15		203,175

			$	1,388,816

Steel — 0.0%
		RathGibson, Inc., Sr. Notes
	240	11.25%, 2/15/14⁽²⁾	$	90,000

			$	90,000

Surface Transport — 0.1%
		CEVA Group, PLC, Sr. Notes
	110	10.00%, 9/1/14⁽⁷⁾	$	98,450

			$	98,450

Telecommunications — 0.6%
		Digicel Group, Ltd., Sr. Notes
	255	9.25%, 9/1/12⁽⁷⁾	$	260,100
	367	9.125%, 1/15/15⁽⁷⁾		344,980
		Intelsat Bermuda, Ltd.
	385	11.25%, 6/15/16		413,875
		Qwest Corp., Sr. Notes, Variable Rate
	475	3.879%, 6/15/13		446,500

			$	1,465,455

Utilities — 0.2%
		AES Corp., Sr. Notes
	8	8.75%, 5/15/13⁽⁷⁾	$	8,190
		Edison Mission Energy, Sr. Notes
	15	7.50%, 6/15/13		14,137
		NGC Corp.
	205	7.625%, 10/15/26		141,450
		NRG Energy, Inc.
	85	7.25%, 2/1/14		83,725
	190	7.375%, 1/15/17		184,300
		Reliant Energy, Inc., Sr. Notes
	10	7.625%, 6/15/14		9,863

			$	441,665


Total Corporate Bonds & Notes (identified cost $23,247,199)			$	20,289,188

Asset-Backed Securities — 0.6%


Principal
Amount
(000’s omitted)		Security	Value
$	372	Alzette European CLO SA, Series 2004-1A, Class E2, 7.129%, 12/15/20⁽⁸⁾	$	66,914
	348	Avalon Capital Ltd. 3, Series 1A, Class D, 2.357%, 2/24/19⁽⁷⁾⁽⁸⁾		52,207
	418	Babson Ltd., Series 2005-1A, Class C1, 3.081%, 4/15/19⁽⁷⁾⁽⁸⁾		171,561
	500	Bryant Park CDO Ltd., Series 2005-1A, Class C, 3.181%, 1/15/19⁽⁷⁾⁽⁸⁾		25,000
	500	Carlyle High Yield Partners, Series 2004-6A, Class C, 3.406%, 8/11/16⁽⁷⁾⁽⁸⁾		150,000
	436	Centurion CDO 8 Ltd., Series 2005-8A, Class D, 6.129%, 3/8/17⁽⁸⁾		156,800
	500	Centurion CDO 9 Ltd., Series 2005-9A, Class D1, 5.863%, 7/17/19⁽⁸⁾		160,000
	1,000	Madison Park Funding Ltd., Series 2006-2A, Class D, 5.972%, 3/25/20⁽⁷⁾⁽⁸⁾		280,000
	1,000	Schiller Park CLO Ltd., Series 2007-1A, Class D, 2.842%, 4/25/21⁽⁷⁾⁽⁸⁾		360,000


Total Asset-Backed Securities (identified cost $5,042,342)			$	1,422,482

Common Stocks — 0.1%


Shares		Security	Value
Automotive — 0.0%
	10,443	Hayes Lemmerz International⁽⁹⁾	$	543

			$	543

Building and Development — 0.1%
	25,823	Sanitec Europe Oy B Units⁽⁵⁾⁽⁹⁾	$	35,143
	25,823	Sanitec Europe Oy E Units⁽⁵⁾⁽⁹⁾		0
	277	United Subcontractors, Inc.⁽⁵⁾⁽⁹⁾		35,427

			$	70,570

Chemicals and Plastics — 0.0%
	175	Wellman Holdings, Inc.⁽⁵⁾⁽⁹⁾	$	63,420

			$	63,420

Food Service — 0.0%
	12,234	Buffets, Inc.⁽⁹⁾	$	58,111

			$	58,111

Lodging and Casinos — 0.0%
	289	Shreveport Gaming Holdings, Inc.⁽⁵⁾	$	3,919

			$	3,919

Nonferrous Metals/Minerals — 0.0%
	468	Euramax International, Inc.⁽⁵⁾⁽⁹⁾	$	0

			$	0


Total Common Stocks (identified cost $241,683)			$	196,563

Preferred Stocks — 0.1%


Shares		Security	Value
Automotive — 0.0%
	35	Hayes Lemmerz International, Series A, Convertible ^(9)(10)	$	12

			$	12

Chemicals and Plastics — 0.0%
	15	Key Plastics, LLC, Series A ^(5)(9)(10)	$	0

			$	0


Shares		Security	Value
Telecommunications — 0.1%
	1,783	Crown Castle International Corp., Convertible ⁽³⁾	$	96,728

			$	96,728


Total Preferred Stocks (identified cost $99,233)			$	96,740

Closed-End Investment Companies — 2.2%


Shares		Security	Value
	17,436	BlackRock Floating Rate Income Strategies Fund, Inc.	$	224,401
	9,908	BlackRock Floating Rate Income Strategies Fund II, Inc.		122,859
	8,345	BlackRock Global Floating Rate Income Trust		104,062
	1,174	First Trust/Four Corners Senior Floating Rate Income Fund		13,454
	200,596	First Trust/Four Corners Senior Floating Rate Income Fund II		2,222,604
	296,293	ING Prime Rate Trust		1,469,613
	5,140	LMP Corporate Loan Fund, Inc.		49,961
	23,301	Nuveen Floating Rate Income Fund		220,427
	3,401	Nuveen Floating Rate Income Opportunity Fund		32,310
	11,375	Nuveen Senior Income Fund		65,634
	55	PIMCO Floating Rate Income Fund		661
	647	PIMCO Floating Rate Strategy Fund		6,412
	117	Pioneer Floating Rate Trust		1,280
	136,255	Van Kampen Senior Income Trust		538,207


Total Closed-End Investment Companies (identified cost $7,439,831)			$	5,071,885

Miscellaneous — 0.0%


Shares		Security	Value
Cable and Satellite Television — 0.0%
	261,268	Adelphia Recovery Trust⁽⁹⁾	$	6,532
	270,000	Adelphia, Inc., Escrow Certificate⁽⁹⁾		7,425

			$	13,957

Oil and Gas — 0.0%
	55,000	VeraSun Energy Corp., Escrow Certificate⁽⁵⁾⁽⁹⁾	$	0

			$	0


Total Miscellaneous (identified cost $252,930)			$	13,957

Short-Term Investments — 6.4%


Interest/Principal
Amount
(000’s Omitted)		Description	Value
$	7,848	Cash Management Portfolio, 0.00%⁽¹¹⁾	$	7,848,369
	6,937	State Street Bank and Trust Euro Time Deposit, 0.01%, 10/1/09		6,936,647


Total Short-Term Investments (identified cost $14,785,016)			$	14,785,016


Total Investments — 159.7% (identified cost $412,570,898)			$	367,360,807


Less Unfunded Loan Commitments — (0.3)%			$	(677,008	)


Net Investments — 159.4% (identified cost $411,893,890)			$	366,683,799


Other Assets, Less Liabilities — (11.6)%			$	(26,615,492	)


Auction Preferred Shares Plus Cumulative Unpaid Dividends — (47.8)%			$	(110,008,708	)


Net Assets Applicable to Common Shares — 100.0%			$	230,059,599

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


DIP	-	Debtor in Possession

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)		Currently the issuer is in default with respect to interest payments.

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

(4)		This Senior Loan will settle after September 30, 2009, at which time the interest rate will be determined.

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

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

(7)		Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2009, the aggregate value of these securities is $5,775,721 or 2.5% of the Trust’s net assets.

(8)		Variable rate security. The stated interest rate represents the rate in effect at September 30, 2009.

(9)		Non-income producing security.

(10)		Restricted security.

(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 September 30, 2009. Net income allocated from the investment in Cash Management Portfolio for the fiscal year to date ended September 30, 2009 was $0.

(12)		Defaulted matured security.

A summary of financial instruments outstanding at September 30, 2009 is as follows:

Forward Foreign Currency Exchange Contracts

Sales


Settlement			Net Unrealized
Date	Deliver	In Exchange For	Depreciation
10/30/09	British Pound Sterling 3,527,483	United States Dollar 5,586,474	$	(50,276	)
10/30/09	Euro 8,326,986	United States Dollar 12,147,824		(37,312	)

			$	(87,588	)

At September 30, 2009, the Trust had sufficient cash and/or securities to cover commitments under these contracts.

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

At September 30, 2009, 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 foreign exchange risk was $87,588.

The cost and unrealized appreciation (depreciation) of investments of the Trust at September 30, 2009, as determined on a federal income tax basis, were as follows:


Aggregate cost	$	412,069,510

Gross unrealized appreciation	$	4,993,583
Gross unrealized depreciation		(50,379,294	)

Net unrealized depreciation	$	(45,385,711	)

Restricted Securities

At September 30, 2009, the Trust owned the following securities (representing less than 0.01% of net assets applicable to common shares) which were restricted as to public resale and not registered under the Securities Act of 1933 (excluding Rule 144A securities). The Trust 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
Preferred Stock
Hayes Lemmerz International, Series A, Convertible		6/4/03		35	$	1,750	$	12
Key Plastics, LLC, Series A		4/26/01		15		15,000		0

Total Restricted Securities					$	16,750	$	12

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)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At September 30, 2009, the inputs used in valuing the Trust’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)	$	—	$	324,296,685		$	511,283	$	324,807,968
Corporate Bonds & Notes		—		20,223,044			66,144		20,289,188
Asset-Backed Securities		—		1,422,482			—		1,422,482
Common Stocks		—		58,654			137,909		196,563
Preferred Stocks		—		96,740			0		96,740
Closed-End Investment Companies		5,071,885		—			—		5,071,885
Miscellaneous		—		13,957			0		13,957
Short-Term Investments		7,848,369		6,936,647			—		14,785,016


Total Investments	$	12,920,254	$	353,048,209		$	715,336	$	366,683,799



Liability Description


Forward Foreign Currency Exchange Contracts	$	—	$	(87,588	)	$	—	$	(87,588	)


Total	$	—	$	(87,588	)	$	—	$	(87,588	)

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		Miscellaneous		Total


Balance as of June 30, 2009	$	517,836		$	51,100	$	47,677	$	0	$	—	$	616,613
Realized gains (losses)		(438,039	)		—		—		—		—		(438,039	)
Change in net unrealized appreciation (depreciation)		445,981			9,376		21,472		0		0		476,829
Net purchases (sales)		(20,425	)		4,739		68,760		—		0		53,074
Accrued discount (premium)		5,930			929		—		—		—		6,859
Net transfers to (from) Level 3		—			—		—		—		—		—


Balance as of September 30, 2009	$	511,283		$	66,144	$	137,909	$	0	$	0	$	715,336



Change in net unrealized appreciation (depreciation) on investments still held as of September 30, 2009	$	28,086		$	9,376	$	21,472	$	0	$	0	$	58,934

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

Item 2. Controls and Procedures

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

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

Signatures

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

Eaton Vance Senior Income Trust


By:		/s/ Scott H. Page

		Scott H. Page
		President

Date:		November 23, 2009

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


By:		/s/ Scott H. Page

		Scott H. Page
		President

Date:		November 23, 2009

By:		/s/ Barbara E. Campbell

		Barbara E. Campbell
		Treasurer

Date:		November 23, 2009

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