UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

399 Boylston Street,

Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2810

Date of fiscal year end: November 30

Date of reporting period: February 28, 2013

ITEM 1. SCHEDULE OF INVESTMENTS

CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of February 28, 2013 (Unaudited)

ASG Growth Markets Fund

Shares		Description	Value (†)
	Common Stocks – 66.6% of Net Assets
		Brazil – 9.3%
	1,200	Anhanguera Educacional Participacoes S.A.	$	24,856
	2,300	Arteris S.A.		24,750
	3,200	Banco Bradesco S.A.		56,939
	11,300	Banco Bradesco S.A., Sponsored Preference ADR(b)		203,061
	3,100	Banco do Brasil S.A., Sponsored ADR		41,137
	4,659	Banco Santander Brasil S.A., ADR		34,057
	6,700	BM&FBovespa S.A.		45,391
	2,600	BR Malls Participacoes S.A.		33,626
	1,500	BR Properties S.A.		18,642
	1,500	Braskem S.A., Sponsored ADR		22,575
	3,175	BRF – Brasil Foods S.A., ADR		68,548
	4,400	CCR S.A.		44,125
	500	Cia Brasileira de Distribuicao Grupo Pao de Acucar, Preference ADR		25,340
	654	Cia de Bebidas das Americas, ADR		28,940
	4,340	Cia de Bebidas das Americas, Preference ADR(b)		192,609
	1,200	Cia de Saneamento Basico do Estado de Sao Paulo, ADR(c)		58,032
	900	Cia de Saneamento de Minas Gerais-COPASA		23,325
	4,125	Cia Energetica de Minas Gerais, Sponsored Preference ADR		49,088
	888	Cia Paranaense de Energia, Sponsored Preference ADR		13,249
	1,440	Cielo S.A., Sponsored ADR		44,208
	1,200	Cosan S.A. Industria e Comercio		28,287
	796	CPFL Energia S.A., ADR		16,334
	1,700	EcoRodovias Infraestrutura e Logistica S.A.		14,746
	2,400	EDP – Energias do Brasil S.A.		14,562
	895	Embraer S.A., ADR		30,376
	2,500	Fibria Celulose S.A., Sponsored ADR(c)		28,950
	4,100	Gerdau S.A., Sponsored Preference ADR		34,112
	3,400	Hypermarcas S.A.(c)		30,042
	12,900	Itau Unibanco Holding S.A., Preference ADR(b)		227,814
	1,200	Localiza Rent a Car S.A.		22,758
	2,800	Lojas Americanas S.A.		24,331
	700	Lojas Renner S.A.		26,651
	600	Multiplan Empreendimentos Imobiliarios S.A.		17,172
	900	Multiplus S.A.		16,755
	900	Natura Cosmeticos S.A.		23,234
	2,900	Oi S.A.		12,380
	5,100	Oi S.A., ADR		18,819
	6,898	Petroleo Brasileiro S.A., ADR(b)		101,194
	10,426	Petroleo Brasileiro S.A., Sponsored Preference ADR(b)		174,427
	3,400	Raia Drogasil S.A.		39,198
	2,700	Souza Cruz S.A.		43,090
	1,065	Telefonica Brasil S.A., Preference ADR		28,073
	1,794	Tim Participacoes S.A., ADR		39,038
	1,200	Totvs S.A.		26,523
	3,000	Ultrapar Participacoes S.A., Sponsored ADR		77,970
	6,738	Vale S.A., Sponsored ADR(b)		127,955
	10,821	Vale S.A., Sponsored Preference ADR(b)		198,782

Shares		Description	Value (†)
	Common Stocks – continued
		Brazil – continued
	1,200	WEG S.A.	$	16,059
				2,512,130
		Chile – 0.8%
	325	Banco de Chile, ADR		32,360
	909	Banco Santander Chile, ADR		26,416
	1,500	Cia Cervecerias Unidas S.A., ADR		49,035
	704	Embotelladora Andina S.A., Series B, ADR		29,462
	900	Empresa Nacional de Electricidad S.A., Sponsored ADR		45,783
	2,000	Enersis S.A., Sponsored ADR		37,180
	1,008	Enersis S.A., Sponsored ADR, Rights(c)		202
				220,438
		China – 15.9%
	22,000	Agile Property Holdings Ltd.		28,261
	124,000	Agricultural Bank of China Ltd., Class H		63,850
	4,000	Anhui Conch Cement Co. Ltd., Class H		14,560
	450,000	Bank of China Ltd., Class H(b)		212,699
	37,000	Bank of Communications Co. Ltd., Class H		29,246
	11,500	BBMG Corp., Class H		10,115
	58,000	Beijing Capital International Airport Co. Ltd., Class H		45,581
	16,000	Belle International Holdings Ltd.		29,308
	24,000	China BlueChemical Ltd., Class H		15,292
	63,000	China Citic Bank Corp. Ltd., Class H		40,203
	39,000	China Communications Construction Co. Ltd., Class H		36,877
	44,000	China Communications Services Corp. Ltd., Class H		27,630
	420,000	China Construction Bank Corp., Class H(b)		345,998
	20,000	China Foods Ltd.		13,129
	40,000	China Gas Holdings Ltd.		38,830
	3,297	China Life Insurance Co. Ltd., ADR		145,299
	10,000	China Mengniu Dairy Co. Ltd.		27,861
	20,000	China Merchants Bank Co. Ltd., Class H		43,305
	37,500	China Minsheng Banking Corp. Ltd., Class H		51,934
	35,000	China Mobile Ltd.(b)		384,331
	12,000	China National Building Material Co. Ltd., Class H		18,284
	10,000	China Oilfield Services Ltd., Class H		21,221
	24,000	China Overseas Land & Investment Ltd.		72,881
	4,200	China Pacific Insurance Group Co. Ltd., Class H		15,488
	1,003	China Petroleum & Chemical Corp., ADR(b)		113,901
	28,000	China Railway Construction Corp. Ltd., Class H		29,316
	57,000	China Railway Group Ltd., Class H		30,685
	10,000	China Resources Enterprise Ltd.		32,587
	12,000	China Resources Gas Group Ltd.		27,980
	10,000	China Resources Land Ltd.		29,253
	10,000	China Resources Power Holdings Co. Ltd.		27,243
	14,000	China Shenhua Energy Co. Ltd., Class H		52,947
	929	China Telecom Corp. Ltd., ADR		48,317
	20,000	China Unicom Hong Kong Ltd.		29,122
	13,800	China Vanke Co. Ltd., Class B		28,034
	50,000	Chongqing Rural Commercial Bank, Class H		28,134
	6,000	CITIC Securities Co. Ltd., Class H		15,182
	1,105	CNOOC Ltd., Sponsored ADR(b)		215,431
	53,125	Country Garden Holdings Co. Ltd.(c)		27,354

Shares		Description	Value (†)
	Common Stocks – continued
		China – continued
	26,000	CSR Corp. Ltd., Class H	$	21,157
	26,000	Dongfeng Motor Group Co. Ltd., Class H		38,026
	6,000	ENN Energy Holdings Ltd.		29,841
	68,000	Evergrande Real Estate Group Ltd.		33,204
	84,000	Franshion Properties China Ltd.		29,876
	35,000	Geely Automobile Holdings Ltd.		19,154
	134,000	GOME Electrical Appliances Holding Ltd.(c)		14,844
	12,000	Great Wall Motor Co. Ltd., Class H		46,983
	54,000	Guangdong Investment Ltd.		46,488
	25,200	Guangzhou R&F Properties Co. Ltd., Class H		42,602
	17,000	Haier Electronics Group Co. Ltd.(c)		30,754
	1,500	Hengan International Group Co. Ltd.		15,157
	33,000	Huabao International Holdings Ltd.		18,550
	951	Huaneng Power International, Inc., ADR		38,658
	385,000	Industrial & Commercial Bank of China Ltd., Class H(b)		276,014
	7,000	Inner Mongolia Yitai Coal Co., Class B		40,322
	22,000	Jiangsu Expressway Co. Ltd., Class H		22,186
	10,000	Jiangxi Copper Co. Ltd., Class H		23,883
	9,000	Kingboard Chemical Holdings Ltd.		27,348
	14,000	Kunlun Energy Co. Ltd.		29,070
	24,000	Lee & Man Paper Manufacturing Ltd.		17,927
	3,800	Lenovo Group Ltd., ADR		85,044
	16,000	Longfor Properties Co. Ltd.		28,490
	1,125	PetroChina Co. Ltd., ADR(b)		154,102
	5,500	Ping An Insurance (Group) Co. of China Ltd., Class H		46,031
	53,000	Poly Hong Kong Investments Ltd.(c)		37,707
	15,600	Shanghai Pharmaceuticals Holding Co. Ltd., Class H		33,556
	25,500	Shimao Property Holdings Ltd.		51,255
	56,000	Shougang Fushan Resources Group Ltd.		24,569
	66,500	Shui On Land Ltd.		30,832
	34,500	Sino-Ocean Land Holdings Ltd.		23,824
	47,000	Soho China Ltd.		36,497
	11,000	Sun Art Retail Group Ltd.		15,313
	5,500	Tencent Holdings Ltd.		189,529
	24,000	Uni-President China Holdings Ltd.		29,380
	33,000	Want Want China Holdings Ltd.		46,182
	6,000	Weichai Power Co. Ltd., Class H		22,635
	1,714	Yanzhou Coal Mining Co. Ltd., Sponsored ADR		26,533
	164,000	Yuexiu Property Co. Ltd.		56,828
	28,000	Zhejiang Expressway Co. Ltd., Class H		23,533
	5,000	Zhuzhou CSR Times Electric Co. Ltd., Class H		16,468
	6,800	Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H		8,964
				4,316,985
		Colombia – 0.6%
	800	BanColombia S.A., Sponsored Preference ADR		51,952
	2,116	Ecopetrol S.A., Sponsored ADR		121,776
				173,728
		Egypt – 0.3%
	6,664	Commercial International Bank Egypt S.A.E., GDR		33,320
	13,295	Orascom Telecom Holding S.A.E., GDR(c)		42,012
				75,332

Shares		Description	Value (†)
	Common Stocks – continued
		India – 1.9%
	1,943	Axis Bank Ltd., GDR	$	48,363
	3,058	HDFC Bank Ltd., ADR		116,357
	1,612	ICICI Bank Ltd., Sponsored ADR		67,575
	2,413	Infosys Ltd., Sponsored ADR(b)		130,133
	549	Larsen & Toubro Ltd., GDR		14,019
	1,347	Mahindra & Mahindra Ltd., Sponsored GDR		21,742
	546	State Bank of India, Sponsored GDR		45,695
	2,160	Tata Motors Ltd., Sponsored ADR		58,623
				502,507
		Indonesia – 2.5%
	68,000	Astra International Tbk PT		55,903
	47,500	Bank Central Asia Tbk PT		53,984
	31,000	Bank Danamon Indonesia Tbk PT		20,186
	57,000	Bank Mandiri Persero Tbk PT		59,191
	87,000	Bank Negara Indonesia Persero Tbk PT		41,347
	80,000	Bank Rakyat Indonesia Persero Tbk PT		78,083
	65,000	Charoen Pokphand Indonesia Tbk PT		29,525
	117,000	Global Mediacom Tbk PT		27,821
	12,000	Indocement Tunggal Prakarsa Tbk PT		27,228
	39,500	Indofood Sukses Makmur Tbk PT		29,780
	41,500	Indosat Tbk PT		27,257
	221,000	Kalbe Farma Tbk PT		29,454
	95,000	Media Nusantara Citra Tbk PT		28,978
	68,000	Perusahaan Gas Negara Persero Tbk PT		33,741
	16,500	Semen Gresik Persero Tbk PT		29,603
	9,500	Tambang Batubara Bukit Asam Persero Tbk PT		14,838
	1,691	Telekomunikasi Indonesia Persero Tbk PT, Sponsored ADR		75,182
	13,000	United Tractors Tbk PT		25,956
				688,057
		Korea – 12.2%
	15	Amorepacific Corp.(c)		14,181
	69	AMOREPACIFIC Group(c)		26,892
	1,150	BS Financial Group, Inc.		16,609
	670	Celltrion, Inc.		16,539
	73	CJ CheilJedang Corp.		25,975
	258	CJ Corp.		35,606
	340	Coway Co. Ltd.(c)		15,662
	331	Daelim Industrial Co. Ltd.		29,414
	610	Daewoo International Corp.		21,507
	470	Dongbu Insurance Co. Ltd.		20,540
	115	E-Mart Co. Ltd.		23,462
	302	GS Holdings		19,351
	410	Hana Financial Group, Inc.		15,259
	1,060	Hanwha Chem Corp.		19,353
	810	Hanwha Corp.		26,041
	100	Honam Petrochemical Corp.(c)		21,806
	308	Hyosung Corp.		16,025
	700	Hyundai Development Co.(c)		15,918
	125	Hyundai Glovis Co. Ltd.		23,685
	116	Hyundai Heavy Industries Co. Ltd.		22,862
	610	Hyundai Hysco Co. Ltd.		20,299

Shares		Description	Value (†)
	Common Stocks – continued
		Korea – continued
	680	Hyundai Marine & Fire Insurance Co. Ltd.	$	19,715
	392	Hyundai Mobis		112,819
	917	Hyundai Motor Co.(b)		183,465
	1,436	Hyundai Motor Co., GDR(c)		47,645
	2,670	Hyundai Securities Co.		21,893
	133	Hyundai Wia Corp.		19,406
	1,970	Industrial Bank of Korea(c)		23,739
	520	Kangwon Land, Inc.		15,776
	1,502	KB Financial Group, Inc., ADR(c)		53,216
	1,370	Kia Motors Corp.		70,306
	3,505	Korea Electric Power Corp., Sponsored ADR(c)		52,435
	5,260	Korea Exchange Bank(c)		36,852
	610	Korea Gas Corp.(c)		40,155
	540	Korea Investment Holdings Co. Ltd.		22,858
	3,370	Korea Life Insurance Co. Ltd.		22,593
	84	Korea Zinc Co. Ltd.(c)		28,998
	475	Korean Air Lines Co. Ltd.(c)		19,331
	873	KT Corp., Sponsored ADR(c)		14,125
	395	KT&G Corp.		28,162
	170	Kumho Petro Chemical Co. Ltd.(c)		17,051
	153	LG Chem Ltd.		41,620
	390	LG Corp.		23,654
	2,977	LG Display Co. Ltd., ADR(c)		41,380
	576	LG Electronics, Inc.		41,472
	71	LG Household & Health Care Ltd.		40,728
	135	LG Innotek Co. Ltd.(c)		9,412
	2,360	LG Uplus Corp.(c)		18,485
	18	Lotte Confectionery Co. Ltd.(c)		30,390
	81	Lotte Shopping Co. Ltd.		29,047
	420	Mirae Asset Securities Co. Ltd.		16,762
	198	NHN Corp.		47,944
	39	Orion Corp.(c)		38,508
	1,395	POSCO, ADR		112,563
	294	S1 Corp.		18,852
	454	Samsung C&T Corp.		27,595
	580	Samsung Card Co.		20,803
	207	Samsung Electro-Mechanics Co. Ltd.		18,157
	1,239	Samsung Electronics Co. Ltd., GDR(b)		878,671
	184	Samsung Electronics Co. Ltd., Preference GDR		73,887
	167	Samsung Fire & Marine Insurance Co. Ltd.		35,145
	1,230	Samsung Heavy Industries Co. Ltd.		43,637
	574	Samsung Life Insurance Co. Ltd.		55,094
	157	Samsung SDI Co. Ltd.		20,075
	2,648	Shinhan Financial Group Co. Ltd., ADR(c)		102,901
	210	SK Holdings Co. Ltd.		33,911
	1,480	SK Hynix, Inc.(c)		36,018
	196	SK Innovation Co. Ltd.		31,989
	2,940	SK Networks Co. Ltd.		21,628
	1,900	SK Telecom Co. Ltd., ADR		34,523
	1,570	Woori Finance Holdings Co. Ltd.		18,982
	1,520	Woori Investment & Securities Co. Ltd.		17,773

Shares		Description	Value (†)
	Common Stocks – continued
		Korea – continued
	123	Yuhan Corp.	$	20,243
				3,299,375
		Malaysia – 2.9%
	20,700	AirAsia Bhd		19,447
	9,500	AMMB Holdings Bhd		19,427
	21,700	Axiata Group Bhd		44,917
	1,300	British American Tobacco Malaysia Bhd		25,639
	22,100	CIMB Group Holdings Bhd		51,454
	29,000	DiGi.Com Bhd		42,854
	8,300	Genting Bhd		25,465
	23,200	Genting Malaysia Bhd		27,752
	5,100	Hong Leong Bank Bhd		24,037
	6,700	Hong Leong Financial Group Bhd		31,071
	12,400	IJM Corp. Bhd		20,586
	7,800	Lafarge Malayan Cement Bhd		24,633
	19,200	Malayan Banking Bhd		56,838
	8,400	Malaysia Airports Holdings Bhd		14,868
	15,100	Maxis Bhd		31,123
	25,500	MMC Corp. Bhd		20,676
	9,800	Parkson Holdings Bhd		14,635
	3,600	Petronas Dagangan Bhd		27,398
	5,700	Petronas Gas Bhd		33,823
	3,100	Public Bank Bhd		16,143
	8,100	RHB Capital Bhd		20,561
	10,900	Sime Darby Bhd		32,483
	18,800	Telekom Malaysia Bhd		32,362
	15,700	Tenaga Nasional Bhd		35,278
	12,300	UMW Holdings Bhd		50,939
	77,546	YTL Corp. Bhd		41,339
				785,748
		Mexico – 4.0%
	29,000	Alfa SAB de CV, Class A		69,771
	10,967	America Movil SAB de CV, Series L, ADR(b)		229,101
	2,200	Arca Continental SAB de CV		16,580
	9,362	Cemex SAB de CV, Sponsored ADR(c)		100,548
	352	Coca-Cola Femsa SAB de CV, Sponsored ADR		59,361
	5,100	Controladora Comercial Mexicana SAB de CV		17,640
	1,400	Fomento Economico Mexicano SAB de CV, Sponsored ADR		156,436
	500	Grupo Aeroportuario del Pacifico SAB de CV, ADR		30,975
	347	Grupo Aeroportuario del Sureste SAB de CV, ADR		45,759
	8,300	Grupo Bimbo SAB de CV, Series A		22,641
	4,800	Grupo Carso SAB de CV, Series A1		23,239
	11,400	Grupo Financiero Banorte SAB de CV, Class O		84,309
	8,131	Grupo Mexico SAB de CV, Series B		31,882
	2,746	Grupo Televisa SAB, Sponsored ADR		73,675
	2,700	Industrias CH SAB de CV, Series B(c)		22,297
	3,700	Mexichem SAB de CV		18,493
	2,464	Wal-Mart de Mexico SAB de CV, Series V, Sponsored ADR		77,320
				1,080,027

Shares		Description	Value (†)
	Common Stocks – continued
		Peru – 0.2%
	334	Credicorp Ltd.	$	50,093
		Philippines – 0.2%
	700	Philippine Long Distance Telephone Co., Sponsored ADR		49,945
		Russia – 4.5%
	29,095	Gazprom OAO, Sponsored ADR(b)		258,340
	3,124	Lukoil OAO, Sponsored ADR(b)		201,641
	1,209	Magnit OJSC, Sponsored GDR		51,135
	592	MegaFon OAO, GDR(c)		17,087
	1,838	Mobile Telesystems OJSC, Sponsored ADR		38,028
	416	NovaTek OAO, Sponsored GDR		48,187
	9,210	Rosneft Oil Co., GDR		72,784
	1,192	Rostelecom OJSC, Sponsored ADR		28,718
	14,740	Sberbank of Russia, Sponsored ADR(b)		202,546
	6,006	Surgutneftegas OJSC, Sponsored ADR		56,551
	11,284	Surgutneftegas OJSC, Sponsored Preference ADR		82,937
	2,069	Tatneft, Sponsored ADR		85,765
	1,088	TMK OAO, GDR		16,172
	937	Uralkali OJSC, Sponsored GDR		35,482
	7,026	VTB Bank OJSC, GDR		25,385
				1,220,758
		South Africa – 5.7%
	1,472	ABSA Group Ltd.		26,508
	6,484	African Bank Investments Ltd.		20,703
	2,488	Anglo American Platinum Ltd., ADR		19,431
	1,516	AngloGold Ashanti Ltd., Sponsored ADR		36,748
	1,733	Aspen Pharmacare Holdings Ltd.(c)		31,331
	551	Assore Ltd.		20,629
	1,860	Barloworld Ltd.		19,025
	1,612	Bidvest Group Ltd.		42,546
	3,550	Discovery Holdings Ltd.		29,525
	26,779	FirstRand Ltd.		91,417
	3,742	Gold Fields Ltd., Sponsored ADR		31,021
	8,104	Growthpoint Properties Ltd.		24,603
	2,017	Impala Platinum Holdings Ltd., Sponsored ADR		30,779
	2,485	Imperial Holdings Ltd.		56,973
	2,021	Investec Ltd.		14,334
	305	Kumba Iron Ore Ltd.		19,161
	2,853	Liberty Holdings Ltd.		36,879
	11,429	Life Healthcare Group Holdings Ltd.		42,790
	7,764	MMI Holdings Ltd.		19,216
	2,124	Mr Price Group Ltd.		27,241
	9,419	MTN Group Ltd.(b)		183,190
	1,711	Naspers Ltd., N Shares		110,485
	1,195	Nedbank Group Ltd.		25,513
	7,746	Netcare Ltd.		17,186
	2,844	Remgro Ltd.		53,587
	10,827	RMB Holdings Ltd.		49,032
	9,111	RMI Holdings		22,921
	14,673	Sanlam Ltd.		73,494
	2,994	Sasol Ltd., Sponsored ADR(b)		127,993

Shares		Description	Value (†)
	Common Stocks – continued
		South Africa – continued
	1,862	Shoprite Holdings Ltd.	$	35,417
	936	Sibanye Gold Ltd., ADR(c)		5,295
	1,557	Spar Group Ltd. (The)		18,824
	6,617	Standard Bank Group Ltd.		85,381
	1,304	Truworths International Ltd.		13,430
	1,768	Vodacom Group Ltd.		23,359
	6,515	Woolworths Holdings Ltd.		46,637
				1,532,604
		Taiwan – 5.0%
	21,000	Acer, Inc.(c)		18,935
	7,588	Advanced Semiconductor Engineering, Inc., ADR		31,338
	6,000	Asustek Computer, Inc.		73,492
	15,750	Cathay Financial Holding Co. Ltd.		20,155
	11,400	Cheng Shin Rubber Industry Co. Ltd.		31,079
	16,000	China Steel Corp.		14,725
	32,640	Chinatrust Financial Holding Co. Ltd.		19,483
	2,681	Chunghwa Telecom Co. Ltd., ADR		83,165
	38,000	Compal Electronics, Inc.		26,939
	15,000	CTCI Corp.		30,029
	8,000	Delta Electronics, Inc.		30,120
	16,000	Far EasTone Telecommunications Co. Ltd.		37,202
	10,000	Formosa Chemicals & Fibre Corp.		25,655
	12,000	Formosa Plastics Corp.		30,546
	21,699	Fubon Financial Holding Co. Ltd.		29,524
	1,000	Hermes Microvision, Inc.		20,616
	25,512	Hon Hai Precision Industry Co. Ltd., GDR		143,069
	38,570	Mega Financial Holding Co. Ltd.		32,078
	4,000	Merida Industry Co. Ltd.		19,610
	18,000	Nan Ya Plastics Corp.		34,765
	4,000	President Chain Store Corp.		22,175
	14,000	Taiwan Cement Corp.		18,064
	7,000	Taiwan Mobile Co. Ltd.		24,542
	27,377	Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored ADR(b)		499,630
	20,330	Uni-President Enterprises Corp.		38,203
				1,355,139
		Turkey – 0.5%
	983	KOC Holding AS, ADR		26,049
	2,395	Turkcell Iletisim Hizmetleri AS, ADR(c)		39,541
	15,852	Turkiye Garanti Bankasi AS, ADR		75,456
				141,046
		United States – 0.1%
	698	Southern Copper Corp.		26,377
		Total Common Stocks (Identified Cost $15,709,683)		18,030,289
	Preferred Stocks – 1.0%
		Brazil – 0.8%
	2,000	Banco do Estado do Rio Grande do Sul, Series B		18,288
	1,300	Bradespar S.A.		19,079
	1,800	Cia Energetica de Sao Paulo, Class B		16,678

Shares		Description	Value (†)
	Preferred Stocks – continued
		Brazil – continued
	10,670	Itausa – Investimentos Itau S.A.	$	55,792
	8,900	Klabin S.A.		59,846
	1,700	Lojas Americanas S.A.		15,511
	3,100	Marcopolo S.A.		20,751
	2,200	Metalurgica Gerdau S.A.		23,285
				229,230
		Korea – 0.2%
	601	Hyundai Motor Co.		43,091
		Total Preferred Stocks (Identified Cost $250,638)		272,321
Principal Amount
	Short-Term Investments – 16.5%
		Treasuries – 9.1%
$	500,000	U.S. Treasury Bill, 0.130%, 3/21/2013(b)(d)		499,982
	200,000	U.S. Treasury Bill, 0.070%, 3/28/2013(b)(d)		199,990
	200,000	U.S. Treasury Bill, 0.145%, 4/11/2013(b)(d)		199,980
	250,000	U.S. Treasury Bill, 0.050%, 4/25/2013(b)(d)		249,965
	200,000	U.S. Treasury Bill, 0.090%, 5/16/2013(b)(d)		199,958
	300,000	U.S. Treasury Bill, 0.130%, 6/06/2013(b)(d)		299,895
	200,000	U.S. Treasury Bill, 0.120%, 6/27/2013(b)(d)		199,926
	350,000	U.S. Treasury Bill, 0.090%, 7/25/2013(b)(d)		349,840
	250,000	U.S. Treasury Bill, 0.105%, 8/01/2013(b)(d)		249,875
				2,449,411
		Commercial Paper – 3.0%
	200,000	Cofco Capital Corp., (Credit Support: Rabobank), 0.390%, 3/07/2013(b)(d)		199,987
	200,000	Tennessee School Bond Authority, 0.190%, 3/12/2013(b)		200,002
	200,000	General Electric Co., 0.110%, 3/20/2013(b)(d)		199,990
	200,000	Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.180%, 5/06/2013(b)		200,000
				799,979
		Certificates of Deposit – 2.2%
	100,000	BNP Paribas, 0.120%, 3/01/2013		100,000
	200,000	Royal Bank of Canada, 0.150%, 3/01/2013		200,000
	150,000	Norinchukin Bank, 0.380%, 7/12/2013(b)		150,039

Principal Amount		Description	Value (†)
		Certificates of Deposit – continued
$	150,000	Westpac Banking Corp. (NY), 0.328%, 11/06/2013(b)(e)	$	150,010
				600,049
		Corporate Notes – 1.5%
	200,000	PepsiCo, Inc., 0.372%, 5/10/2013(b)(e)		200,104
	200,000	Johnson & Johnson, 0.290%, 5/15/2013(b)(e)		200,036
				400,140
		Financial Company Commercial Paper – 0.7%
	200,000	Societe Generale North America, 0.370%, 7/02/2013(b)(d)		199,767
		Total Short-Term Investments (Identified Cost $4,449,288)		4,449,346
		Total Investments – 84.1% (Identified Cost $20,409,609)(a)		22,751,956
		Other assets less liabilities – 15.9%		4,314,189
		Net Assets – 100.0%	$	27,066,145

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Growth Markets Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of February 28, 2013, the value of the Fund’s investment in the Subsidiary was $2,072,787, representing 7.7% of the Fund’s net assets.

(†) Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

Futures contracts are valued at their most recent settlement price.

Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. At February 28, 2013, approximately 48% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At February 28, 2013, the net unrealized appreciation on investments based on a cost of $20,409,609 for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	3,057,378
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(715,031	)
Net unrealized appreciation	$	2,342,347

At November 30, 2012, the Fund had a short-term capital loss carryforward of $1,614,268 with no expiration date and a long-term capital loss carryforward of $133,784 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b) All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts or futures contracts.

(c) Non-income producing security.

(d) Interest rate represents discount rate at time of purchase; not a coupon rate.

(e) Variable rate security. Rate as of February 28, 2013 is disclosed.

ADR/GDR An American Depositary Receipt or Global Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs and GDRs may be significantly influenced by trading on exchanges not located in the United States.

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At February 28, 2013, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell1	Delivery Date	Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy	3/20/2013	Australian Dollar		1,100,000	$	1,122,226	$	(21,395	)
Buy	3/20/2013	Canadian Dollar		2,700,000		2,617,077		(113,777	)
Sell	3/20/2013	Canadian Dollar		1,800,000		1,744,718		35,778
Buy	3/20/2013	Euro		1,000,000		1,305,699		14,563
Buy	3/20/2013	Euro		500,000		652,850		(6,288	)
Sell	3/20/2013	Euro		375,000		489,637		15,816
Sell	3/21/2013	Japanese Yen		12,500,000		134,873		16,459
Buy	3/20/2013	New Zealand Dollar		3,200,000		2,642,645		(15,796	)
Buy	3/20/2013	Norwegian Krone		16,000,000		2,785,476		(21,481	)
Sell	3/20/2013	Norwegian Krone		4,000,000		696,369		5,438
Buy	3/20/2013	Singapore Dollar		6,375,000		5,147,750		(73,333	)
Sell	3/20/2013	Singapore Dollar		2,000,000		1,614,980		(295	)
Buy	3/20/2013	Swedish Krona		2,000,000		309,133		10,460
Buy	3/20/2013	Turkish Lira		6,600,000		3,660,393		19,200
Buy	3/20/2013	Turkish Lira		1,500,000		831,907		(20,437	)
Sell	3/20/2013	Turkish Lira		2,700,000		1,497,433		(405	)
Total							$	(155,493	)

¹ Counterparty is UBS AG.

Futures Contracts

The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin”. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin”, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At February 28, 2013, open long futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
AEX-Index®		3/15/2013		15	$	1,333,423	$	(11,280	)
DAX		3/15/2013		1		252,967		5,810
E-mini Dow		3/15/2013		7		491,330		6,440
E-mini NASDAQ 100		3/15/2013		11		602,360		16,005
E-mini S&P 500®		3/15/2013		5		378,325		10,945
Euribor		9/16/2013		45		14,655,854		22,341
Eurodollar		9/16/2013		11		2,740,925		137
FTSE 100 Index		3/15/2013		20		1,929,233		125,938
FTSE/JSE Top 40 Index		3/20/2013		53		2,064,874		27,415
German Euro BOBL		3/07/2013		28		4,663,736		13,591
Hang Seng Index®		3/27/2013		10		1,480,994		15,279
Mini-Russell 2000		3/15/2013		14		1,274,280		108,080
MSCI Singapore		3/27/2013		38		2,265,762		(13,194	)
MSCI Taiwan Index		3/28/2013		58		1,644,880		(10,440	)
Nikkei 225™		3/08/2013		12		1,488,834		218,923
OMXS30®		3/15/2013		98		1,813,426		45,686
S&P/TSX 60 Index		3/14/2013		16		2,289,105		80,399
S&P CNX Nifty Futures Index		3/28/2013		252		2,902,032		(36,184	)
Sterling		9/18/2013		189		35,686,196		37,850
TOPIX		3/08/2013		9		942,820		81,562
2 Year U.S. Treasury Note		6/28/2013		26		5,732,187		—
5 Year U.S. Treasury Note		6/28/2013		64		7,935,000		8,008
10 Year Canada Government Bond		6/19/2013		1		129,910		1,920
Total							$	755,231

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		3/20/2013		8	$	393,900	$	(18,245	)
Brent Crude Oil		3/14/2013		4		445,520		(19,800	)
Copper High Grade		5/29/2013		12		1,064,250		(6,600	)
Copper LME		3/20/2013		5		974,031		(38,531	)
Cotton		5/08/2013		1		42,645		1,100
Gas Oil		4/11/2013		14		1,314,600		(72,800	)
Heating Oil		3/28/2013		2		248,665		(21,093	)
KC Wheat		5/14/2013		1		37,638		(1,750	)
Silver		5/29/2013		1		142,160		(1,635	)
Zinc		3/20/2013		7		358,094		(12,294	)
Total							$	(191,648	)

At February 28, 2013, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Euro Schatz		3/07/2013		183	$	26,456,314	$	(84,978	)
10 Year U.S. Treasury Note		6/19/2013		11		1,447,016		(2,148	)
30 Year U.S. Treasury Bond		6/19/2013		16		2,300,500		(34,875	)
Total							$	(122,001	)

Commodity Futures2	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Aluminum HG		3/20/2013		8	$	393,900	$	21,445
Cocoa		5/15/2013		13		277,550		10,420
Coffee		5/20/2013		2		107,400		(19	)
Copper LME		3/20/2013		5		974,031		23,502
Live Cattle		4/30/2013		3		155,820		510
Soybean		5/14/2013		9		653,513		(15,075	)
Soybean Oil		5/14/2013		11		324,192		4,818
Sugar		4/30/2013		6		123,581		(2,150	)
Wheat		5/14/2013		21		750,225		32,375
Zinc		3/20/2013		2		102,312		4,044
Total							$	79,870

²  Commodity futures are held by ASG Growth Markets Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

• Level 1 – quoted prices in active markets for identical assets or liabilities;

• Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

• Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of February 28, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks
China	$	827,285	$	3,489,700	$	—	$	4,316,985
India		372,688		129,819		—		502,507
Indonesia		75,182		612,875		—		688,057
Korea		439,305		2,860,070		—		3,299,375
Malaysia		149,811		635,937		—		785,748
Russia		120,965		1,099,793		—		1,220,758
South Africa		331,874		1,200,730		—		1,532,604
Taiwan		614,133		741,006		—		1,355,139
All Other Common Stocks*		4,329,116		—		—		4,329,116
Total Common Stocks		7,260,359		10,769,930		—		18,030,289
Preferred Stocks*		229,230		43,091		—		272,321
Short-Term Investments*		—		4,449,346		—		4,449,346
Total Investments		7,489,589		15,262,367		—		22,751,956
Forward Foreign Currency Contracts (unrealized appreciation)		—		117,714		—		117,714
Futures Contracts (unrealized appreciation)		924,543		—		—		924,543
Total	$	8,414,132	$	15,380,081	$	—	$	23,794,213

Liability Valuation Inputs

Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(273,207	)	$	—	$	(273,207	)
Futures Contracts (unrealized depreciation)		(403,091	)		—			—		(403,091	)
Total	$	(403,091	)	$	(273,207	)	$	—	$	(676,298	)

* Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

Common stocks valued at $323,312 were transferred from Level 2 to Level 1 during the period ended February 28, 2013. At November 30, 2012, these securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the securities; at February 28, 2013, these securities were valued at the market price in the foreign market in accordance with the Fund’s valuation policies.

All transfers are recognized as of the beginning of the reporting period.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.

The Fund seeks to complement its equity portfolio with a portfolio of derivatives, in particular, futures and forward contracts, designed to enhance return and mitigate losses. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of one or more broad-based measures of emerging market equity index performance as well as identify the market exposures best suited to limit the volatility and risk of loss associated with the underlying equity portfolio. These market exposures, which are expected to vary over time, may include exposures to the returns of global equity and fixed income securities, commodities and currencies. During the period ended February 28, 2013, the Fund used long and short contracts on U.S. equity market indices, U.S. and foreign government bonds, short-term interest rates, foreign currencies and commodities (through investments in the Subsidiary) and long contracts on foreign equity market indices in accordance with these objectives.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of February 28, 2013, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

Counterparty	Derivatives			Collateral Pledged
UBS AG	$	(155,493	)	$	761,951

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty. As of February 28, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash held at counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $3,122,830 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $3,005,116.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Collateral for forward foreign currency contracts, is posted based on the requirements established under International Swaps and Derivatives Association (“ISDA”) agreements negotiated between the fund and the counterparties. In lieu of receiving cash collateral, the Fund may use unrealized gains on forward foreign currency contracts to meet counterparty margin requirements for open positions. This risk of loss to a fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Fund’s claim against any collateral received or initial/variation margin pledged may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund as of February 28, 2013:

Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized appreciation)	$	—		$	117,714		$	—		$	—
Futures (unrealized appreciation)		83,847			—			742,482			98,214
Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts			Equity Contracts			Commodity Contracts
Forwards (unrealized depreciation)	$	—		$	(273,207	)	$	—		$	—
Futures (unrealized depreciation)		(122,001	)		—			(71,098	)		(209,992	)

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Industry Summary at February 28, 2013 (Unaudited)

Commercial Banks	12.9	%
Oil, Gas & Consumable Fuels	8.0
Semiconductors & Semiconductor Equipment	5.7
Wireless Telecommunication Services	4.8
Metals & Mining	3.2
Real Estate Management & Development	2.4
Automobiles	2.3
Insurance	2.1
Other Investments, less than 2% each	26.2
Short-Term Investments	16.5
Total Investments	84.1
Other assets less liabilities (including open forward foreign currency and futures contracts)	15.9
Net Assets	100.0	%

Currency Exposure Summary at February 28, 2013 (Unaudited)

United States Dollar	47.8	%
Hong Kong Dollar	12.8
South Korean Won	7.1
South African Rand	4.7
Brazilian Real	3.2
Malaysian Ringgit	2.9
Indonesian Rupiah	2.3
New Taiwan Dollar	2.2
Mexican Peso	1.1
Total Investments	84.1
Other assets less liabilities (including open forward foreign currency and futures contracts)	15.9
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of February 28, 2013 (Unaudited)

Loomis Sayles Capital Income Fund

Shares		Description	Value (†)
	Common Stocks – 80.9% of Net Assets
		Aerospace & Defense – 3.1%
	4,690	Honeywell International, Inc.	$	328,769
	4,435	Northrop Grumman Corp.		291,291
				620,060
		Beverages – 3.0%
	7,655	Coca-Cola Enterprises, Inc.		273,896
	4,224	PepsiCo, Inc.		320,052
				593,948
		Capital Markets – 2.4%
	9,036	Bank of New York Mellon Corp. (The)		245,237
	9,828	Federated Investors, Inc., Class B		228,206
				473,443
		Chemicals – 3.0%
	7,721	E.I. du Pont de Nemours & Co.		369,836
	11,533	Tronox Ltd., Class A		236,888
				606,724
		Commercial Banks – 1.6%
	5,049	PNC Financial Services Group, Inc.		315,007
		Commercial Services & Supplies – 1.3%
	6,967	Waste Management, Inc.		260,008
		Communications Equipment – 1.6%
	5,186	Motorola Solutions, Inc.(b)		322,621
		Computers & Peripherals – 1.1%
	503	Apple, Inc.		222,024
		Construction Materials – 1.4%
	2,812	Martin Marietta Materials, Inc.		273,130
		Containers & Packaging – 1.3%
	11,599	Sealed Air Corp.		257,614
		Diversified Consumer Services – 1.9%
	15,371	H&R Block, Inc.		382,123
		Diversified Financial Services – 2.3%
	9,256	JPMorgan Chase & Co.		452,804
		Diversified Telecommunication Services – 2.6%
	6,930	AT&T, Inc.		248,856
	8,051	CenturyLink, Inc.		279,128
				527,984
		Electric Utilities – 3.0%
	7,803	FirstEnergy Corp.		308,062
	9,213	PPL Corp.		283,945
				592,007

Shares		Description	Value (†)
	Common Stocks – continued
		Electrical Equipment – 1.7%
	5,438	Eaton Corp. PLC	$	336,993
		Energy Equipment & Services – 2.3%
	4,387	Diamond Offshore Drilling, Inc.		305,686
	3,029	Transocean Ltd.(c)		158,417
				464,103
		Food & Staples Retailing – 1.6%
	7,572	Walgreen Co.		309,998
		Gas Utilities – 1.8%
	6,125	National Fuel Gas Co.		356,414
		Health Care Equipment & Supplies – 1.2%
	3,472	Baxter International, Inc.(d)		234,707
		Health Care Providers & Services – 0.8%
	4,472	HCA Holdings, Inc.		165,866
		Industrial Conglomerates – 1.5%
	12,887	General Electric Co.(d)		299,236
		Insurance – 4.3%
	9,316	MetLife, Inc.		330,159
	3,051	Travelers Cos., Inc. (The)		245,361
	11,318	Unum Group		276,952
				852,472
		Media – 2.7%
	7,095	Comcast Corp., Class A		282,310
	4,356	Viacom, Inc., Class B		254,652
				536,962
		Multiline Retail – 1.3%
	5,575	Kohl’s Corp.		257,007
		Oil, Gas & Consumable Fuels – 7.4%
	3,065	Chevron Corp.		359,065
	3,549	ExxonMobil Corp.		317,813
	7,885	Kinder Morgan, Inc.		292,297
	8,645	Regency Energy Partners LP		205,665
	5,774	Total S.A., Sponsored ADR		288,815
				1,463,655
		Pharmaceuticals – 9.6%
	6,832	AbbVie, Inc.		252,237
	10,459	Bristol-Myers Squibb Co.		386,669
	5,282	GlaxoSmithKline PLC, Sponsored ADR		232,567
	9,104	Merck & Co., Inc.		389,014
	12,306	Pfizer, Inc.		336,815
	6,405	Sanofi, ADR		302,380
				1,899,682
		REITs – Diversified – 2.5%
	11,200	Duke Realty Corp.		180,992

Shares		Description	Value (†)
	Common Stocks – continued
		REITs – Diversified – continued
	10,939	Weyerhaeuser Co.	$	321,716
				502,708
		Road & Rail – 2.0%
	5,493	Norfolk Southern Corp.		401,264
		Semiconductors & Semiconductor Equipment – 1.7%
	9,653	Texas Instruments, Inc.		331,774
		Software – 1.6%
	11,310	Microsoft Corp.		314,418
		Specialty Retail – 3.0%
	11,749	American Eagle Outfitters, Inc.		242,969
	9,208	Lowe’s Cos., Inc.		351,285
				594,254
		Thrifts & Mortgage Finance – 1.3%
	20,022	People’s United Financial, Inc.		262,288
		Tobacco – 1.4%
	7,282	Lorillard, Inc.		280,648
		Wireless Telecommunication Services – 1.6%
	12,547	Vodafone Group PLC, Sponsored ADR		315,432
		Total Common Stocks (Identified Cost $14,456,401)		16,079,378
Principal Amount (‡)
	Bonds and Notes – 18.9%
	Non-Convertible Bonds – 17.7%
		Banking – 3.6%
$	300,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 6/29/2049, 144A		311,250
	100,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		112,840
	280,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		283,245
				707,335
		Brokerage – 0.6%
	100,000	Jefferies Group, Inc., 6.875%, 4/15/2021		115,750
		Electric – 2.1%
	400,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		418,000
		Government Sponsored – 1.1%
	240,000	Eksportfinans ASA, 2.000%, 9/15/2015		230,400

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – 1.4%
$	125,000	HCA, Inc., 7.500%, 12/15/2023	$	133,125
	150,000	HCA, Inc., 7.500%, 11/06/2033		151,500
				284,625
		Home Construction – 1.6%
	300,000	Beazer Homes USA, Inc., 9.125%, 6/15/2018		320,250
		Media Non-Cable – 1.2%
	80,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		83,600
	150,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		157,875
				241,475
		Non-Captive Consumer – 1.4%
	300,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		274,500
		Retailers – 0.8%
	125,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		94,062
	70,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		57,225
				151,287
		Supermarket – 1.5%
	400,000	New Albertson’s, Inc., 8.000%, 5/01/2031		292,000
		Wirelines – 2.4%
	100,000	Level 3 Financing, Inc., 8.125%, 7/01/2019		109,000
	400,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		366,656
				475,656
		Total Non-Convertible Bonds (Identified Cost $3,231,250)		3,511,278
	Convertible Bonds – 1.2%
		Brokerage – 0.3%
	60,000	Jefferies Group, Inc., 3.875%, 11/01/2029		60,750
		Independent Energy – 0.9%
	185,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		184,306
		Total Convertible Bonds (Identified Cost $225,154)		245,056
		Total Bonds and Notes (Identified Cost $3,456,404)		3,756,334

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 0.7%
	$132,476	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2013 at 0.000% to be repurchased at $132,476 on 3/01/2013 collateralized by $130,000 U.S. Treasury Note, 2.500% due 4/30/2015 valued at $137,344 including accrued interest(e) (Identified Cost $132,476)	$	132,476
		Total Investments – 100.5% (Identified Cost $18,045,281)(a)		19,968,188
		Other assets less liabilities – (0.5)%		(105,790	)
		Net Assets – 100.0%	$	19,862,398
Shares
	Written Options – (0.0%)
		Options on Securities – (0.0%)
	1,000	AbbVie, Inc., Put expiring May 18, 2013 at 32.50(f)	$	(300	)
	2,000	Coach, Inc., Put expiring May 18, 2013 at 45(f)		(3,100	)
	1,500	H&R Block, Inc., Call expiring April 20, 2013 at 24(f)		(2,063	)
		Total Written Options (Premiums Received $3,932)	$	(5,463	)

(‡) Principal Amount stated in U.S. dollars unless otherwise noted.

(†) Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):

At February 28, 2013, the net unrealized appreciation on investments based on a cost of $18,045,588 for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	2,173,780
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(251,180	)
Net unrealized appreciation	$	1,922,600

(b) A portion of this security has been pledged as collateral for outstanding options.

(c) Non-income producing security.

(d) This security has been designated to cover the Fund’s obligations under open outstanding options.

(e) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

(f) The Fund may enter into option contracts. When the Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.

Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. For the period ended February 28, 2013, the Fund was not party to any over-the-counter options.

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2013, the value of Rule 144A holdings amounted to $729,250 or 3.7% of net assets.

ADR An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

MTN Medium Term Note

REITs Real Estate Investment Trusts

AUD Australian Dollar

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

• Level 1 – quoted prices in active markets for identical assets or liabilities;

• Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

• Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of February 28, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	16,079,378	$	—	$	—	$	16,079,378
Bonds and Notes*		—		3,756,334		—		3,756,334
Short-Term Investments		—		132,476		—		132,476
Total	$	16,079,378	$	3,888,810	$	—	$	19,968,188

Liability Valuation Inputs

Description	Level 1			Level 2		Level 3		Total
Written Options*	$	(5,463	)	$	—	$	—	$	(5,463	)

* Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended February 28, 2013, there were no transfers between Levels 1, 2 and 3.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include option contracts.

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below average performance in individual securities or in the equity market as a whole. The Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns and may use written put options to offset the cost of options used for hedging purposes. The Fund may also use purchased call options and written put options for investment purposes. During the period ended February 28, 2013, the Fund engaged in written call option transactions for hedging purposes and written put option transactions for investment purposes.

The following is a summary of derivative instruments for the Fund as of February 28, 2013:

Liability Derivatives	Equity Contracts
Written Options (at value)	$	(5,463	)

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Industry Summary at February 28, 2013 (Unaudited)

Pharmaceuticals	9.6	%
Oil, Gas & Consumable Fuels	7.4
Insurance	4.3
Banking	3.6
Aerospace & Defense	3.1
Chemicals	3.0
Specialty Retail	3.0
Beverages	3.0
Electric Utilities	3.0
Media	2.7
Diversified Telecommunication Services	2.6
REITs – Diversified	2.5
Wirelines	2.4
Capital Markets	2.4
Energy Equipment & Services	2.3
Diversified Financial Services	2.3
Electric	2.1
Road & Rail	2.0
Other Investments, less than 2% each	38.5
Short-Term Investments	0.7
Total Investments	100.5
Other assets less liabilities (including open written options)	(0.5	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of February 28, 2013 (Unaudited)

Loomis Sayles Senior Floating Rate and Fixed Income Fund

Principal Amount		Description	Value (†)
	Senior Loans – 82.0% of Net Assets
		Aerospace & Defense – 2.7%
$	600,000	Camp International Holding Company, New 1st Lien Term Loan, 5/31/2019(b)	$	604,752
	498,750	Camp International Holding Company, New 1st Lien Term Loan, 5.250%, 5/31/2019(c)		502,700
	450,000	Camp International Holding Company, New 2nd Lien Term Loan, 10.000%, 11/29/2019(c)		460,971
	281,000	DigitalGlobe, Inc., New Term Loan B, 3.750%, 1/31/2020(c)		282,141
	727,000	Engility Corporation, Term Loan, 5.750%, 7/13/2017(c)		719,730
	613,393	PRV Aerospace LLC, Term Loan B, 6.500%, 5/09/2018(c)		615,693
	1,487,000	Sequa Corporation, New Term Loan B, 5.250%, 12/19/2017(c)		1,504,041
	997,455	SI Organization, Inc. (The), New Term Loan B, 4.500%, 11/22/2016(c)		994,134
	324,000	Six3 Systems, Inc., Term Loan B, 7.000%, 10/04/2019(c)		324,810
	997,468	TASC, Inc., New Term Loan B, 4.500%, 12/18/2015(c)		994,556
	850,000	WP CCP Holdings LLC, 1st Lien Term Loan, 12/27/2019(b)		854,250
	852,000	WP CCP Holdings LLC, 1st Lien Term Loan, 5.750%, 12/27/2019(c)		856,260
	236,263	Wyle Services Corporation, Term Loan B, 5.000%, 3/27/2017(c)		236,755
				8,950,793
		Airlines – 0.4%
	1,260,000	Delta Air Lines, Inc., Term Loan B1, 5.250%, 10/10/2018(c)		1,274,175
		Automotive – 1.5%
	145,460	August LuxUK Holding Company S.A.R.L., Luxco Term Loan, 6.250%, 4/27/2018(c)		146,551
	111,895	August U.S. Holding Company, Inc., Term Loan B, 6.250%, 4/27/2018(c)		112,734
	721,391	Grede LLC, Term Loan B, 7.000%, 4/03/2017(c)		724,998
	1,516,703	Navistar International Corporation, Term Loan B, 7.000%, 8/17/2017(c)		1,533,386
	834,000	Remy International, Inc., New Term Loan B, 3/05/2020(b)		835,043
	574,779	TI Group Automotive Systems LLC, New Term Loan, 6.750%, 3/14/2018(c)		577,653
	1,100,000	Transtar Holding Company, New 2nd Lien Term Loan, 9.750%, 10/09/2019(c)		1,127,500
				5,057,865
		Banking – 1.0%
	1,000,000	Harland Clarke Holdings Corp., Extended Term Loan B2, 6/30/2017(b)		979,380

Principal Amount		Description	Value (†)
	Senior Loans – continued
		Banking – continued
$	1,284,633	Harland Clarke Holdings Corp., Extended Term Loan B2, 5.454%, 6/30/2017(c)	$	1,258,144
	500,000	US FT Holdco, Inc., Term Loan B, 11/30/2017(b)		502,815
	548,615	US FT Holdco, Inc., Term Loan B, 5.750%, 11/30/2017(c)		551,703
				3,292,042
		Building Materials – 2.4%
	633,413	CPG International, Inc., Term Loan, 5.750%, 9/18/2019(c)		638,163
	250,000	Custom Building Products, Inc., Term Loan B, 12/12/2019(b)		251,875
	2,378,000	Custom Building Products, Inc., Term Loan B, 6.000%, 12/12/2019(c)		2,395,835
	1,000,000	QS0001 Corp., 2nd Lien Term Loan, 9/29/2016(b)		1,025,000
	1,200,000	QS0001 Corp., 2nd Lien Term Loan, 9.250%, 9/29/2016(c)		1,230,000
	1,004,483	Roofing Supply Group LLC, Term Loan, 5.000%, 5/24/2019(c)		1,014,527
	1,406,226	Wilsonart International Holdings LLC, Term Loan B, 5.500%, 10/31/2019(c)		1,420,992
				7,976,392
		Chemicals – 3.7%
	1,137,642	Ascend Performance Materials LLC, Term Loan B, 4/10/2018(b)		1,149,018
	1,180,959	Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(c)		1,192,769
	790,281	AZ Chem US, Inc., Recap Term Loan, 5.250%, 12/22/2017(c)		797,939
	338,300	Emerald Performance Materials LLC, Term Loan B, 6.750%, 5/18/2018(c)		338,300
	581,000	Houghton International, Inc., New Term Loan B, 5.250%, 12/20/2019(c)		586,810
	790,164	Ineos US Finance LLC, 6 year Term Loan, 6.500%, 5/04/2018(c)		806,339
	720,051	Kleopatra Acquisition Corp., Term Loan B1, 5.750%, 12/21/2016(c)		730,175
	112,500	Kronos Worldwide, Inc., Term Loan B, 7.000%, 6/13/2018(c)		113,415
	208,478	Nexeo Solutions LLC, Incremental Term Loan, 5.000%, 9/08/2017(c)		207,827
	901,749	Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(c)		898,936
	740,085	PL Propylene LLC, Term Loan B, 7.000%, 3/27/2017(c)		753,037
	1,423,000	Taminco NV, USD Term Loan B2, 4.250%, 2/15/2019(c)		1,432,121
	1,025,000	U.S. Coatings Acquisition, Inc., Term Loan, 4.750%, 2/03/2020(c)		1,037,443
	2,036,081	Univar, Inc., Term Loan B, 5.000%, 6/30/2017(c)		2,026,532
				12,070,661

Principal Amount		Description	Value (†)
	Senior Loans – continued
		Consumer Cyclical Services – 4.0%
$	450,000	AlixPartners LLP, 2nd Lien Term Loan, 10.750%, 12/27/2019(c)	$	457,596
	513,697	Allied Security Holdings LLC, 1st Lien Term Loan, 5.250%, 2/03/2017(c)		516,265
	297,413	Catalina Marketing Corporation, 2017 Term Loan B, 5.704%, 9/29/2017(c)		297,859
	2,135,000	First Advantage Corporation, Term Loan B, 2/13/2019(b)		2,124,325
	211,470	Garda World Security Corp., Term Loan B, 4.500%, 11/13/2019(c)		213,454
	1,214,655	Go Daddy Operating Company LLC, New Term Loan, 5.500%, 12/17/2018(c)		1,213,744
	1,681,000	Go Daddy Operating Company LLC, Reprice Term Loan B2, 12/17/2018(b)		1,677,319
	914,329	Inmar, Inc., New Term Loan B, 6.500%, 8/04/2017(c)		916,981
	446,218	RE/MAX International, Inc., New Term Loan, 5.500%, 4/15/2016(c)		447,892
	728,000	SNL Financial LC, New Term Loan B, 5.500%, 10/23/2018(c)		729,514
	1,241,523	SourceHov LLC, 1st Lien Term Loan, 6.625%, 4/28/2017(c)		1,230,349
	1,225,000	Southern Graphics, Inc., Term Loan, 5.000%, 10/17/2019(c)		1,240,312
	863,300	SRA International, Inc., Term Loan B, 6.500%, 7/20/2018(c)		833,801
	457,459	Sterling Infosystems, Inc., Term Loan A, 5.756%, 2/01/2018(d)		457,459
	491,512	U.S. Security Holdings, Inc., New Term Loan, 6.000%, 7/28/2017(c)		494,279
	335,315	West Corporation, Term Loan B8, 6/29/2018(b)		336,294
				13,187,443
		Consumer Products – 2.3%
	685,714	Advantage Sales & Marketing, Inc., New 2nd Lien Term Loan, 6/18/2018(b)		690,857
	750,000	FGI Operating Company LLC, Term Loan, 4/19/2019(b)		748,125
	2,486,550	FGI Operating Company LLC, Term Loan, 5.500%, 4/19/2019(c)		2,480,333
	553,507	HMK Intermediate Holdings LLC, Term Loan, 7.250%, 3/29/2019(c)		557,658
	1,512,000	Serta Simmons Holdings LLC, Term Loan, 5.000%, 10/01/2019(c)		1,528,330
	400,000	SRAM LLC, 2nd Lien Term Loan, 8.500%, 12/07/2018(c)		405,500
	634,000	Tempur-Pedic International, Inc., New Term Loan B, 11/20/2019(b)		641,925
	434,380	Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(c)		411,710
				7,464,438
		Diversified Manufacturing – 0.8%
	1,569,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(c)		1,590,574

Principal Amount		Description	Value (†)
	Senior Loans – continued
		Diversified Manufacturing – continued
$	396,968	Douglas Dynamics Holdings, Inc., New Term Loan, 5.750%, 4/18/2018(c)	$	394,241
	470,792	Edwards (Cayman Islands II) Limited, Extended 1st Lien Term Loan, 5.500%, 5/31/2016(c)		470,989
				2,455,804
		Electric – 1.3%
	1,032,413	Calpine Corporation, Term Loan B3, 4/02/2018(b)		1,039,082
	1,032,771	Mirion Technologies, Inc., 1st Lien Term Loan, 6.250%, 3/30/2018(c)		1,037,295
	3,000,000	Texas Competitive Electric Holdings Company LLC, Extended Term Loan, 4.731%, 10/10/2017(d)		2,046,660
				4,123,037
		Entertainment – 0.3%
	437,257	ClubCorp Club Operations, Inc., Term Loan B, 5.000%, 11/30/2016(c)		444,362
	218,900	SMG (Stadium Management Group), New Term Loan B, 5.500%, 6/07/2018(c)		219,995
	234,000	WMG Acquisition Corp., Term Loan, 5.250%, 11/01/2018(c)		236,632
				900,989
		Financial Other – 2.2%
	800,000	Connolly Holdings, Inc., 2nd Lien Term Loan, 10.500%, 7/15/2019(c)		811,000
	250,250	Hamilton Lane Advisors LLC, Term Loan, 6.500%, 2/28/2018(c)		250,876
	667,696	Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(c)		671,035
	831,922	Ipreo Holdings LLC, Term Loan B2, 6.500%, 8/05/2017(c)		840,241
	35,646	Ipreo Holdings LLC, Term Loan B3, 6.500%, 8/05/2017(c)		35,958
	1,000,000	Nuveen Investments, Inc., New 2nd Lien Term Loan, 2/28/2019(b)		1,020,000
	1,377,000	Nuveen Investments, Inc., New 2nd Lien Term Loan, 8.250%, 2/28/2019(c)		1,404,540
	419,000	Transfirst Holdings, Inc., 1st Lien Term Loan, 6.250%, 12/27/2017(c)		423,978
	636,070	Triple Point Technology, Inc., New 1st Lien Term Loan, 6.250%, 10/27/2017(c)		636,865
	1,000,000	Wall Street Systems, Inc., New 2nd Lien Term Loan, 9.250%, 10/26/2020(c)		1,001,670
				7,096,163
		Food & Beverage – 1.5%
	2,065,367	Arctic Glacier USA, Inc., Term Loan B, 8.500%, 7/19/2018(c)		2,091,184
	550,000	CPM Acquisition Corp., 2nd Lien Term Loan, 10.250%, 2/28/2018(c)		550,000
	455,558	DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(c)		464,669
	1,466,000	Milk Specialties Company, New Term Loan B, 7.000%, 11/07/2018(c)		1,471,497

Principal Amount		Description	Value (†)
	Senior Loans – continued
		Food & Beverage – continued
$	268,125	OSI Restaurant Partners LLC, New Term Loan B, 4.750%, 10/25/2019(c)	$	271,447
				4,848,797
		Gaming – 0.2%
	450,000	Peninsula Gaming LLC, Term Loan, 5.750%, 11/20/2017(c)		456,471
	266,983	Tropicana Entertainment, Inc., Term Loan B, 7.500%, 3/16/2018(c)		268,096
				724,567
		Healthcare – 9.3%
	1,000,000	AssuraMed Holding, Inc., 2nd Lien Term Loan, 9.250%, 4/24/2020(c)		1,019,170
	841,000	ATI Holdings, Inc., New Term Loan, 5.750%, 12/20/2019(c)		847,307
	700,000	Aurora Diagnostics LLC, Term Loan B, 5/26/2016(b)		675,500
	1,455,556	Aurora Diagnostics LLC, Term Loan B, 6.250%, 5/26/2016(c)		1,404,611
	774,000	Bright Horizons Family Solutions, Inc., New Term Loan B, 4.000%, 1/30/2020(c)		777,870
	1,000,000	CHG Buyer Corporation, 2nd Lien Term Loan, 9.000%, 11/19/2020(c)		1,022,500
	668,660	Convatec, Inc., Term Loan, 5.000%, 12/22/2016(c)		675,628
	462,505	DJO Finance LLC, Term Loan B3, 6.250%, 9/15/2017(c)		466,265
	997,462	Emergency Medical Services Corporation, Term Loan, 4.000%, 5/25/2018(c)		998,709
	496,000	Equinox Holdings, Inc., 1st Lien Term Loan, 5.500%, 1/31/2020(c)		500,960
	1,500,000	Gentiva Health Services, Inc., New Term Loan B, 8/17/2016(b)		1,504,695
	500,000	Healogics, Inc., 2nd Lien Term Loan, 2/05/2020(b)		511,250
	2,000,000	Healogics, Inc., 2nd Lien Term Loan, 9.250%, 2/05/2020(c)		2,045,000
	519,314	Kindred Healthcare, Inc., Add on Term Loan B, 5.250%, 6/01/2018(c)		518,276
	807,167	Kindred Healthcare, Inc., Term Loan, 5.250%, 6/01/2018(c)		805,553
	654,348	Kinetic Concepts, Inc., Term Loan C1, 5.500%, 5/04/2018(c)		662,422
	179,100	Physiotherapy Associates Holdings, Inc., 1st Lien Term Loan, 6.005%, 4/30/2018(d)		179,399
	350,000	PLATO, Inc., 2nd Lien Term Loan, 11.250%, 5/09/2019(c)		346,500
	2,199,531	PLATO, Inc., New 1st Lien Term Loan, 5/17/2018(b)		2,205,030
	400,000	Press Ganey Associates, Inc., 2nd Lien Term Loan, 8.250%, 10/18/2018(c)		403,000
	801,990	Renaissance Learning, Inc., New Term Loan B, 5.750%, 11/13/2018(c)		806,505
	1,750,000	Rural/Metro Corporation, Term Loan, 6/29/2018(b)		1,756,195

Principal Amount		Description	Value (†)
	Senior Loans – continued
		Healthcare – continued
$	897,722	Rural/Metro Corporation, Term Loan, 5.750%, 6/29/2018(c)	$	900,899
	1,243,000	Sage Products, Inc., Refi Term Loan B, 4.250%, 12/13/2019(c)		1,243,000
	450,000	Sheridan Holdings, Inc., New 2nd Lien Term Loan, 9.000%, 7/01/2019(c)		456,750
	295,500	Surgical Care Affiliates, Inc., Incremental Term Loan B, 5.500%, 6/29/2018(c)		295,500
	1,920,000	TriZetto Group, Inc., (The), 2nd Lien Term Loan D, 8.500%, 3/27/2019(c)		1,922,400
	435,788	TriZetto Group, Inc., (The), Term Loan B, 4.750%, 5/02/2018(c)		435,060
	912,707	Truven Health Analytics, Inc., New Term Loan B, 5.750%, 6/06/2019(c)		921,268
	1,537,000	United Surgical Partners International, Inc., Incremental Term Loan, 4/03/2019(b)		1,540,366
	797,526	United Surgical Partners International, Inc., Incremental Term Loan, 6.000%, 4/03/2019(c)		799,273
	455,000	United Surgical Partners International, Inc., Refi Term Loan, 4/03/2019(b)		453,863
	1,191,975	Valitas Health Services, Inc., Term Loan B, 5.750%, 6/02/2017(c)		1,192,964
				30,293,688
		Industrial Other – 7.6%
	768,000	ADS Waste Holdings, Inc., New Term Loan B, 4.250%, 10/09/2019(c)		768,722
	1,341,000	Apex Tool Group LLC, Term Loan B, 4.500%, 1/31/2020(c)		1,354,169
	700,000	Brand Energy & Infrastructure Services, Inc., New 2nd Lien Term Loan, 10/23/2019(b)		692,419
	1,850,000	Brand Energy & Infrastructure Services, Inc., New 2nd Lien Term Loan, 11.000%, 10/23/2019(c)		1,829,965
	1,465,000	Capital Safety North America Holdings, Inc., Term Loan, 4.500%, 1/21/2019(c)		1,465,000
	1,406,000	Dematic S.A., Term Loan, 5.250%, 3/28/2019(c)		1,415,223
	1,905,000	Dexter Axle Company, Term Loan B, 6.000%, 11/01/2018(c)		1,924,050
	782,000	GCA Services Group, Inc., Term Loan B, 5.250%, 11/01/2019(c)		782,000
	472,990	Generac Power Systems, Inc., New Term Loan B, 6.250%, 2/08/2019(c)		482,114
	1,718,000	Intelligrated, Inc., 1st Lien Term Loan, 4.500%, 7/30/2018(c)		1,718,000
	2,055,191	Jimmy Sanders Incorporated, Term Loan, 6.750%, 11/14/2018(c)		2,060,329
	300,000	McJunkin Red Man Corporation, Term Loan B, 11/08/2019(b)		301,875
	2,166,823	McJunkin Red Man Corporation, Term Loan B, 6.250%, 11/08/2019(c)		2,180,365
	550,000	New Breed, Inc., Term Loan B, 10/01/2019(b)		551,375
	804,000	New Breed, Inc., Term Loan B, 6.000%, 10/01/2019(c)		806,010
	568,923	Nusil Technology LLC, New Term Loan, 4/07/2017(b)		571,944

Principal Amount		Description	Value (†)
	Senior Loans – continued
		Industrial Other – continued
$	241,305	ON Assignment, Inc., Term Loan B, 5.000%, 5/15/2019(c)	$	243,411
	354,113	Rexnord LLC, REFI Term Loan B, 4.500%, 4/02/2018(c)		356,322
	1,200,000	Schaeffler AG, USD Term Loan B2, 1/27/2017(b)		1,199,700
	894,321	Schaeffler AG, USD Term Loan B2, 6.000%, 1/27/2017(c)		894,097
	891,000	Silver II US Holdings LLC, Term Loan, 4.000%, 12/13/2019(c)		891,000
	281,185	Tank Holding Corp., Refi Term Loan, 4.250%, 7/09/2019(d)		282,007
	424,365	TriNet Group, Inc., Term Loan B, 6.500%, 10/24/2018(c)		427,547
	1,216,000	WESCO Distribution, Inc., Term Loan B, 4.500%, 12/12/2019(c)		1,227,151
	424,935	WireCo WorldGroup, Inc., New Term Loan, 6.000%, 2/15/2017(c)		429,184
				24,853,979
		Media Cable – 1.6%
	270,500	Crown Media Holdings, Inc., Term Loan B, 5.750%, 7/14/2018(c)		271,176
	800,000	ION Media Networks, Inc., Term Loan B, 7/24/2018(b)		804,000
	1,234,000	ION Media Networks, Inc., Term Loan B, 7.250%, 7/24/2018(c)		1,240,170
	2,963,000	Virgin Media Investment Holdings Limited, USD Term Loan B, 2/19/2020(b)		2,945,311
				5,260,657
		Media Non-Cable – 4.0%
	2,000,000	Clear Channel Communications, Inc., Term Loan B, 1/29/2016(b)		1,710,500
	500,000	Dex Media West LLC, New Term Loan, 10/24/2014(b)		381,070
	2,538,530	Dex Media West LLC, New Term Loan, 7.000%, 10/24/2014(c)		1,934,715
	192,104	Entercom Radio LLC, Term Loan B, 5.021%, 11/23/2018(d)		194,185
	1,419,000	Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(c)		1,430,040
	1,332,000	Nine Entertainment Group Limited, Term Loan B, 3.500%, 2/05/2020(c)		1,330,894
	569,152	Rovi Solutions Corporation, Term Loan B2, 4.000%, 3/29/2019(c)		571,287
	500,000	SuperMedia, Inc., Exit Term Loan, 12/31/2015(b)		369,375
	2,583,189	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(c)		1,908,331
	1,300,000	Tribune Company, Exit Term Loan, 4.000%, 12/31/2019(c)		1,305,148
	2,046,295	Univision Communications, Inc., Refi Term Loan C2, 3/02/2020(b)		2,048,853
				13,184,398

Principal Amount		Description	Value (†)
	Senior Loans – continued
		Metals & Mining – 4.4%
$	2,445,183	American Rock Salt Holdings LLC, Term Loan, 5.500%, 4/25/2017(c)	$	2,421,172
	550,000	Arch Coal, Inc., Term Loan B, 5/16/2018(b)		559,487
	1,100,700	Arch Coal, Inc., Term Loan B, 5.750%, 5/16/2018(c)		1,119,687
	391,726	Fairmount Minerals Ltd., New Term Loan B, 5.250%, 3/15/2017(c)		392,074
	1,200,000	FMG America Finance, Inc., Term Loan, 10/18/2017(b)		1,214,376
	1,207,154	FMG America Finance, Inc., Term Loan, 5.250%, 10/18/2017(c)		1,221,616
	363,636	Metal Services LLC, Term Loan, 6/30/2017(b)		366,818
	681,000	Metal Services LLC, Term Loan, 7.750%, 6/30/2017(c)		686,959
	2,188,750	Patriot Coal Corporation, DIP First-Out Term Loan, 9.250%, 10/04/2013(c)		2,198,337
	639,396	Preferred Proppants LLC, Term Loan B, 7.500%, 12/15/2016(c)		594,638
	299,735	Tube City IMS Corporation, Term Loan, 3/20/2019(b)		302,358
	299,735	Tube City IMS Corporation, Term Loan, 5.750%, 3/20/2019(c)		302,358
	561,472	United Distribution Group, Inc., Term Loan, 7.500%, 10/09/2018(c)		544,628
	1,500,000	Walter Energy, Inc., Term Loan B, 4/02/2018(b)		1,502,580
	1,000,000	Walter Energy, Inc., Term Loan B, 5.750%, 4/02/2018(c)		1,001,720
				14,428,808
		Non-Captive Diversified – 0.5%
	165,573	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 4.750%, 7/16/2018(c)		168,471
	1,401,921	Istar Financial, Inc., Term Loan, 4.500%, 10/16/2017(c)		1,402,804
				1,571,275
		Oil Field Services – 0.7%
	450,000	Pinnacle Holdco S.A.R.L., 2nd Lien Term Loan, 10.500%, 7/24/2020(c)		455,850
	1,665,000	Pinnacle Holdco S.A.R.L., Term Loan, 7/24/2019(b)		1,672,076
	139,341	Utex Industries, Inc., Add on Term Loan B, 7.000%, 12/15/2016(c)		140,038
	183,507	Utex Industries, Inc., Term Loan B, 7.010%, 12/15/2016(d)		184,425
				2,452,389
		Packaging – 1.5%
	1,737,311	BWAY Corporation, Term Loan B, 4.500%, 8/07/2017(c)		1,752,825
	318,141	Husky Injection Molding Systems Ltd., New Term Loan B, 5.750%, 6/29/2018(c)		321,402
	1,239,941	Pro Mach, Inc., New Term Loan B, 7/06/2017(b)		1,245,112

Principal Amount		Description	Value (†)
	Senior Loans – continued
		Packaging – continued
$	265,000	Pro Mach, Inc., New Term Loan B, 5.000%, 7/06/2017(c)	$	266,105
	997,500	Reynolds Group Holdings, Inc., New Dollar Term Loan, 4.750%, 9/28/2018(c)		1,008,512
	223,875	TricorBraun, Inc., New Term Loan B, 5.500%, 5/03/2018(c)		225,975
				4,819,931
		Paper – 0.1%
	250,000	Hoffmaster Group, Inc., 2nd Lien Term Loan, 11.000%, 1/03/2019(c)		250,000
		Pharmaceuticals – 3.1%
	1,383,000	Inc Research, Inc., Refi Term Loan B, 6.000%, 7/12/2018(c)		1,389,915
	1,300,000	inVentiv Health, Inc., Combined Term Loan, 8/04/2016(b)		1,278,875
	661,187	inVentiv Health, Inc., Combined Term Loan, 7.500%, 8/04/2016(c)		650,443
	375,699	inVentiv Health, Inc., Incremental Term Loan B3, 7.750%, 5/15/2018(c)		369,436
	1,655,328	Par Pharmaceutical Companies, Inc., Refi Term Loan B, 4.250%, 9/28/2019(c)		1,653,258
	1,815,000	Pharmaceutical Product Development, Inc., New Term Loan B, 4.250%, 12/05/2018(c)		1,825,218
	550,000	Phillips Plastics Corporation, Term Loan, 2/10/2017(b)		550,688
	650,000	Phillips Plastics Corporation, Term Loan B, 2/17/2017(b)		648,375
	1,000,000	PRA Holdings, Inc., 2nd Lien Term Loan, 6/10/2019(b)		1,007,500
	900,000	PRA Holdings, Inc., 2nd Lien Term Loan, 10.500%, 6/10/2019(c)		906,750
				10,280,458
		Pipelines – 0.2%
	621,964	NGPL PipeCo LLC, Term Loan B, 6.750%, 9/15/2017(c)		633,514
		Property & Casualty Insurance – 2.6%
	2,176,082	Alliant Holdings I, Inc., New Term Loan B, 5.000%, 12/20/2019(c)		2,192,402
	1,480,000	AmWINS Group, Inc., New Term Loan, 9/06/2019(b)		1,484,396
	600,000	Applied Systems, Inc., 2nd Lien Term Loan, 9.500%, 6/08/2017(c)		601,500
	1,445,000	CCC Information Services, Inc., Term Loan, 5.250%, 12/20/2019(c)		1,453,670
	1,989,000	Compass Investors, Inc., Term Loan, 5.250%, 12/27/2019(c)		2,001,431
	900,000	Cunningham Lindsey U.S., Inc., 2nd Lien Term Loan, 9.250%, 6/10/2020(c)		919,692
				8,653,091
		Restaurants – 1.0%
	169,575	Brasa Holdings, Inc., 1st Lien Term Loan, 7.500%, 7/19/2019(c)		170,423

Principal Amount		Description	Value (†)
	Senior Loans – continued
		Restaurants – continued
$	1,650,000	Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(c)	$	1,650,000
	355,110	Centerplate, Inc., Term Loan B, 5.753%, 10/15/2018(d)		357,109
	411,888	Landry’s, Inc., Term Loan B, 4.750%, 4/24/2018(c)		413,506
	310,434	P.F. Chang’s China Bistro, Inc., Term Loan B, 5.250%, 7/02/2019(c)		314,315
	281,099	Sagittarius Restaurants LLC, Term Loan B, 7.511%, 5/18/2015(d)		281,568
				3,186,921
		Retailers – 2.9%
	500,000	BJ’s Wholesale Club, Inc., 2nd Lien Term Loan, 9.750%, 3/26/2020(c)		516,565
	700,000	David’s Bridal, Inc., New Term Loan B, 10/11/2019(b)		707,175
	1,530,055	David’s Bridal, Inc., New Term Loan B, 5.000%, 10/11/2019(c)		1,545,738
	1,674,803	Evergreen Acqco 1 LP, New Term Loan, 5.000%, 7/09/2019(c)		1,688,938
	381,849	Gymboree Corporation, (The), Initial Term Loan, 5.000%, 2/23/2018(c)		366,655
	597,000	Harbor Freight Tools USA, Inc., Term Loan B, 5.500%, 11/14/2017(c)		602,970
	1,858,000	Party City Holdings, Inc., Refi Term Loan B, 4.250%, 7/29/2019(c)		1,856,606
	446,625	RGIS Services LLC, Term Loan C, 5.500%, 10/18/2017(c)		449,787
	1,064,000	Rite Aid Corporation, Term Loan 6, 7/22/2013(b)		1,066,054
	580,539	Sportsman’s Warehouse Holdings, Inc., Term Loan B, 8.500%, 11/13/2018(c)		581,990
				9,382,478
		Supermarkets – 0.8%
	685,000	Acosta, Inc., Term Loan D, 5.000%, 3/02/2018(c)		690,480
	295,489	Sprouts Farmers Markets Holdings LLC, Term Loan, 6.000%, 4/18/2018(c)		296,842
	1,100,000	Supervalu, Inc., New Term Loan B, 3/21/2019(b)		1,112,375
	434,446	Supervalu, Inc., Term Loan B, 8.000%, 8/30/2018(c)		440,150
				2,539,847
		Technology – 10.1%
	170,000	Alcatel-Lucent, USD Term Loan B, 6.250%, 8/01/2016(c)		171,777
	1,500,000	Alcatel-Lucent, USD Term Loan C, 1/30/2019(b)		1,516,500
	2,124,000	Alcatel-Lucent, USD Term Loan C, 7.250%, 1/30/2019(c)		2,147,364
	212,431	Aspect Software, Inc., New Term Loan B, 7.000%, 5/06/2016(c)		214,024
	200,000	Blackboard, Inc., 2nd Lien Term Loan, 11.500%, 4/04/2019(c)		195,400

Principal Amount		Description	Value (†)
	Senior Loans – continued
		Technology – continued
$	1,900,000	Blackboard, Inc., Term Loan B2, 10/04/2018(b)	$	1,914,250
	1,620,852	Blackboard, Inc., Term Loan B2, 6.250%, 10/04/2018(c)		1,633,009
	1,275,000	CompuCom Systems, Inc., 2nd Lien Term Loan, 10.250%, 10/04/2019(c)		1,300,500
	278,303	Consona Holdings, Inc., Term Loan B, 7.250%, 8/06/2018(c)		278,650
	750,000	Deltek, Inc., 1st Lien Term Loan, 10/10/2018(b)		755,220
	712,819	Deltek, Inc., 1st Lien Term Loan, 5.000%, 10/10/2018(c)		717,780
	500,000	Deltek, Inc., 2nd Lien Term Loan, 10.000%, 10/10/2019(c)		510,625
	546,964	Eastman Kodak Company, DIP Term Loan B, 8.500%, 7/19/2013(c)		546,734
	2,250,000	EIG Investors Corp., New 2nd Lien Term Loan, 10.250%, 11/08/2019(c)		2,250,000
	600,000	First Data Corporation, 2017 Term Loan B, 5.202%, 3/24/2017(c)		600,612
	600,000	First Data Corporation, Extended 2017 US Term Loan, 5.202%, 3/24/2017(c)		600,612
	850,000	Freescale Semiconductor, Inc., Extended Term Loan B, 4.452%, 12/01/2016(c)		850,000
	2,237,000	Freescale Semiconductor, Inc., Term Loan B4, 2/28/2020(b)		2,228,052
	880,000	Genesys Telecom Holdings, U.S., Inc., Senior Debt B, 4.000%, 2/07/2020(c)		882,754
	1,000,000	Infor (US), Inc., Term Loan B2, 4/05/2018(b)		1,010,830
	808,673	Infor (US), Inc., Term Loan B2, 5.250%, 4/05/2018(c)		817,431
	1,430,745	NXP B.V., Incremental Term Loan B, 5.250%, 3/19/2019(c)		1,445,053
	689,000	NXP B.V., Term Loan C, 4.750%, 1/11/2020(c)		699,549
	207,900	Openlink International Intermediate, Inc., Initial Term Loan, 7.750%, 10/30/2017(c)		207,640
	2,400,000	Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(c)		2,380,008
	29,290	Rocket Software, Inc., New Term Loan, 5.750%, 2/08/2018(c)		29,382
	384,070	Shield Finance Co. S.A.R.L., New Term Loan B, 6.500%, 5/10/2019(c)		385,510
	523,923	Sirius Computer Solutions, Inc., Term Loan B, 7.000%, 11/30/2018(c)		530,472
	1,500,000	SumTotal Systems LLC, 2nd Lien Term Loan, 10.250%, 5/16/2019(c)		1,481,250
	480,000	SunGard Data Systems, Inc., Term Loan D, 4.500%, 1/31/2020(c)		483,600
	2,703,000	SurveyMonkey.com LLC, Term Loan B, 5.500%, 2/05/2019(c)		2,711,460
	440,531	Telx Group, Inc., Term Loan B, 6.250%, 9/26/2017(c)		444,201
	875,000	Vision Solutions, Inc., 2nd Lien Term Loan, 9.500%, 7/23/2017(c)		848,750

Principal Amount		Description	Value (†)
	Senior Loans – continued
		Technology – continued
$	373,333	Web.com Group, Inc., 2nd Lien Term Loan, 11.000%, 10/26/2018(c)	$	382,977
				33,171,976
		Transportation Services – 0.7%
	1,393,000	FleetPride Corporation, 1st Lien Term Loan, 5.250%, 11/19/2019(c)		1,409,103
	354,323	Road Infrastructure Investment LLC, Term Loan B, 6.250%, 3/30/2018(c)		355,208
	412,198	Wabash National Corporation, Term Loan B, 6.000%, 5/02/2019(c)		414,948
				2,179,259
		Utility Other – 0.2%
	700,000	Sensus USA, Inc., 2nd Lien Term Loan, 8.500%, 5/09/2018(c)		700,441
		Wireless – 1.0%
	2,642,915	Asurion LLC, New Term Loan B1, 4.500%, 5/24/2019(c)		2,650,633
	399,000	Hawaiian Telcom Communications, Inc., Term Loan B, 7.000%, 2/28/2017(c)		406,481
	234,000	SBA Finance, Add on Term Loan, 3.750%, 9/27/2019(c)		235,170
				3,292,284
		Wirelines – 5.4%
	2,324,000	Consolidated Communications, Inc., Term Loan B3, 5.250%, 12/31/2018(c)		2,346,520
	2,250,000	Fairpoint Communications, Inc., Refi Term Loan, 2/14/2019(b)		2,220,930
	3,000,000	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(c)		2,961,240
	478,000	Fibertech Networks LLC, New Term Loan, 5.750%, 12/18/2019(c)		479,993
	1,300,000	Global Tel*Link Corporation, New Term Loan B, 12/14/2017(b)		1,301,625
	451,613	Global Tel*Link Corporation, New Term Loan B, 6.000%, 12/14/2017(c)		452,177
	1,233,000	Integra Telecom, Inc., Refi 2nd Lien Term Loan, 2/21/2020(b)		1,260,743
	1,947,310	Integra Telecom, Inc., Refi Term Loan, 2/22/2019(b)		1,968,730
	1,947,000	Level 3 Financing, Inc., Term Loan, 4.750%, 8/01/2019(c)		1,962,576
	517,750	MegaPath Group, Inc., Term Loan B, 7.500%, 12/20/2017(c)		491,863
	393,985	Sidera Networks, Inc., Term Loan, 6.000%, 8/26/2016(c)		393,000
	893,619	U.S. Telepacific Corporation, New Term Loan B, 5.750%, 2/23/2017(c)		891,009
	911,740	Zayo Group LLC, New Term Loan B, 5.250%, 7/02/2019(c)		914,703
				17,645,109
		Total Senior Loans (Identified Cost $266,397,182)		268,203,669

Principal Amount		Description	Value (†)
	Bonds and Notes – 11.7%
		Building Materials – 0.4%
$	1,100,000	Ply Gem Industries, Inc., 9.375%, 4/15/2017	$	1,189,375
		Chemicals – 0.6%
	2,000,000	INEOS Group Holdings, S.A., 8.500%, 2/15/2016, 144A		2,032,500
		Consumer Cyclical Services – 0.8%
	350,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		344,313
	2,000,000	West Corp., 8.625%, 10/01/2018		2,130,000
				2,474,313
		Consumer Products – 0.6%
	2,100,000	Visant Corp., 10.000%, 10/01/2017		1,895,250
		Electric – 0.3%
	1,000,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(e)		957,500
		Entertainment – 0.4%
	1,000,000	ClubCorp Club Operations, Inc., 10.000%, 12/01/2018		1,123,750
		Gaming – 0.7%
	2,000,000	Marina District Finance Co., Inc., 9.500%, 10/15/2015		2,056,250
	300,000	MGM Resorts International, 7.625%, 1/15/2017		330,750
				2,387,000
		Healthcare – 0.5%
	1,050,000	Alere, Inc., 9.000%, 5/15/2016		1,102,500
	400,000	Surgical Care Affiliates, Inc., 10.000%, 7/15/2017, 144A		414,000
				1,516,500
		Media Non-Cable – 0.7%
	2,375,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		2,315,625
		Metals & Mining – 1.0%
	1,500,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		1,443,750
	1,000,000	Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		820,000
	1,000,000	Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.000%, 10/15/2017, 144A		1,095,000
				3,358,750
		Non-Captive Consumer – 0.3%
	1,100,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		1,089,000

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Captive Diversified – 0.6%
$	2,000,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A	$	2,050,000
		Oil Field Services – 1.1%
	1,200,000	Hercules Offshore, Inc., 10.500%, 10/15/2017, 144A		1,302,000
	1,700,000	Parker Drilling Co., 9.125%, 4/01/2018		1,840,250
	475,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		486,875
				3,629,125
		Property & Casualty Insurance – 0.1%
	300,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		314,210
		Supermarkets – 1.1%
	1,600,000	SUPERVALU, Inc., 7.500%, 11/15/2014		1,606,016
	2,000,000	SUPERVALU, Inc., 8.000%, 5/01/2016		2,002,500
				3,608,516
		Technology – 0.1%
	400,000	First Data Corp., 9.875%, 9/24/2015		411,500
		Wireless – 1.4%
	1,000,000	Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/2015, 144A		1,082,500
	2,500,000	NII Capital Corp., 10.000%, 8/15/2016		2,212,500
	1,100,000	Wind Acquisition Finance, S.A., 11.750%, 7/15/2017, 144A		1,157,750
				4,452,750
		Wirelines – 1.0%
	1,000,000	Integra Telecom Holdings, Inc., 10.750%, 4/15/2016, 144A		1,060,000
	2,000,000	Level 3 Communications, Inc., 11.875%, 2/01/2019		2,310,000
				3,370,000
		Total Bonds and Notes (Identified Cost $37,516,866)		38,175,664
	Short-Term Investments – 20.1%
	853,191	Repurchase Agreement with State Street Bank and Trust Company, dated 2/28/2013 at 0.010% to be repurchased at $853,191 on 3/01/2013 collateralized by $895,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $896,244 including accrued interest(f)		853,191
	64,729,176	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2013 at 0.000% to be repurchased at $64,729,176 on 3/01/2013 collateralized by $66,060,000 U.S. Treasury Bill, due 5/23/2013 valued at $66,026,970 including accrued interest(f)		64,729,176
		Total Short-Term Investments (Identified Cost $65,582,367)		65,582,367

Description	Value (†)
Total Investments – 113.8% (Identified Cost $369,496,415)(a)	$	371,961,700
Other assets less liabilities – (13.8)%		(44,974,651	)
Net Assets – 100.0%	$	326,987,049

(†) Senior loans are priced at bid prices supplied by an independent pricing service recommended by the investment adviser and approved by the Board of Trustees, if available. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders.

Broker-dealer bid quotations may also be used to value senior loans and debt securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Investments in other open-end investment companies are valued at their net asset value each day.

Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):

At February 28, 2013, the net unrealized appreciation on investments based on a cost of $369,541,181 for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	2,978,036
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(557,517	)
Net unrealized appreciation	$	2,420,519

At November 30, 2012, late-year ordinary and post-October capital loss deferrals were $25,568. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b) Position is unsettled. Contract rate was not determined at February 28, 2013 and does not take effect until settlement date.

(c) Variable rate security. Rate as of February 28, 2013 is disclosed.

(d) Variable rate security. Rate shown represents the weighted average rate of underlying contracts at February 28, 2013.

(e) All or a portion of interest payment is paid-in-kind.

(f) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At February 28, 2013, the value of Rule 144A holdings amounted to $14,216,085 or 4.3% of net assets.

MTN Medium Term Note

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

• Level 1 – quoted prices in active markets for identical assets or liabilities;

• Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

• Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of February 28, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Senior Loans*	$	—	$	268,203,669	$	—	$	268,203,669
Bonds and Notes*		—		38,175,664		—		38,175,664
Short-Term Investments		—		65,582,367		—		65,582,367
Total	$	—	$	371,961,700	$	—	$	371,961,700

* Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended February 28, 2013, there were no transfers between Levels 1, 2 and 3.

Unfunded Loan Commitments

As of February 28, 2013, the Fund had one unfunded loan commitment which could be funded at the option of the following Borrower, pursuant to the loan agreement:

Borrower	Unfunded Loan Commitment
Syniverse Holdings, Inc.	$	2,335,000

Industry Summary at February 28, 2013 (Unaudited)

Technology	10.2	%
Healthcare	9.8
Industrial Other	7.6
Wirelines	6.4
Metals & Mining	5.4
Consumer Cyclical Services	4.8
Media Non-Cable	4.7
Chemicals	4.3
Pharmaceuticals	3.1
Retailers	2.9
Consumer Products	2.9
Building Materials	2.8
Property & Casualty Insurance	2.7
Aerospace & Defense	2.7
Wireless	2.4
Financial Other	2.2
Other Investments, less than 2% each	18.8
Short-Term Investments	20.1
Total Investments	113.8
Other assets less liabilities	(13.8	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of February 28, 2013 (Unaudited)

Vaughan Nelson Select Fund

Shares		Description	Value (†)
	Common Stocks – 92.0% of Net Assets
		Aerospace & Defense – 6.7%
	8,175	Honeywell International, Inc.	$	573,068
	2,175	Precision Castparts Corp.		405,833
				978,901
		Capital Markets – 2.5%
	13,000	SEI Investments Co.		367,510
		Chemicals – 2.4%
	3,100	Praxair, Inc.		350,455
		Commercial Banks – 3.0%
	10,400	CIT Group, Inc.(b)		435,344
		Commercial Services & Supplies – 2.9%
	13,450	Republic Services, Inc.		422,868
		Consumer Finance – 0.0%
	50	Capital One Financial Corp.		2,552
		Containers & Packaging – 2.9%
	9,550	Ball Corp.		424,115
		Diversified Financial Services – 6.5%
	12,000	CME Group, Inc., Class A		717,840
	4,800	Moody’s Corp.		230,688
				948,528
		Diversified Telecommunication Services – 2.2%
	12,525	Cogent Communications Group, Inc.		315,004
		Energy Equipment & Services – 2.9%
	5,425	Oil States International, Inc.(b)		413,114
		Food Products – 1.8%
	3,500	H.J. Heinz Co.		253,505
		Household Durables – 3.7%
	12,675	Harman International Industries, Inc.		538,054
		Industrial Conglomerates – 5.1%
	7,175	3M Co.		746,200
		Insurance – 3.2%
	16,050	XL Group PLC		459,672
		Internet Software & Services – 5.9%
	1,075	Google, Inc., Class A(b)		861,290
		IT Services – 4.4%
	1,225	MasterCard, Inc., Class A		634,329
		Oil, Gas & Consumable Fuels – 5.9%
	9,100	Phillips 66		572,936

Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – continued
	9,475	QEP Resources, Inc.	$	288,608
				861,544
		Pharmaceuticals – 3.7%
	8,000	Valeant Pharmaceuticals International, Inc.(b)		539,680
		Professional Services – 5.4%
	11,875	Towers Watson & Co., Class A		790,519
		REITs – Diversified – 4.0%
	15,075	Corrections Corp. of America		578,126
		Semiconductors & Semiconductor Equipment – 3.6%
	15,325	Avago Technologies Ltd.		524,421
		Software – 8.2%
	11,625	MICROS Systems, Inc.(b)		497,550
	29,550	Symantec Corp.(b)		692,652
				1,190,202
		Specialty Retail – 5.1%
	9,700	Advance Auto Parts, Inc.		740,498
		Total Common Stocks (Identified Cost $12,228,072)		13,376,431
Principal Amount
	Short-Term Investments – 10.7%
$	1,555,463	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 2/28/2013 at 0.000% to be repurchased at $1,555,463 on 3/01/2013 collateralized by $1,445,000 U.S. Treasury Note, 4.250% due 8/15/2015 valued at $1,586,851 including accrued interest(c) (Identified Cost $1,555,463)		1,555,463
		Total Investments – 102.7% (Identified Cost $13,783,535)(a)		14,931,894
		Other assets less liabilities – (2.7)%		(389,762	)
		Net Assets – 100.0%	$	14,542,132

(†) Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and subadviser and approved by the Board of Trustees. Such independent pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service recommended by the investment adviser and subadviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser or subadviser using consistently applied procedures under the general supervision of the Board of Trustees.

(a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At February 28, 2013, the net unrealized appreciation on investments based on a cost of $13,783,535 for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,218,460
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(70,101	)
Net unrealized appreciation	$	1,148,359

(b) Non-income producing security.

(c) It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

REITs Real Estate Investment Trusts

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

• Level 1 – quoted prices in active markets for identical assets or liabilities;

• Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

• Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Fund’s investments as of February 28, 2013, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	13,376,431	$	—	$	—	$	13,376,431
Short-Term Investments		—		1,555,463		—		1,555,463
Total	$	13,376,431	$	1,555,463	$	—	$	14,931,894

* Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended February 28, 2013, there were no transfers between Levels 1, 2 and 3.

Industry Summary at February 28, 2013 (Unaudited)

Software	8.2	%
Aerospace & Defense	6.7
Diversified Financial Services	6.5
Oil, Gas & Consumable Fuels	5.9
Internet Software & Services	5.9
Professional Services	5.4
Industrial Conglomerates	5.1
Specialty Retail	5.1
IT Services	4.4
REITs – Diversified	4.0
Pharmaceuticals	3.7
Household Durables	3.7
Semiconductors & Semiconductor Equipment	3.6
Insurance	3.2
Commercial Banks	3.0
Containers & Packaging	2.9
Commercial Services & Supplies	2.9
Energy Equipment & Services	2.9
Capital Markets	2.5
Chemicals	2.4
Diversified Telecommunication Services	2.2
Other Investments, less than 2% each	1.8
Short-Term Investments	10.7
Total Investments	102.7
Other assets less liabilities	(2.7	)
Net Assets	100.0	%

ITEM 2. CONTROLS AND PROCEDURES.

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS

(a)(1)	Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.
(a)(2)	Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

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.

Natixis Funds Trust II
By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	April 19, 2013

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

By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	April 19, 2013
By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	April 19, 2013