IMPORTANT NOTICES REGARDING PRIVACY,
DELIVERY OF SHAREHOLDER DOCUMENTS,
PORTFOLIO HOLDINGS AND PROXY VOTING

Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy ("Privacy Policy") with respect to nonpublic personal information about its customers:

• Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions.

• None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer's account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker/dealers.

• Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information.

• We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com.

Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Boston Management and Research, and Eaton Vance Distributors, Inc.

In addition, our Privacy Policy only applies to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer's account (i.e. fund shares) is held in the name of a third-party financial adviser/ broker–dealer, it is likely that only such adviser's privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures.

For more information about Eaton Vance's Privacy Policy, please call 1-800-262-1122.

Delivery of Shareholder Documents. The Securities and Exchange Commission (the "SEC") permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called "householding" and it helps eliminate duplicate mailings to shareholders.

Eaton Vance, or your financial adviser, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial adviser, otherwise.

If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial adviser.

Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial adviser.

Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio (if applicable) will file a schedule of its portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC's website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC's public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).

Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds' and Portfolios' Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12 month period ended June 30, without charge, upon request, by calling 1-800-262-1122. This description is also available on the SEC's website at www.sec.gov.

Eaton Vance Limited Duration Income Fund as of April 30, 2006

MANAGEMENT‘S DISCUSSION OF FUND PERFORMANCE

The Fund

Performance

· Based on share price, Eaton Vance Limited Duration Income Fund (the “Fund”) — a closed-end fund traded on the American Stock Exchange (“AMEX”) — had a total return of 5.32% for the year ended April 30, 2006.(1) That return was the result of a decrease in share price to $17.09 on April 30, 2006, from $17.69 on April 30, 2005, and the reinvestment of $1.513 in monthly dividends.

· Based on net asset value (NAV), the Fund had a total return of 7.72% for the year ended April 30, 2006.(1) That return was the result of a decrease in NAV per share to $18.21 on April 30, 2006, from $18.43 on April 30, 2005, and the reinvestment of $1.513 in dividends.

· Based on its April 30, 2006, monthly dividend of $0.1261 and a closing share price of $17.09 on that date, the Fund had a market yield of 8.85%.(2)

Recent Fund Developments

· The Fund’s managers continued to diversify the Fund’s bond and senior loan investments across a wide range of industry sectors. The Fund had exposure to companies that typically respond to economic growth, as well as non-cyclical companies whose earnings are less dependent on economic expansion.

· The portion of the Fund that invests in floating-rate loans generally benefited from an environment of rising short-term interest rates; however, credit spreads continued to narrow and new issuance surged. Management kept the loan Portfolio well diversified across a wide range of industry sectors and holdings. Building and development (including manufacturers of building products and companies that manage and/or own apartments, shopping malls and commercial office buildings, among others), health care, leisure goods/activities/movies and chemicals/plastics and publishing were the largest industry weightings.

· During the year, the high-yield portion of the Fund saw an increased focus on shorter-duration bonds, which performed relatively well amid a flattening yield curve. The performance of the Fund’s highyield holdings was also bolstered by exposure to the air transportation and building materials sectors. Investments in wireless telecommunication service providers also fared well, as many of these companies enjoyed continuing strong cash flow, subscriber growth and, in some cases, the benefits of refinancing older, higher-coupon debt. In the relatively strong market, no particular high-yield bond sector dramatically hurt performance. However, railroads, metals and homebuilders — areas in which the Fund held small positions — were among the market’s laggards.

· Within the mortgage-backed securities (MBS) portion of the Fund, management continued to emphasize seasoned MBS with shorter average maturities and more predictable prepayment rates than unseasoned MBS. Seasoned MBS prepayment rates declined over the 12-month period. Accordingly, yield spreads on the Fund’s seasoned MBS tightened by approximately 70 basis points (0.70%) during the same annual period. This tightening resulted in outperformance versus U.S. Treasuries.

· At April 30, 2006, the Fund had leverage in the amount of approximately 35.2% of the Fund’s total assets. The Fund is leveraged through the issuance of Auction Preferred Shares and its securities lending program. Use of financial leverage creates an opportunity for increased income, but, at the same time, creates special risks (including the likelihood of greater volatility of net asset value and market price of common shares).

The views expressed throughout this report are those of the portfolio managers and are current only through the end of the period of the report as stated on the cover. These views are subject to change at any time based upon market or other conditions, and the investment adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investmen decisions for a fund are based on many factors, may not be relied on as an indication of trading intent on behalf of any Eaton Vance fund.

(1) Performance results reflect the effect of leverage resulting from the Fund’s issuance of Auction Preferred Shares and its securities lending program. In the event of a rise in long-term interest rates, the value of the Fund’s investment portfolio could decline, which would reduce the asset coverage for its Auction Preferred Shares.

(2) The Fund’s market yield is calculated by dividing the most recent dividend per share by the share market price at the end of the period and annualizing the result.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value or share price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance is for the stated time period only; due to market volatility, the Fund’s current performance may be lower or higher than the quoted return. For performance as of the most recent month end, please refer to www.eatonvance.com.

Shares of the Fund are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested. Yield will vary.

Eaton Vance Limited Duration Income Fund as of April 30, 2006

FUND PERFORMANCE

Performance(1)
Average Annual Total Return (by share price, AMEX)
One Year	5.32	%
Life of Fund (5/30/03)	4.63

Average Annual Total Return (at net asset value)
One Year	7.72	%
Life of Fund (5/30/03)	6.93

(1) Performance results reflect the effect of leverage resulting from the Fund’s issuance of Auction Preferred Shares and its securities lending program. In the event of a rise in long-term interest rates, the value of the Fund’s investment portfolio could decline, which would reduce the asset coverage for its Auction Preferred Shares and securities lending.

Fund Allocations(2)

By Total Investments

(2) Fund allocations are shown as a percentage of the Fund’s total investments as of 4/30/06. Fund allocations may not be representative of the Fund’s current or future investments and are subject to change due to active management.

⁽¹⁾ Senior floating-rate interests often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, it is anticipated that the senior floating-rate interests will have an expected average life of approximately two to three years. The stated interest rate represents the weighted average interest rate of all contracts within the senior loan facility. Senior Loans typically have rates of interest which are redetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate ("LIBOR"), and secondarily the prime rate offered by one or more major United States banks (the "Prime Rate") and the certificate of deposit ("CD") rate or other base lending rates used by commercial lenders.

⁽⁵⁾ Defaulted security. Currently the issuer is in default with respect to interest payments.

⁽⁶⁾ 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 April 30, 2006, the aggregate value of the securities is $275,695,891 or 13.5% of the Fund's net assets.

⁽⁷⁾ Security valued at fair value using methods determined in good faith by or at the direction of the Trustees.

⁽²⁾ For the period from the start of business, May 30, 2003, to April 30, 2004.

⁽³⁾ Net asset value at beginning of period reflects the deduction of the sales load of $0.900 per share paid by the shareholder from the $20.000 offering price.

⁽⁴⁾ For Federal Income tax purposes, net investment income per share was $1.807, $1.699 and $1.531, respectively, and net realized and unrealized loss per share was $0.247, $0.580 and $0.044, respectively. Computed using average common shares outstanding.

⁽⁵⁾ Returns are historical and are calculated by determining the percentage change in net asset value or market value with all distributions reinvested. Total return is not computed on an annualized basis.

⁽⁶⁾ Total investment return on net asset value is calculated assuming a purchase at the offering price of $20.000 less the sales load of $0.900 per share paid by the shareholder on the first day and a sale at the net asset value on the last day of the period reported. Total investment return on market value is calculated assuming a purchase at the offering price of $20.000 less the sales load of $0.900 per share paid by the shareholder on the first day and a sale at the current market price on the last day of the period reported. Total investment return on net asset value and total investment return on market value are not computed on an annualized basis.

⁽⁷⁾ Ratios do not reflect the effect of dividend payments to preferred shareholders. Ratios to average net assets applicable to common shares reflect the Fund's leveraged capital structure.

⁽⁹⁾ Calculated by subtracting the Fund's total liabilities (not including the preferred shares) from the Fund's total assets, and dividing this by the number of preferred shares outstanding.

Eaton Vance Limited Duration Income Fund (the Fund) is registered under the Investment Company Act of 1940, as amended, as a closed-end management investment company. The Fund was organized as a Massachusetts business trust on March 12, 2003. The Fund's investment objective is to provide a high level of current income. The Fund may, as a secondary objective, also seek capital appreciation to the extent consistent with its primary goal of high current income. The Fund pursues its objectives by investing primarily in mortgage-backed securities (MBS) issued, backed or otherwise guaranteed by the U.S. government or its agencies or instrumentalities; senior, secured floating rate loans made to corporate and other business entities (Senior Loans); and corporate bonds of below investment grade quality (Non-Investment Grade Bonds). The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America.

A Investment Valuation — Debt securities (including collateralized mortgage obligations and certain MBS) normally are valued by independent pricing services. The pricing services consider various factors relating to bonds or loans and/or market transactions to determine market value. Most seasoned MBS are valued by the investment adviser's matrix pricing system. The matrix pricing system also considers various factors relating to bonds and market transactions to determine market value.

Certain Senior Loans are deemed to be liquid because reliable market quotations are readily available for them. Liquid Senior Loans are valued on the basis of prices furnished by a pricing service. Other Senior Loans are valued at fair value by the Fund's investment adviser, Eaton Vance Management (EVM), under procedures approved by the Trustees. In connection with determining the fair value of a Senior Loan, the investment adviser makes an assessment of the likelihood that the borrower will make a full repayment of the Senior Loan. The primary factors considered by the investment adviser when making this assessment are (i) the creditworthiness of the borrower, (ii) the value of the collateral backing the Senior Loan, and (iii) the priority of the Senior Loan versus other creditors of the borrower. If, based on its assessment, the investment adviser believes there is a reasonable likelihood that the borrower will make a full repayment of the Senior Loan, the investment adviser will determine the fair value of the Senior Loan using a matrix pricing approach that considers the yield on the Senior Loan relative to yields on other loan interests issued by companies of comparable credit quality. If, based on its assessment, the investment adviser believes there is not a reasonable likelihood that the borrower will make a full repayment of the Senior Loan, the investment adviser will determine the fair value of the Senior Loan using analyses that include, but are not limited to (i) a comparison of the value of the borrower's outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower's assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising such factors, data and information and the relative weight to be given thereto as it deems relevant, including without limitation, some or all of the following: (i) the fundamental characteristics of and fundamental analytical data relating to the Senior Loan, including the cost, size, current interest rate, maturity and base lending rate of the Senior Loan, the terms and conditions of the Senior Loan and any related agreements, and the position of the Senior Loan in the borrower's debt structure; (ii) the nature, adequacy and value of the collateral securing the Senior Loan, including the Fund's rights, remedies and interests with respect to the collateral; (iii) the creditworthiness of the borrower, based on an evaluation of, among other things, its financial condition, financial statements and information about the borrower's business, cash flows, capital structure and future prospects; (iv) information relating to the market for the Senior Loan, including price quotations for and trading in the Senior Loan-and interests in similar Senior Loans and the market environment, and investor attitudes towards the Senior Loan and interests in similar Senior Loans; (v) the experience, reputation, stability and financial condition of the agent and any intermediate participants in the Senior Loan; and (vi) general economic and market conditions affecting the fair value of the Senior Loan.

Other portfolio securities (other than short-term obligations, but including listed issues) may be valued on the basis of prices furnished by one or more pricing services which determine prices for normal, institutional-size trading units of such securities which may use market information, transactions for comparable securities and various relationships between securities which are

generally recognized by institutional traders. The value of interest rate swaps will be based on dealer quotations. Short-term obligations which mature in 60 days or less are valued at amortized cost, if short-term debt securities were acquired with a remaining maturity of more than 60 days, their amortized cost value will be based on their value or the sixty-first day prior to maturity. OTC options are valued at the mean between the bid and asked price provided by dealers. Financial futures contracts and options thereon listed on commodity exchanges are valued at closing settlement prices. Repurchase agreements are valued at cost plus accrued interest. Other portfolio securities for which there are no quotations or valuations are valued at fair value as determined in good faith by or on behalf of the Trustees.

B Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Fees associated with loan amendments are recognized immediately. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities.

C Federal Taxes — The Fund's policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders, each year, substantially all of its net investment income and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary. At April 30, 2006, the Fund, for federal income tax purposes, had a capital loss carryover of $96,210,018 which will reduce the Fund's taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Internal Revenue Code, and thus will reduce the amount of the distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. Such capital loss carryover will expire on April 30, 2012 ($26,481,368), April 30, 2013 ($40,885,552) and April 30, 2014 ($28,843,098).

At April 30, 2006, net capital losses of $9,204,069 attributable to security transactions incurred after October 31, 2005, are treated as arising on the first day of the Fund's taxable year ending April 30, 2007.

D Investment Transactions — Securities purchased or sold on a when-issued or delayed delivery basis may be settled a month or more after the transaction date. The securities so purchased are subject to market fluctuations during this period. To the extent that when-issued or delayed delivery purchases are outstanding, the Fund instructs the custodian to segregate assets in a separate account, with a current value at least equal to the amount of its purchase commitments.

E Unfunded Loan Commitments — The Fund may enter into certain credit agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower's discretion. These commitments are disclosed in the accompanying Portfolio of Investments.

F Offering Costs — Costs incurred by the Fund in connection with the offering of the common shares were recorded as a reduction of capital paid in excess of par applicable to common shares.

G Expense Reduction — Investors Bank & Trust Company (IBT) serves as custodian of the Fund. Pursuant to the custodian agreement, IBT receives a fee reduced by credits which are determined based on the average daily cash balance the Fund maintains with IBT. All credit balances used to reduce the Fund's custodian fees are reported as a reduction of expenses in the Statements of Operations.

H Written Options — Upon the writing of a call or a put option, an amount equal to the premium received by the Fund is included in the Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written in accordance with the Fund's policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities underlying the written option.

I Purchased Options — Upon the purchase of a call or put option, the premium paid by the Fund is included in the Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with

the Fund's policies on investment valuations discussed above. If an option which the Fund has purchased expires on the stipulated expiration date, the Fund will realize a loss in the amount of the cost of the option. If the Fund enters into a closing sale transaction, the Fund will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If a Fund exercises a put option, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid.

J Financial Futures Contracts — Upon entering into a financial futures contract, the Fund is required to deposit an amount (initial margin) either in cash or securities equal to a certain percentage of the purchase price indicated in the financial futures contract. Subsequent payments are made or received by the Fund (margin maintenance) each day, dependent on the daily fluctuations in the value of the underlying securities, and are recorded for book purposes as unrealized gains or losses by the Fund.

If the Fund enters into a closing transaction, the Fund will realize, for book purposes, a gain or loss equal to the difference between the value of the financial futures contract to sell and the financial futures contract to buy. The Fund's investment in financial futures contracts is designed only to hedge against anticipated future changes in interest rates. Should interest rates move unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss.

K Reverse Repurchase Agreements — The Fund may enter into reverse repurchase agreements. Under such an agreement, the Fund temporarily transfers possession, but not ownership, of a security to a counterparty, in return for cash. At the same time, the Fund agrees to repurchase the security at an agreed-upon price and time in the future. The Fund may enter into reverse repurchase agreements for temporary purposes, such as to fund withdrawals, or for use as hedging instruments where the underlying security is denominated in a foreign currency. As a form of leverage, reverse repurchase agreements may increase the risk of fluctuation in the market value of the Fund's assets or in its yield. Liabilities to counterparties under reverse repurchase agreements are recognized in the Statement of Assets and Liabilities at the same time at which cash is received by the Fund. The securities underlying such agreements continue to be treated as owned by the Fund and remain in the Portfolio of Investments. Interest charged on amounts borrowed by the Fund under reverse repurchase agreements is accrued daily.

L Total Return Swaps — The Fund may enter into swap agreements to enhance return, to hedge against fluctuations in securities prices or interest rates or as substitution for the purchase or sale of securities. In a total return swap, the Fund makes payments at a rate equal to a predetermined spread to the one or three-month LIBOR. In exchange, the Fund receives payments based on the rate of return of a benchmark industry index or basket of securities. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark industry index or basket of securities. The Fund is exposed to credit loss in the event of nonperformance by the swap counterparty. However, the Fund does not anticipate nonperformance by the counterparty. Risk may also arise from the unanticipated movements in value of interest rates, securities, or the index.

M Credit Default Swaps — The Fund may enter into credit default swap contracts for risk management purposes, including diversification. When the Fund is the buyer of a credit default swap contract, the Fund is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation from the counterparty to the contract in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the debt obligation. In return, the Fund would pay the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund would have spent the stream of payments and received no benefit from the contract. When the Fund is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay upon default of the referenced debt obligation. As the seller, the Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the swap. The Fund will segregate assets in the form of cash and cash equivalents in an amount equal to the aggregate market value of the credit default swaps of which it is the seller, marked to market on a daily basis. These transactions involve certain

risks, including the risk that the seller may be unable to fulfill the transaction.

N Use of Estimates — The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.

O Indemnifications — Under the Fund's organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund and shareholders are indemnified against personal liability for the obligations of the Fund. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.

P Other — Investment transactions are accounted for on the date the securities are purchased or sold. Realized gains and losses on securities sold are determined on the basis of identified cost.

Q Expenses — The majority of expenses of the Trust are directly identifiable to an individual fund. Expenses which are not readily identifiable to a specific fund are allocated taking into consideration, among other things, the nature and type of expense and the relative size of the funds.

The Fund issued 7,600 shares of Auction Preferred Shares Series A, 7,600 shares of Auction Preferred Shares Series B, 7,600 shares of Auction Preferred Shares Series C, 7,600 shares of Auction Preferred Shares Series D, and 7,600 shares of Auction Preferred Shares Series E on July 25, 2003 in a public offering. The underwriting discount and other offering costs were recorded as a reduction of the capital of the common shares. As of April 30, 2006, 6,400 shares of Series A, 6,400 shares of Series B, 6,400 shares of Series C, 6,400 shares of Series D and 6,400 shares of Series E were outstanding. Dividends on the APS, which accrue daily, are cumulative at a rate which was established at the offering of the APS and have been reset every 7 days thereafter by an auction. Dividend rates ranged from 2.75% to 4.55% for Series A Shares, from 2.70% to 4.72% for Series B Shares, from 2.80% to 4.72% for Series C Shares, from 2.75% to 4.75% for Series D Shares and from 2.70% to 4.74% for Series E Shares, during the year ended April 30, 2006.

The APS are redeemable at the option of the Fund, at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends on any dividend payment date. The APS are also subject to mandatory redemption at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, if the Fund is in default for an extended period on its asset maintenance requirements with respect to the APS. If the dividends on the APS shall remain unpaid in an amount equal to two full years' dividends, the holders of the APS as a class have the right to elect a majority of the Board of Trustees. In general, the holders of the APS and the common shares have equal voting rights of one vote per share, except that the holders of the APS, as a separate class, have the right to elect at least two members of the Board of Trustees. The APS have a liquidation preference of $25,000 per share, plus accumulated and unpaid dividends. The Fund is required to maintain certain asset coverage with respect to the APS as defined in the Fund's By-Laws and the Investment Company Act of 1940. The Fund pays an annual fee equivalent to 0.25% of the preferred shares' liquidation value for the remarketing efforts associated with the preferred auctions.

The Fund intends to make monthly distributions of net investment income, after payment of any dividends on any outstanding APS. Distributions are recorded on the ex-dividend date. Distributions to preferred shareholders are recorded daily and are payable at the end of each dividend period. Each dividend payment period for the APS is generally seven days. The applicable dividend rate for the APS on April 30, 2006 was 4.50%, 4.60%, 4.50%, 4.60% and 4.50%, for Series A, Series B, Series C, Series D and Series E Shares, respectively. For the year ended April 30, 2006, the Fund paid dividends to Auction Preferred shareholders amounting to $5,973,111, $6,007,158, $5,953,991, $5,966,078, and $5,892,485 for Series A, Series B, Series C, Series D and Series E Shares, respectively, representing an average APS dividend rate for such period of 3.67%, 3.70%, 3.68%, 3.68% and 3.62%, respectively.

The Fund distinguishes between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid in capital. These differences relate primarily to the different treatment for paydown gain/losses on mortgage-backed securities and the method for amortizing premiums.

The tax character of the distributions declared for the years ended April 30, 2006 and April 30, 2005 was as follows:

During the year ended April 30, 2006, accumulated undistributed net investment loss was decreased by $33,014,094 and accumulated net realized loss was increased by $33,014,094. This change had no effect on net assets or net asset value per share.

As of April 30, 2006, the components of distributable earnings (accumulated loss) on a tax basis were as follows:

The investment adviser fee, computed at an annual rate of 0.75% of the Fund's weekly gross assets, was earned by Eaton Vance Management (EVM), as compensation for management and investment advisory services rendered to the Fund. For the year ended April 30, 2006, the fee was equivalent to 0.75% of the Fund's average weekly gross assets for such period and amounted to $23,280,153.

In addition, EVM has contractually agreed to reimburse the Fund for fees and other expenses in the amount of 0.20% of average weekly gross assets of the Fund for the first five years of the Fund's operations, 0.15% of average weekly gross assets of the Fund in year 6, 0.10% in year 7 and 0.05% in year 8. For the year ended April 30, 2006, the Investment Adviser waived $6,208,041 of its advisory fee.

EVM serves as the administrator of the Fund, but currently receives no compensation for providing administrative services to the Fund.

Certain officers and Trustees of the Fund are officers of the above organization.

Purchases and sales of investments, other than short-term obligations and including paydowns, aggregated $1,640,369,868 and $1,625,384,182, respectively, for the year ended April 30, 2006.

The Fund has established a securities lending agreement in which the Fund lends portfolio securities to a broker in exchange for collateral consisting of either cash or U.S. government securities in an amount at least equal to the market value of the securities on loan. Under the agreement, the Fund continues to earn interest on the securities loaned. Collateral received is generally cash, and the Fund invests the cash and receives any interest on the amount invested but it must also pay the broker a loan rebate fee computed as a varying percentage of the collateral received. The loan rebate fee paid by the Fund offsets a portion of the interest income received and amounted to $10,384,902 for the year ended April 30, 2006. At April 30, 2006, the value of the securities loaned and the value of the collateral amounted to $297,354,497 and $304,552,404, respectively. In the event of counterparty default, the Fund is subject to potential loss if it is delayed or prevented from exercising its right to dispose of the collateral. The Fund bears risk in the event that invested collateral is not sufficient to meet obligations due on the loans. The Fund has the right under the lending agreement to recover the securities from the borrower on demand.

The Agreement and Declaration of Trust permits the Trustees to issue an unlimited number of full and fractional $0.01 par value common shares of beneficial interest. Transactions in common shares were as follows:

The cost and unrealized appreciation (depreciation) in value of the investments owned at April 30, 2006, as computed on a federal income tax basis, were as follows:

The Fund regularly trades in financial instruments with off-balance sheet risk in the normal course of its investing activities to assist in managing exposure to various market risks. These financial instruments include written options, financial futures contracts, interest rate swaps and credit default swaps and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Fund has in particular classes of financial instruments and does not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at April 30, 2006 is as follows:

At April 30, 2006, the Fund had sufficient cash and/or securities segregated to cover potential obligations arising from open swap contracts.

The Fund held its Annual Meeting of Shareholders on February 24, 2006. The following action was taken by the shareholders of the Fund:

Item 1: The election of Ronald A. Pearlman and Norton H. Reamer as Class III Trustees of the Fund for a three-year term expiring in 2009:

We have audited the accompanying statement of assets and liabilities of Eaton Vance Limited Duration Income Fund (the "Fund"), including the portfolio of investments, as of April 30, 2006, and the related statement of operations, and statement of cash flows for the year then ended and the statements of changes in net assets and the financial highlights for each of the two years in the period then ended and the period from May 30, 2003 to April 30, 2004. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities and Senior Loans, held as of April 30, 2006, by correspondence with the custodian, brokers and selling or agent banks; where replies were not received from brokers and selling or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Eaton Vance Limited Duration Income Fund at April 30, 2006, and the results of its operations and cash flows, the changes in its net assets and the financial highlights for the respective stated periods, in conformity with accounting principles generally accepted in the United States of America.

The Form 1099-DIV you receive in January 2007 will show the tax status of all distributions paid to your account in calendar 2007. Shareholders are advised to consult their own tax adviser with respect to the tax consequences of their investment in the Fund.

The Fund offers a dividend reinvestment plan (the Plan) pursuant to which shareholders may elect to have dividends and capital gains distributions reinvested in common shares (the Shares) of the Fund. You may elect to participate in the Plan by completing the Dividend Reinvestment Plan Application Form. If you do not participate, you will receive all distributions in cash paid by check mailed directly to you by PFPC Inc. as dividend paying agent. On the distribution payment date, if the net asset value per Share is equal to or less than the market price per Share plus estimated brokerage commissions then new Shares will be issued. The number of Shares shall be determined by the greater of the net asset value per Share or 95% of the market price. Otherwise, Shares generally will be purchased on the open market by the Plan Agent. Distributions subject to income tax (if any) are taxable whether or not shares are reinvested.

If your shares are in the name of a brokerage firm, bank, or other nominee, you can ask the firm or nominee to participate in the Plan on your behalf. If the nominee does not offer the Plan, you will need to request that your shares be re-registered in your name with the Fund's transfer agent, PFPC, Inc. or you will not be able to participate.

The Plan Agent's service fee for handling distributions will be paid by the Fund. Each participant will be charged their pro rata share of brokerage commissions on all open-market purchases.

Plan participants may withdraw from the Plan at any time by writing to the Plan Agent at the address noted on the following page. If you withdraw, you will receive shares in your name for all Shares credited to your account under the Plan. If a participant elects by written notice to the Plan Agent to have the Plan Agent sell part or all of his or her Shares and remit the proceeds, the Plan Agent is authorized to deduct a $5.00 fee plus brokerage commissions from the proceeds.

If you wish to participate in the Plan and your shares are held in your own name, you may complete the form on the following page and deliver it to the Plan Agent.

Any inquires regarding the Plan can be directed to the Plan Agent, PFPC, Inc., at 1-800-331-1710.

This form is for shareholders who hold their common shares in their own names. If your common shares are held in the name of a brokerage firm, bank, or other nominee, you should contact your nominee to see if it will participate in the Plan on your behalf. If you wish to participate in the Plan, but your brokerage firm, bank, or nominee is unable to participate on your behalf, you should request that your common shares be re-registered in your own name which will enable your participation in the Plan.

The following authorization and appointment is given with the understanding that I may terminate it at any time by terminating my participation in the Plan as provided in the terms and conditions of the Plan.

Please sign exactly as your common shares are registered. All persons whose names appear on the share certificate must sign.

YOU SHOULD NOT RETURN THIS FORM IF YOU WISH TO RECEIVE YOUR DIVIDENDS AND DISTRIBUTIONS IN CASH. THIS IS NOT A PROXY.

This authorization form, when signed, should be mailed to the following address:

Eaton Vance Limited Duration Income Fund
c/o PFPC, Inc.
P.O. Box 43027
Providence, RI 02940-3027
800-331-1710

The Fund is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a diversified, closed-end management investment company and has no employees.

As of April 30, 2006, our records indicate that there are 152 registered shareholders and approximately 102,510 shareholders owning the Fund shares in street name, such as through brokers, banks, and financial intermediaries.

If you are a street name shareholder and wish to receive our reports directly, which contain important information about the Fund, please write or call:

Eaton Vance Distributors, Inc.
The Eaton Vance Building
255 State Street
Boston, MA 02109
1-800-225-6265

The Investment Company Act of 1940, as amended (the "1940 Act"), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuance is approved at least annually by the fund's board of trustees, including by a vote of a majority of the trustees who are not "interested persons" of the fund ("Independent Trustees") cast in person at a meeting called for the purpose of considering such approval.

At a meeting of the Boards of Trustees (each a "Board") of the Eaton Vance group of mutual funds (the "Eaton Vance Funds") held on March 27, 2006, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing advisory and sub-advisory agreements for the Eaton Vance Funds for an additional one-year period. In voting its approval, the Board relied upon the affirmative recommendation of the Special Committee of the Board, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Special Committee reviewed information furnished for a series of meetings of the Special Committee held in February and March 2006. Such information included, among other things, the following:

• An independent report comparing the advisory and related fees paid by each fund with fees paid by comparable funds;

• An independent report comparing each fund's total expense ratio and its components to comparable funds;

• An independent report comparing the investment performance of each fund to the investment performance of comparable funds over various time periods;

• Data regarding investment performance in comparison to relevant peer groups of funds and appropriate indices;

• Comparative information concerning fees charged by each adviser for managing other mutual funds and institutional accounts using investment strategies and techniques similar to those used in managing the fund;

• Profitability analyses for each adviser with respect to each fund managed by it;

• Descriptions of the investment management services provided to each fund, including the investment strategies and processes employed;

• Information concerning the allocation of brokerage and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through "soft dollar" benefits received in connection with the funds' brokerage, and the implementation of a soft dollar reimbursement program established with respect to the funds;

• The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes;

• Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts;

• Copies of the Codes of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes;

• Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates on behalf of the funds (including descriptions of various compliance programs) and their record of compliance with investment policies and restrictions, including policies with respect to market-timing, late trading and selective portfolio disclosure, and with policies on personal securities transactions;

• Descriptions of the business continuity and disaster recovery plans of each adviser and its affiliates;

• Information concerning the nature, cost and character of the administrative and other non-investment management services provided by Eaton Vance Management and its affiliates;

• Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds' administrator; and

In addition to the information identified above, the Special Committee considered information provided from time to time by each adviser throughout the year at meetings of the Board and its committees. Over the course of the twelve month period ended March 31,

2006, the Board met nine times and the Special Committee, the Audit Committee and the Governance Committee, each of which is a Committee comprised solely of Independent Trustees, met eight, twelve and five times, respectively. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of each adviser relating to the investment performance of each fund and the investment strategies used in pursuing the fund's investment objective.

For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of advisory agreements. In addition, in cases where the fund's investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.

The Special Committee was assisted throughout the contract review process by Goodwin Procter LLP, legal counsel for the Independent Trustees. The members of the Special Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Special Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each advisory and sub-advisory agreement.

Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Special Committee concluded that the continuance of the investment advisory agreement between the Eaton Vance Limited Duration Income Fund (the "Fund"), and Eaton Vance Management (the "Adviser"), including its fee structure, is in the interests of shareholders and, therefore, the Special Committee recommended to the Board approval of the agreement. The Board accepted the recommendation of the Special Committee as well as the factors considered and conclusions reached by the Special Committee with respect to the agreement. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the advisory agreement for the Fund.

In considering whether to approve the investment advisory agreement of the Fund, the Board evaluated the nature, extent and quality of services provided to the Fund by the Adviser.

The Board considered the Adviser's management capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. In particular, the Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing factors such as credit risk and special considerations relevant to investing in senior secured floating-rate loans, mortgage-backed securities and high-yield bonds. Specifically, the Board considered the Adviser's in-house research capabilities as well as other resources available to personnel of the Adviser, including research services. The Board also took into account the resources dedicated to portfolio management and other services, including the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management.

The Board also reviewed the compliance programs of the Adviser and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also evaluated the responses of the Adviser and its affiliates to requests from regulatory authorities such as the Securities and Exchange Commission and the National Association of Securities Dealers.

The Board considered shareholder and other administrative services provided or managed by Eaton Vance Management and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large family of funds.

After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by the Adviser, taken as a whole, are appropriate and consistent with the terms of the investment advisory agreement.

The Board compared the Fund's investment performance to a relevant universe of similarly managed funds identified by an independent data provider and appropriate benchmark indices. The Board reviewed comparative performance data for the one-year period ending September 30, 2005 for the Fund. The Board concluded that the performance of the Fund is satisfactory.

The Board reviewed contractual investment advisory fee rates payable by the Fund (referred to as "management fees"). As part of its review, the Board considered the Fund's management fees and total expense ratio for the one-year period ended September 30, 2005, as compared to a group of similarly managed funds selected by an independent data provider. The Board considered the fact that the Adviser had waived fees and/or paid expenses for the Fund.

After reviewing the foregoing information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the management fees charged for advisory and related services and the Fund's total expense ratio are reasonable.

The Board reviewed the level of profits realized by the Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Fund and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to revenue sharing or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect benefits received by the Adviser in connection with its relationship with the Fund, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Fund and other investment advisory clients.

The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by the Adviser and its affiliates are reasonable.

In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific fund or group of funds. The Board also considered the fact that the Fund is not continuously offered and concluded that, in light of the level of the adviser's profits with respect to the Fund, the implementation of breakpoints in the advisory fee schedule is not appropriate. Based upon the foregoing, the Board concluded that the benefits from economies of scale are currently being shared equitably by the Adviser and its affiliates and the Fund.

Fund Management. The Trustees of Eaton Vance Limited Duration Income Fund (the Fund) are responsible for the overall management and supervision of the Fund's affairs. The Trustees and officers of the Fund are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Trustees and officers of the Fund hold indefinite terms of office. The "noninterested Trustees" consist of those Trustees who are not "interested persons" of the Fund, as that term is defined under the 1940 Act. The business address of each Trustee and officer is The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109. As used below, "EVC" refers to Eaton Vance Corp., "EV" refers to Eaton Vance, Inc., "EVM" refers to Eaton Vance Management, "BMR" refers to Boston Management and Research, and "EVD" refers to Eaton Vance Distributors, Inc. EVC and EV are the corporate parent and trustee, respectively, of EVM and BMR. EVD is the Fund's principal underwriter and a wholly-owned subsidiary of EVM. Each officer affiliated with Eaton Vance may hold a position with other Eaton Vance affiliates that is comparable to his or her position with EVM listed below.

*Mr. Venezia joined the current portfolio management team effective as of March 16, 2004.

The SAI for the Fund includes additional information about the Trustees and officers of the Fund and can be obtained without charge by calling 1-800-225-6265.

Investment Adviser of Eaton Vance Limited Duration Income Fund
Eaton Vance Management

Administrator of Eaton Vance Limited Duration Income Fund
Eaton Vance Management

Eaton Vance Limited Duration Income Fund
The Eaton Vance Building
255 State Street
Boston, MA 02109

Item 2. Code of Ethics

The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122.

Item 3. Audit Committee Financial Expert

The registrant’s Board has designated William H. Park, Samuel L. Hayes, III and Norton H. Reamer, each an independent trustee, as its audit committee financial experts. Mr. Park is a certified public accountant who is the Vice Chairman of Commercial Industrial Finance Corp (specialty financial company). Previously he served as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm) and as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (“UAM”) (a holding company owning institutional investment management firms). Mr. Hayes is the Jacob H. Schiff Professor of Investment Banking Emeritus of the Harvard University Graduate School of Business Administration. Mr. Reamer is the President, Chief Executive Officer and a Director of Asset Management Finance Corp. (a specialty finance company serving the investment management industry) and is President of Unicorn Corporation (an investment and financial advisory services company). Formerly, Mr. Reamer was Chairman of Hellman, Jordan Management Co., Inc. (an investment management company) and Advisory Director of Berkshire Capital Corporation (an investment banking firm), Chairman of the Board of UAM and Chairman, President and Director of the UAM Funds (mutual funds).

Item 4. Principal Accountant Fees and Services

(a)-(d)

The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended April 30, 2005 and April 30, 2006 by the registrant’s principal accountant for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by the principal accountant during such periods.

Eaton Vance Limited Duration Income Fund

Fiscal Years Ended	04/30/05		04/30/06
Audit Fees	$	68,740	$	70,875
Audit-Related Fees(1)	$	4,950	$	5,000
Tax Fees(2)	$	8,000	$	8,400
All Other Fees(3)	$	0	$	0
Total	$	81,690	$	84,275

(1) Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees and specifically includes fees for the performance of certain agreed upon procedures relating to the registrant’s auction preferred shares.

(2) Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation.

(3) All other fees consist of the aggregate fees billed for products and services provided by the registrant’s principal accountant other than audit, audit-related, and tax services.

(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.

The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.

(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.

(f) Not applicable.

(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by the registrant’s principal accountant for the registrants fiscal year ended April 30, 2005 and the fiscal year ended April 30, 2006; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by the registrant’s principal accountant for the same time periods.

Fiscal Years Ended	04/30/05		04/30/06
Registrant	$	12,950	$	13,400
Eaton Vance(1)	$	339,899	$	140,600
Total	$	352,849	$	154,000

(1) The investment adviser to the registrant, as well as any of its affiliates that provide ongoing services to the registrant, are subsidiaries of Eaton Vance Corp.

(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed registrants

The registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities and Exchange Act of 1934, as amended. Norton H. Reamer (Chair), Samuel L. Hayes, III, William H. Park, Lynn A. Stout and Ralph E. Verni are the members of the registrant’s audit committee.

Item 6. Schedule of Investments

Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

The Board of Trustees of the Trust has adopted a proxy voting policy and procedure (the “Fund Policy”), pursuant to which the Trustees have delegated proxy voting responsibility to the Fund’s investment adviser and adopted the investment adviser’s proxy voting policies and procedures (the “Policies”) which are described below. The Trustees will review the Fund’s proxy voting records from time to time and will annually consider approving the Policies for the upcoming year. In the event that a conflict of interest arises between the Fund’s shareholders and the investment adviser, the administrator, or any of their affiliates or any affiliate of the Fund, the investment adviser will generally refrain from voting the proxies related to the companies giving rise to such conflict until it consults with the Board’s Special Committee except as contemplated under the Fund Policy. The Board’s Special Committee will instruct the investment adviser on the appropriate course of action.

The Policies are designed to promote accountability of a company’s management to its shareholders and to align the interests of management with those shareholders. The investment adviser will generally support company management on proposals relating to environmental and social policy issues, on matters regarding the state of organization of the company and routine matters related to corporate administration which are not expected to have a significant economic impact on the company or its shareholders. On all other matters, the investment adviser will review each matter on a case-by-case basis and reserves the right to deviate from the Policies’ guidelines when it believes the situation warrants such a deviation. The Policies include voting guidelines for matters relating to, among other things, the election of directors, approval of independent auditors, executive compensation, corporate structure and anti-takeover defenses. The investment adviser may abstain from voting from time to time where it determines that the costs associated with voting a proxy outweighs the benefits derived from exercising the right to vote.

In addition, the investment adviser will monitor situations that may result in a conflict of interest between the Fund’s shareholders and the investment adviser, the administrator, or any of their affiliates or any affiliate of the Fund by maintaining a list of significant existing and prospective corporate clients. The investment adviser’s personnel responsible for reviewing and voting proxies on behalf of the Fund will report any proxy received or expected to be received from a company included on that list to members of senior management of the investment adviser identified in the Policies. Such members of senior management will determine if a conflict exists. If a conflict does exist, the investment adviser will seek instruction on how to vote from the Special Committee.

Information on how the Fund voted proxies relating to portfolio securities during the most recent 12 month period ended June 30 is available (1) without charge, upon request, by calling 1-800-262-1122, and (2) on the Securities and Exchange Commission’s website at http://www.sec.gov.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Scott H. Page, Susan Schiff, Payson F. Swaffield, Mark S. Venezia, Michael W. Weilheimer and other Eaton Vance Management (“EVM”) investment professionals comprise the investment team responsible for the overall management of the Fund’s investments as well as allocations of the Fund’s assets between common and preferred stocks. Messrs. Page, Swaffield, Venezia, Weilheimer and Ms. Schiff are the portfolio managers responsible for the day-to-day management of specific segments of the Fund’s investment portfolio.

Mr. Page has been an Eaton Vance portfolio manager since 1996 and is a Vice President of EVM and Boston Management and Research, an Eaton Vance subsidiary (“BMR”). He is co-head of Eaton Vance’s Senior Loan Group. Ms. Schiff has been an Eaton Vance portfolio manager since 1991 and is a Vice President of EVM and BMR. Mr. Swaffield has been an Eaton Vance portfolio manager since 1996 and is a Vice President of EVM and BMR. Along with Mr. Page, he is co-head of Eaton Vance’s Senior Loan Group. Mr. Venezia has been an Eaton Vance portfolio manager since 1984 and is a Vice President of EVM and BMR. He is head of Eaton Vance’s Global Bond Department. Mr. Weilheimer has been an Eaton Vance portfolio manager since 1996 and is a Vice President of EVM and BMR. He is head of Eaton Vance’s Non-Investment Grade Bond Group. This information is provided as of the date of filing of this report.

The following tables show, as of the Fund’s most recent fiscal year end, the number of accounts each portfolio manager managed in each of the listed categories and the total assets in the accounts managed within each category. The table also shows the number of accounts with respect to which the advisory fee is based on the performance of the account, if any, and the total assets in those accounts.

	Number of All Accounts	Total Assets of All Accounts*		Number of Accounts Paying a Performance Fee	Total Assets of Accounts Paying a Performance Fee*
Scott H. Page
Registered Investment Companies	13	$	14,100.8	0	$	0
Other Pooled Investment Vehicles	5	$	3,123.8	5	$	1,697.7
Other Accounts	3	$	2,487.4	0	$	0

Susan Schiff
Registered Investment Companies	5	$	4,453.6	0	$	0
Other Pooled Investment Vehicles	0	$	0	0	$	0
Other Accounts	0	$	0	0	$	0

Payson F. Swaffield
Registered Investment Companies	13	$	14,100.8	0	$	0
Other Pooled Investment Vehicles	5	$	3,123.8	5	$	1,697.7
Other Accounts	3	$	2,487.4	0	$	0

Mark S. Venezia
Registered Investment Companies	3	$	3,928.0	0	$	0
Other Pooled Investment Vehicles	0	$	0	0	$	0
Other Accounts	0	$	0	0	$	0

Michael W. Weilheimer		$	0		$	0
Registered Investment Companies	6	$	8,557.0	0	$	0
Other Pooled Investment Vehicles	0	$	0	0	$	0
Other Accounts	7	$	225.3	0	$	0

* In millions of dollars. For registered investment companies, assets represent net assets of all open-end investment companies and gross assets of all closed-end investment companies.

The following table shows the dollar range of Fund shares beneficially owned by each portfolio manager as of the Fund’s most recent fiscal year end.

Portfolio Manager	Dollar Range of Equity Securities Owned in the Fund
Scott H. Page	$	50,001-$100,000
Susan Schiff	None
Payson F. Swaffield	None
Mark S. Venezia	None
Michael W. Weilheimer	None

Potential for Conflicts of Interest. The portfolio managers manage multiple investment portfolios. Conflicts of interest may arise between a portfolio manager’s management of the Fund and his or her management of these other investment portfolios. Potential areas of conflict may include allocation of a portfolio manager’s time, investment opportunities and trades among investment portfolios, including the Fund, personal securities transactions and use of Fund portfolio holdings information. In addition, some investment portfolios may compensate the investment adviser or sub-adviser based on the performance of the securities held by that account. The existence of such a performance based fee may create additional conflicts of interest for a portfolio manager in the allocation of management time and investment opportunities. Eaton Vance Management has adopted policies and procedures that it believes are reasonably designed to address these conflicts. There is no guarantee that such policies and procedures will be effective or that all potential conflicts will be anticipated.

Portfolio Manager Compensation Structure

Compensation of EVM’s portfolio managers and other investment professionals has three primary components: (1) a base salary, (2) an annual cash bonus, and (3) annual stock-based compensation consisting of options to purchase shares of EVC’s nonvoting common stock and/or restricted shares of EVC’s nonvoting common stock. EVM’s investment professionals also receive certain retirement, insurance and other benefits that are broadly available to all EVM’s employees. Compensation of EVM’s investment professionals is reviewed primarily on an annual basis. Cash bonuses, stock-based compensation awards, and adjustments in base salary are typically paid or put into effect at or shortly after the October 31st fiscal year end of EVC.

Method to Determine Compensation. EVM compensates its portfolio managers based primarily on the scale and complexity of their portfolio responsibilities and the total return performance of managed funds and accounts versus appropriate peer groups or benchmarks. Performance is normally based on periods ending on the September 30th preceding fiscal year end. Fund performance is evaluated primarily versus peer groups of funds as determined by Lipper Inc. and/or Morningstar, Inc. In evaluating the performance of a fund and its manager, primary emphasis is normally placed on three-year performance, with secondary consideration of performance over longer and shorter periods. For funds that are tax-managed or otherwise have an objective of after-tax returns, performance is measured net of taxes. For other funds, performance is evaluated on a pre-tax basis. In addition to rankings within peer groups of funds on the basis of absolute performance, consideration may also be given to risk-adjusted performance. For funds with an investment objective other than total return (such as current income), consideration will also be given to the fund’s success in achieving its objective. For managers responsible for multiple funds and accounts, investment performance is evaluated on an aggregate basis, based on averages or weighted averages among managed funds and accounts. Funds and accounts that have performance-based advisory fees are not accorded disproportionate weightings in measuring aggregate portfolio manager performance.

The compensation of portfolio managers with other job responsibilities (such as heading an investment group or providing analytical support to other portfolios) will include consideration of the scope of such responsibilities and the managers’ performance in meeting them.

EVM seeks to compensate portfolio managers commensurate with their responsibilities and performance, and competitive with other firms within the investment management industry. EVM participates in investment-industry compensation surveys and utilizes survey data as a factor in determining salary, bonus and stock-based compensation levels for portfolio managers and other investment professionals. Salaries, bonuses and stock-based compensation are also influenced by the operating performance of EVM and its parent company. The overall annual cash bonus pool is based on a substantially fixed percentage of pre-bonus operating income. While the salaries of EVM’s portfolio managers are comparatively fixed, cash bonuses and stock-based compensation may fluctuate significantly from year to year, based on changes in manager performance and other factors as described herein. For a high performing portfolio manager, cash bonuses and stock-based compensation may represent a substantial portion of total compensation.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

No such purchases this period.

Item 10. Submission of Matters to a Vote of Security Holders.

No Material Changes.

Item 11. 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 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 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits

(a)(1)		Registrant’s Code of Ethics — Not applicable (please see Item 2).
(a)(2)(i)		Treasurer’s Section 302 certification.
(a)(2)(ii)		President’s Section 302 certification.
(b)		Combined Section 906 certification.

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 Limited Duration Income Fund

By:		/s/ Thomas E. Faust, Jr.
		Thomas E. Faust, Jr.
		President


Date:		June 16, 2006

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

By:		/s/ Thomas E. Faust, Jr.
		Thomas E. Faust, Jr.
		President


Date:		June 16, 2006

By:		/s/ Barbara E. Campbell
		Barbara E. Campbell
		Treasurer


Date:		June 16, 2006

Senior, Floating Rate Interests — 55.5%⁽¹⁾
Principal Amount		Borrower/Tranche Description	Value
Aerospace and Defense — 1.4%
Alliant Techsystems, Inc.
$	702,000	Term Loan, 5.81%, Maturing March 31, 2009	$	704,486
Awas Capital Inc.
	3,375,000	Term Loan, 11.00%, Maturing March 22, 2013		3,434,062
CACI International, Inc.
	1,347,500	Term Loan, 6.25%, Maturing May 3, 2011		1,361,255
Delta Air Lines, Inc.
	1,725,000	Term Loan, 7.26%, Maturing March 27, 2008		1,757,653
	2,000,000	Term Loan, 12.01%, Maturing March 27, 2008		2,062,916
DRS Technologies, Inc.
	1,225,000	Term Loan, 6.45%, Maturing January 31, 2013		1,237,441
Hexcel Corp.
	3,299,111	Term Loan, 6.73%, Maturing March 1, 2012		3,334,850
IAP Worldwide Services, Inc.
	2,244,375	Term Loan, 8.00%, Maturing December 30, 2012		2,275,235
K&F Industries, Inc.
	2,829,663	Term Loan, 7.17%, Maturing November 18, 2012		2,869,897
Mid-Western Aircraft Systems, Inc.
	1,574,356	Term Loan, 7.32%, Maturing December 31, 2011		1,601,662
Standard Aero Holdings, Inc.
	1,780,983	Term Loan, 7.08%, Maturing August 24, 2012		1,780,983
Transdigm, Inc.
	5,194,000	Term Loan, 7.15%, Maturing July 22, 2010		5,269,474
Vought Aircraft Industries, Inc.
	1,314,353	Term Loan, 7.50%, Maturing December 22, 2011		1,328,113
Wyle Laboratories, Inc.
	311,850	Term Loan, 7.44%, Maturing January 28, 2011		316,918
			$	29,334,945
Air Transport — 0.1%
United Airlines, Inc.
$	1,684,375	Term Loan, 8.63%, Maturing February 1, 2012	$	1,711,325
	240,625	Term Loan, 8.75%, Maturing February 1, 2012		244,475
			$	1,955,800
Automotive — 2.6%
Accuride Corp.
$	3,289,973	Term Loan, 6.94%, Maturing January 31, 2012	$	3,335,210
Affina Group, Inc.
	1,076,874	Term Loan, 8.13%, Maturing November 30, 2011		1,069,134

Principal Amount		Borrower/Tranche Description	Value
Automotive (continued)
Axletech International Holding, Inc.
$	1,950,000	Term Loan, 11.52%, Maturing April 21, 2013	$	1,967,876
Collins & Aikman Products Co.
	881,938	Term Loan, 11.25%, Maturing August 31, 2011		865,087
CSA Acquisition Corp.
	1,012,599	Term Loan, 7.50%, Maturing December 23, 2011		1,018,295
	641,461	Term Loan, 7.50%, Maturing December 23, 2011		645,069
	498,750	Term Loan, 7.50%, Maturing December 23, 2011		502,179
Dana Corp.
	1,400,000	DIP Loan, 7.22%, Maturing April 13, 2008		1,412,688
Dayco Products, LLC
	2,936,982	Term Loan, 7.97%, Maturing June 23, 2011		2,977,366
Delphi Corp.
	1,000,000	Term Loan, 7.38%, Maturing October 8, 2007		1,019,583
Dura Operating Corp.
	1,450,000	Term Loan, 8.61%, Maturing May 3, 2011		1,466,917
Exide Technologies, Inc.
	617,005	Term Loan, 11.25%, Maturing May 5, 2010		625,746
	624,566	Term Loan, 11.25%, Maturing May 5, 2010		633,414
Federal-Mogul Corp.
	1,950,000	DIP Loan, 6.81%, Maturing December 9, 2006		1,956,398
	5,626,706	Term Loan, 8.75%, Maturing December 9, 2006		5,654,840
Goodyear Tire & Rubber Co.
	950,000	Term Loan, 4.73%, Maturing April 30, 2010		959,670
	3,185,000	Term Loan, 7.95%, Maturing April 30, 2010		3,233,772
	1,000,000	Term Loan, 8.70%, Maturing March 1, 2011		1,016,042
HLI Operating Co., Inc.
	2,134,400	Term Loan, 8.36%, Maturing June 3, 2009		2,149,264
Key Automotive Group
	1,082,877	Term Loan, 7.82%, Maturing June 29, 2010		1,093,706
Keystone Automotive Operations, Inc.
	2,094,750	Term Loan, 7.46%, Maturing October 30, 2010		2,102,605
R.J. Tower Corp.
	1,880,000	DIP Revolving Loan, 8.25%, Maturing February 2, 2007		1,916,929
Tenneco Automotive, Inc.
	1,861,375	Term Loan, 6.77%, Maturing December 12, 2009		1,890,226
	817,670	Term Loan, 6.83%, Maturing December 12, 2010		830,344
TI Automotive, Ltd.
	1,371,884	Term Loan, 7.94%, Maturing June 30, 2011		1,351,305
Trimas Corp.
	4,175,446	Term Loan, 8.87%, Maturing December 31, 2009		4,248,516
TRW Automotive, Inc.
	1,975,000	Term Loan, 6.00%, Maturing October 31, 2010		1,985,863
	2,296,666	Term Loan, 6.25%, Maturing June 30, 2012		2,305,597

Principal Amount		Borrower/Tranche Description	Value
Automotive (continued)
United Components, Inc.
$	1,446,667	Term Loan, 7.22%, Maturing June 30, 2010	$	1,458,421
Visteon Corp.
	1,650,000	Term Loan, 9.18%, Maturing June 20, 2007		1,672,894
			$	53,364,956
Beverage and Tobacco — 0.9%
Alliance One International, Inc.
$	955,350	Term Loan, 8.48%, Maturing May 13, 2010	$	966,098
Constellation Brands, Inc.
	6,091,371	Term Loan, 6.36%, Maturing November 30, 2011		6,143,531
Culligan International Co.
	1,188,000	Term Loan, 7.40%, Maturing September 30, 2011		1,206,563
MafCo Worldwide Corp.
	1,356,818	Term Loan, 6.93%, Maturing December 8, 2011		1,371,234
National Dairy Holdings, L.P.
	2,301,725	Term Loan, 7.00%, Maturing March 15, 2012		2,314,672
National Distribution Co.
	950,000	Term Loan, 11.50%, Maturing June 22, 2010		952,375
Southern Wine & Spirits of America, Inc.
	4,297,586	Term Loan, 6.48%, Maturing June 1, 2012		4,342,577
Sunny Delight Beverages Co.
	444,706	Term Loan, 9.22%, Maturing August 20, 2010		443,038
			$	17,740,088
Building and Development — 3.7%
AP-Newkirk Holdings, LLC
$	2,413,055	Term Loan, 7.43%, Maturing December 21, 2007	$	2,432,285
Biomed Realty, L.P.
	3,690,000	Term Loan, 7.08%, Maturing May 31, 2010		3,699,225
Capital Automotive (REIT)
	3,924,806	Term Loan, 6.58%, Maturing December 16, 2010		3,961,601
DMB / CH II, LLC
	400,000	Term Loan, 7.33%, Maturing September 9, 2009		401,000
Epco / Fantome, LLC
	1,975,000	Term Loan, 8.00%, Maturing November 23, 2010		1,979,938
Formica Corp.
	1,350,000	Term Loan, 7.96%, Maturing March 15, 2013		1,362,235
FT-FIN Acquisition, LLC
	1,413,217	Term Loan, 9.19%, Maturing November 17, 2007		1,416,750
Gables GP, Inc.
	964,895	Term Loan, 6.59%, Maturing September 30, 2006		969,546

Principal Amount		Borrower/Tranche Description	Value
Building and Development (continued)
General Growth Properties, Inc.
$	2,000,000	Term Loan, 6.20%, Maturing February 24, 2011	$	1,997,500
Hovstone Holdings, LLC
	1,485,000	Term Loan, 7.23%, Maturing February 28, 2009		1,488,713
Kyle Acquisition Group, LLC
	802,819	Term Loan, 7.00%, Maturing July 20, 2010		810,847
Landsource Communities, LLC
	1,002,000	Term Loan, 7.38%, Maturing March 31, 2010		1,007,636
LNR Property Corp.
	1,027,850	Term Loan, 7.69%, Maturing February 3, 2008		1,035,987
	3,947,306	Term Loan, 7.83%, Maturing February 3, 2008		3,984,004
LNR Property Holdings
	948,024	Term Loan, 9.33%, Maturing March 3, 2008		959,874
MAAX Corp.
	807,147	Term Loan, 7.95%, Maturing June 4, 2011		803,112
Mueller Group, Inc.
	3,905,375	Term Loan, 7.26%, Maturing October 3, 2012		3,962,909
NCI Building Systems, Inc.
	1,837,403	Term Loan, 6.71%, Maturing June 18, 2010		1,849,461
Newkirk Master, L.P.
	4,418,880	Term Loan, 6.58%, Maturing August 11, 2008		4,454,094
Nortek, Inc.
	4,014,187	Term Loan, 6.70%, Maturing August 27, 2011		4,051,193
Panolam Industries Holdings, Inc.
	1,718,869	Term Loan, 7.73%, Maturing September 30, 2012		1,744,652
Ply Gem Industries, Inc.
	128,125	Term Loan, 7.21%, Maturing August 15, 2011		129,406
	1,921,875	Term Loan, 7.21%, Maturing August 15, 2011		1,941,094
South Edge, LLC
	287,500	Term Loan, 7.06%, Maturing October 31, 2009		289,896
St. Mary's Cement, Inc.
	1,959,912	Term Loan, 6.98%, Maturing December 4, 2010		1,990,536
Stile Acquisition Corp.
	971,847	Term Loan, 7.11%, Maturing April 6, 2013		966,381
Stile U.S. Acquisition Corp.
	973,503	Term Loan, 7.11%, Maturing April 6, 2013		968,027
Sugarloaf Mills, L.P.
	1,000,000	Term Loan, 5.75%, Maturing April 7, 2007		1,005,000
	2,000,000	Term Loan, 7.85%, Maturing April 7, 2007		2,000,000
TE / Tousa Senior, LLC
	1,750,000	Term Loan, 7.75%, Maturing July 29, 2008		1,769,688
The Woodlands Community Property Co.
	1,169,215	Term Loan, 7.24%, Maturing November 30, 2007		1,177,984
	360,119	Term Loan, 9.24%, Maturing November 30, 2007		365,521

Principal Amount		Borrower/Tranche Description	Value
Building and Development (continued)
Tousa / Kolter, LLC
$	2,330,000	Term Loan, 6.27%, Maturing January 7, 2008⁽²⁾	$	2,341,650
TRU 2005 RE Holding Co.
	7,325,000	Term Loan, 7.83%, Maturing December 9, 2008		7,337,592
Trustreet Properties, Inc.
	1,800,000	Term Loan, 6.83%, Maturing April 8, 2010		1,819,125
United Subcontractors, Inc.
	1,000,000	Term Loan, 11.95%, Maturing June 27, 2013		1,002,500
WCI Communities, Inc.
	5,000,000	Term Loan, 6.83%, Maturing December 23, 2010		5,012,500
			$	74,489,462
Business Equipment and Services — 2.8%
Acco Brands Corp.
$	2,098,743	Term Loan, 6.67%, Maturing August 17, 2012	$	2,118,419
Affinion Group, Inc.
	3,526,744	Term Loan, 7.50%, Maturing October 17, 2012		3,542,174
Allied Security Holdings, LLC
	774,439	Term Loan, 8.86%, Maturing June 30, 2010		780,247
Baker & Taylor, Inc.
	2,850,000	Term Loan, 11.84%, Maturing May 6, 2011		2,878,500
DynCorp International, LLC
	1,346,400	Term Loan, 7.63%, Maturing February 11, 2011		1,364,913
Global Imaging Systems, Inc.
	2,387,312	Term Loan, 6.38%, Maturing May 10, 2010		2,404,472
Info USA, Inc.
	748,125	Term Loan, 6.75%, Maturing February 14, 2012		752,801
Iron Mountain, Inc.
	2,642,477	Term Loan, 6.56%, Maturing April 2, 2011		2,668,352
	6,975,000	Term Loan, 6.66%, Maturing April 2, 2011		7,037,482
Language Line, Inc.
	2,773,329	Term Loan, 9.35%, Maturing June 11, 2011		2,788,064
Mitchell International, Inc.
	808,067	Term Loan, 6.98%, Maturing August 15, 2011		817,663
Protection One, Inc.
	1,086,866	Term Loan, 7.36%, Maturing April 18, 2011		1,096,037
RGIS Holdings, LLC
	1,396,500	Term Loan, 7.48%, Maturing February 15, 2013		1,401,737
Serena Software, Inc.
	800,000	Term Loan, 7.41%, Maturing March 10, 2013		811,083
SGS International, Inc.
	922,688	Term Loan, 7.29%, Maturing December 30, 2011		934,221

Principal Amount (000's omitted)		Security	Value
$	100,957	7.00%, with various maturities to 2028⁽⁴⁾	$	104,222,599
	18,719	7.50%, with various maturities to 2031		19,739,469
	20,468	8.00%, with various maturities to 2029		21,855,448
	125	8.25%, with maturity at 2018		133,321
	4,954	8.444%, with maturity at 2027⁽³⁾		5,390,958
	21,626	8.50%, with various maturities to 2028		23,460,159
	2,458	8.651%, with maturity at 2028		2,671,562
	1,497	8.77%, with maturity at 2029⁽³⁾		1,642,604
	2,224	8.789%, with maturity at 2027⁽³⁾		2,426,012
	21,198	9.00%, with various maturities to 2027		23,239,959
	1,037	9.315%, with maturity at 2024⁽³⁾		1,122,402
	14,357	9.50%, with various maturities to 2030		15,943,246
	1,751	9.554%, with maturity at 2018⁽³⁾		1,947,384
	4,406	10.00%, with various maturities to 2021		4,907,305
	2,774	10.232%, with maturity at 2025⁽³⁾		3,091,302
	3,111	10.337%, with maturity at 2019⁽³⁾		3,427,131
	3,774	10.50%, with various maturities to 2025		4,214,120
	1,306	11.00%, with various maturities to 2020		1,459,619
	127	11.25%, with maturity at 2016		141,758
	3,466	11.50%, with various maturities to 2021		3,908,741
	14	11.75%, with maturity at 2014		14,628
	570	12.00%, with various maturities to 2016		650,520
	432	12.50%, with various maturities to 2015		488,803
	518	13.00%, with various maturities to 2015		594,842
	151	13.50%, with various maturities to 2017		176,404
	76	14.50%, with maturity at 2014		89,564
			$	368,607,939
Government National Mortgage Assn.:
$	6,673	6.00%, with maturity at 2024	$	6,739,950
	10,135	7.00%, with various maturities to 2024		10,571,517
	11,995	7.50%, with various maturities to 2028		12,734,870
	42,176	8.00%, with various maturities to 2027⁽⁴⁾		45,093,803
	1,545	8.30%, with maturity at 2020		1,667,702
	2,874	8.50%, with various maturities to 2022		3,125,899
	13,541	9.00%, with various maturities to 2026		14,931,344
	19,443	9.50%, with various maturities to 2026		21,707,232
	1,306	10.00%, with maturity at 2019		1,463,955
			$	118,036,272
Collateralized Mortgage Obligations:
$	4,151	Federal Home Loan Mortgage Corp., Series 1497, Class K, 7.00%, 4/15/23	$	4,269,646
	6,753	Federal Home Loan Mortgage Corp., Series 1529, Class Z, 7.00%, 6/15/23		6,931,865
	5,653	Federal Home Loan Mortgage Corp., Series 1620, Class Z, 6.00%, 11/15/23		5,726,538

Common Stocks (continued)
		Total Common Stocks (identified cost, $4,206,246)	$	6,474,918
Convertible Preferred Stocks — 0.1%
Shares		Security	Value
	11,070	Chesapeake Energy Corp., 4.50%	$	1,051,650
	10,058	Crown Castle International Corp., (PIK)		555,704
		Total Convertible Preferred Stocks (identified cost, $1,554,502)	$	1,607,354
Miscellaneous — 0.0%
Shares		Security	Value
Lodging and Casinos — 0.0%
	5,510,000	Trump Atlantic City⁽⁷⁾⁽⁸⁾	$	212,135
		Total Miscellaneous (identified cost, $0)	$	212,135
Commercial Paper — 0.9%

Principal Amount		Maturity Date		Borrower	Rate			Amount
$	19,022,000		05/01/06	General Electric Capital Corp.		4.84	%	$	19,022,000
						Total Commercial Paper (at amortized cost $19,022,000)		$	19,022,000

Time Deposit — 0.4%
Principal Amount		Maturity Date	Borrower	Rate			Amount
$	8,030,000	05/01/06	Investors Bank and Trust Company Time Deposit		4.86	%	$	8,030,000
				Total Time Deposit (at amortized cost $8,030,000)			$	8,030,000
				Gross Investments — 151.9% (identified cost $3,073,221,394)			$	3,092,977,691
				Less Unfunded Loan Commitments — (0.3)%			$	(5,113,296	)
				Net Investments — 151.6% (identified cost $3,068,108,098)			$	3,087,864,395
				Other Assets, Less Liabilities — (12.3)%			$	(251,709,051	)
				Auction Preferred Shares Plus Cumulative Unpaid Dividends — (39.3)%			$	(800,408,224	)
				Net Assets Applicable to Common Shares — 100.0%			$	2,035,747,120

Assets
Investments, at value including $297,354,497 of securities on loan (identified cost, $3,068,108,098)	$	3,087,864,395
Cash		18,579,638
Receivable for investments sold		15,127,314
Receivable for open swap contracts		26,490
Dividends and interest receivable		36,385,342
Prepaid expenses		83,786
Total assets	$	3,158,066,965
Liabilities
Collateral for securities loaned	$	304,552,404
Payable for investments purchased		15,415,391
Payable to affiliate for investment advisory fees		1,418,296
Payable to affiliate for Trustees' fees		2,644
Accrued expenses		522,886
Total liabilities	$	321,911,621
Auction preferred shares (32,000 shares outstanding) at liquidation value plus cumulative unpaid dividends		800,408,224
Net assets applicable to common shares	$	2,035,747,120
Sources of Net Assets
Common Shares, $0.01 par value, unlimited number of shares authorized, 111,783,982 shares issued and outstanding	$	1,117,840
Additional paid-in capital		2,123,158,583
Accumulated net realized loss (computed on the basis of identified cost)		(115,604,564	)
Accumulated undistributed net investment income		7,292,474
Net unrealized appreciation (computed on the basis of identified cost)		19,782,787
Net assets applicable to common shares	$	2,035,747,120
Net Asset Value Per Common Share
($2,035,747,120 ÷ 111,783,982 common shares issued and outstanding)	$	18.21

Investment Income
Interest	$	177,302,196
Dividends		31,502
Security lending income, net		12,194,398
Total investment income	$	189,528,096
Expenses
Investment adviser fee	$	23,280,153
Trustees' fees and expenses		33,224
Preferred shares remarketing agent fee		1,999,999
Custodian fee		683,482
Printing and postage		387,769
Legal and accounting services		164,622
Transfer and dividend disbursing agent fees		73,897
Miscellaneous		101,717
Total expenses	$	26,724,863
Deduct — Reduction of custodian fee	$	15,339
Reduction of investment adviser fee		6,208,041
Total expense reductions	$	6,223,380
Net expenses	$	20,501,483
Net investment income	$	169,026,613
Realized and Unrealized Gain (Loss)
Net realized gain (loss) — Investment transactions (identified cost basis)	$	(16,714	)
Swap contracts		46,133
Net realized gain	$	29,419
Change in unrealized appreciation (depreciation) — Investments (identified cost basis)	$	5,124,572
Swap contracts		26,490
Net change in unrealized appreciation (depreciation)	$	5,151,062
Net realized and unrealized gain	$	5,180,481
Distributions to preferred shareholders
From net investment income	$	(29,792,823	)
Net increase in net assets from operations	$	144,414,271

Increase (Decrease) in Net Assets	Year Ended April 30, 2006			Year Ended April 30, 2005
From operations — Net investment income	$	169,026,613		$	152,928,823
Net realized gain (loss) from investments and swaps contract transactions		29,419			723,648
Net change in unrealized appreciation (depreciation) from investments and swap contracts		5,151,062			(28,800,919	)
Distributions to preferred shareholders From net investment income		(29,792,823	)		(17,037,481	)
Net increase in net assets from operations	$	144,414,271		$	107,814,071
Distributions to common shareholders — From net investment income	$	(169,151,522	)	$	(178,863,995	)
Total distributions to common shareholders	$	(169,151,522	)	$	(178,863,995	)
Capital share transactions — Reinvestment of distributions to common shareholders	$	—		$	12,625,234
Net increase in net assets from capital share transactions	$	—		$	12,625,234
Net decrease in net assets	$	(24,737,251	)	$	(58,424,690	)
Net Assets Applicable to Common Shares
At beginning of year	$	2,060,484,371		$	2,118,909,061
At end of year	$	2,035,747,120		$	2,060,484,371
Accumulated undistributed net investment income included in net assets applicable to common shares
At end of year	$	7,292,474		$	4,196,112

Increase (Decrease) in Cash	Year Ended April 30, 2006
Cash Flows From (Used For) Operating Activities — Purchase of investments	$	(1,661,017,511	)
Proceeds from sales of investments and principal repayments		1,618,541,334
Interest and dividends received, including net securities lending income		212,874,849
Prepaid expenses		13,979
Facilities fees received		511,641
Operating expenses paid		(18,933,897	)
Net decrease of short-term investments		13,103,037
Swap contract transactions		19,643
Proceeds of collateral for securities loaned, net		46,785,262
Decrease in unfunded commitments		(2,609,527	)
Net cash from operating activities	$	209,288,810
Cash Flows From (Used For) Financing Activities — Cash distributions paid	$	(198,711,778	)
Net cash used for financing activities	$	(198,711,778	)
Net increase (decrease) in cash	$	10,577,032
Cash at beginning of year	$	8,002,606
Cash at end of year	$	18,579,638
Reconciliation of Net Increase (Decrease) in Net Assets From Operations to Net Cash From Operating Activities
Net increase in net assets from operations	$	144,414,271
Distributions to preferred shareholders		29,792,823
Increase in receivable for investments sold		(6,842,848	)
Increase in interest and dividends receivable		(2,875,669	)
Decrease in prepaid expenses		13,979
Increase in payable to affiliate		1,418,930
Increase in receivable for swaps		(26,490	)
Increase in accrued expenses		148,656
Increase in collateral for securities loaned		46,785,262
Decrease in unfunded commitments		(2,609,527	)
Decrease in payable for investments purchased		(20,665,867	)
Net decrease in investments		19,735,290
Net cash from operating activities	$	209,288,810

	Year Ended April 30,
	2006⁽¹⁾			2005⁽¹⁾			2004⁽¹⁾⁽²⁾
Net asset value — Beginning of year (Common shares)	$	18.430		$	19.070		$	19.100	⁽³⁾
Income (loss) from operations
Net investment income	$	1.512	⁽⁴⁾	$	1.373	⁽⁴⁾	$	1.061	⁽⁴⁾
Net realized and unrealized gain (loss)		0.048	⁽⁴⁾		(0.254	)⁽⁴⁾		0.426	⁽⁴⁾
Distributions to preferred shareholders from net investment income		(0.267	)		(0.153	)		(0.075	)
Total income from operations	$	1.293		$	0.966		$	1.412
Less distributions to common shareholders
From net investment income	$	(1.513	)	$	(1.606	)	$	(1.345	)
Total distributions to common shareholders	$	(1.513	)	$	(1.606	)	$	(1.345	)
Preferred and Common shares offering costs charged to paid-in capital	$	—		$	—		$	(0.011	)
Preferred Shares underwriting discounts	$	—		$	—		$	(0.086	)
Net asset value — End of year (Common shares)	$	18.210		$	18.430		$	19.070
Market value — End of year (Common shares)	$	17.090		$	17.690		$	17.810
Total Investment Return on Net Asset Value⁽⁵⁾		7.72	%		5.29	%		7.22	%⁽⁶⁾
Total Investment Return on Market Value⁽⁵⁾		5.32	%		8.22	%		0.13	%⁽⁶⁾

	Year Ended April 30,
	2006		2005
Distributions declared from:

Ordinary Income	$	198,944,345	$	195,901,476

Principal Amount (000's omitted)		Security	Value
$	3,512	Federal National Mortgage Assn., Series 2001-37, Class GA, 8.00%, 7/25/16	$	3,659,671
	2,185	Federal National Mortgage Assn., Series 2002-1, Class G, 7.00%, 7/25/23		2,263,681
	1,136	Federal National Mortgage Assn., Series G92-44, Class Z, 8.00%, 7/25/22		1,200,399
	1,848	Federal National Mortgage Assn., Series G92-44, Class ZQ, 8.00%, 7/25/22		1,951,848
	9,000	Government National Mortgage Assn., Series 2002-45, Class PG, 6.00%, 3/17/32		9,082,516
	1,190	Government National Mortgage Assn., Series 2005-72, Class E, 12.00%, 11/16/15		1,365,311
	2,368	Merrill Lynch Trust, Series 45, Class Z, 9.10%, 9/20/20		2,367,525
				130,507,616
		Total Mortgage Pass-Throughs (identified cost $944,813,648)	$	925,970,696
Corporate Bonds & Notes — 48.8%
Principal Amount (000's omitted)		Security	Value
Aerospace and Defense — 0.6%
Argo Tech Corp., Sr. Notes
$	1,815	9.25%, 6/1/11	$	1,921,631
Armor Holdings, Inc., Sr. Sub. Notes
	1,895	8.25%, 8/15/13		2,032,387
Delta Air Lines, Inc.
	1,401	9.50%, 11/18/08⁽⁵⁾⁽⁶⁾		1,372,980
DRS Technologies, Inc., Sr. Sub. Notes
	875	7.625%, 2/1/18		902,344
Sequa Corp.
	5,350	8.875%, 4/1/08		5,604,125
			$	11,833,467
Air Transport — 0.2%
American Airlines
$	3,615	7.80%, 10/1/06	$	3,625,925
			$	3,625,925
Automotive — 3.2%
Altra Industrial Motion, Inc.
$	2,250	9.00%, 12/1/11	$	2,272,500
Commercial Vehicle Group, Inc., Sr. Notes
	1,100	8.00%, 7/1/13		1,105,500

Principal Amount (000's omitted)		Security	Value
Automotive (continued)
Ford Motor Credit Co.
$	2,190	6.50%, 1/25/07	$	2,176,825
	9,165	7.375%, 10/28/09		8,474,536
	4,355	7.875%, 6/15/10		4,025,322
Ford Motor Credit Co., Variable Rate
	10,995	8.149%, 11/2/07		10,795,738
General Motors Acceptance Corp.
	2,770	6.125%, 9/15/06		2,748,436
	2,160	5.125%, 5/9/08		2,040,204
	1,075	5.85%, 1/14/09		1,011,354
	435	7.00%, 2/1/12		408,919
	3,205	8.00%, 11/1/31		3,046,984
Keystone Automotive Operations, Inc., Sr. Sub. Notes
	1,080	9.75%, 11/1/13		982,800
Metaldyne, Inc.
	1,175	10.00%, 11/1/13		1,136,812
Tenneco Automotive, Global Shares, Series B
	10,855	10.25%, 7/15/13		12,076,187
Tenneco Automotive, Inc., Sr. Sub. Notes
	2,680	8.625%, 11/15/14		2,726,900
TRW Automotive, Inc., Sr. Notes
	2,230	9.375%, 2/15/13		2,408,400
TRW Automotive, Inc., Sr. Sub. Notes
	3,900	11.00%, 2/15/13		4,329,000
United Components, Inc., Sr. Sub. Notes
	990	9.375%, 6/15/13		975,150
Visteon Corp., Sr. Notes
	2,025	8.25%, 8/1/10		1,827,562
			$	64,569,129
Brokers / Dealers / Investment Houses — 0.4%
E*Trade Financial Corp., Sr. Notes
$	785	8.00%, 6/15/11	$	814,437
Residential Capital Corp.
	1,735	6.875%, 6/30/15		1,761,840
Residential Capital Corp., Sub. Notes, Variable Rate
	5,390	6.898%, 4/17/09⁽⁶⁾		5,391,029
			$	7,967,306
Building and Development — 1.7%

Principal Amount (000's omitted)		Security	Value
Building and Development (continued)
Dayton Superior Corp., Sr. Notes
$	2,975	10.75%, 9/15/08	$	3,101,437
General Cable Corp., Sr. Notes
	2,520	9.50%, 11/15/10		2,734,200
MAAX Corp., Sr. Sub. Notes
	920	9.75%, 6/15/12		795,800
Mueller Group, Inc., Sr. Sub. Notes
	2,625	10.00%, 5/1/12		2,887,500
Mueller Holdings, Inc., Disc. Notes
	1,440	14.75%, 4/15/14		1,195,200
Nortek, Inc., Sr. Sub Notes
	5,715	8.50%, 9/1/14		5,886,450
NTK Holdings, Inc., Sr. Disc. Notes
	2,575	10.75%, 3/1/14⁽⁶⁾		1,973,094
Panolam Industries International, Sr. Sub. Notes
	3,215	10.75%, 10/1/13⁽⁶⁾		3,166,775
RMCC Acquisition Co., Sr. Sub. Notes
	8,170	9.50%, 11/1/12⁽⁶⁾		8,578,500
Stanley-Martin Co.
	870	9.75%, 8/15/15⁽⁶⁾		800,400
			$	35,109,731
Business Equipment and Services — 2.3%
Activant Solutions, Inc., Sr. Sub. Notes
$	1,070	9.50%, 5/1/16⁽⁶⁾	$	1,094,075
Affinion Group, Inc.
	1,065	10.125%, 10/15/13⁽⁶⁾		1,104,937
Affinion Group, Inc., Sr. Sub. Notes
	1,490	11.50%, 10/15/15⁽⁶⁾		1,534,700
Avis Budget Car Rental, LLC, Sr. Notes, Variable Rate
	850	7.576%, 5/15/14⁽⁶⁾		878,687
Hydrochem Industrial Services, Inc., Sr. Sub Notes
	2,430	9.25%, 2/15/13⁽⁶⁾		2,423,925
Knowledge Learning Center, Sr. Sub. Notes
	2,200	7.75%, 2/1/15⁽⁶⁾		2,098,250
Muzak, LLC / Muzak Finance, Sr. Notes
	5,250	10.00%, 2/15/09		4,620,000
Norcross Safety Products, LLC / Norcross Capital Corp., Sr. Sub. Notes, Series B
	5,100	9.875%, 8/15/11		5,367,750

Principal Amount (000's omitted)		Security	Value
Business Equipment and Services (continued)
Sungard Data Systems, Inc., Sr. Notes, Variable Rate
$	1,100	9.431%, 8/15/13⁽⁶⁾	$	1,171,500
Sungard Data Systems, Inc., Sr. Sub. Notes
	6,080	10.25%, 8/15/15⁽⁶⁾		6,566,400
Xerox Corp.
	5,175	9.75%, 1/15/09		5,653,687
Xerox Corp., Sr. Notes
	1,855	7.125%, 6/15/10		1,919,925
	1,485	7.625%, 6/15/13		1,540,687
			$	47,102,650
Cable and Satellite Television — 2.3%
Adelphia Communications Corp.
$	2,500	10.25%, 6/15/11⁽⁵⁾	$	1,281,250
CCO Holdings, LLC / CCO Capital Corp., Sr. Notes
	10,295	8.75%, 11/15/13		10,140,575
CSC Holdings, Inc., Sr. Notes
	2,970	7.875%, 12/15/07		3,040,537
	5,000	8.125%, 7/15/09		5,212,500
CSC Holdings, Inc., Sr. Notes, Series B
	1,140	7.625%, 4/1/11		1,165,650
CSC Holdings, Inc., Sr. Sub. Notes
	3,130	10.50%, 5/15/16		3,309,975
Insight Communications, Sr. Disc. Notes
	16,450	12.25%, 2/15/11		17,580,937
Kabel Deutschland GMBH
	1,955	10.625%, 7/1/14⁽⁶⁾		2,121,175
UGS Corp.
	3,130	10.00%, 6/1/12		3,435,175
			$	47,287,774
Chemicals and Plastics — 3.7%
BCP Crystal Holdings Corp., Sr. Sub. Notes
$	3,172	9.625%, 6/15/14	$	3,505,060
Crystal US Holdings / US Holdings 3, LLC, Sr. Disc. Notes, Series B
	3,357	10.50%, 10/1/14		2,668,815
Equistar Chemical, Sr. Notes
	7,000	10.625%, 5/1/11		7,665,000
Hexion U.S. Finance/Nova Scotia Finance
	1,765	9.00%, 7/15/14		1,831,187

Undistributed income	$	7,292,474
Unrealized gain	$	9,592,310
Other temporary differences	$	(9,204,069	)
Capital loss carryforward	$	(96,210,018	)

Aggregate cost	$	3,078,298,575
Gross unrealized appreciation	$	43,204,440
Gross unrealized depreciation		(33,638,620	)
Net unrealized appreciation	$	9,565,820

Notional Amount		Expiration Date		Description	Net Unrealized Appreciation
$	2,000,000		3/20/2010	Agreement with Lehman Brothers dated 5/18/2005 whereby the Fund will receive 2.4% per year, paid quarterly, times the notional amount. The Fund makes a payment of the notional amount only upon a default event on the reference entity, a Revolving Credit Agreement issued by Inergy, L.P.	$	26,490

Fund	Nominee for Class III Trustee Elected by All Shareholders: Ronald A. Pearlman		Nominee for Class III Trustee Elected by Auction Preferred Shareholders: Norton H. Reamer
For		101,153,785		28,454
Withheld		3,001,088		152