UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04323

Natixis Funds Trust I

(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.

Natixis Distributors, 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: September 30

Date of reporting period: September 30, 2009

Item 1. Reports to Stockholders.

The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:

INCOME FUNDS

ANNUAL REPORT

September 30, 2009

Loomis Sayles Core Plus Bond Fund

Loomis Sayles High Income Fund

Loomis Sayles International Bond Fund

Loomis Sayles Limited Term Government and Agency Fund

Loomis Sayles Strategic Income Fund

TABLE OF CONTENTS

Management Discussion and Performancepage 1

Portfolio of Investmentspage 18

LOOMIS SAYLES CORE PLUS BOND FUND

PORTFOLIO PROFILE

Objective:

Seeks a high level of current income consistent with what the fund considers reasonable risk

Strategy:

Invests primarily in U.S. corporate and U.S. government bonds

Fund Inception:

November 7, 1973

Managers:

Peter W. Palfrey, CFA

Richard G. Raczkowski

Loomis, Sayles & Company, L.P.

Symbols:

Class A	NEFRX
Class B	NERBX
Class C	NECRX
Class Y	NERYX

What You Should Know:

Fixed-income securities are subject to credit risk and interest rate risk; their value generally rises when prevailing interest rates fall and falls when rates rise.

The fund can invest a significant percentage of assets in debt securities that are rated below investment grade and the value of fund shares can be adversely affected by changes in economic conditions or other circumstances. Lower rated debt securities have speculative characteristics and may be subject to greater price volatility than higher rated investments. In addition, the secondary market for these securities may lack liquidity. The fund can also invest a significant percentage of assets in foreign securities and the value of the fund shares can be adversely affected by changes in currency exchange rates, political, and economic developments. In emerging markets, these risks can be significant. Fund shares should be viewed as a long-term investment.

Management Discussion

In the extremely difficult market environment that characterized the end of 2008 and early 2009, widespread concern about the world’s financial markets triggered a massive flight to safety. This hurt risk markets and drove yields on U.S. Treasury securities to record lows. As the risk markets neared a bottom, Loomis Sayles Core Plus Bond Fund moved aggressively back into credit and securitized markets as well as into Treasury Inflation Protected Securities (TIPS) at attractive valuations. These moves worked well for the fund.

For the fiscal year ended September 30, 2009, the total return on Class A shares of the fund was 20.07% based on the net asset value and $0.66 in reinvested dividends. By comparison, the fund’s benchmark, Barclays Capital U.S. Aggregate Bond Index, returned 10.56% for the fiscal period, while Morningstar’s Intermediate-Term Bond peer group returned 11.81%.

WHICH OF THE TACTICS YOU USED WAS MOST HELPFUL TO THE FUND?

Our move from a very defensive positioning in the fall of 2008 to a much more aggressive positioning late in 2008 and in 2009 as risk markets recovered was key to protecting capital through the worst of the financial crisis and participating in the upturn. Our increased allocation to higher-yielding securities was also strongly positive. Corporate bonds performed well, particularly industrials, which were the largest contributor. Strong security selection and our overweight positions in investment-grade financial and utility companies were also positive.

The recovery in the high-yield market began late in December of 2008 and continued through September of 2009. We doubled the fund’s exposure to high-yield securities during the year and began harvesting gains in earnest in the second quarter of 2009 as evidence mounted that economic conditions were stabilizing. An increasing number of companies issued new debt and some of our holdings in previously distressed companies — including Ford and GMAC — came back into favor.

DID THE DECLINE IN THE U.S. DOLLAR IMPACT THE FUND?

The fund’s significant allocation to the Japanese yen was an effective defensive measure during the closing quarter of 2008, and we sold most of the fund’s yen-denominated holdings late in 2008 at substantial gains. We opportunistically added positions in Australian and Canadian dollars to capture the anticipated rebound in commodity currencies as risk markets began to stabilize. During the summer of 2009, we shifted the fund’s remaining non-U.S.-dollar position back into Treasuries due to concerns mounting that the depreciating U.S. dollar might be overdue for a correction.

WHAT ABOUT OTHER POSITIONS? HOW DID THEY IMPACT PERFORMANCE?

Commercial mortgage-backed securities (CMBS) detracted from performance in the final quarter of 2008 and early in 2009, but this sector was very positive throughout the remainder of the fiscal year. This reflected improving investor confidence in higher-rated CMBS and support from government stimulus programs. Following a significant rally, we trimmed holdings in CMBS at a profit in the third quarter or 2009.

WHAT’S YOUR OUTLOOK?

The significant rebound from such distressed price levels and the sharp contraction in yield spreads has helped normalize most markets, but we believe there is still good value to be found should the U.S. and global economies continue to recover as expected. Going forward, the timing of the government’s exit strategy from its current levels of monetary and fiscal support, as well as investor risk preferences, will likely drive the markets over the next 12 months. Portfolio yield in the shorter maturity sectors should become increasingly important as Treasury yields start to normalize and inflation fears become more prevalent. We plan to maintain a high degree of liquidity in the fund in anticipation of what we expect to be a bumpy recovery and to take advantage of volatility we see ahead for the markets in the coming year.

1

LOOMIS SAYLES CORE PLUS BOND FUND

Investment Results through September 30, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to two indexes provide you with a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of a $10,000 Investment in Class A Shares⁴

Average Annual Total Returns — September 30, 2009⁴

	1 YEAR		5 YEARS		10 YEARS
CLASS A (Inception 11/7/73)
Net Asset Value1	20.07	%	5.88	%	5.89	%
With Maximum Sales Charge2	14.63		4.91		5.41
CLASS B (Inception 9/13/93)
Net Asset Value1	19.19		5.10		5.12
With CDSC3	14.19		4.77		5.12
CLASS C (Inception 12/30/94)
Net Asset Value1	19.20		5.08		5.11
With CDSC3	18.20		5.08		5.11
CLASS Y (Inception 12/30/94)
Net Asset Value1	20.37		6.16		6.26
COMPARATIVE PERFORMANCE	1 YEAR		5 YEARS		10 YEARS
Barclays Capital U.S. Aggregate Bond Index	10.56	%	5.13	%	6.30	%
Barclays Capital U.S. Credit Bond Index	19.49		4.72		6.53
Morningstar Int.-Term Bond Fund Avg.	11.81		3.82		5.38

See page 11 for a description of the indices.

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. All results include reinvestment of any dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. Class Y shares are available to certain investors, as described in the prospectus.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

PORTFOLIO FACTS

	% of Net Assets as of
CREDIT QUALITY	9/30/09	9/30/08
Aaa	51.5	59.1
Aa	4.7	5.6
A	9.0	4.8
Baa	19.6	14.6
Ba	5.9	4.8
B	3.3	5.7
Caa	1.3	0.5
Ca	1.0	0.3
Not Rated*	1.9	3.8
Short-term and other	1.8	0.8

Credit quality is based on ratings from Moody’s Investors Service.

* Securities that are not rated by Moody’s may be rated by another rating agency or by Loomis Sayles.

	% of Net Assets as of
EFFECTIVE DURATION	9/30/09		9/30/08
1 year or less	6.7		8.8
1-5 years	36.6		39.7
5-10 years	43.9		40.0
10+ years	12.8		11.5
Average Effective Duration	5.9	years	5.7	years

Portfolio characteristics will vary.

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio5		Net Expense Ratio6
A	1.04	%	0.90	%
B	1.80		1.65
C	1.79		1.65
Y	0.75		0.65

NOTES TO CHARTS

¹ Does not include a sales charge.

² Includes maximum sales charge of 4.50%.

³ Performance for Class B shares assumes a maximum 5% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

⁴ Fund performance has been increased by expense reductions and reimbursements, if any, without which performance would have been lower.

⁵ Before reductions and reimbursements.

⁶ After reductions and reimbursements. Expense reductions are contractual and are set to expire on 1/31/10.

2

LOOMIS SAYLES HIGH INCOME FUND

PORTFOLIO PROFILE

Objective:

Seeks high current income plus the opportunity for capital appreciation to produce a high total return

Strategy:

Invests primarily in lower-quality fixed-income securities

Fund Inception:

February 22, 1984

Managers:

Matthew J. Eagan, CFA

Kathleen C. Gaffney, CFA

Elaine M. Stokes

Loomis, Sayles & Company, L.P.

Symbols:

Class A	NEFHX
Class B	NEHBX
Class C	NEHCX
Class Y	NEHYX

What You Should Know:

Fixed-income securities are subject to credit risk and interest rate risk; their value generally rises when prevailing interest rates fall and falls when rates rise.

The fund can invest a significant percentage of assets in debt securities that are rated below investment grade and the value of fund shares can be adversely affected by changes in economic conditions or other circumstances. Lower rated debt securities have speculative characteristics and may be subject to greater price volatility than higher rated investments. In addition, the secondary market for these securities may lack liquidity. The fund can also invest a significant percentage of assets in foreign securities and the value of the fund shares can be adversely affected by changes in currency exchange rates, political, and economic developments. In emerging markets, these risks can be significant. Fund shares should be viewed as a long-term investment.

Management Discussion

As the credit crisis eased last spring, investors turned away from low-yielding, government-backed issues in search of better returns in other sectors. High-yield bonds in particular benefited from this renewed risk appetite. Increased demand and stronger market liquidity pushed prices of lower-rated issues sharply higher and their yields plunged. By the end of the period, spreads – the yield advantage high-yield issues have over Treasury issues of similar maturity – had narrowed dramatically from the exceptionally wide levels that had prevailed at the height of the financial crisis.

For the fiscal year ended September 30, 2009, Class A shares of Loomis Sayles High Income Fund provided a total return at net asset value of 15.97%, including $0.33 in dividends reinvested during the period. The fund underperformed its benchmark, Barclays Capital U.S. Corporate High-Yield Bond Index, which returned 22.34% for the period. However, its performance was above the 13.16% average of the funds in Morningstar’s High Yield Bond category.

WHAT WERE THE BEST PERFORMING MARKET AREAS?

As capital returned to the credit markets in the latter part of fiscal 2009, lower-rated industrial bonds made the strongest contribution to results. The ability of lower-rated companies to refinance pending maturities brought default assumptions down significantly and enticed investors to reach for higher returns in the lower-rated portions of the market.

Improving conditions in the world financial system also spurred merger talks, notably in the consolidating pharmaceutical industry. This trend, combined with the broader debate over universal healthcare, spurred demand in the healthcare sector. As a result, consumer non-cyclicals led sector performance for the period. In terms of quality, the fund’s strongest returns came from securities rated B by Moody’s Investors Service.

WHAT CAUSED THE FUND TO LAG ITS BENCHMARK DURING THE YEAR?

In general, the fund underperformed its benchmark because its portfolio included more higher-quality issues during a period when the lower-quality sector provided the best results. Specifically, the fund was underweight in high-yield financials, where government guarantees of certain issues increased investor confidence. Subsequent infusions of capital as part of the government’s stimulus programs also enhanced performance in this area, but the fund’s participation was limited. The fund’s underweight in bonds rated CCC by Moody’s also hindered performance, as this sector recorded some of the period’s better gains. Moreover, our commitment to bank loans and Treasury securities – which are not part of the benchmark – also handicapped results, as higher-rated holdings lost favor in the second half of the year.

WHAT’S YOUR OUTLOOK?

Looking ahead, we continue to believe there is select value in corporate bonds. Despite their recent tightening, spreads remain wide relative to long-term averages. A vast majority of the spread tightening that has taken place this year is due to the re-emergence of liquidity in the markets. Over the long term, further spread tightening from these levels will most likely be generated by an improvement in global and U.S. economic fundamentals. Our view is that maintaining specific risk in the portfolio will present the best opportunity for long-term performance.

Global risk appetite has weakened the U.S. dollar, and we expect this may continue. Currencies from developed and emerging markets may offer more long-term upside potential, particularly the European peripheral currencies and Asian currencies tied to China and its global-growth story.

3

LOOMIS SAYLES HIGH INCOME FUND

Investment Results through September 30, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to an index provide you with a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of a $10,000 Investment in Class A Shares⁴

Average Annual Total Returns — September 30, 2009⁴

	1 YEAR		5 YEARS		10 YEARS		SINCE INCEPTION
CLASS A (Inception 2/22/84)
Net Asset Value1	15.97	%	6.14	%	2.31	%	—
With Maximum Sales Charge2	10.75		5.15		1.84		—
CLASS B (Inception 9/20/93)
Net Asset Value1	15.06		5.32		1.55		—
With CDSC3	10.06		5.02		1.55		—
CLASS C (Inception 3/2/98)
Net Asset Value1	15.37		5.34		1.56		—
With CDSC3	14.37		5.34		1.56		—
CLASS Y (Inception 2/29/08)
Net Asset Value1	16.29		—		—		3.56	%
COMPARATIVE PERFORMANCE	1 YEAR		5 YEARS		10 YEARS		SINCE CLASS Y INCEPTION7
Barclays Capital U.S. Corporate High-Yield Bond Index	22.34	%	6.13	%	6.25	%	8.05	%
Morningstar High Yield Bond Fund Avg.	13.16		4.11		4.47		3.47

See page 11 for a description of the indices.

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. Performance history includes periods from a predecessor fund. Class Y shares are available to certain investors, as described in the prospectus.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

PORTFOLIO FACTS

	% of Net Assets as of
CREDIT QUALITY	9/30/09	9/30/08
Aaa	10.0	17.3
Aa	0.5	2.0
A	0.2	1.0
Baa	5.3	7.6
Ba	28.5	14.9
B	28.2	28.9
Caa	12.9	16.4
Ca	1.9	0.5
C	—	0.0
Not Rated*	5.6	10.1
Short-term and other	6.9	1.3

Credit quality is based on ratings from Moody’s Investors Service.

* Securities that are not rated by Moody’s may be rated by another rating agency or by Loomis Sayles.

	% of Net Assets as of
EFFECTIVE MATURITY	9/30/09		9/30/08
1 year or less	6.8		16.0
1-5 years	32.1		25.7
5-10 years	34.2		28.5
10+ years	26.9		29.8
Average Effective Maturity	8.6	years	8.8	years

Portfolio characteristics will vary.

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio5		Net Expense Ratio6
A	1.40	%	1.15	%
B	2.15		1.90
C	2.15		1.90
Y	1.15		0.90

NOTES TO CHARTS

¹ Does not include a sales charge.

² Includes maximum sales charge of 4.50%.

³ Performance for Class B shares assumes a maximum 5% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

⁴ Fund performance has been increased by expense reductions and reimbursements, if any, without which performance would have been lower.

⁵ Before reductions and reimbursements.

⁶ After reductions and reimbursements. Expense reductions are contractual and are set to expire on 1/31/10.

⁷ The since-inception comparative performance figures shown for Class Y shares are calculated from 3/1/08.

4

LOOMIS SAYLES INTERNATIONAL BOND FUND

PORTFOLIO PROFILE

Objective:

Seeks high total return through a combination of high current income and capital appreciation

Strategy:

Invests primarily in fixed-income securities located outside the U.S.

Fund Inception:

February 1, 2008

Managers:

Lynda L. Schweitzer, CFA

Kenneth M. Buntrock, CFA, CIC

David W. Rolley, CFA

Loomis, Sayles & Company, L.P.

Symbols:

Class A	LSIAX
Class C	LSICX
Class Y	LSIYX

What You Should Know:

Fixed-income securities are subject to credit risk and interest rate risk; their value generally rises when prevailing interest rates fall and falls when rates rise. The fund may also invest in public or private debt obligations issued or guaranteed by U.S. or non-U.S. issuers. The fund can invest a significant percentage of assets in foreign securities and the value of the fund shares can be adversely affected by changes in currency exchange rates, political, and economic developments. In emerging markets these risks can be significant. The fund can invest a significant percentage of assets in debt securities that are rated below investment grade. Lower-rated debt securities have speculative characteristics and may be subject to greater price volatility than higher-rated investments. In addition, the secondary market for these securities may lack liquidity. Fund shares should be viewed as a long-term investment.

Management Discussion

Trends in global fixed-income markets reversed course in the spring of 2009, as rising optimism about an economic recovery replaced fears of a protracted worldwide recession. The changing market sentiment helped investment-grade corporate bonds, high-yield debt and emerging market securities stage strong comebacks over the second half of the 12-month period ended September 30, 2009. The robust rally offset many of the losses incurred during the previous six months.

The fund’s positioning for a global economic recovery helped drive Loomis Sayles International Bond Fund’s strong relative performance for the fiscal year ended September 30, 2009. Based on the net asset value of Class A Shares, the fund produced a total return of 20.41%, including $0.20 in dividends reinvested during the period. The fund outpaced the 15.41% return on its benchmark, Barclays Capital Global Aggregate ex-USD Bond Index and the 14.82% average return of the funds in Morningstar’s World Bond category.

WHAT FACTORS CONTRIBUTED TO THE FUND’S STRONG PERFORMANCE?

The fund’s emphasis on the U.S., U.K. and European corporate bond markets, as well as strong security selection, was primarily responsible for its outperformance. Our focus on corporate bonds had held back results during the first half of the fiscal year, but the fund was positioned well when credit markets began a recovery about halfway through the period. As investors became less risk-averse and more interested in the yield advantage that corporate bonds have over government debt, money poured into the higher-yield sectors of the fixed-income markets.

In addition to investment-grade corporate debt, holdings in high-yield corporate bonds and emerging-market securities helped propel the fund’s solid return. The fund’s overall currency strategy also helped, as our overweight position in the Norwegian krone and tactical positioning in the South Korean won also contributed to strongly positive returns.

WHICH STRATEGIES DETRACTED FROM THE FUND’S RESULTS?

While our exposure to U.S. corporate securities supported performance, the financial institutions represented in the portfolio generally detracted in the closing quarter of 2008 and early 2009 as a result of the rapid deterioration in the international financial markets.

Despite the overall success of our Scandinavian currency strategy, the fund’s performance was negatively impacted by its underweight relative to its benchmark in the Icelandic krona. The fund was also underweight in the Japanese yen, which was a drag on performance when the yen strengthened against the U.S. dollar during the latter part of the year.

WHAT’S YOUR OUTLOOK?

Despite strong performance this past quarter, we still see attractive opportunities in corporate bonds, the high-yield sectors of the securitized market and selected currencies. Yield spreads – the difference in yield between corporate bonds and Treasury securities – are still wide relative to their long-term averages and may tighten further as the economy recovers.

Market trends and conditions vary from country to country, but we believe the overall global economy is moving toward a gradual recovery. In the United States, however, we think the recovery is likely to be weak, hampered by high unemployment and sluggish consumer and investment spending. Accordingly, we limited the fund’s exposure to U.S. high-yield corporate debt. We also added to the fund’s holdings in non-U.S. dollar currencies. We also plan to reduce the duration of our U.S. dollar-based investments in anticipation of higher yields in 2010.

5

LOOMIS SAYLES INTERNATIONAL BOND FUND

Investment Results through September 30, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to an index provide you with general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, an index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of $10,000 Investment in Class A Shares⁴

Average Annual Total Returns — September 30, 2009⁴

	1 YEAR		SINCE INCEPTION
CLASS A (Inception 2/1/08)
Net Asset Value1	20.41	%	7.48	%
With Maximum Sales Charge2	15.03		4.55
CLASS C (Inception 2/1/08)
Net Asset Value1	19.58		6.63
With CDSC3	18.58		6.63
CLASS Y (Inception 2/1/08)
Net Asset Value1	20.73		7.63
COMPARATIVE PERFORMANCE	1 YEAR		SINCE INCEPTION
Barclays Capital Global Aggregate ex-USD Bond Index	15.41	%	6.05	%
Morningstar World Bond Fund Avg.	14.82		4.92

See page 11 for a description of the indices.

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. Class Y shares are available to certain investors, as described in the prospectus.

The table does not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

PORTFOLIO FACTS

	% of Net Assets as of
CREDIT QUALITY	9/30/09	9/30/08
Aaa	52.5	54.2
Aa	19.1	18.7
A	7.0	8.3
Baa	10.7	10.5
Ba	2.7	3.1
B	1.2	0.5
Caa	0.4	0.7
Not Rated*	3.3	2.3
Short-term and other	3.1	1.7

Credit quality is based on ratings from Moody’s Investors Service.

* Securities that are not rated by Moody’s may be rated by another rating agency or by Loomis Sayles.

	% of Net Assets as of
EFFECTIVE MATURITY	9/30/09		9/30/08
1 year or less	17.3		12.5
1-5 years	35.9		18.4
5-10 years	29.2		55.2
10+ years	17.6		13.9
Average Effective Maturity	6.7	years	8.1	years

Portfolio characteristics will vary.

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio5		Net Expense Ratio6
A	2.20	%	1.10	%
C	2.93		1.85
Y	1.83		0.85

NOTES TO CHARTS

¹ Does not include a sales charge.

² Includes maximum sales charge of 4.50%.

³ Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

⁴ Fund performance has been increased by expense reductions and reimbursements, if any, without which performance would have been lower.

⁵ Before reductions and reimbursements.

⁶ After reductions and reimbursements. Expense reductions are contractual and are set to expire on 1/31/10.

6

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

PORTFOLIO PROFILE

Objective:

Seeks a high current return consistent with preservation of capital

Strategy:

Invests primarily in securities issued or guaranteed by the U.S. government, its agencies or instrumentalities

Fund Inception:

January 3, 1989

Managers:

John Hyll

Clifton V. Rowe, CFA

Loomis, Sayles & Company, L.P.

Symbols:

Class A	NEFLX
Class B	NELBX
Class C	NECLX
Class Y	NELYX

What You Should Know:

Fixed-income securities are subject to credit risk and interest rate risk; their value generally rises when prevailing interest rates fall and falls when rates rise. Securities issued by the U.S. government are guaranteed by the U.S. government if held to maturity; mutual funds that invest in these securities are not guaranteed. Securities issued by U.S. government agencies may not be government guaranteed.

Management Discussion

After a difficult start to the fiscal year last fall, Loomis Sayles Limited Term Government and Agency Fund experienced strong performance during the balance of the year, outperforming both its benchmark and the average return of its Morningstar peer group. The massive flight to quality, which was triggered by the financial meltdown during the closing quarter of 2008, gave way to an increasing willingness on the part of investors to accept greater risk. Price recovery in the fund’s position in mortgage-related securities was primarily responsible for the fund’s outperformance.

For the fiscal year ended September 30, 2009, the fund’s total return based on the net asset value of Class A shares was 9.05% including $0.36 in reinvested dividends. For the same period, Barclays Capital U.S. 1-5 Year Government Bond Index returned 5.43%, while Morningstar’s Short Government category returned 5.48%.

WHICH SECTORS HAD THE MOST POSITIVE IMPACT ON FUND PERFORMANCE?

Although mortgage-related and asset-backed securities offer a yield advantage over U.S. Treasury securities, they had become significantly undervalued in the latter part of 2008, as concerns surrounding the real estate and mortgage markets mounted. However, beginning in the second quarter of 2009 and continuing into the third quarter, confidence began to return to the markets and investors recognized the compelling values offered by higher-quality mortgage securities. As a result, investors’ appetite for risk led to a shift away from safety and toward securities with a combination of better income and capital appreciation potential.

Treasury inflation protected securities (TIPS) also performed well, reflecting the modest improvement in the economic outlook during the second and third quarter of 2009. Concerns about deflation eased, resulting in strengthened TIPS valuations.

WHICH SECTORS HAD A NEGATIVE IMPACT DURING THE YEAR?

The same sectors that had provided the most support for the fund in the turbulent period at the end of 2008 and early 2009 were relative underperformers during the market recovery in the second and third quarters of 2009. Investors turned their attention from Treasuries and securities issued by government sponsored entities (GSEs) toward higher-yielding, lower-quality sectors. Performance in the top-quality arena fell behind. As interest rates declined, securities with shorter maturities also lagged relative to longer-term securities with higher yields, so the fund’s relatively short maturity detracted from overall performance.

WHICH OF THE TACTICS YOU USED WAS MOST HELPFUL DURING THE PERIOD?

This fund’s mandate is to seek a high current return consistent with preservation of capital, primarily by investing in short-term government securities. However, within that framework, we strive to provide shareholders with attractive returns with as little risk as possible in any given market environment. Early in the fund’s fiscal year, we increased its holdings in TIPS because they appeared to be attractively valued. This move gave the fund yields similar to non-inflation-protected securities at a lower cost. As the year progressed, we turned our attention to securities offering even higher income potential, primarily in the mortgage-related market.

WHAT IS YOUR OUTLOOK?

For the intermediate term, we look for a gradual rise in interest rates and we believe our mortgage positions will benefit from the relatively stable interest-rate environment we see ahead. We believe the Federal Reserve Board will hold off on raising interest rates longer than the majority of investors expect, and we do not anticipate any significant shifts in the yield curve.

Despite the market’s positive performance in the latter part of 2009, we still see attractive opportunities for conservative bond investors, but we think the “rising tide lifts all boats” phenomenon may be nearing an end. Good results are likely to become harder to find.

7

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

Investment Results through September 30, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to an index provide you with a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of a $10,000 Investment in Class A Shares⁴

Average Annual Total Returns — September 30, 2009⁴

	1 YEAR		5 YEARS		10 YEARS
CLASS A (Inception 1/3/89)
Net Asset Value1	9.05	%	4.38	%	4.81	%
With Maximum Sales Charge2	5.77		3.74		4.49
CLASS B (Inception 9/27/93)
Net Asset Value1	8.24		3.59		4.08
With CDSC3	3.24		3.24		4.08
CLASS C (Inception 12/30/94)
Net Asset Value1	8.24		3.60		4.08
With CDSC3	7.24		3.60		4.08
CLASS Y (Inception 3/31/94)
Net Asset Value1	9.40		4.65		5.15
COMPARATIVE PERFORMANCE	1 YEAR		5 YEARS		10 YEARS
Barclays Capital U.S. 1-5 Year Government Bond Index	5.43	%	4.51	%	5.16	%
Morningstar Short Gov’t Fund Avg.	5.48		3.79		4.38

See page 11 for a description of the indices.

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. For performance current to the most recent month-end, visit www.funds.natixis.com. Performance history includes periods from a predecessor fund. Class Y shares are available to certain investors, as described in the prospectus.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

PORTFOLIO FACTS

	% of Net Assets as of
FUND COMPOSITION*	9/30/09	9/30/08
Mortgage Related	42.4	70.6
Treasuries	14.6	4.6
Commercial Mortgage-Backed Securities	10.9	—
Government Owned - No Guarantee	10.0	—
Government Sponsored	8.3	—
Government Guaranteed	3.5	—
ABS Credit Card	3.4	2.7
ABS Car Loan	2.1	—
Automotive	—	1.8
Hybrid ARMs	2.0	1.6
ABS Home Equity	1.2	—
Collateralized Mortgage Obligations	0.4	0.1
ABS Other	0.3	—
Asset-Backed Securities	—	3.5
Mortgage Backed Securities	—	2.0
Short-Term Investments & Other	0.9	13.1

* Security classification changes made by Barclays Capital during the year ended 9/30/09 are not reflected in Fund Composition as of 9/30/08.

	% of Net Assets as of
EFFECTIVE MATURITY	9/30/09		9/30/08
1 year or less	1.9		19.0
1-5 years	83.5		74.5
5-10 years	14.6		6.5
10+ years	n/a		n/a
Average Effective Maturity	3.5	years	3.0	years

Portfolio characteristics will vary.

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio5		Net Expense Ratio6
A	1.07	%	0.90	%
B	1.82		1.65
C	1.83		1.65
Y	0.72		0.65

NOTES TO CHARTS

¹ Does not include a sales charge.

² Includes maximum sales charge of 3.00%.

³ Performance for Class B shares assumes a maximum 5% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

⁴ Fund performance has been increased by expense reductions and reimbursements, if any, without which performance would have been lower.

⁵ Before reductions and reimbursements.

⁶ After reductions and reimbursements. Expense reductions are contractual and are set to expire on 1/31/10.

8

LOOMIS SAYLES STRATEGIC INCOME FUND

PORTFOLIO PROFILE

Objective:

Seeks high current income, with a secondary objective of capital growth

Strategy:

Invests primarily in income-producing securities in the U.S. and around the world

Fund Inception:

May 1, 1995

Managers:

Daniel J. Fuss, CFA, CIC

Kathleen C. Gaffney, CFA

Associate Managers:

Matthew J. Eagan, CFA

Elaine M. Stokes

Loomis, Sayles & Company, L.P.

Symbols:

Class A	NEFZX
Class B	NEZBX
Class C	NECZX
Class Y	NEZYX

What You Should Know:

Fixed-income securities are subject to credit risk and interest rate risk; their value generally rises when prevailing interest rates fall and falls when rates rise.

The fund can invest a significant percentage of assets in debt securities that are rated below investment grade and the value of fund shares can be adversely affected by changes in economic conditions or other circumstances. Lower rated debt securities have speculative characteristics and may be subject to greater price volatility than higher rated investments. In addition, the secondary market for these securities may lack liquidity. The fund can also invest a significant percentage of assets in foreign securities and the value of the fund shares can be adversely affected by changes in currency exchange rates, political, and economic developments. In emerging markets, these risks can be significant. Fund shares should be viewed as a long-term investment.

Management Discussion

Beginning in March of 2009, signs that the recession was easing and the global economy was righting itself drew investors away from top-quality issues to seek higher returns. As a result of rigorous rallies following last winter’s severely depressed market, bond prices rose in a variety of corporate sectors and ratings categories. Resulting higher prices narrowed the extraordinarily wide spreads, or yield advantage, that had prevailed between Treasury and corporate issues during the economic crisis.

For the fiscal year ended September 30, 2009, Class A shares of Loomis Sayles Strategic Income Fund provided a total return at net asset value of 20.56%, including $0.86 in dividends and $0.08 in capital gains reinvested during the year. The fund outperformed its benchmark, Barclays Capital U.S. Aggregate Bond Index, which returned 10.56% over the period. It also outdistanced Morningstar’s Multisector Bond category, which had an average return of 13.15%.

WHAT WAS RESPONSIBLE FOR THE FUND’S STRONG PERFORMANCE?

Investment-grade corporate issues were among the best performers, with industrial bonds rated BBB by Moody’s Investor Services leading results. In addition, our emphasis on investment-grade industrials aided returns relative to the benchmark. Notable strength came from cable, wireline communications and oil field services companies. Consumer-related sectors, including healthcare and tobacco, also delivered strong performance, as did retail issues and others expected to benefit from an anticipated economic upturn. Financials were another source of positive performance, as surviving banks and other financial firms recovered from a period of exceptional stress. Real estate investment trusts and select utility companies also contributed. The high-yield sector as a whole gained the greatest impetus from investors’ renewed risk appetite, with financial securities rated CC by Moody’s Investors Service leading the way. Among high-yield industrial issues, automotive, pharmaceutical, and residential construction, as well as wireless telecommunications all boosted portfolio returns.

As currencies of commodity-rich countries rallied amid improving global growth prospects, the fund gained positive momentum from holdings denominated in the Brazilian real, the Norwegian krone, the New Zealand dollar and Indonesia’s rupiah. Although Canada’s dollar also strengthened, weak local market conditions diluted the contributions of the fund’s Canadian holdings. In contrast, strong regional markets amplified the positive impact of the fund’s euro-denominated investments.

Among convertibles, security-specific gains in the technology, wireline telecommunications and automotive industries added to results. Asset-backed obligations, especially credit-card issues, also moved higher. In addition, the fund’s relatively small positions in U.S. Treasury and government agency securities, as well as its underweight in mortgage-backed securities, proved helpful as improving risk tolerance caused investors to turn toward riskier assets in search of higher returns.

WHAT WERE THE PERIOD’S DISAPPOINTMENTS?

The fund experienced few areas of underperformance amid the widespread bullish sentiment in the past several months. High-yield electric utilities were a relative underperformer. In terms of quality categories, industrial bonds rated CCC by Moody’s detracted from the fund’s relative performance.

WHAT’S YOUR OUTLOOK?

Looking ahead, we continue to believe there is select value in corporate bonds. Despite their recent tightening, spreads remain wide relative to long-term averages. A vast majority of the spread tightening that has taken place this year is due to the re-emergence of liquidity in the markets. Over the long term, further spread tightening from these levels will most likely be generated by an improvement in global and U.S. economic fundamentals. Our view is that maintaining specific risk in the portfolio will present the best opportunity for long-term performance.

Global risk appetite has weakened the U.S. dollar, and we expect this may continue. Currencies from developed and emerging markets may offer more long-term upside potential, particularly the European peripheral currencies and Asian currencies tied to China and its global-growth story.

9

LOOMIS SAYLES STRATEGIC INCOME FUND

Investment Results through September 30, 2009

PERFORMANCE IN PERSPECTIVE

The charts comparing the fund’s performance to two indexes provide you with a general sense of how it performed. The fund’s total return for the period shown below appears with and without sales charges and includes fund expenses and fees. An index measures the performance of a theoretical portfolio. Unlike a fund, the index is unmanaged and does not have expenses that affect the results. It is not possible to invest directly in an index. Investors would incur transaction costs and other expenses if they purchased the securities necessary to match the index.

Growth of a $10,000 Investment in Class A Shares⁴

Average Annual Total Returns — September 30, 2009⁴

	1 YEAR		5 YEARS		10 YEARS		SINCE INCEPTION
CLASS A (Inception 5/1/95)
Net Asset Value1	20.56	%	6.35	%	9.03	%	—
With Maximum Sales Charge2	15.14		5.38		8.53		—
CLASS B (Inception 5/1/95)
Net Asset Value1	19.62		5.56		8.21		—
With CDSC3	14.62		5.24		8.21		—
CLASS C (Inception 5/1/95)
Net Asset Value1	19.66		5.55		8.21		—
With CDSC3	18.66		5.55		8.21		—
CLASS Y (Inception 12/1/99)
Net Asset Value1	20.91		6.63		—		9.22	%
COMPARATIVE PERFORMANCE	1 YEAR		5 YEARS		10 YEARS		SINCE CLASS Y INCEPTION
Barclays Capital U.S. Aggregate Bond Index	10.56	%	5.13	%	6.30	%	6.37	%
Barclays Capital U.S. Universal Bond Index	10.91		5.15		6.42		6.47
Morningstar Multisector Bond Fund Avg.	13.15		4.99		6.21		6.16

See page 11 for a description of the indices.

All returns represent past performance and do not guarantee future results. Periods of less than one year are not annualized. Share price and return will vary and you may have a gain or loss when you sell your shares. All results include reinvestment of dividends and capital gains. Current returns may be higher or lower than those shown. Performance history includes periods from a predecessor fund. For performance current to the most recent month-end, visit www.funds.natixis.com. Class Y shares are available to certain investors, as described in the prospectus.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

PORTFOLIO FACTS

	% of Net Assets as of
CREDIT QUALITY	9/30/09	9/30/08
Aaa	15.6	18.3
Aa	6.1	4.1
A	7.4	8.1
Baa	30.8	32.0
Ba	10.5	10.0
B	6.9	10.3
Caa	8.1	7.4
Ca	3.9	0.8
C	0.0	0.0
Not Rated*	6.7	8.8
Short-term and other	4.0	0.2

Credit quality is based on ratings from Moody’s Investors Service.

* Securities that are not rated by Moody’s may be rated by another rating agency or by Loomis Sayles.

	% of Net Assets as of
EFFECTIVE MATURITY	9/30/09		9/30/08
1 year or less	5.7		8.6
1-5 years	25.8		20.6
5-10 years	33.1		28.2
10+ years	35.4		42.6
Average Effective Maturity	12.3	years	13.8	years

Portfolio characteristics will vary.

EXPENSE RATIOS AS STATED IN THE MOST RECENT PROSPECTUS

Share Class	Gross Expense Ratio5		Net Expense Ratio6
A	0.98	%	0.98	%
B	1.73		1.73
C	1.73		1.73
Y	0.73		0.73

NOTES TO CHARTS

¹ Does not include a sales charge.

² Includes maximum sales charge of 4.50%.

³ Performance for Class B shares assumes a maximum 5% contingent deferred sales charge (“CDSC”) applied when you sell shares, which declines annually between years 1-6 according to the following schedule: 5, 4, 3, 3, 2, 1, 0%. Class C share performance assumes a 1.00% CDSC applied when you sell shares within one year of purchase.

⁴ Fund performance has been increased by expense reductions and reimbursements, if any, without which performance would have been lower.

⁵ Before reductions and reimbursements.

⁶ After reductions and reimbursements. Expense reductions are contractual and are set to expire on 1/31/10.

10

ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

For more complete information on any Natixis Fund, contact your financial professional, visit the funds website at www.funds.natixis.com or call Natixis Funds at 800-225-5478 and ask for a free prospectus, which contains more complete information including charges and other ongoing expenses. Investors should consider a fund’s objective, risks and expenses carefully before investing. This and other fund information can be found in the prospectus. Please read the prospectus carefully before investing.

INDEX/AVERAGE DESCRIPTIONS

Barclays Capital U.S. Aggregate Bond Index is an unmanaged index of investment-grade bonds with one- to ten-year maturities issued by the U.S. government, its agencies and U.S. corporations.

Barclays Capital Global Aggregate ex-USD Bond Index is an unmanaged index which provides a broad-based measure of the international investment-grade bond market.

Barclays Capital U.S. Corporate High-Yield Bond Index is a market-weighted, unmanaged index of fixed-rate, non-investment grade debt.

Barclays Capital U.S. 1-5 Year Government Bond Index is an unmanaged, market-weighted index of bonds issued by the U.S. government and its agencies, with maturities between one and five years.

Barclays Capital U.S. Credit Bond Index is an unmanaged index that includes all publicly issued, fixed-rate, nonconvertible, dollar-denominated, SEC-registered, U.S. investment-grade corporate debt, and foreign debt that meets specific maturity, liquidity and quality requirements.

Barclays Capital U.S. Universal Bond Index is an unmanaged index representing a blend of the Lehman Aggregate Bond Index, the High Yield Index, and the Emerging Market Index, among other indexes.

Morningstar Fund Averages are the average performance without sales charge of funds with similar investment objectives, as calculated by Morningstar, Inc.

PROXY VOTING INFORMATION

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds’ website at www.funds.natixis.com; and on the Securities and Exchange Commission’s (SEC’s) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2009 is available from the funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330.

NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE

11

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases, redemption fees and contingent deferred sales charges on redemptions; certain exchange fees; and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. In addition, each fund may assess a minimum balance fee of $20 on an annual basis for accounts that fall below the required minimum to establish an account. Certain exemptions may apply. These costs are described in more detail in the funds’ prospectuses. The examples below are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each Class of fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the fund from April 1, 2009 through September 30, 2009. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your Class.

The second line in the table of each Class of fund shares provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs such as sales charges, redemption fees, or exchange fees. Therefore, the second line in the table of each fund is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

LOOMIS SAYLES CORE PLUS BOND FUND	BEGINNING ACCOUNT VALUE 4/1/2009	ENDING ACCOUNT VALUE 9/30/2009	EXPENSES PAID DURING PERIOD* 4/1/2009 – 9/30/2009
CLASS A
Actual	$1,000.00	$1,156.70	$4.87
Hypothetical (5% return before expenses)	$1,000.00	$1,020.56	$4.56
CLASS B
Actual	$1,000.00	$1,152.70	$8.90
Hypothetical (5% return before expenses)	$1,000.00	$1,016.80	$8.34
CLASS C
Actual	$1,000.00	$1,152.30	$8.90
Hypothetical (5% return before expenses)	$1,000.00	$1,016.80	$8.34
CLASS Y
Actual	$1,000.00	$1,158.40	$3.52
Hypothetical (5% return before expenses)	$1,000.00	$1,021.81	$3.29

* Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 0.90%, 1.65%, 1.65% and 0.65% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

12

UNDERSTANDING FUND EXPENSES

LOOMIS SAYLES HIGH INCOME FUND	BEGINNING ACCOUNT VALUE 4/1/2009	ENDING ACCOUNT VALUE 9/30/2009	EXPENSES PAID DURING PERIOD* 4/1/2009 – 9/30/2009
CLASS A
Actual	$1,000.00	$1,321.70	$6.69
Hypothetical (5% return before expenses)	$1,000.00	$1,019.30	$5.82
CLASS B
Actual	$1,000.00	$1,319.60	$11.05
Hypothetical (5% return before expenses)	$1,000.00	$1,015.54	$9.60
CLASS C
Actual	$1,000.00	$1,319.80	$11.05
Hypothetical (5% return before expenses)	$1,000.00	$1,015.54	$9.60
CLASS Y
Actual	$1,000.00	$1,323.60	$5.24
Hypothetical (5% return before expenses)	$1,000.00	$1,020.56	$4.56

* Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.15%, 1.90%, 1.90% and 0.90% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

LOOMIS SAYLES INTERNATIONAL BOND FUND	BEGINNING ACCOUNT VALUE 4/1/2009	ENDING ACCOUNT VALUE 9/30/2009	EXPENSES PAID DURING PERIOD* 4/1/2009 – 9/30/2009
CLASS A
Actual	$1,000.00	$1,229.20	$6.15
Hypothetical (5% return before expenses)	$1,000.00	$1,019.55	$5.57
CLASS C
Actual	$1,000.00	$1,225.30	$10.32
Hypothetical (5% return before expenses)	$1,000.00	$1,015.79	$9.35
CLASS Y
Actual	$1,000.00	$1,229.70	$4.75
Hypothetical (5% return before expenses)	$1,000.00	$1,020.81	$4.31

* Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 1.10%, 1.85% and 0.85%, for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

13

UNDERSTANDING FUND EXPENSES

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND	BEGINNING ACCOUNT VALUE 4/1/2009	ENDING ACCOUNT VALUE 9/30/2009	EXPENSES PAID DURING PERIOD* 4/1/2009 – 9/30/2009
CLASS A
Actual	$1,000.00	$1,050.60	$4.63
Hypothetical (5% return before expenses)	$1,000.00	$1,020.56	$4.56
CLASS B
Actual	$1,000.00	$1,047.70	$8.47
Hypothetical (5% return before expenses)	$1,000.00	$1,016.80	$8.34
CLASS C
Actual	$1,000.00	$1,047.70	$8.47
Hypothetical (5% return before expenses)	$1,000.00	$1,016.80	$8.34
CLASS Y
Actual	$1,000.00	$1,052.80	$3.34
Hypothetical (5% return before expenses)	$1,000.00	$1,021.81	$3.29

* Expenses are equal to the Fund’s annualized expense ratio (after fee reduction/reimbursement): 0.90%, 1.65%, 1.65% and 0.65%, for Class A, B, C and Y, respectively, multiplied by the average account value over the period multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

LOOMIS SAYLES STRATEGIC INCOME FUND	BEGINNING ACCOUNT VALUE 4/1/2009	ENDING ACCOUNT VALUE 9/30/2009	EXPENSES PAID DURING PERIOD* 4/1/2009 – 9/30/2009
CLASS A
Actual	$1,000.00	$1,331.70	$5.73
Hypothetical (5% return before expenses)	$1,000.00	$1,020.16	$4.96
CLASS B
Actual	$1,000.00	$1,327.00	$10.09
Hypothetical (5% return before expenses)	$1,000.00	$1,016.39	$8.74
CLASS C
Actual	$1,000.00	$1,326.20	$10.09
Hypothetical (5% return before expenses)	$1,000.00	$1,016.39	$8.74
CLASS Y
Actual	$1,000.00	$1,333.90	$4.15
Hypothetical (5% return before expenses)	$1,000.00	$1,021.51	$3.60

* Expenses are equal to the Fund’s annualized expense ratio: 0.98%, 1.73%, 1.73% and 0.71% for Class A, B, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

14

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

The Board of Trustees, including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement and, with respect to the Loomis Sayles Core Plus Bond Fund, its Advisory Administration Agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review and Governance Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser ( the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and other expenses, including information comparing the Funds’ expenses to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Funds’ Adviser and (v) information obtained through the completion of a questionnaire by the Adviser (the Trustees are consulted as to the information requested through that questionnaire). The Board of Trustees, including the Independent Trustees, also consider other matters such as (i) the Adviser’s financial results and financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board of Trustees that provide detailed information about the Funds’ investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against its peer group. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review and Governance Committee and/or the full Board of Trustees, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio.

The Board of Trustees most recently approved the continuation of the Agreements at their meeting held in June 2009. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates, including recent or planned investments by the Adviser in additional personnel or other resources. They considered the need for the Adviser to offer competitive compensation in order to attract and retain capable personnel and the need for the Adviser to expend additional resources as the Funds grew in size.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

15

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information which compared the performance of the Funds to the performance of peer groups of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party which analyzed the performance of the Funds using a variety of performance metrics, including metrics which also measured the performance of the Funds on a risk adjusted basis.

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement relating to that Fund. In the case of each Fund that had performance that lagged that of a relevant peer group for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Funds’ Agreements. These factors varied from Fund to Fund, but included one or more of the following: (1) that the Fund had a limited operating history, (2) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Fund’s Adviser that were reasonable and consistent with the Fund’s investment objective and policies (3) that the Fund’s performance, although lagging in certain recent periods, was stronger over the longer term (4) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks or peer groups, and (5) reductions in the Fund’s expense levels resulting from decreased expenses were not yet fully reflected in the Fund’s performance results.

The Trustees also considered the Adviser’s performance and reputation generally, the Funds’ performance as a fund family generally (as noted by certain financial publications), and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser and/or other relevant factors supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage and the greater regulatory costs associated with the management of mutual fund assets. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various Funds in the Fund family. They noted that, as of December 31, 2008, all of the Natixis Funds in this report have expense caps in place, and the Trustees considered the amounts waived or reimbursed by the Adviser under these caps. The Trustees noted that the Loomis Sayles Strategic Income Fund had an advisory fee rate that was above the median of a peer group of funds. The Trustees considered the circumstances that accounted for such relatively higher expenses. The Trustees noted that for the Loomis Sayles Strategic Income Fund, the Fund’s total expense ratio was below the median even though the advisory fee was above the median and they noted that they had recently implemented an additional breakpoint in the Fund’s advisory fee schedule. The Trustees also noted that while the Loomis Sayles Limited Term Government and Agency Fund’s advisory fee was above the median for its peer group of funds, after the application of the Fund’s expense cap, it was below the median.

The Trustees also considered the compensation directly or indirectly received or to be received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser profitability was an issue, the performance of the relevant Funds, the expense levels of the Funds, and whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds.

16

BOARD APPROVAL OF THE EXISTING ADVISORY AND SUB-ADVISORY AGREEMENTS

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fee charged to each of the Funds was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees noted that each of the Funds was subject to an expense cap or waiver. For Loomis Sayles Strategic Income Fund, the Trustees noted that they had recently implemented an additional breakpoint in response to the growth of assets in the Fund. The Trustees further considered the effect of recent market volatility on all of the Fund’s assets and possible effect on the Fund’s future profitability. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

After reviewing these and related factors, the Trustees considered, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

· the effect of recent market and economic turmoil on the performance, asset levels and expense ratios of each Fund.

· whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Funds.

· the nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreements and under separate agreements covering administrative services.

· so-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions generated by the Funds’ securities transactions. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

· the Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2010.

17

LOOMIS SAYLES CORE PLUS BOND FUND — PORTFOLIO OF INVESTMENTS

Investments as of September 30, 2009

Principal Amount		Description	Value (†)
	Bonds and Notes — 96.3% of Net Assets
		ABS Home Equity — 0.6%
$	1,017,940	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035	$	765,387
	836,743	Residential Asset Securities Corp., Series 2003-KS10, Class AI4, 4.470%, 3/25/2032		699,644
				1,465,031
		Automotive — 0.9%
	1,640,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		1,539,327
	810,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		751,490
				2,290,817
		Banking — 6.1%
	2,105,000	Barclays Bank PLC, 6.750%, 5/22/2019		2,354,306
	1,365,000	Bear Stearns Cos., Inc. (The), 6.400%, 10/02/2017		1,484,941
	2,135,000	Citigroup, Inc., 6.500%, 8/19/2013		2,241,214
	1,115,000	Citigroup, Inc., 8.125%, 7/15/2039		1,248,119
	625,000	Goldman Sachs Group, Inc. (The), 5.300%, 2/14/2012		660,291
	1,040,000	Goldman Sachs Group, Inc. (The), 6.150%, 4/01/2018		1,093,990
	1,560,000	JPMorgan Chase & Co., 6.000%, 1/15/2018		1,674,387
	1,670,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		1,756,334
	800,000	Morgan Stanley, 4.000%, 1/15/2010		806,230
	615,000	Morgan Stanley, 5.375%, 10/15/2015		634,822
	100,000	Morgan Stanley, 6.750%, 4/15/2011		106,627
	835,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		882,948
	835,000	Morgan Stanley, Series F, MTN, 5.550%, 4/27/2017		831,834
				15,776,043
		Building Materials — 1.5%
	2,520,000	Holcim Capital Corp. Ltd., 144A, 6.875%, 9/29/2039		2,596,895
	815,000	Owens Corning, Inc., 7.000%, 12/01/2036		667,798
	795,000	USG Corp., 6.300%, 11/15/2016		675,750
				3,940,443
		Chemicals — 0.5%
	1,000,000	Chevron Phillips Chemical Co. LLC, 144A, 8.250%, 6/15/2019		1,207,713
		Commercial Mortgage-Backed Securities — 7.2%
	795,000	Banc of America Commercial Mortgage, Inc., Series 2005-6, Class A2, 5.165%, 9/10/2047		803,235

Principal Amount		Description	Value (†)
		Commercial Mortgage-Backed Securities — continued
$	850,000	Banc of America Commercial Mortgage, Inc., Series 2006-1, Class A2, 5.334%, 9/10/2045	$	859,204
	1,305,000	Banc of America Commercial Mortgage, Inc., Series 2007-2, Class A2, 5.634%, 4/10/2049		1,295,483
	1,245,000	Bear Stearns Commercial Mortgage Securities, Inc., Series 2005-PW10, Class A2, 5.270%, 12/11/2040		1,247,215
	1,200,000	Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-PW16, Class A2, 5.667%, 6/11/2040(b)		1,183,159
	145,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		130,526
	1,000,000	Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.095%, 12/10/2049(b)		900,310
	710,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046		714,745
	1,800,000	Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2, 5.117%, 4/10/2037		1,795,601
	960,000	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.918%, 7/10/2038(b)		878,303
	274,000	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A4, 5.553%, 4/10/2038		247,456
	1,140,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		1,001,888
	1,375,000	JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A4, 5.875%, 4/15/2045(b)		1,278,701
	850,000	JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		730,316
	1,710,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A3, 4.647%, 7/15/2030		1,712,618
	900,000	Morgan Stanley Capital I, Series 2007-T27, Class A4, 5.650%, 6/11/2042(b)		849,315
	1,175,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.280%, 1/11/2043(b)		1,139,794
	2,070,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		1,863,884
				18,631,753
		Consumer Products — 0.2%
	255,000	Whirlpool Corp., 8.000%, 5/01/2012		275,248
	250,000	Whirlpool Corp., MTN, 8.600%, 5/01/2014		279,656
				554,904
		Distributors — 0.3%
	605,000	EQT Corp., 8.125%, 6/01/2019		690,529
		Diversified Manufacturing — 2.7%
	1,200,000	Crane Co., 6.550%, 11/15/2036(c)		1,177,523

See accompanying notes to financial statements.

18

LOOMIS SAYLES CORE PLUS BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount		Description	Value (†)
		Diversified Manufacturing — continued
$	2,145,000	General Electric Co., 5.250%, 12/06/2017	$	2,201,306
	2,790,000	Hutchison Whampoa International Ltd., 144A, 5.750%, 9/11/2019		2,806,857
	760,000	Timken Co. (The), 6.000%, 9/15/2014		789,532
				6,975,218
		Electric — 2.4%
	290,000	AES Corp. (The), 7.750%, 10/15/2015		291,450
	570,000	AES Corp. (The), 8.000%, 10/15/2017		573,563
	715,000	AES Corp. (The), 8.000%, 6/01/2020		709,637
	110,000	CMS Energy Corp., 8.750%, 6/15/2019		119,657
	950,000	Enersis SA, Chile, 7.375%, 1/15/2014		1,048,121
	630,000	Exelon Generation Co. LLC, 5.200%, 10/01/2019		636,894
	1,535,000	Exelon Generation Co. LLC, 6.250%, 10/01/2039		1,566,716
	690,000	Ipalco Enterprises, Inc., 144A, 7.250%, 4/01/2016		691,725
	590,000	Southern California Edison Co., 7.625%, 1/15/2010		601,083
				6,238,846
		Environmental — 0.2%
	545,000	Waste Management, Inc., 7.375%, 3/11/2019		634,240
		Financial Other — 0.6%
	1,430,000	HKCG Finance Ltd., 144A, 6.250%, 8/07/2018		1,570,367
		Food & Beverage — 2.6%
	560,000	Anheuser-Busch Cos., Inc., 4.500%, 4/01/2018		543,080
	605,000	Bunge Ltd. Finance Co., 8.500%, 6/15/2019		697,462
	2,235,000	Del Monte Corp., 144A, 7.500%, 10/15/2019		2,257,350
	1,015,000	Dr Pepper Snapple Group, Inc., 6.820%, 5/01/2018		1,153,835
	915,000	Kraft Foods, Inc., 6.125%, 8/23/2018		970,532
	1,040,000	Smithfield Foods, Inc., 144A, 10.000%, 7/15/2014		1,092,000
				6,714,259
		Government Guaranteed — 0.4%
	910,000	JPMorgan Chase & Co., 2.125%, 6/22/2012, (FDIC insured)		923,341
		Government Owned — No Guarantee — 0.9%
	1,280,000	Export-Import Bank of Korea, 8.125%, 1/21/2014		1,466,217
	750,000	Qtel International Finance Ltd., 144A, 7.875%, 6/10/2019		857,431
				2,323,648

Principal Amount		Description	Value (†)
		Health Insurance — 0.6%
$	1,470,000	WellPoint, Inc., 7.000%, 2/15/2019	$	1,671,033
		Healthcare — 1.0%
	190,000	Express Scripts, Inc., 7.250%, 6/15/2019		223,146
	575,000	HCA, Inc., 7.500%, 12/15/2023		464,179
	685,000	HCA, Inc., 9.125%, 11/15/2014		707,262
	485,000	Hospira, Inc., 6.050%, 3/30/2017		507,880
	670,000	Medco Health Solutions, 7.250%, 8/15/2013		749,723
				2,652,190
		Hybrid ARMs — 0.9%
	1,117,659	FHLMC, 5.980%, 11/01/2036(b)		1,174,939
	1,104,898	FNMA, 6.026%, 2/01/2037(b)		1,174,915
	120,903	JPMorgan Mortgage Trust, Series 2006-A7, Class 1A3, 4.552%, 1/25/2037(b)		112,760
				2,462,614
		Independent Energy — 1.6%
	1,710,000	Anadarko Petroleum Corp., 6.950%, 6/15/2019		1,906,450
	2,000,000	XTO Energy, Inc., 6.375%, 6/15/2038		2,127,554
				4,034,004
		Lodging — 0.6%
	1,390,000	Royal Caribbean Cruises Ltd., 11.875%, 7/15/2015		1,563,750
		Media Cable — 2.1%
	590,000	Comcast Corp., 6.450%, 3/15/2037		624,745
	1,770,000	Comcast Corp., 6.950%, 8/15/2037		1,975,607
	755,000	Cox Communications, Inc., 6.750%, 3/15/2011		799,553
	1,760,000	Time Warner Cable, Inc., 8.250%, 4/01/2019		2,127,305
				5,527,210
		Metals & Mining — 1.1%
	1,010,000	ArcelorMittal, 9.850%, 6/01/2019		1,194,632
	790,000	Rio Tinto Finance (USA) Ltd., 9.000%, 5/01/2019		969,783
	710,000	United States Steel Corp., 6.650%, 6/01/2037		579,103
				2,743,518
		Mortgage Related — 16.9%
	721,470	FHLMC, 4.000%, 7/01/2019		750,406
	1,499,037	FHLMC, 4.500%, 12/01/2034		1,524,646
	349,803	FHLMC, 5.000%, 11/01/2018		371,941

See accompanying notes to financial statements.

19

LOOMIS SAYLES CORE PLUS BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount		Description	Value (†)
		Mortgage Related — continued
$	983,685	FHLMC 5.500%, with various maturities in 2018(d)	$	1,054,747
	142,523	FHLMC, 6.000%, 6/01/2035		151,573
	577,436	FNMA, 4.000%, 6/01/2019		600,596
	5,769,643	FNMA 4.500%, with various maturities from 2019 to 2035(d)		5,964,505
	782,549	FNMA, 5.500%, 5/01/2018		837,510
	7,225,983	FNMA 6.000%, with various maturities from 2016 to 2039(d)		7,650,895
	3,295,592	FNMA 6.500%, with various maturities from 2029 to 2037(d)		3,531,964
	151,800	FNMA 7.000%, with various maturities in 2030(d)		167,567
	174,950	FNMA 7.500%, with various maturities from 2024 to 2032(d)		195,964
	5,049,511	GNMA 5.000%, with various maturities from 2035 to 2038(d)		5,241,610
	11,465,903	GNMA 5.500%, with various maturities from 2034 to 2039(d)		12,060,450
	2,376,967	GNMA 6.000%, with various maturities from 2029 to 2037(d)		2,517,115
	456,462	GNMA 6.500%, with various maturities from 2028 to 2032(d)		492,236
	293,761	GNMA 7.000%, with various maturities from 2025 to 2029(d)		323,799
	107,647	GNMA, 7.500%, with various maturities from 2025 to 2030(d)		120,422
	58,955	GNMA, 8.000%, 11/15/2029		67,026
	94,983	GNMA 8.500%, with various maturities from 2017 to 2023(d)		107,601
	17,021	GNMA 9.000%, with various maturities in 2016(d)		18,599
	35,492	GNMA 11.500%, with various maturities from 2013 to 2015(d)		39,752
				43,790,924
		Non-Captive Consumer — 0.9%
	735,000	HSBC Finance Corp., 7.000%, 5/15/2012		793,993
	245,000	SLM Corp., MTN, 5.050%, 11/14/2014		180,098
	215,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013		171,153
	120,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		75,255
	35,000	SLM Corp., Series A, MTN, 5.375%, 5/15/2014		26,788
	420,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		263,606
	1,135,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		905,162
				2,416,055
		Non-Captive Diversified — 2.0%
	745,000	General Electric Capital Corp., 5.875%, 1/14/2038		683,225
	1,180,000	General Electric Capital Corp., Series A, MTN, 5.625%, 9/15/2017		1,194,790

Principal Amount		Description	Value (†)
		Non-Captive Diversified — continued
$	1,842,000	GMAC, Inc., 144A, 6.625%, 5/15/2012	$	1,694,640
	571,000	GMAC, Inc., 144A, 8.000%, 11/01/2031		459,655
	465,000	International Lease Finance Corp., 5.000%, 4/15/2010		451,595
	205,000	International Lease Finance Corp., 6.375%, 3/25/2013		164,401
	120,000	International Lease Finance Corp., Series R, MTN, 5.300%, 5/01/2012		100,859
	40,000	International Lease Finance Corp., Series R, MTN, 5.550%, 9/05/2012		32,683
	200,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		152,378
	285,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		218,747
				5,152,973
		Oil Field Services — 0.4%
	190,000	Nabors Industries, Inc., 6.150%, 2/15/2018		190,474
	730,000	Nabors Industries, Inc., 9.250%, 1/15/2019		867,541
				1,058,015
		Paper — 1.7%
	565,000	Georgia-Pacific Corp., 7.375%, 12/01/2025		508,500
	755,000	Georgia-Pacific Corp., 7.750%, 11/15/2029		694,600
	735,000	Georgia-Pacific Corp., 8.000%, 1/15/2024		727,650
	365,000	Georgia-Pacific Corp., 8.875%, 5/15/2031		368,650
	1,730,000	International Paper Co., 9.375%, 5/15/2019		2,025,650
				4,325,050
		Pipelines — 1.2%
	1,150,000	NGPL Pipeco LLC, 144A, 6.514%, 12/15/2012		1,261,669
	705,000	ONEOK Partners LP, 8.625%, 3/01/2019		841,593
	830,000	TEPPCO Partners LP, 7.550%, 4/15/2038		979,038
				3,082,300
		Property & Casualty Insurance — 0.6%
	760,000	Marsh & McLennan Cos., Inc., 9.250%, 4/15/2019		952,386
	475,000	Willis North America, Inc., 6.200%, 3/28/2017		464,970
	245,000	Willis North America, Inc., 7.000%, 9/29/2019		251,914
				1,669,270
		Refining — 0.4%
	965,000	Valero Energy Corp., 9.375%, 3/15/2019		1,124,489
		Sovereigns — 1.7%
	1,065,000	Emirate of Abu Dhabi, 144A, 6.750%, 4/08/2019		1,189,377

See accompanying notes to financial statements.

20

LOOMIS SAYLES CORE PLUS BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount		Description	Value (†)
		Sovereigns — continued
$	1,155,000	Indonesia Government International Bond, 144A, 7.750%, 1/17/2038	$	1,276,275
	1,125,000	Republic of Korea, 7.125%, 4/16/2019		1,319,483
	545,000	Taqa Abu Dhabi National Energy, 144A, 6.250%, 9/16/2019		549,027
				4,334,162
		Technology — 2.1%
	745,000	Corning, Inc., 7.250%, 8/15/2036		786,031
	440,000	Equifax, Inc., 7.000%, 7/01/2037		432,276
	1,180,000	Fiserv, Inc., 6.125%, 11/20/2012		1,278,928
	215,000	Jabil Circuit, Inc., 7.750%, 7/15/2016		218,225
	85,000	Motorola, Inc., 6.500%, 9/01/2025		71,832
	115,000	Motorola, Inc., 6.500%, 11/15/2028		94,853
	185,000	Motorola, Inc., 6.625%, 11/15/2037		154,937
	279,000	Xerox Corp., 5.500%, 5/15/2012		292,549
	1,435,000	Xerox Corp., 6.350%, 5/15/2018		1,491,835
	683,000	Xerox Corp., 6.400%, 3/15/2016		715,610
				5,537,076
		Tobacco — 0.6%
	1,590,000	Reynolds American, Inc., 7.250%, 6/15/2037		1,574,763
		Treasuries — 26.1%
	6,555,000	U.S. Treasury Bond, 3.500%, 2/15/2039		5,938,423
	5,617,000	U.S. Treasury Note, 0.875%, 12/31/2010		5,641,136
	5,430,000	U.S. Treasury Note, 0.875%, 5/31/2011		5,442,940
	2,325,000	U.S. Treasury Note, 1.000%, 7/31/2011		2,331,631
	4,885,000	U.S. Treasury Note, 2.375%, 8/31/2010		4,973,160
	1,000,000	U.S. Treasury Note, 2.625%, 6/30/2014		1,017,812
	2,670,000	U.S. Treasury Note, 2.625%, 7/31/2014		2,714,640
	3,810,000	U.S. Treasury Note, 2.750%, 2/15/2019		3,635,871
	22,870,000	U.S. Treasury Note, 3.125%, 5/15/2019		22,503,714
	3,545,000	U.S. Treasury Note, 3.250%, 7/31/2016		3,628,088
	2,205,000	U.S. Treasury Note, 3.625%, 1/15/2010		2,227,050
	3,105,000	U.S. Treasury Note, 3.625%, 8/15/2019		3,186,991

Principal Amount		Description	Value (†)
		Treasuries — continued
$	1,060,000	U.S. Treasury Note, 3.750%, 11/15/2018	$	1,096,852
	3,005,000	U.S. Treasury Note, 4.625%, 2/15/2017		3,326,862
				67,665,170
		Wireless — 2.0%
	10,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		8,975
	15,000	Nextel Communications, Inc., Series F, 5.950%, 3/15/2014		13,275
	1,385,000	SK Telecom Co., Ltd., 144A, 6.625%, 7/20/2027		1,467,921
	2,695,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,250,325
	1,420,000	True Move Co. Ltd., 144A, 10.750%, 12/16/2013		1,363,200
				5,103,696
		Wirelines — 4.7%
	1,095,000	Axtel SAB de CV, 144A, 9.000%, 9/22/2019		1,111,425
	3,428,000	Embarq Corp., 7.995%, 6/01/2036		3,581,622
	1,275,000	Frontier Communications Corp., 7.875%, 1/15/2027		1,163,437
	210,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		172,725
	460,000	Qwest Corp., 6.875%, 9/15/2033		372,600
	850,000	Qwest Corp., 7.250%, 9/15/2025		733,125
	255,000	Qwest Corp., 7.250%, 10/15/2035		205,275
	1,790,000	Qwest Corp., 7.500%, 6/15/2023		1,628,900
	590,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		575,173
	1,700,000	Telecom Italia Capital SA, 7.200%, 7/18/2036		1,920,781
	600,000	Telemar Norte Leste SA, 144A, 9.500%, 4/23/2019		717,000
				12,182,063
		Total Bonds and Notes (Identified Cost $235,840,892)		249,607,477
Shares
	Preferred Stocks — 0.3%
		Diversified Financial Services — 0.1%
	532	Preferred Blocker, Inc., 7.000%, 144A		309,375
		Thrifts & Mortgage Finance — 0.2%
	256,000	Federal National Mortgage Association, 6.750%(e)(f)		401,920
	4,200	Federal National Mortgage Association, (fixed rate to 12/13/2010, variable rate thereafter), 8.250%(e)(f)		6,762
				408,682
		Total Preferred Stocks (Identified Cost $1,717,444)		718,057

See accompanying notes to financial statements.

21

LOOMIS SAYLES CORE PLUS BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 4.5%
$	11,737,039	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2009 at 0.000% to be repurchased at $11,737,039 on 10/01/2009, collateralized by $11,870,000 Federal Home Loan Bank, 2.900% due 7/02/2013 valued at $11,973,863, including accrued interest (Note 2g of Notes to Financial Statements) (Identified Cost $11,737,039)	$	11,737,039
		Total Investments — 101.1% (Identified Cost $249,295,375)(a)		262,062,573
		Other assets less liabilities — (1.1)%		(2,780,871	)
		Net Assets — 100.0%	$	259,281,702
	(†)	See Note 2a of Notes to Financial Statements.
	(a)	Federal Tax Information: At September 30, 2009, the net unrealized appreciation on investments based on a cost of $250,658,047 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	$	14,511,656
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,107,130	)
		Net unrealized appreciation	$	11,404,526
	(b)	Variable rate security. Rate as of September 30, 2009 is disclosed.
	(c)	Illiquid security. At September 30, 2009, the value of this security amounted to $1,177,523 or 0.5% of net assets.
	(d)	The Fund’s investment in mortgage related securities of the Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(e)	Non-income producing security.
	(f)	Future dividend payments have been eliminated as the issuer has been placed in conservatorship.
	144A	Securities 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 September 30, 2009, the value of these securities amounted to $24,479,902 or 9.4% of net assets.
	ABS	Asset-Backed Securities
	ARM	Adjustable Rate Mortgage
	FDIC	Federal Deposit Insurance Corporation
	FHLMC	Federal Home Loan Mortgage Corporation
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	GNMA	Government National Mortgage Association
	MTN	Medium Term Note

Industry Summary at September 30, 2009 (Unaudited)

Treasuries	26.1	%
Mortgage Related	16.9
Commercial Mortgage-Backed Securities	7.2
Banking	6.1
Wirelines	4.7
Diversified Manufacturing	2.7
Food & Beverage	2.6
Electric	2.4
Technology	2.1
Media Cable	2.1
Non-Captive Diversified	2.0
Wireless	2.0
Other Investments, less than 2% each	19.7
Short-Term Investments	4.5
Total Investments	101.1
Other assets less liabilities	(1.1	)
Net Assets	100.0	%

See accompanying notes to financial statements.

22

LOOMIS SAYLES HIGH INCOME FUND — PORTFOLIO OF INVESTMENTS

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 89.9% of Net Assets
		ABS Car Loan — 0.1%
$	85,000	Capital One Auto Finance Trust, Series 2006-C, Class A4, 0.273%, 5/15/2013(b)	$	83,382
	100,000	Capital One Auto Finance Trust, Series 2007-C, Class A4, 5.230%, 7/15/2014		97,803
				181,185
		ABS Credit Card — 0.1%
	100,000	HSBC Private Label Credit Card Master Note Trust, Series 2007-1, Class B, 0.353%, 12/16/2013(b)		96,345
		ABS Home Equity — 1.3%
	117,055	Citigroup Mortgage Loan Trust, Inc., Series 2006-NC1, Class A2B, 0.356%, 8/25/2036(b)		96,860
	606,666	Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A, 0.396%, 8/25/2036(b)		398,231
	351,975	HSI Asset Securitization Corp. Trust, Series 2006-HE2, Class 2A1, 0.296%, 12/25/2036(b)		237,652
	528,673	Long Beach Mortgage Loan Trust, Series 2006-WL2, Class 2A3, 0.446%, 1/25/2036(b)		353,210
	188,570	Residential Asset Mortgage Products, Inc. Series 2006-RZ3, Class A2, 0.406%, 8/25/2036(b)		149,117
	2,000,000	Residential Asset Mortgage Products, Inc., Series 2006-RZ5, Class A2, 0.426%, 8/25/2046(b)		1,195,356
				2,430,426
		Aerospace & Defense — 2.6%
	1,590,000	BE Aerospace, Inc., 8.500%, 7/01/2018		1,629,750
	600,000	Bombardier, Inc., 144A, 6.300%, 5/01/2014		579,000
	2,900,000	Bombardier, Inc., 144A, 7.450%, 5/01/2034		2,530,250
				4,739,000
		Airlines — 0.3%
	49,894	Continental Airlines, Inc., Series 1997-4, Class 4B, 6.900%, 7/02/2018		43,907
	310,216	Continental Airlines, Inc., Series 2000-2, Class A-1, 7.707%, 10/02/2022		288,501
	180,000	Continental Airlines, Inc., Series 2007-1, Class B, 6.903%, 4/19/2022		154,800
				487,208
		Automotive — 2.5%
	450,000	FCE Bank PLC, EMTN, 7.875%, 2/15/2011 (GBP)		704,784
	420,000	Ford Motor Co., 6.375%, 2/01/2029		302,400
	65,000	Ford Motor Co., 6.625%, 2/15/2028		46,800
	1,220,000	Ford Motor Co., 6.625%, 10/01/2028		878,400
	40,000	Ford Motor Co., 7.500%, 8/01/2026		29,200
	130,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		122,020
	105,000	Ford Motor Credit Co. LLC, 7.250%, 10/25/2011		101,977

Principal Amount (‡)		Description	Value (†)
		Automotive — continued
$	310,000	Ford Motor Credit Co. LLC, 7.500%, 8/01/2012	$	297,652
	1,320,000	Ford Motor Credit Co. LLC, 8.000%, 6/01/2014		1,268,516
	150,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		139,165
	635,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		552,450
	225,000	Goodyear Tire & Rubber Co. (The), 10.500%, 5/15/2016		244,125
				4,687,489
		Banking — 0.3%
	290,000	Citigroup, Inc., 5.000%, 9/15/2014		275,959
	200,000	Merrill Lynch & Co., Inc., 7.750%, 5/14/2038		225,384
				501,343
		Building Materials — 0.9%
	750,000	Masco Corp., 4.800%, 6/15/2015		688,259
	50,000	Masco Corp., 6.500%, 8/15/2032		40,456
	345,000	Masco Corp., 7.750%, 8/01/2029		311,932
	625,000	USG Corp., 6.300%, 11/15/2016		531,250
	65,000	USG Corp., 144A, 9.750%, 8/01/2014		67,925
				1,639,822
		Chemicals — 0.3%
	855,000	Hercules, Inc., Subordinated Note, 6.500%, 6/30/2029		475,594
		Collateralized Mortgage Obligations — 0.6%
	636,066	Lehman Mortgage Trust, Series 2006-6, Class 5A1, 0.746%, 12/25/2036(b)		458,308
	561,254	Residential Accredit Loans, Inc., Series 2005-QA13, Class 2A1, 5.813%, 12/25/2035(b)		249,690
	226,043	Structured Adjustable Rate Mortgage Loan Trust, Series 2007-7, Class 1A1, 0.546%, 8/25/2037(b)		125,726
	498,224	WaMu Mortgage Pass Through Certificates, Series 2006-AR10, Class 1A1, 5.922%, 9/25/2036(b)		371,967
				1,205,691
		Commercial Mortgage-Backed Securities — 3.1%
	100,000	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041		95,450
	100,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		90,018
	550,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		497,045
	800,000	Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4, 5.816%, 12/10/2049(b)		720,892

See accompanying notes to financial statements.

23

LOOMIS SAYLES HIGH INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Commercial Mortgage-Backed Securities — continued
$	100,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.809%, 9/15/2039(b)	$	79,223
	650,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		585,283
	1,375,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		1,218,543
	520,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.818%, 6/15/2049(b)		454,517
	100,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		84,295
	866,149	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.366%, 7/25/2037(b)		389,767
	300,000	Morgan Stanley Capital I, Series 2007-T27, Class A4, 5.650%, 6/11/2042(b)		283,105
	400,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.280%, 1/11/2043(b)		388,015
	300,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A4, 5.418%, 1/15/2045(b)		273,121
	645,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		580,775
				5,740,049
		Construction Machinery — 1.4%
	40,000	Joy Global, Inc., 6.625%, 11/15/2036		37,271
	350,000	RSC Equipment Rental, Inc., 9.500%, 12/01/2014		337,750
	165,000	United Rentals North America, Inc., Convertible, 1.875%, 10/15/2023		155,925
	2,245,000	United Rentals North America, Inc., 7.000%, 2/15/2014		1,953,150
	15,000	United Rentals North America, Inc., 7.750%, 11/15/2013		13,500
	150,000	United Rentals North America, Inc., 144A, 10.875%, 6/15/2016		160,500
				2,658,096
		Consumer Products — 0.1%
	260,000	Acco Brands Corp., 7.625%, 8/15/2015		215,800
		Diversified Manufacturing — 0.1%
	150,000	Trinity Industries, Inc., Convertible, 3.875%, 6/01/2036		110,625
		Electric — 4.4%
	35,000	AES Corp. (The), 8.000%, 10/15/2017		35,219
	2,740,000	AES Corp. (The), 8.000%, 6/01/2020		2,719,450
	213,669	AES Ironwood LLC, 8.857%, 11/30/2025		196,041
	23,517	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		22,165

Principal Amount (‡)		Description	Value (†)
		Electric — continued
$	555,000	CMS Energy Corp., Convertible, 5.500%, 6/15/2029	$	634,781
	220,000	CMS Energy Corp., 8.750%, 6/15/2019		239,314
	375,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		288,750
	180,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		123,300
	815,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		694,788
	2,230,000	Edison Mission Energy, 7.625%, 5/15/2027		1,594,450
	140,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027		63,000
	775,000	NRG Energy, Inc., 7.375%, 1/15/2017		749,812
	195,000	TXU Corp., Series P, 5.550%, 11/15/2014		133,077
	1,015,000	TXU Corp., Series Q, 6.500%, 11/15/2024		469,458
	370,000	TXU Corp., Series R, 6.550%, 11/15/2034		166,430
				8,130,035
		Food & Beverage — 1.5%
	845,000	ARAMARK Corp., 8.500%, 2/01/2015		852,394
	710,000	Aramark Services, Inc., 5.000%, 6/01/2012		670,950
	600,000	CCL Finance Ltd., 144A, 9.500%, 8/15/2014		637,500
	570,000	Tyson Foods, Inc., 7.850%, 4/01/2016		581,400
				2,742,244
		Government Guaranteed — 0.1%
	275,000	Canada Housing Trust, 3.550%, 9/15/2013 (CAD)		267,127
		Government Owned — No Guarantee — 0.1%
	160,000	Federal Home Loan Mortgage Corp., 4.625%, 10/25/2012(g)		173,888
		Healthcare — 6.4%
	660,000	Affymetrix, Inc., Convertible, 3.500%, 1/15/2038		531,300
	105,000	Boston Scientific Corp., 6.400%, 6/15/2016		106,444
	95,000	Boston Scientific Corp., 7.000%, 11/15/2035		87,044
	385,000	CHS/Community Health Systems, Inc., 8.875%, 7/15/2015		394,625
	495,000	HCA, Inc., 5.750%, 3/15/2014		436,837
	155,000	HCA, Inc., 6.250%, 2/15/2013		148,025
	10,000	HCA, Inc., 6.300%, 10/01/2012		9,600
	50,000	HCA, Inc., 6.375%, 1/15/2015		44,500
	205,000	HCA, Inc., 6.500%, 2/15/2016		181,937

See accompanying notes to financial statements.

24

LOOMIS SAYLES HIGH INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Healthcare — continued
$	35,000	HCA, Inc., 7.050%, 12/01/2027	$	26,545
	1,070,000	HCA, Inc., 7.190%, 11/15/2015		991,080
	630,000	HCA, Inc., 7.500%, 12/15/2023		508,579
	700,000	HCA, Inc., 7.500%, 11/06/2033		541,644
	40,000	HCA, Inc., 7.690%, 6/15/2025		32,482
	480,000	HCA, Inc., 8.360%, 4/15/2024		390,594
	670,000	HCA, Inc., MTN, 7.580%, 9/15/2025		542,057
	1,685,000	HCA, Inc., MTN, 7.750%, 7/15/2036		1,320,695
	1,520,000	Hologic, Inc., Convertible, (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(c)		1,242,600
	40,000	Life Technologies Corp., Convertible, 1.500%, 2/15/2024		43,700
	1,368,000	Omnicare, Inc., Convertible, 3.250%, 12/15/2035		1,049,940
	380,000	Psychiatric Solutions, Inc., 144A, 7.750%, 7/15/2015		357,200
	435,000	Psychiatric Solutions, Inc., 7.750%, 7/15/2015		419,775
	255,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		198,900
	190,000	Tenet Healthcare Corp., 7.375%, 2/01/2013		188,100
	1,833,000	Tenet Healthcare Corp., 9.250%, 2/01/2015		1,913,194
	60,000	Tenet Healthcare Corp., 9.875%, 7/01/2014		61,650
				11,769,047
		Home Construction — 3.9%
	755,000	D.R. Horton, Inc., 6.500%, 4/15/2016		742,731
	620,000	D.R. Horton, Inc., Guaranteed Note, 5.625%, 1/15/2016		579,700
	410,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		402,825
	315,000	KB Home, 5.750%, 2/01/2014		302,400
	360,000	KB Home, Guaranteed Note, 5.875%, 1/15/2015		339,300
	1,790,000	KB Home, Guaranteed Note, 7.250%, 6/15/2018		1,745,250
	580,000	Lennar Corp., Series B, 5.600%, 5/31/2015		535,050
	830,000	Lennar Corp., Series B, 6.500%, 4/15/2016		780,200
	1,325,000	Pulte Homes, Inc., 6.000%, 2/15/2035		1,000,375
	495,000	Pulte Homes, Inc., 6.375%, 5/15/2033		381,150
	380,000	Pulte Homes, Inc., 7.875%, 6/15/2032		334,400
				7,143,381

Principal Amount (‡)		Description	Value (†)
		Independent Energy — 6.7%
$	475,000	Chesapeake Energy Corp., Convertible, 2.250%, 12/15/2038	$	355,063
	40,000	Chesapeake Energy Corp., 6.375%, 6/15/2015		37,150
	3,295,000	Chesapeake Energy Corp., 6.500%, 8/15/2017		3,023,162
	790,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		703,100
	620,000	Connacher Oil and Gas Ltd., 144A, 10.250%, 12/15/2015		505,300
	500,000	Connacher Oil and Gas Ltd., 144A, 11.750%, 7/15/2014		532,500
	825,000	Hilcorp Energy I LP, 144A, 7.750%, 11/01/2015		779,625
	435,000	Penn Virginia Corp., Convertible, 4.500%, 11/15/2012		391,500
	790,000	PetroHawk Energy Corp., 7.875%, 6/01/2015		778,150
	355,000	Pioneer Natural Resources Co., 5.875%, 7/15/2016		328,121
	200,000	Pioneer Natural Resources Co., 6.875%, 5/01/2018		190,863
	3,127,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		2,713,992
	1,260,000	SandRidge Energy, Inc., 144A, 8.000%, 6/01/2018		1,212,750
	1,065,000	Swift Energy Co., 7.125%, 6/01/2017		926,550
				12,477,826
		Industrial Other — 0.2%
	245,000	Incyte Corp., Convertible, 3.500%, 2/15/2011		238,875
	140,000	Ranhill Labuan Ltd., 144A, 12.500%, 10/26/2011		112,000
				350,875
		Lodging — 4.1%
	170,000	Felcor Lodging Trust, Inc., 144A, 10.000%, 10/01/2014		164,475
	615,000	Host Hotels & Resorts LP, 6.375%, 3/15/2015		582,713
	55,000	Host Hotels & Resorts LP, 6.750%, 6/01/2016		52,250
	80,000	Host Hotels & Resorts LP, 6.875%, 11/01/2014		78,200
	105,000	Host Hotels & Resorts LP, Convertible, 144A, 3.250%, 4/15/2024		105,000
	1,690,000	Host Hotels & Resorts, Inc., Convertible, 144A, 2.625%, 4/15/2027		1,552,687
	135,000	Royal Caribbean Cruises Ltd., 6.875%, 12/01/2013		125,888
	2,000,000	Royal Caribbean Cruises Ltd., 7.000%, 6/15/2013		1,905,000
	670,000	Royal Caribbean Cruises Ltd., 7.250%, 6/15/2016		619,750
	2,590,000	Starwood Hotels & Resorts Worldwide, Inc., 6.750%, 5/15/2018		2,444,312
				7,630,275

See accompanying notes to financial statements.

25

LOOMIS SAYLES HIGH INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Media Cable — 2.1%
$	1,114,000	CSC Holdings, Inc., Senior Note, 7.625%, 7/15/2018	$	1,130,710
	250,000	CSC Holdings, Inc., 7.875%, 2/15/2018		255,000
	180,000	CSC Holdings, Inc., 144A, 8.625%, 2/15/2019		190,350
	1,570,000	Virgin Media Finance PLC, 8.750%, 4/15/2014		1,601,400
	670,000	Virgin Media Finance PLC, 9.500%, 8/15/2016		705,175
				3,882,635
		Media Non-Cable — 1.2%
	175,000	Intelsat Corp., 6.875%, 1/15/2028		145,250
	1,765,000	Intelsat Subsidiary Holding Co. Ltd., 8.500%, 1/15/2013		1,787,062
	160,000	Intelsat Subsidiary Holding Co. Ltd., 144A, 8.875%, 1/15/2015		162,000
	85,000	R.H. Donnelley Corp., 6.875%, 1/15/2013(d)		4,888
	25,000	R.H. Donnelley Corp., Series A-1, 6.875%, 1/15/2013(d)		1,438
	160,000	R.H. Donnelley Corp., Series A-2, 6.875%, 1/15/2013(d)		9,200
	615,000	R.H. Donnelley Corp., Series A-3, 8.875%, 1/15/2016(d)		35,362
	155,000	R.H. Donnelley Corp., Series A-4, 8.875%, 10/15/2017(d)		8,913
				2,154,113
		Metals & Mining — 1.8%
	355,000	ArcelorMittal, 9.850%, 6/01/2019		419,895
	245,000	Steel Dynamics, Inc., Convertible, 5.125%, 6/15/2014		289,100
	410,000	Steel Dynamics, Inc., 6.750%, 4/01/2015		392,575
	580,000	Steel Dynamics, Inc., 7.375%, 11/01/2012		585,800
	1,145,000	Steel Dynamics, Inc., 144A, 8.250%, 4/15/2016		1,150,725
	355,000	United States Steel Corp., 6.050%, 6/01/2017		331,567
	125,000	United States Steel Corp., 7.000%, 2/01/2018		120,047
				3,289,709
		Non-Captive Consumer — 2.2%
	60,000	SLM Corp., MTN, 5.050%, 11/14/2014		44,106
	40,000	SLM Corp., Series A, MTN, 4.500%, 7/26/2010		38,867
	20,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013		15,921
	10,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		6,271
	4,260,000	SLM Corp., Series A, MTN, 5.375%, 5/15/2014		3,260,510
	5,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,138

Principal Amount (‡)	Description	Value (†)
	Non-Captive Consumer — continued
735,000	SLM Corp., Series A, MTN, 6.500%, 6/15/2010 (NZD)(e)(f)	$	497,545
245,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		195,387
			4,061,745
	Non-Captive Diversified — 2.3%
1,300,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012 (SGD)		877,120
66,000	GMAC, Inc., 144A, 5.375%, 6/06/2011		60,885
172,000	GMAC, Inc., 144A, 5.750%, 9/27/2010		165,980
412,000	GMAC, Inc., 144A, 6.000%, 4/01/2011		386,250
398,000	GMAC, Inc., 144A, 6.000%, 12/15/2011		368,150
208,000	GMAC, Inc., 144A, 6.625%, 5/15/2012		191,360
2,041,000	GMAC, Inc., 144A, 6.750%, 12/01/2014		1,734,850
24,000	GMAC, Inc., 144A, 8.000%, 11/01/2031		19,320
590,000	General Motors Acceptance Corp. of Canada, EMTN, 7.125%, 9/13/2011 (AUD)		478,858
80,000	iStar Financial, Inc., 5.850%, 3/15/2017		41,800
10,000	iStar Financial, Inc., 5.875%, 3/15/2016		5,500
15,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		8,550
			4,338,623
	Oil Field Services — 1.3%
490,000	Basic Energy Services, Inc., 7.125%, 4/15/2016		384,650
380,000	Basic Energy Services, Inc., 144A, 11.625%, 8/01/2014		402,800
350,000	Compagnie Generale de Geophysique-Veritas, 144A, 9.500%, 5/15/2016		370,125
170,000	Complete Production Services, Inc., 8.000%, 12/15/2016		154,700
30,000	Key Energy Services, Inc., 8.375%, 12/01/2014		28,500
1,052,000	North American Energy Partners, Inc., 8.750%, 12/01/2011		1,030,960
			2,371,735
	Packaging — 0.1%
175,000	Owens-Illinois, Inc., Senior Note, 7.800%, 5/15/2018		175,438
	Paper — 2.9%
340,000	Georgia-Pacific Corp., 7.250%, 6/01/2028		302,600
160,000	Georgia-Pacific Corp., 7.375%, 12/01/2025		144,000
1,071,000	Georgia-Pacific Corp., 7.750%, 11/15/2029		985,320
815,000	Georgia-Pacific Corp., 8.000%, 1/15/2024		806,850

See accompanying notes to financial statements.

26

LOOMIS SAYLES HIGH INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Paper — continued
$	2,305,000	Georgia-Pacific Corp., 8.875%, 5/15/2031	$	2,328,050
	35,000	Georgia-Pacific LLC, 144A, 7.125%, 1/15/2017		34,212
	200,000	Georgia-Pacific LLC, 9.500%, 12/01/2011		213,000
	485,000	International Paper Co., 5.250%, 4/01/2016		485,239
				5,299,271
		Pharmaceuticals — 5.0%
	2,340,000	Elan Finance PLC, 8.875%, 12/01/2013		2,357,550
	1,865,000	Elan Finance PLC, Senior Note, 7.750%, 11/15/2011		1,899,969
	950,000	Human Genome Sciences, Inc., Convertible, 2.250%, 10/15/2011		1,314,563
	840,000	Human Genome Sciences, Inc., Convertible, 2.250%, 8/15/2012		1,046,850
	785,000	Kendle International, Inc., Convertible, 3.375%, 7/15/2012		692,763
	1,521,000	Nektar Therapeutics, Convertible, 3.250%, 9/28/2012		1,380,307
	505,000	Valeant Pharmaceuticals International, Subordinated Note, Convertible, 4.000%, 11/15/2013		543,506
				9,235,508
		Pipelines — 1.7%
	2,285,000	El Paso Corp., 6.950%, 6/01/2028		1,900,791
	225,000	El Paso Corp., 7.000%, 6/15/2017		220,500
	405,000	El Paso Corp., 7.420%, 2/15/2037		347,818
	110,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		100,883
	235,000	El Paso Corp., GMTN, 8.050%, 10/15/2030		217,206
	130,000	El Paso Natural Gas Co., 8.375%, 6/15/2032		156,077
	175,000	Kinder Morgan, Inc., 6.500%, 9/01/2012		179,813
				3,123,088
		Refining — 0.4%
	150,000	Petroplus Finance Ltd., 144A, 6.750%, 5/01/2014		140,438
	745,000	Petroplus Finance Ltd., 144A, 7.000%, 5/01/2017		677,950
				818,388
		REITs — 0.3%
	195,000	ProLogis, Convertible, 1.875%, 11/15/2037		166,481
	170,000	ProLogis, Convertible, 2.250%, 4/01/2037		153,213
	100,000	ProLogis, 5.625%, 11/15/2015		90,871
	45,000	ProLogis, 5.750%, 4/01/2016		40,252

Principal Amount (‡)		Description	Value (†)
		REITs — continued
$	80,000	ProLogis, 6.625%, 5/15/2018	$	73,871
				524,688
		Retailers — 2.5%
	250,000	Dillard’s, Inc., 6.625%, 1/15/2018		190,000
	105,000	Dillard’s, Inc., 7.130%, 8/01/2018		81,637
	545,000	J.C. Penney Corp., Inc., Senior Note, 6.375%, 10/15/2036		449,625
	765,000	Macy’s Retail Holdings, Inc., 5.900%, 12/01/2016		700,887
	510,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		401,800
	30,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		21,870
	210,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		165,662
	1,115,000	Toys R Us Property Co. I LLC, 144A, 10.750%, 7/15/2017		1,198,625
	1,600,000	Toys R Us, Inc., 7.375%, 10/15/2018		1,392,000
	20,000	Toys R Us, Inc., 7.875%, 4/15/2013		19,200
				4,621,306
		Sovereigns — 1.9%
	423,500(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023 (MXN)		3,076,862
	350,000	New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010 (AUD)(g)		318,070
	4,504,661	Republic of Uruguay, 4.250%, 4/05/2027 (UYU)		193,324
				3,588,256
		Supermarkets — 0.9%
	300,000	American Stores Co., 8.000%, 6/01/2026		270,000
	750,000	New Albertson’s, Inc., 7.450%, 8/01/2029		645,000
	190,000	New Albertson’s, Inc., 7.750%, 6/15/2026		169,100
	130,000	New Albertson’s, Inc., 8.000%, 5/01/2031		116,675
	735,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		567,788
				1,768,563
		Supranational — 0.4%
	9,210,000,000	European Investment Bank, EMTN, 144A, Zero Coupon, 4/24/2013 (IDR)		678,290
	13,400,000	International Bank for Reconstruction & Development, 9.500%, 5/27/2010 (ISK)		87,375
				765,665
		Technology — 8.3%
	300,000	Affiliated Computer Services, Inc., 5.200%, 6/01/2015		294,750
	1,090,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		829,763

See accompanying notes to financial statements.

27

LOOMIS SAYLES HIGH INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	1,930,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028	$	1,469,212
	50,000	Alcatel-Lucent USA, Inc., Series A, Convertible, 2.875%, 6/15/2023		49,188
	1,580,000	Alcatel-Lucent USA, Inc., Series B, Convertible, 2.875%, 6/15/2025		1,319,300
	2,165,000	Amkor Technology, Inc., 7.750%, 5/15/2013		2,165,000
	290,000	Amkor Technology, Inc., 9.250%, 6/01/2016		298,700
	15,000	Ciena Corp., Convertible, 0.250%, 5/01/2013		11,981
	535,000	Ciena Corp., Convertible, 0.875%, 6/15/2017		368,481
	30,000	Intel Corp., Convertible, 2.950%, 12/15/2035		26,775
	1,220,000	Jabil Circuit, Inc., 8.250%, 3/15/2018		1,238,300
	345,000	JDS Uniphase Corp., Convertible, 1.000%, 5/15/2026		289,800
	1,330,000	Kulicke & Soffa Industries, Inc., Convertible, 0.875%, 6/01/2012		1,088,938
	285,000	Kulicke & Soffa Industries, Inc., Convertible, 1.000%, 6/30/2010		270,394
	216,000	Maxtor Corp., Subordinated Note, Convertible, 5.750%, 3/01/2012(f)		196,560
	580,000	Motorola, Inc., 6.500%, 9/01/2025		490,149
	1,000,000	Motorola, Inc., 7.500%, 5/15/2025		900,000
	340,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		190,400
	280,000	Nortel Networks Corp., Convertible, 2.125%, 4/15/2014(d)		154,000
	560,000	Nortel Networks Ltd., 6.875%, 9/01/2023(d)		156,800
	255,000	Seagate Technology HDD Holdings, 6.375%, 10/01/2011		255,000
	1,805,000	Seagate Technology HDD Holdings, 6.800%, 10/01/2016		1,656,087
	390,000	Seagate Technology International, 144A, 10.000%, 5/01/2014		426,075
	820,000	SunGard Data Systems, Inc., 9.125%, 8/15/2013		828,200
	355,000	Xerox Capital Trust I, 8.000%, 2/01/2027		347,013
				15,320,866
		Textile — 0.1%
	375,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034		277,500
		Transportation Services — 0.4%
	275,000	APL Ltd., Senior Note, 8.000%, 1/15/2024(f)		224,813
	640,000	Overseas Shipholding Group, Senior Note, 7.500%, 2/15/2024		536,000
				760,813
		Treasuries — 1.9%
	3,360,000	Canadian Government, 4.500%, 6/01/2015 (CAD)		3,440,277

Principal Amount (‡)		Description	Value (†)
		Wireless — 3.7%
$	130,000	Crown Castle International Corp., 9.000%, 1/15/2015	$	136,175
	1,443,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		1,295,092
	944,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		875,560
	1,080,000	Nextel Communications, Inc., Series F, 5.950%, 3/15/2014		955,800
	80,000	NII Holdings, Inc., 2.750%, 8/15/2025		78,500
	850,000	NII Holdings, Inc., 3.125%, 6/15/2012		742,688
	2,061,000	Sprint Capital Corp., 6.875%, 11/15/2028		1,720,935
	55,000	Sprint Capital Corp., 6.900%, 5/01/2019		49,225
	20,000	Sprint Capital Corp., 8.750%, 3/15/2032		18,900
	500,000	True Move Co. Ltd., 144A, 10.375%, 8/01/2014		467,500
	600,000	True Move Co. Ltd., 144A, 10.750%, 12/16/2013		576,000
				6,916,375
		Wirelines — 7.4%
	255,000	Bell Canada, Series M-17, 6.100%, 3/16/2035 (CAD)		222,420
	65,000	Cincinnati Bell Telephone Co., 6.300%, 12/01/2028		48,425
	530,000	Cincinnati Bell, Inc., 7.000%, 2/15/2015		514,100
	955,000	Cincinnati Bell, Inc., 8.375%, 1/15/2014		959,775
	460,000	Embarq Corp., 7.995%, 6/01/2036		480,614
	1,611,153	FairPoint Communications, Inc., 13.125%, 4/02/2018(j)		197,366
	95,000	Frontier Communications Corp., 7.000%, 11/01/2025		80,988
	30,000	Frontier Communications Corp., 7.125%, 3/15/2019		28,275
	1,245,000	Frontier Communications Corp., 7.875%, 1/15/2027		1,136,062
	605,000	Frontier Communications Corp., 9.000%, 8/15/2031		592,900
	80,000	Hawaiian Telcom Communications, Inc., Series B, 12.500%, 5/01/2015(d)		100
	2,235,000	Level 3 Communications, Inc., Convertible, 3.500%, 6/15/2012		1,776,825
	459,000	Level 3 Communications, Inc., Convertible, 5.250%, 12/15/2011		408,510
	815,000	Level 3 Communications, Inc., Convertible, 144A 7.000%, 3/15/2015(f)		863,900
	400,000	Level 3 Communications, Inc., Convertible, 10.000%, 5/01/2011		395,000
	770,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		639,100
	495,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		436,219

See accompanying notes to financial statements.

28

LOOMIS SAYLES HIGH INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
$	425,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018	$	349,563
	2,860,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		2,280,850
	1,445,000	Qwest Capital Funding, Inc., Guaranteed Note, 6.875%, 7/15/2028		1,090,975
	275,000	Qwest Capital Funding, Inc., Guaranteed Note, 7.625%, 8/03/2021		232,375
	10,000	Qwest Corp., 6.875%, 9/15/2033		8,100
	975,000	Windstream Corp., 144A, 7.875%, 11/01/2017		970,125
				13,712,567
		Total Bonds and Notes (Identified Cost $151,485,604)		166,300,500
	Bank Loans — 1.5%
		Chemicals — 0.1%
	140,441	Ashland Chemicals, Term Loan B, 7.650%, 5/13/2014(h)		143,338
		Diversified Manufacturing — 0.2%
	325,057	CommScope, Inc., Term Loan B, 2.783%, 12/26/2014(h)		317,437
		Food & Beverage — 0.0%
	1,306	Dole Food Co., Inc., Credit Link Deposit, 7.495%, 4/12/2013(h)		1,320
	838	Dole Food Co., Inc., Tranche B Term Loan, 8.000%, 4/12/2013(h)		847
	4,108	Dole Food Co., Inc., Tranche C Term Loan, 8.000%, 4/12/2013(h)		4,153
				6,320
		Media Non-Cable — 0.3%
	975,889	Idearc, Inc., Term Loan B, 6.250%, 11/17/2014(d)(h)		412,723
	224,012	Tribune Co., Term Loan X, 5.000%, 6/04/2009(d)(h)(l)		108,787
				521,510
		Technology — 0.2%
	417,835	Nuance Communications, Inc., Term Loan, 2.250%, 3/31/2013(h)		399,158
	2,419	Sungard Data Systems, Inc., Tranche A, 2.004%, 2/28/2014(h)		2,261
	67,045	Sungard Data Systems, Inc., Tranche B, 4.079%, 2/26/2016(h)		65,268
				466,687
		Wirelines — 0.7%
	763,371	Fairpoint Communications, Inc., Initial Term Loan B, 5.000%, 3/31/2015(h)		573,719
	35,482	Hawaiian Telcom Communications, Inc., Tranche C Term Loan, 4.750%, 6/01/2014(h)(i)		21,892
	250,000	Level 3 Financing, Inc., Add on Term Loan, 11.500%, 3/13/2014(h)		264,610
	25,000	Level 3 Financing, Inc., Tranche A Term Loan, 2.683%, 3/13/2014(h)		22,094
	365,343	Transaction Network Services, Inc., Term Loan A, 9.500%, 3/28/2014(h)		368,540
				1,250,855
		Total Bank Loans (Identified Cost $2,613,743)		2,706,147

Shares	Description	Value (†)
Preferred Stocks — 1.3%
Convertible Preferred Stocks — 1.2%
	Capital Markets — 0.5%
24,190	Newell Financial Trust I, 5.250%	$	855,721
	Diversified Financial Services — 0.1%
3,732	Sovereign Capital Trust IV, 4.375%		112,893
	Electric Utilities — 0.1%
6,475	AES Trust III, 6.750%		285,305
	Machinery — 0.0%
2,550	United Rentals Trust I, 6.500%		63,431
	Oil, Gas & Consumable Fuels — 0.2%
9,500	El Paso Energy Capital Trust I, 4.750%		317,656
	Semiconductors & Semiconductor Equipment — 0.3%
799	Lucent Technologies Capital Trust I, 7.750%		611,235
	Total Convertible Preferred Stocks (Identified Cost $2,078,890)		2,246,241
Non-Convertible Preferred Stocks — 0.1%
	Diversified Financial Services — 0.1%
274	Preferred Blocker, Inc., 144A, 7.000%		159,340
	Thrifts & Mortgage Finance — 0.0%
300	Federal Home Loan Mortgage Corp., 5.000%(j)(k)		795
7,900	Federal Home Loan Mortgage Corp., 5.570%(j)(k)		12,640
2,850	Federal Home Loan Mortgage Corp., 5.660%(j)(k)		4,702
1,000	Federal Home Loan Mortgage Corp., 5.700%(j)(k)		2,570
1,800	Federal Home Loan Mortgage Corp., 5.790%(j)(k)		4,788
650	Federal Home Loan Mortgage Corp., 5.810%(j)(k)		1,774
1,400	Federal Home Loan Mortgage Corp., 5.900%(j)(k)		2,380
350	Federal Home Loan Mortgage Corp., 6.000%(j)(k)		1,033
600	Federal Home Loan Mortgage Corp., 6.420%(j)(k)		1,800
1,350	Federal Home Loan Mortgage Corp., 6.550%(j)(k)		2,457
7,400	Federal Home Loan Mortgage Corp., (fixed rate to 12/31/2012, variable rate thereafter), 8.375%(j)(k)		13,394
1,200	Federal National Mortgage Association, 4.750%(j)(k)		3,060
200	Federal National Mortgage Association, 5.125%(j)(k)		532
400	Federal National Mortgage Association, 5.375%(j)(k)		1,136
350	Federal National Mortgage Association, 5.810%(j)(k)		977
550	Federal National Mortgage Association, 6.750%(j)(k)		864

See accompanying notes to financial statements.

29

LOOMIS SAYLES HIGH INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Shares		Description	Value (†)
		Thrifts & Mortgage Finance — continued
	10,250	Federal National Mortgage Association, (fixed rate to 12/13/2010, variable rate thereafter), 8.250%(j)(k)	$	16,502
				71,404
		Total Non-Convertible Preferred Stocks (Identified Cost $634,132)		230,744
		Total Preferred Stocks (Identified Cost $2,713,022)		2,476,985
	Common Stocks — 0.3%
		Biotechnology — 0.2%
	43,053	EPIX Pharmaceuticals, Inc.(j)		603
	127	EPIX Pharmaceuticals, Inc., Contingent Value Rights(j)		—
	8,147	Vertex Pharmaceuticals, Inc.(j)		308,771
				309,374
		Chemicals — 0.0%
	1,087	Ashland, Inc.		46,980
		Household Durables — 0.0%
	1,775	KB Home		29,483
		Pharmaceuticals — 0.1%
	6,875	Merck & Co., Inc.		217,456
		Thrifts & Mortgage Finance — 0.0%
	5,500	Federal Home Loan Mortgage Corp.(j)(k)		9,900
		Total Common Stocks (Identified Cost $670,137)		613,193
	Closed-End Investment Companies — 0.0%
	3,835	Morgan Stanley Emerging Markets Debt Fund, Inc.		36,701
	2,175	Western Asset High Income Opportunity Fund, Inc.		12,659
		Total Closed-End Investment Companies (Identified Cost $45,443)		49,360
Principal Amount (‡)
	Short-Term Investments — 6.9%
$	15,199	Repurchase Agreement with State Street Corporation, dated 9/30/2009 at 0.000% to be repurchased at $15,199 on 10/01/2009, collateralized by $20,000 U.S. Treasury Bill, due 11/05/2009 valued at $19,999 including accrued interest (Note 2g of Notes to Financial Statements)		15,199
	12,654,163	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2009 at 0.000% to be repurchased at $12,654,163 on 10/01/2009, collateralized by $12,915,000 Federal Home Loan Mortgage Corp. Discount Note, due 12/31/2009 valued at $12,908,543 including accrued interest (Note 2g of Notes to Financial Statements)		12,654,163
		Total Short-Term Investments (Identified Cost $12,669,362)		12,669,362
		Total Investments — 99.9% (Identified Cost $170,197,311)(a)		184,815,547
		Other assets less liabilities — 0.1%		237,077
		Net Assets — 100.0%	$	185,052,624
	(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2a of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.

(a)	Federal Tax Information: At September 30, 2009, the net unrealized appreciation on investments based on a cost of $170,660,593 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	$	18,505,499
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,350,545	)
	Net unrealized appreciation	$	14,154,954
(b)	Variable rate security. Rate as of September 30, 2009 is disclosed.
(c)	Step Bond: Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(e)	Fair valued security by the Fund’s investment adviser. At September 30, 2009, the value of this security amounted to $497,545 or 0.3% of net assets.
(f)	Illiquid security. At September 30, 2009, the value of these securities amounted to $1,782,818 or 1.0% of net assets.
(g)	All or a portion of this security is held as collateral for open forward foreign currency contracts.
(h)	Variable rate security. Rate shown represents the weighted average rate at September 30, 2009.
(i)	All or a portion of interest payment is paid-in-kind.
(j)	Non-income producing security.
(k)	Future dividend payments have been eliminated as the issuer has been placed in conservatorship.
(l)	Issuer has filed for bankruptcy.
144A	Securities 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 September 30, 2009, the value of these securities amounted to $20,691,962 or 11.2% of net assets.
ABS	Asset-Backed Securities
EMTN	Euro Medium Term Note
GMTN	Global Medium Term Note
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
AUD	Australian Dollar
CAD	Canadian Dollar
GBP	British Pound
IDR	Indonesian Rupiah
ISK	Icelandic Krona
MXN	Mexican Peso
NZD	New Zealand Dollar
SGD	Singapore Dollar
UYU	Uruguayan Peso

At September 30, 2009, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date	Currency	Units	Notional Value		Unrealized Appreciation (Depreciation)
Buy1	10/30/2009	Singapore Dollar	1,140,000	$	809,109	$	4,791
Sell1	10/30/2009	Singapore Dollar	1,140,000		809,109		(17,552	)
Total						$	(12,761	)

¹ Counterparty is Barclays Bank PLC.

See accompanying notes to financial statements.

30

LOOMIS SAYLES HIGH INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Industry Summary at September 30, 2009 (Unaudited)

Technology	8.5	%
Wirelines	8.1
Independent Energy	6.7
Healthcare	6.4
Pharmaceuticals	5.1
Electric	4.4
Lodging	4.1
Home Construction	3.9
Wireless	3.7
Commercial Mortgage-Backed Securities	3.1
Paper	2.9
Aerospace & Defense	2.6
Automotive	2.5
Retailers	2.5
Non-Captive Diversified	2.3
Non-Captive Consumer	2.2
Media Cable	2.1
Other Investments, less than 2% each	21.9
Short-Term Investments	6.9
Total Investments	99.9
Other assets less liabilities (including open Forward Foreign Currency Contracts)	0.1
Net Assets	100.0	%

See accompanying notes to financial statements.

31

LOOMIS SAYLES INTERNATIONAL BOND FUND — PORTFOLIO OF INVESTMENTS

Investments as of September 30, 2009

Principal Amount (‡)	Description	Value (†)
Bonds and Notes — 84.8% of Net Assets
Non-Convertible Bonds — 84.7%
	Australia — 1.2%
100,000	National Australia Bank Ltd., GMTN, 4.750%, 7/15/2016, (EUR)	$	151,476
165,000	New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010, (AUD)		149,947
			301,423
	Austria — 0.8%
17,000,000	Oesterreichische Kontrollbank AG, 1.800%, 3/22/2010, (JPY)		190,037
	Belgium — 7.6%
100,000	Anheuser-Busch InBev NV, EMTN, 6.500%, 6/23/2017, (GBP)		172,466
625,000	Kingdom of Belgium, 5.500%, 9/28/2017, (EUR)		1,046,981
415,000	Kingdom of Belgium, Series 50, 4.000%, 3/28/2013, (EUR)		643,551
			1,862,998
	Brazil — 0.4%
200(†††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2017, (BRL)		98,999
5,000	Republic of Brazil, 7.125%, 1/20/2037		5,962
			104,961
	Canada — 4.4%
110,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		95,946
255,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		238,818
715,000	Canadian Government, 4.500%, 6/01/2015, (CAD)(b)		732,083
			1,066,847
	Cayman Islands — 1.2%
60,000	DASA Finance Corp., 144A, 8.750%, 5/29/2018		63,600
75,000	DASA Finance Corp., 8.750%, 5/29/2018		79,500
100,000	Hutchison Whampoa Finance Ltd., 4.625%, 9/21/2016, (EUR)		143,847
			286,947
	France — 3.2%
50,000	Credit Agricole SA, EMTN, 5.971%, 2/01/2018, (EUR)		80,960
100,000	Electricite de France, EMTN, 5.875%, 7/18/2031, (GBP)		173,062
40,000	Lafarge SA, EMTN, 4.750%, 3/23/2020, (EUR)		51,556
50,000	Lafarge SA, EMTN, 5.375%, 6/26/2017, (EUR)		70,889
85,000	PPR, EMTN, 4.000%, 1/29/2013, (EUR)		124,277
35,000	Veolia Environnement, EMTN, 5.125%, 5/24/2022, (EUR)		51,124
70,000	Veolia Environnement, EMTN, 6.125%, 11/25/2033, (EUR)		106,952

Principal Amount (‡)	Description	Value (†)
	France — continued
50,000	Vivendi, 4.500%, 10/03/2013, (EUR)	$	74,760
50,000	Wendel, 4.875%, 5/26/2016, (EUR)		56,705
			790,285
	Germany — 21.9%
50,000	Bertelsmann AG, EMTN, 3.625%, 10/06/2015, (EUR)		66,407
21,000,000	Kreditanstalt fuer Wiederaufbau, 1.350%, 1/20/2014, (JPY)		238,015
16,000,000	Kreditanstalt fuer Wiederaufbau, 1.750%, 3/23/2010, (JPY)		179,396
36,000,000	Kreditanstalt fuer Wiederaufbau, 2.050%, 2/16/2026, (JPY)		391,559
185,000	Kreditanstalt fuer Wiederaufbau, 2.500%, 10/11/2010, (EUR)		275,848
5,000,000	Kreditanstalt fuer Wiederaufbau, 2.600%, 6/20/2037, (JPY)		55,727
105,000	Muenchener Hypothekenbank eG, 5.000%, 1/16/2012, (EUR)		164,369
130,000	Republic of Germany, 1.250%, 9/16/2011, (EUR)		190,176
540,000	Republic of Germany, 3.750%, 7/04/2013, (EUR)		836,309
665,000	Republic of Germany, 3.750%, 1/04/2017, (EUR)		1,027,087
400,000	Republic of Germany, 4.000%, 12/11/2009, (EUR)		589,162
330,000	Republic of Germany, 4.000%, 4/13/2012, (EUR)		512,020
100,000	Republic of Germany, 4.000%, 1/04/2037, (EUR)		146,901
100,000	Republic of Germany, 4.500%, 1/04/2013, (EUR)		158,021
280,000	Republic of Germany, 6.500%, 7/04/2027, (EUR)		541,034
			5,372,031
	India — 0.7%
100,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		92,273
100,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 144A, 6.375%, 4/30/2022		81,801
			174,074
	Ireland — 1.5%
30,000,000	Depfa ACS Bank, Series 686, EMTN, 1.650%, 12/20/2016, (JPY)		270,956
100,000	Elan Corp. PLC, 144A, 8.750%, 10/15/2016		98,563
			369,519
	Italy — 0.8%
150,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		207,457
	Japan — 8.4%
18,000,000	Development Bank of Japan, 1.750%, 6/21/2010, (JPY)		202,476

See accompanying notes to financial statements.

32

LOOMIS SAYLES INTERNATIONAL BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)	Description	Value (†)
	Japan — continued
63,000,000	Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY)	$	721,499
39,000,000	Japan Government , 0.700%, 6/20/2014, (JPY)		437,308
20,000,000	Japan Government, 1.300%, 3/20/2019, (JPY)		224,783
41,000,000	Japan Government, 1.400%, 6/20/2011, (JPY)		465,962
			2,052,028
	Jersey — 0.3%
50,000	WPP PLC, 6.000%, 4/04/2017, (GBP)		76,530
	Luxembourg — 0.5%
50,000	Enel Finance International SA, EMTN, 5.625%, 8/14/2024, (GBP)		79,972
25,000	Telecom Italia Finance SA, EMTN, 7.750%, 1/24/2033, (EUR)		41,051
			121,023
	Mexico — 1.2%
85,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		83,512
17,000(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		130,471
10,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		72,653
			286,636
	Netherlands — 3.6%
245,000	Kingdom of Netherlands, 5.000%, 7/15/2011, (EUR)(b)		382,394
50,000	Koninklijke (Royal) KPN NV, GMTN, 4.750%, 1/17/2017, (EUR)		74,580
100,000	Linde Finance BV, EMTN, 4.750%, 4/24/2017, (EUR)		151,712
100,000	RWE Finance BV, EMTN, 5.500%, 7/06/2022, (GBP)		164,170
10,000	Wolters Kluwer NV, 5.125%, 1/27/2014, (EUR)		15,325
50,000	Wolters Kluwer NV, 6.375%, 4/10/2018, (EUR)		80,613
			868,794
	Norway — 3.3%
275,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		48,404
2,125,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		390,960
775,000	Norwegian Government, 6.000%, 5/16/2011, (NOK)		140,992
1,235,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		235,518
			815,874
	Singapore — 0.8%
265,000	Republic of Singapore, 2.250%, 7/01/2013, (SGD)		196,434
	South Africa — 0.4%
100,000	Edcon Proprietary Ltd., 144A, 4.023%, 6/15/2014, (EUR)(c)		104,629

Principal Amount (‡)	Description	Value (†)
	Spain — 0.6%
100,000	Santander Issurance SA, EMTN, (fixed rate to 5/29/2014, variable rate thereafter), 4.750%, 5/29/2019, (EUR)	$	146,016
	Supranational — 4.9%
40,000,000	Asian Development Bank, EMTN, 2.350%, 6/21/2027, (JPY)		457,635
25,000,000	European Investment Bank, 1.250%, 9/20/2012, (JPY)		284,895
4,000,000	European Investment Bank, 1.400%, 6/20/2017, (JPY)		45,250
921,000,000	European Investment Bank, EMTN, 144A, Zero Coupon, 4/24/2013, (IDR)		67,829
30,000,000	Nordic Investment Bank, Series C, GMTN, 1.700%, 4/27/2017, (JPY)		347,197
			1,202,806
	Sweden — 2.2%
2,490,000	Sweden Government Bond, 5.500%, 10/08/2012, (SEK)		392,501
100,000	Telefonaktiebolaget LM Ericsson, EMTN, 5.375%, 6/27/2017, (EUR)		150,380
			542,881
	United Arab Emirates — 0.8%
100,000	Abu Dhabi National Energy Co., 144A, 6.500%, 10/27/2036		96,556
100,000	DP World Ltd., 144A, 6.850%, 7/02/2037		87,949
			184,505
	United Kingdom — 5.7%
50,000	BAT International Finance PLC, EMTN, 5.375%, 6/29/2017, (EUR)		76,797
50,000	British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP)		81,066
50,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		84,457
94,000	Lloyds TSB Group PLC, 5.875%, 7/08/2014, (EUR)		140,466
50,000	Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR)		75,663
70,000	United Kingdom Gilt, 4.250%, 6/07/2032, (GBP)		115,646
30,000	United Kingdom Treasury, 4.000%, 9/07/2016, (GBP)		50,872
350,000	United Kingdom Treasury, 5.250%, 6/07/2012, (GBP)		608,889
100,000	Vodafone Group PLC, EMTN, 5.375%, 6/06/2022, (EUR)		151,530
			1,385,386
	United States — 8.3%
25,000	Ahold Finance USA, Inc., EMTN, 6.500%, 3/14/2017, (GBP)		42,351
50,000	Alcoa, Inc., 6.750%, 1/15/2028		43,611
100,000	Bristol-Myers Squibb Co., 4.625%, 11/15/2021, (EUR)		150,738
50,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		69,846

See accompanying notes to financial statements.

33

LOOMIS SAYLES INTERNATIONAL BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		United States — continued
$	20,000	Chesapeake Energy Corp., 6.375%, 6/15/2015	$	18,575
	60,000	Chesapeake Energy Corp., 6.500%, 8/15/2017		55,050
	50,000	Couche-Tard US/Finance, 7.500%, 12/15/2013		50,563
	50,000	Countrywide Financial Corp., EMTN, 5.125%, 2/17/2011, (GBP)		80,144
	60,000	Frontier Communications Corp., 6.250%, 1/15/2013		58,800
	100,000	Georgia-Pacific Corp., 8.000%, 1/15/2024		99,000
	50,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		79,526
	50,000	Goldman Sachs Group, Inc. (The), 7.125%, 8/07/2025, (GBP)		92,141
	55,000	HCA, Inc., 5.750%, 3/15/2014		48,538
	45,000	HCA, Inc., 8.360%, 4/15/2024		36,618
	90,000	International Paper Co., 8.700%, 6/15/2038		99,770
	50,000	Kraft Foods, Inc., 6.250%, 3/20/2015, (EUR)		79,059
	100,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		126,510
	25,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		40,475
	50,000	Morgan Stanley, EMTN, 3.750%, 3/01/2013, (EUR)		72,484
	75,000	Motorola, Inc., 6.625%, 11/15/2037		62,813
	5,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,300
	5,000	New Albertson’s, Inc., 7.750%, 6/15/2026		4,450
	95,000	New Albertson’s, Inc., 8.000%, 5/01/2031		85,262
	5,000	New Albertson’s, Inc., 8.700%, 5/01/2030		4,550
	50,000	Owens Brockway Glass Container, Inc., 6.750%, 12/01/2014, (EUR)		72,436
	95,000	Qwest Corp., 6.875%, 9/15/2033		76,950
	70,000	SLM Corp., Series A, MTN, 4.500%, 7/26/2010		68,016
	100,000	Sprint Nextel Corp., 6.000%, 12/01/2016		89,250
	100,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		135,121
	50,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		72,356
				2,019,303
		Total Non-Convertible Bonds (Identified Cost $19,471,627)		20,729,424

Principal Amount (‡)		Description	Value (†)
	Convertible Bonds — 0.1%
		United States — 0.1%
$	50,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(d) (Identified Cost $34,778)	$	40,875
		Total Bonds and Notes (Identified Cost $19,506,405)		20,770,299
	Short-Term Investments — 7.3%
	1,782,795	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2009 at 0.000% to be repurchased at $1,782,795 on 10/01/2009, collateralized by $1,740,000 Federal Home Loan Mortgage Corp., 5.625% due 11/23/2035 valued at $1,818,474 including accrued interest (Note 2g of Notes to Financial Statements) (Identified Cost $1,782,795)		1,782,795
		Total Investments — 92.1% (Identified Cost $21,289,200)(a)		22,553,094
		Other assets less liabilities—7.9%		1,929,839
		Net Assets — 100.0%	$	24,482,933
	(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2a of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(†††)	Amount shown represents units. One unit represents a principal amount of 1,000.
	(a)	Federal Tax Information:
		At September 30, 2009, the net unrealized appreciation on investments based on a cost of $21,335,124 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	$	1,346,393
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(128,423	)
		Net unrealized appreciation	$	1,217,970
	(b)	All or a portion of this security is held as collateral for open forward foreign currency contracts.
	(c)	Variable rate security. Rate as of September 30, 2009 is disclosed.
	(d)	Step Bond: Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	144A	Securities 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 September 30, 2009, the value of these securities amounted to $600,927 or 2.5% of net assets.
	EMTN	Euro Medium Term Note
	GMTN	Global Medium Term Note
	MTN	Medium Term Note
	AUD	Australian Dollar
	BRL	Brazilian Real
	CAD	Canadian Dollar
	EUR	Euro
	GBP	British Pound
	IDR	Indonesian Rupiah
	JPY	Japanese Yen
	MXN	Mexican Peso
	NOK	Norwegian Krone
	SEK	Swedish Krona
	SGD	Singapore Dollar

See accompanying notes to financial statements.

34

LOOMIS SAYLES INTERNATIONAL BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

At September 30, 2009, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date	Currency	Units	Notional Value		Unrealized Appreciation
Buy1	12/16/2009	Euro	372,000	$	544,322	$	15,156
Buy2	12/16/2009	Japanese Yen	94,250,000		1,050,483		23,591
Sell2	12/16/2009	Japanese Yen	36,300,000		404,589		1,790
Buy3	12/14/2009	South Korean Won	248,000,000		210,288		7,508
Buy4	12/14/2009	South Korean Won	600,000,000		508,762		17,161
Total						$	65,206

¹ Counterparty is Credit Suisse.

² Counterparty is JP Morgan Chase.

³ Counterparty is UBS.

⁴ Counterparty is Barclays Bank PLC.

Industry Summary at September 30, 2009 (Unaudited)

Treasuries	41.5	%
Banking	7.2
Government Guaranteed	5.5
Supranational	4.9
Government Agencies	2.9
Sovereigns	2.7
Other Investments, less than 2% each	20.1
Short-Term Investments	7.3
Total Investments	92.1
Other assets less liabilities (including open Forward Foreign Currency Contracts)	7.9
Net Assets	100.0	%

Currency Exposure at September 30, 2009 as a Percentage of Net Assets (Unaudited)

Euro	39.0	%
Japanese Yen	18.4
United States Dollar	14.0
British Pound	8.5
Canadian Dollar	4.4
Norwegian Krone	3.3
Other, less than 2% each	4.5
Total Investments	92.1
Other assets less liabilities (including open Forward Foreign Currency Contracts)	7.9
Net Assets	100.0	%

See accompanying notes to financial statements.

35

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

PORTFOLIO OF INVESTMENTS

Investments as of September 30, 2009

Principal Amount		Description	Value (†)
	Bonds and Notes — 99.1% of Net Assets
		ABS Car Loan — 2.1%
$	91,578	Honda Auto Receivables Owner Trust, Series 2008-1, Class A2, 3.770%, 9/20/2010	$	91,928
	1,025,000	Honda Auto Receivables Owner Trust, Series 2009-2, Class A3, 2.790%, 1/15/2013		1,048,989
	785,000	Honda Auto Receivables Owner Trust, Series 2009-3, Class A3, 2.310%, 5/15/2013		797,050
	565,000	Merrill Auto Trust Securitization, Series 2008-1, Class 3A3, 5.500%, 3/15/2012		585,507
	425,000	Nissan Auto Receivables Owner Trust, Series 2008-B, Class A3, 4.460%, 4/16/2012		439,341
	915,000	Nissan Master Owner Trust Receivables, Series 2007-A, Class A, 0.243%, 5/15/2012(b)		908,862
	429,000	USAA Auto Owner Trust, Series 2008-3, Class A3, 4.280%, 10/15/2012		443,936
				4,315,613
		ABS Credit Card — 3.4%
	985,000	American Express Credit Account Master Trust, Series 2004-2 Class A, 0.413%, 12/15/2016(b)		947,809
	1,150,000	Capital One Multi-Asset Execution Trust, Series 2008-A6, Class A6, 1.343%, 3/17/2014(b)		1,158,227
	3,000,000	Citibank Credit Card Issuance Trust, Series 2006-A8, Class A8, 0.549%, 12/17/2018(b)		2,767,474
	1,400,000	Discover Card Master Trust I, Series 2007-3, Class A2, 0.293%, 10/16/2014(b)		1,362,604
	600,000	Discover Card Master Trust, Series 2008-A3, Class A3, 5.100%, 10/15/2013		630,348
				6,866,462
		ABS Home Equity — 1.2%
	962,163	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		723,448
	1,017,154	Countrywide Asset-Backed Certificates, Series 2006-S1, Class A2, 5.549%, 8/25/2021		538,786
	669,276	Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 5.700%, 1/25/2028		547,966
	660,000	Residential Funding Mortgage Securities II, Series 2005-HI3, Class A4, 5.490%, 9/25/2035		549,655
				2,359,855
		ABS Other — 0.3%
	700,000	John Deere Owner Trust, Series 2009-A, Class A3, 2.590%, 10/15/2013		711,857
		Collateralized Mortgage Obligations — 0.4%
	87,991	Federal Home Loan Mortgage Corp., Series 3145, Class KA, 5.000%, 8/15/2024		91,409
	770,851	Federal Home Loan Mortgage Corp., Series 2901, Class UA, 5.000%, 1/15/2030		808,517
				899,926
		Commercial Mortgage-Backed Securities — 10.9%
	1,005,000	Banc of America Commercial Mortgage, Inc., Series 2007-2, Class A2, 5.634%, 4/10/2049		997,671
	1,050,000	Bear Stearns Commercial Mortgage Securities, Inc., Series 2007-PW16, Class A2, 5.667%, 6/11/2040(b)		1,035,264

Principal Amount		Description	Value (†)
		Commercial Mortgage-Backed Securities — continued
$	360,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049	$	325,339
	790,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B, 5.205%, 12/11/2049		786,282
	1,400,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.768%, 6/10/2046(b)		1,339,263
	2,670,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, 5.826%, 6/15/2038(b)		2,264,532
	1,610,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.773%, 6/15/2039(b)		1,271,035
	2,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.809%, 9/15/2039(b)		1,584,465
	1,500,000	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.918%, 7/10/2038(b)		1,372,349
	1,850,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A2, 5.381%, 3/10/2039		1,837,215
	1,860,000	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A4, 5.553%, 4/10/2038		1,679,809
	500,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		439,425
	1,720,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		1,406,798
	905,000	Morgan Stanley Capital I, Series 2006-T23, Series A2, 5.741%, 8/12/2041(b)		915,228
	530,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048		464,579
	4,675,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		4,209,497
				21,928,751
		Government Guaranteed — 3.5%
	7,000,000	Citigroup Funding, Inc., 0.730%, 7/12/2012 (FDIC insured)(b)		7,012,005
		Government Owned — No Guarantee — 10.0%
	6,000,000	Federal Home Loan Mortgage Corp., 2.125%, 3/23/2012		6,111,132
	1,600,000	Federal Home Loan Mortgage Corp., 4.125%, 10/18/2010		1,659,171
	5,000,000	Federal National Mortgage Association, 1.750%, 3/23/2011		5,074,620
	3,420,000	Federal National Mortgage Association, 2.000%, 1/09/2012		3,478,793
	3,500,000	Federal National Mortgage Association, 5.000%, 10/15/2011		3,791,351
				20,115,067
		Government Sponsored — 8.3%
	6,800,000	Federal Home Loan Bank, 1.125%, 6/03/2011		6,835,584
	5,000,000	Federal Home Loan Bank, 1.625%, 7/27/2011		5,057,330

See accompanying notes to financial statements.

36

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount		Description	Value (†)
		Government Sponsored — continued
$	3,000,000	Federal Home Loan Bank, 3.375%, 10/20/2010	$	3,087,903
	1,700,000	Federal Home Loan Bank, 3.625%, 9/16/2011		1,789,580
				16,770,397
		Hybrid ARMs — 2.0%
	2,520,438	FNMA, 6.026%, 2/01/2037(b)		2,680,158
	155,447	JPMorgan Mortgage Trust, Series 2006-A7, Class 1A3, 4.552%, 1/25/2037(b)		144,977
	1,635,729	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.585%, 7/25/2035(b)		1,295,131
				4,120,266
		Mortgage Related — 42.4%
	7,641,202	FHLMC 4.500%, with various maturities from 2024 to 2034(c)		7,905,107
	4,963,789	FHLMC 5.000%, with various maturities from 2022 to 2023(c)		5,219,169
	16,554,608	FHLMC 5.500%, with various maturities from 2011 to 2023(c)		17,657,952
	4,567,515	FHLMC 6.000%, with various maturities from 2019 to 2021(c)		4,875,793
	6,823,443	FHLMC 6.500%, with various maturities from 2014 to 2034(c)		7,305,738
	170,340	FHLMC, 7.000%, 2/01/2016		183,190
	18,922	FHLMC 7.500%, with various maturities from 2012 to 2026(c)		20,195
	12,106	FHLMC, 8.000%, 9/01/2015		13,126
	4,458	FHLMC, 10.000%, 7/01/2019		5,008
	135,785	FHLMC 11.500%, with various maturities from 2015 to 2020(c)		147,665
	9,529,069	FNMA 4.000%, with various maturities from 2018 to 2019(c)		9,920,956
	852,857	FNMA, 4.500%, 9/01/2019		898,257
	2,022,877	FNMA 5.500%, with various maturities from 2017 to 2036(c)		2,135,215
	20,858,677	FNMA 6.000%, with various maturities from 2017 to 2034(c)		22,278,823
	5,110,573	FNMA 6.500%, with various maturities from 2017 to 2037(c)		5,482,237
	190,599	FNMA, 7.000%, 12/01/2022		206,674
	408,201	FNMA 7.500%, with various maturities from 2015 to 2032(c)		453,493
	59,846	FNMA 8.000%, with various maturities from 2015 to 2016(c)		65,044
	94,838	GNMA, 6.000%, 12/15/2031		101,209
	335,525	GNMA, 6.500%, 5/15/2031		362,574
	289,911	GNMA, 7.000%, 10/15/2028		319,625
	2,384	GNMA, 12.500%, 6/15/2014		2,707

Principal Amount		Description	Value (†)
		Mortgage Related — continued
$	43,467	GNMA 16.000%, with various maturities from 2011 to 2012(c)	$	48,854
	18,611	GNMA 17.000%, with various maturities in 2011(c)		20,765
				85,629,376
		Treasuries — 14.6%
	4,693,937	U.S. Treasury Inflation Indexed Bond, 1.375%, 7/15/2018		4,646,998
	15,782,916	U.S. Treasury Inflation Indexed Note, 0.625%, 4/15/2013		15,748,383
	8,600,000	U.S. Treasury Note, 3.625%, 12/31/2012		9,172,433
				29,567,814
		Total Bonds and Notes (Identified Cost $193,186,431)		200,297,389
Principal Amount
	Short-Term Investments — 0.5%
	998,373	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2009 at 0.000% to be repurchased at $998,373 on 10/01/2009, collateralized by $1,010,000 Federal Home Loan Bank, 2.900% due 7/02/2013 valued at $1,018,838 including accrued interest (Note 2g of Notes to Financial Statements) (Identified Cost $998,373)		998,373
		Total Investments — 99.6% (Identified Cost $194,184,804)(a)		201,295,762
		Other assets less liabilities—0.4%		742,177
		Net Assets — 100.0%	$	202,037,939
	(†)	See Note 2a Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2009, the net unrealized appreciation on investments based on a cost of $194,375,623 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	$	8,255,713
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,335,574	)
		Net unrealized appreciation	$	6,920,139
	(b)	Variable rate security. Rate as of September 30, 2009 is disclosed.
	(c)	The Fund’s investment in mortgage related securities of the Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
	ABS	Asset-Backed Securities
	ARM	Adjustable Rate Mortgage
	FDIC	Federal Deposit Insurance Corporation
	FHLMC	Federal Home Loan Mortgage Corporation
	FNMA	Federal National Mortgage Association
	GNMA	Government National Mortgage Association

See accompanying notes to financial statements.

37

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Industry Summary at September 30, 2009 (Unaudited)

Mortgage Related	42.4	%
Treasuries	14.6
Commercial Mortgage-Backed Securities	10.9
Government Owned — No Guarantee	10.0
Government Sponsored	8.3
Government Guaranteed	3.5
ABS Credit Card	3.4
ABS Car Loan	2.1
Hybrid ARMs	2.0
Other Investments, less than 2% each	1.9
Short-Term Investments	0.5
Total Investments	99.6
Other assets less liabilities	0.4
Net Assets	100.0	%

See accompanying notes to financial statements.

38

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 89.2% of Net Assets
	Non-Convertible Bonds — 83.3%
		ABS Credit Card — 0.7%
$	80,700,000	Citibank Credit Card Issuance Trust, Series 2008-C6, Class C6, 6.300%, 6/20/2014	$	83,481,495
		Aerospace & Defense — 0.1%
	1,380,000	Bombardier, Inc., 144A, 6.300%, 5/01/2014		1,331,700
	2,795,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)		2,346,140
	11,700,000	Bombardier, Inc., 144A, 7.450%, 5/01/2034		10,208,250
				13,886,090
		Airlines — 1.5%
	825,000	American Airlines Pass Through Trust, Series 1999-1, Class B, 7.324%, 4/15/2011		822,938
	3,245,000	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 7/02/2019		3,431,360
	432,651	American Airlines Pass Through Trust, Series 93A6, 8.040%, 9/16/2011		283,927
	20,000,000	Continental Airlines, Inc., 9.000%, 7/08/2016		21,177,200
	178,186	Continental Airlines, Inc., Series 1996-1, Class A, 6.940%, 4/15/2015		167,494
	4,470,543	Continental Airlines, Inc., Series 1997-4, Class 4B, 6.900%, 7/02/2018		3,934,078
	4,100,843	Continental Airlines, Inc., Series 1998-1, Class 1B, 6.748%, 9/15/2018		3,526,725
	6,639,043	Continental Airlines, Inc., Series 1999-1, Class B, 6.795%, 2/02/2020		5,742,772
	2,928,724	Continental Airlines, Inc., Series 1999-2, Class B, 7.566%, 9/15/2021		2,547,990
	1,577,483	Continental Airlines, Inc., Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,467,060
	7,140,073	Continental Airlines, Inc., Series 2000-2, Class B, 8.307%, 10/02/2019		6,283,264
	1,800,933	Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,663,360
	2,336,738	Continental Airlines, Inc., Series 2001-1, Class B, 7.373%, 6/15/2017		1,939,492
	11,915,000	Continental Airlines, Inc., Series 2007-1, Class A, 5.983%, 4/19/2022		11,259,675
	16,802,000	Continental Airlines, Inc., Series 2007-1, Class B, 6.903%, 4/19/2022		14,449,720
	7,230,366	Continental Airlines, Inc., Series 971A, 7.461%, 10/01/2016		6,742,316
	3,145,000	Delta Air Lines, Inc., 144A, 9.500%, 9/15/2014		3,145,000
	1,586,138	Delta Air Lines, Inc., Series 2007-1, Class A, 6.821%, 2/10/2024		1,467,177
	8,785,889	Delta Air Lines, Inc., Series 2007-1, Class B, 8.021%, 2/10/2024		6,940,852
	29,025,486	Delta Air Lines, Inc., Series 2007-1, Class C, 8.954%, 8/10/2014		23,641,258
	25,391,757	Northwest Airlines, Inc., Series 07-1, Class B, 8.028%, 11/01/2017		18,838,398
	1,500,000	Qantas Airways Ltd., 144A, 5.125%, 6/20/2013		1,499,738

Principal Amount (‡)		Description	Value (†)
		Airlines — continued
$	32,710,000	Qantas Airways Ltd., 144A, 6.050%, 4/15/2016	$	32,167,734
	18,286,946	United Air Lines, Inc., Series 2007-1, Class A, 6.636%, 1/02/2024		15,178,165
				188,317,693
		Automotive — 2.8%
	1,853,000	Cummins, Inc., 6.750%, 2/15/2027		1,637,400
	2,145,000	Cummins, Inc., 7.125%, 3/01/2028		2,032,387
	3,100,000	FCE Bank PLC, EMTN, 4.625%, 10/25/2010, (NOK)		493,759
	6,500,000	FCE Bank PLC, EMTN, 7.125%, 1/16/2012, (EUR)		9,036,180
	4,500,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		6,091,190
	5,700,000	FCE Bank PLC, EMTN, 7.875%, 2/15/2011, (GBP)		8,927,273
	17,816,000	Ford Motor Co., 6.375%, 2/01/2029		12,827,520
	1,705,000	Ford Motor Co., 6.500%, 8/01/2018		1,357,606
	500,000	Ford Motor Co., 6.625%, 2/15/2028		360,000
	73,114,000	Ford Motor Co., 6.625%, 10/01/2028		52,642,080
	1,940,000	Ford Motor Co., 7.125%, 11/15/2025		1,455,000
	86,090,000	Ford Motor Co., 7.450%, 7/16/2031		69,732,900
	800,000	Ford Motor Co., 7.500%, 8/01/2026		584,000
	10,685,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		10,029,091
	24,235,000	Ford Motor Credit Co. LLC, 7.250%, 10/25/2011		23,537,250
	5,940,000	Ford Motor Credit Co. LLC, 7.500%, 8/01/2012		5,703,392
	1,030,000	Ford Motor Credit Co. LLC, 7.875%, 6/15/2010		1,034,513
	47,810,000	Ford Motor Credit Co. LLC, 8.000%, 6/01/2014		45,945,267
	14,595,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		13,540,745
	10,625,000	Ford Motor Credit Co. LLC, 8.625%, 11/01/2010		10,748,144
	50,000,000	Ford Motor Credit Co. LLC, 8.700%, 10/01/2014		48,977,550
	1,645,000	Ford Motor Credit Co. LLC, 9.750%, 9/15/2010		1,681,007
	7,640,000	Ford Motor Credit Co. LLC, EMTN, 4.875%, 1/15/2010, (EUR)		11,096,136
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		4,329,990
	9,635,000	Goodyear Tire & Rubber Co. (The), 10.500%, 5/15/2016		10,453,975
				354,254,355

See accompanying notes to financial statements.

39

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Banking — 6.7%
$	67,925,000	AgriBank FCB, 9.125%, 7/15/2019(b)	$	73,461,839
	20,565,000	Associates Corp. of North America, 6.950%, 11/01/2018		20,120,220
	22,125,000	BAC Capital Trust VI, 5.625%, 3/08/2035		17,155,504
	11,685,000	Bank of America Corp., 5.750%, 12/01/2017		11,663,698
	4,560,000	Bank of America Corp., 6.000%, 9/01/2017		4,613,503
	1,006,000,000	Barclays Financial LLC, 144A, 4.160%, 2/22/2010, (THB)		30,547,351
	56,650,000,000	Barclays Financial LLC, 144A, 4.470%, 12/04/2011, (KRW)		48,079,779
	17,310,000,000	Barclays Financial LLC, EMTN, 144A, 4.060%, 9/16/2010, (KRW)		14,832,316
	135,000,000	Barclays Financial LLC, EMTN, 144A, 4.100%, 3/22/2010, (THB)		4,107,782
	21,340,000,000	Barclays Financial LLC, EMTN, 144A, 4.460%, 9/23/2010, (KRW)		18,350,679
	224,520,000,000	BNP Paribas SA, EMTN, 144A, Zero Coupon, 6/13/2011, (IDR)		19,592,361
	2,165,000	Capital One Financial Corp., 6.150%, 9/01/2016		2,126,017
	18,650,000	Citibank NA, 144A, 15.000%, 7/02/2010, (BRL)		10,966,613
	47,120,000	Citigroup, Inc., 5.000%, 9/15/2014		44,838,685
	3,060,000	Citigroup, Inc., 5.850%, 12/11/2034		2,626,576
	20,715,000	Citigroup, Inc., 5.875%, 2/22/2033		17,169,193
	4,210,000	Citigroup, Inc., 5.875%, 5/29/2037		3,670,712
	10,819,000	Citigroup, Inc., 6.000%, 10/31/2033		9,053,631
	1,850,000	Citigroup, Inc., 6.125%, 8/25/2036		1,587,674
	45,862,000	Citigroup, Inc., 6.375%, 8/12/2014		47,416,263
	64,000,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		63,907,520
	1,285,000	Goldman Sachs Group, Inc. (The), 6.150%, 4/01/2018		1,351,708
	30,775,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		31,760,754
	119,806,078	HSBC Bank USA, 144A, Zero Coupon, 11/28/2011		93,532,605
	9,090,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 144A, 6.375%, 4/30/2022		7,435,720
	109,312,000,000	JPMorgan Chase & Co., 144A, Zero Coupon, 3/28/2011, (IDR)		9,820,549
	229,157,783,660	JPMorgan Chase & Co., 144A, Zero Coupon, 4/12/2012, (IDR)		18,538,900
	599,726,100,000	JPMorgan Chase & Co., EMTN, Zero Coupon, 3/28/2011, (IDR)		53,879,169
	92,000,000	JPMorgan Chase Bank, 144A, Zero Coupon, 5/17/2010, (BRL)		48,908,106

Principal Amount (‡)	Description	Value (†)
	Banking — continued
76,496,404,750	JPMorgan Chase Bank, EMTN, 144A, Zero Coupon, 10/21/2010, (IDR)	$	7,272,105
60,000,000	Kreditanstalt fuer Wiederaufbau, EMTN, 10.750%, 2/01/2010, (ISK)		394,065
800,000	Merrill Lynch & Co., Inc., Series C, 6.050%, 6/01/2034		747,001
1,400,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		1,331,621
51,500,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		28,398,256
3,450,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		4,364,596
5,410,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		5,689,681
2,255,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		2,283,783
26,665,000	Morgan Stanley, 4.750%, 4/01/2014		26,468,212
5,050,000	Morgan Stanley, 5.125%, 11/30/2015, (GBP)		7,944,834
6,600,000	Morgan Stanley, 7.300%, 5/13/2019		7,261,808
7,900,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		8,353,642
2,900,000	Morgan Stanley, Series F, MTN, 5.550%, 4/27/2017		2,889,003
5,210,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		5,304,530
			839,818,564
	Brokerage — 0.0%
4,000,000	Jefferies Group, Inc., 8.500%, 7/15/2019		4,233,472
	Building Materials — 1.0%
6,345,000	Masco Corp., 0.600%, 3/12/2010(c)		6,244,210
3,255,000	Masco Corp., 4.800%, 6/15/2015		2,987,045
2,220,000	Masco Corp., 5.850%, 3/15/2017		2,047,389
13,440,000	Masco Corp., 6.125%, 10/03/2016		12,739,628
1,795,000	Masco Corp., 6.500%, 8/15/2032		1,452,365
18,935,000	Owens Corning, Inc., 6.500%, 12/01/2016		18,474,728
35,980,000	Owens Corning, Inc., 7.000%, 12/01/2036		29,481,436
44,212,000	USG Corp., 6.300%, 11/15/2016		37,580,200
14,155,000	USG Corp., 9.500%, 1/15/2018		13,659,575
			124,666,576
	Chemicals — 0.8%
23,584,000	Borden, Inc., 7.875%, 2/15/2023		13,207,040
6,920,000	Borden, Inc., 8.375%, 4/15/2016		4,567,200
8,757,000	Borden, Inc., 9.200%, 3/15/2021		5,429,340

See accompanying notes to financial statements.

40

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Chemicals — continued
$	38,140,000	Chevron Phillips Chemical Co. LLC, 144A, 8.250%, 6/15/2019	$	46,062,174
	14,550,000	Hercules, Inc., Subordinated Note, 6.500%, 6/30/2029		8,093,437
	1,575,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.750%, 11/15/2014		1,354,500
	1,650,000	Koppers Holdings, Inc., (Step to 9.875% on 11/15/2009), Zero Coupon, 11/15/2014(d)		1,654,125
	5,350,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		4,546,018
	6,465,000	Mosaic Global Holdings, Inc., 7.300%, 1/15/2028		6,465,899
	5,820,000	Mosaic Global Holdings, Inc., 7.375%, 8/01/2018		6,274,926
				97,654,659
		Construction Machinery — 0.9%
	50,000,000	Case New Holland, Inc., 144A, 7.750%, 9/01/2013		49,750,000
	7,965,000	Caterpillar Financial Services Corp., MTN, 6.125%, 2/17/2014		8,732,165
	1,425,000	Joy Global, Inc., 6.625%, 11/15/2036		1,327,777
	1,645,000	RSC Equipment Rental, Inc., 9.500%, 12/01/2014		1,587,425
	3,225,000	Terex Corp., 8.000%, 11/15/2017		2,958,937
	18,243,000	United Rentals North America, Inc., 7.000%, 2/15/2014		15,871,410
	1,630,000	United Rentals North America, Inc., 7.750%, 11/15/2013		1,467,000
	26,935,000	United Rentals North America, Inc., 144A, 10.875%, 6/15/2016		28,820,450
				110,515,164
		Consumer Cyclical Services — 0.8%
	101,985,000	Western Union Co. (The), 6.200%, 11/17/2036		102,376,826
		Consumer Products — 0.1%
	9,860,000	Whirlpool Corp., 8.000%, 5/01/2012		10,642,904
	5,915,000	Whirlpool Corp., MTN, 8.600%, 5/01/2014		6,616,667
				17,259,571
		Distributors — 0.0%
	1,500,000	EQT Corp., 8.125%, 6/01/2019		1,712,055
		Diversified Manufacturing — 0.7%
	1,441,000	Textron Financial Corp., 5.400%, 4/28/2013		1,414,915
	550,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		512,143
	9,950,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		13,444,565
	4,250,000	Textron, Inc., 5.600%, 12/01/2017		3,957,370
	30,350,000	Textron, Inc., 6.200%, 3/15/2015		30,470,156
	20,485,000	Textron, Inc., 7.250%, 10/01/2019		20,758,229

Principal Amount (‡)	Description	Value (†)
	Diversified Manufacturing — continued
15,630,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)	$	20,732,656
			91,290,034
	Electric — 3.5%
4,020,000	AES Corp. (The), 7.750%, 3/01/2014		4,050,150
5,565,000	AES Corp. (The), 8.375%, 3/01/2011, (GBP)(b)		8,982,649
8,752,194	AES Ironwood LLC, 8.857%, 11/30/2025		8,030,138
1,113,141	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		1,049,135
70,811,970	Bruce Mansfield Unit, 6.850%, 6/01/2034(b)		69,153,554
3,552,768	CE Generation LLC, 7.416%, 12/15/2018		3,453,756
32,125,000	Cleveland Electric Illuminating Co., 5.950%, 12/15/2036		31,076,440
11,275,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		8,681,750
1,000,000	Dynegy Holdings, Inc., 7.500%, 6/01/2015		925,000
10,185,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		6,976,725
500,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		426,250
7,455,000	Dynegy Holdings, Inc., 8.375%, 5/01/2016		6,970,425
4,744,113	Dynegy Roseton/Danskammer Pass Through Trust, Series A, 7.270%, 11/08/2010		4,708,532
95,200,000	Edison Mission Energy, 7.625%, 5/15/2027		68,068,000
250,000	Empresa Nacional de Electricidad SA, (Endesa-Chile), 8.350%, 8/01/2013		288,553
4,875,000	Empresa-Chile Overseas Co., 7.875%, 2/01/2027		5,403,474
555,000	Enersis SA, Cayman Islands, 7.400%, 12/01/2016		619,791
5,310,000	ITC Holdings Corp., 144A, 6.375%, 9/30/2036		5,064,736
31,735,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027		14,280,750
955,000	NiSource Finance Corp., 5.400%, 7/15/2014		970,488
43,450,000	NiSource Finance Corp., 6.400%, 3/15/2018		43,369,009
2,500,000	NRG Energy, Inc., 7.250%, 2/01/2014		2,456,250
5,000,000	NRG Energy, Inc., 7.375%, 2/01/2016		4,837,500
1,442,125	Quezon Power (Philippines) Ltd., Senior Secured Note, 8.860%, 6/15/2017		1,348,387
25,230,000	RRI Energy, Inc., 7.875%, 6/15/2017		24,630,787
1,050,000	SP PowerAssets Ltd., EMTN, 3.730%, 10/22/2010, (SGD)		757,756
655,000	Texas Competitive Electric Holdings Co. LLC, Series A, 10.250%, 11/01/2015		471,600

See accompanying notes to financial statements.

41

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Electric — continued
$	8,785,000	Toledo Edison Co., 6.150%, 5/15/2037	$	9,169,107
	46,215,000	TXU Corp., Series P, 5.550%, 11/15/2014		31,539,288
	101,030,000	TXU Corp., Series Q, 6.500%, 11/15/2024		46,728,396
	6,245,000	TXU Corp., Series R, 6.550%, 11/15/2034		2,809,076
	7,300,000	White Pine Hydro LLC, 6.310%, 7/10/2017(b)		6,295,688
	10,935,000	White Pine Hydro LLC, 6.960%, 7/10/2037(b)		7,979,138
	4,000,000	White Pine Hydro LLC, 7.260%, 7/20/2015(b)		3,522,932
				435,095,210
		Entertainment — 0.2%
	25,544,000	Viacom, Inc., Class B, 6.875%, 4/30/2036		26,984,554
		Financial Other — 0.2%
	20,000,000	National Life Insurance Co., 144A, 10.500%, 9/15/2039		20,368,400
		Food & Beverage — 1.1%
	48,729,000	Anheuser-Busch Inbev Worldwide, Inc., 144A, 5.375%, 11/15/2014		51,993,356
	2,085,000	Aramark Services, Inc., 5.000%, 6/01/2012		1,970,325
	23,710,000	Corn Products International, Inc., 6.625%, 4/15/2037		23,934,771
	9,916,000	Kraft Foods, Inc., 6.500%, 8/11/2017		10,726,613
	27,245,000	Kraft Foods, Inc., 7.000%, 8/11/2037		30,349,867
	14,120,000	Sara Lee Corp., 6.125%, 11/01/2032		14,373,666
	965,000	Smithfield Foods, Inc., 7.750%, 7/01/2017		793,712
				134,142,310
		Government Owned — No Guarantee — 0.3%
	26,435,000	Abu Dhabi National Energy Co., 144A, 7.250%, 8/01/2018		28,316,564
	12,100,000	DP World Ltd., 144A, 6.850%, 7/02/2037		10,641,817
				38,958,381
		Government Sponsored — 0.4%
	66,595,000	Queensland Treasury Corp., 144A, 7.125%, 9/18/2017, (NZD)		49,644,479
		Health Insurance — 0.6%
	15,325,000	CIGNA Corp., 6.150%, 11/15/2036		13,580,249
	2,000,000	CIGNA Corp., 6.350%, 3/15/2018		2,005,432
	6,700,000	Unum Group, 7.125%, 9/30/2016		6,779,033
	50,000,000	WellPoint, Inc., 6.375%, 6/15/2037		54,298,700
				76,663,414

Principal Amount (‡)		Description	Value (†)
		Healthcare — 3.8%
$	2,765,000	Boston Scientific Corp., 5.450%, 6/15/2014	$	2,771,913
	8,230,000	Boston Scientific Corp., 6.400%, 6/15/2016		8,343,163
	16,510,000	Boston Scientific Corp., 7.000%, 11/15/2035		15,127,287
	17,785,000	HCA, Inc., 5.750%, 3/15/2014		15,695,262
	3,800,000	HCA, Inc., 6.250%, 2/15/2013		3,629,000
	17,035,000	HCA, Inc., 6.375%, 1/15/2015		15,161,150
	49,350,000	HCA, Inc., 6.500%, 2/15/2016		43,798,125
	2,074,000	HCA, Inc., 6.750%, 7/15/2013		1,985,855
	14,405,000	HCA, Inc., 7.050%, 12/01/2027		10,925,055
	10,944,000	HCA, Inc., 7.190%, 11/15/2015		10,136,803
	20,077,000	HCA, Inc., 7.500%, 12/15/2023		16,207,520
	18,780,000	HCA, Inc., 7.500%, 11/06/2033		14,531,532
	43,278,000	HCA, Inc., 7.690%, 6/15/2025		35,144,116
	30,985,000	HCA, Inc., 8.360%, 4/15/2024		25,213,672
	13,545,000	HCA, Inc., MTN, 7.580%, 9/15/2025		10,958,460
	9,277,000	HCA, Inc., MTN, 7.750%, 7/15/2036		7,271,266
	11,370,000	Hospira, Inc., 6.050%, 3/30/2017		11,906,380
	176,070,000	Medco Health Solutions, Inc., 7.125%, 3/15/2018		199,504,565
	3,260,000	Owens & Minor, Inc., 6.350%, 4/15/2016(b)		2,939,271
	31,009,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		24,187,020
	1,570,000	Tenet Healthcare Corp., 7.375%, 2/01/2013		1,554,300
	4,765,000	Tenet Healthcare Corp., 9.250%, 2/01/2015		4,973,469
				481,965,184
		Home Construction — 1.8%
	2,840,000	Centex Corp., 5.250%, 6/15/2015		2,804,500
	43,470,000	D.R. Horton, Inc., 5.250%, 2/15/2015		40,535,775
	4,335,000	D.R. Horton, Inc., 5.625%, 9/15/2014		4,183,275
	1,625,000	D.R. Horton, Inc., 6.500%, 4/15/2016		1,598,594
	16,160,000	D.R. Horton, Inc., Guaranteed Note, 5.625%, 1/15/2016		15,109,600
	11,265,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		11,067,862

See accompanying notes to financial statements.

42

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Home Construction — continued
$	6,290,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016	$	4,780,400
	1,935,000	K. Hovnanian Enterprises, Inc., 7.750%, 5/15/2013		1,489,950
	1,235,000	K. Hovnanian Enterprises, Inc., 8.875%, 4/01/2012		1,037,400
	4,830,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.250%, 1/15/2015		3,670,800
	16,075,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.250%, 1/15/2016		12,056,250
	6,040,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.375%, 12/15/2014		4,590,400
	2,490,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.500%, 1/15/2014		1,942,200
	1,685,000	KB Home, 5.750%, 2/01/2014		1,617,600
	8,340,000	KB Home, Guaranteed Note, 5.875%, 1/15/2015		7,860,450
	5,805,000	KB Home, Guaranteed Note, 6.250%, 6/15/2015		5,543,775
	11,315,000	KB Home, Guaranteed Note, 7.250%, 6/15/2018		11,032,125
	2,720,000	Lennar Corp., Series B, 5.125%, 10/01/2010		2,713,200
	16,755,000	Lennar Corp., Series B, 5.500%, 9/01/2014		15,665,925
	5,970,000	Lennar Corp., Series B, 5.600%, 5/31/2015		5,507,325
	23,885,000	Lennar Corp., Series B, 6.500%, 4/15/2016		22,451,900
	4,240,000	Pulte Homes, Inc., 5.200%, 2/15/2015		4,028,000
	46,260,000	Pulte Homes, Inc., 6.000%, 2/15/2035		34,926,300
	13,190,000	Pulte Homes, Inc., 6.375%, 5/15/2033		10,156,300
	4,245,000	Toll Brothers Financial Corp., 5.150%, 5/15/2015		4,082,009
	1,749,000	Toll Corp., 8.250%, 12/01/2011		1,783,980
				232,235,895
		Independent Energy — 1.3%
	48,410,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		49,982,986
	4,185,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		5,634,186
	14,650,000	Chesapeake Energy Corp., 6.500%, 8/15/2017		13,441,375
	22,690,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		20,194,100
	15,054,000	Connacher Oil and Gas Ltd., 144A, 10.250%, 12/15/2015		12,269,010
	3,000,000	Connacher Oil and Gas Ltd., 144A, 11.750%, 7/15/2014		3,195,000
	6,495,000	Hilcorp Energy I LP, 144A, 7.750%, 11/01/2015		6,137,775
	1,805,000	Penn Virginia Corp., 10.375%, 6/15/2016		1,949,400

Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	7,175,000	Pioneer Natural Resources Co., 5.875%, 7/15/2016	$	6,631,738
	1,760,000	Pioneer Natural Resources Co., 6.875%, 5/01/2018		1,679,591
	4,798,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		4,164,290
	2,499,000	Swift Energy Co., 7.125%, 6/01/2017		2,174,130
	9,170,000	Talisman Energy, Inc., 5.850%, 2/01/2037		8,820,118
	24,260,000	Talisman Energy, Inc., 6.250%, 2/01/2038		24,748,475
				161,022,174
		Industrial Other — 0.2%
	2,590,000	Great Lakes Dredge & Dock Corp., Senior Subordinated Note, 7.750%, 12/15/2013		2,541,438
	20,000,000	Ranhill Labuan Ltd., 144A, 12.500%, 10/26/2011		16,000,000
				18,541,438
		Life Insurance — 0.2%
	2,455,000	American International Group, Inc., MTN, 5.450%, 5/18/2017		1,779,605
	2,185,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		1,603,228
	13,750,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		9,955,110
	1,500,000	MetLife, Inc., 6.400%, 12/15/2066		1,267,500
	9,620,000	MetLife, Inc., 10.750%, 8/01/2069		11,592,100
				26,197,543
		Local Authorities — 0.7%
	128,820,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(b)		92,012,261
		Media Cable — 2.4%
	47,035,000	Comcast Corp., 5.650%, 6/15/2035		45,490,794
	12,560,000	Comcast Corp., 6.500%, 11/15/2035		13,383,773
	161,264,000	Comcast Corp., 6.950%, 8/15/2037		179,996,749
	400,000	CSC Holdings, Inc., 7.875%, 2/15/2018		408,000
	2,540,000	CSC Holdings, Inc., 144A, 8.500%, 4/15/2014		2,667,000
	25,270,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		23,969,503
	10,000,000	Shaw Communications, Inc., 5.700%, 3/02/2017, (CAD)		9,743,800
	17,959,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		19,840,385
	2,720,000	Virgin Media Finance PLC, 9.125%, 8/15/2016		2,794,800
	5,070,000	Virgin Media Finance PLC, 9.750%, 4/15/2014, (GBP)		8,386,219
				306,681,023

See accompanying notes to financial statements.

43

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Media Non-Cable — 0.6%
$	225,000	Intelsat Corp., 6.875%, 1/15/2028	$	186,750
	46,000,000	News America, Inc., 6.150%, 3/01/2037		45,008,562
	11,140,000	News America, Inc., 6.200%, 12/15/2034		10,960,390
	14,360,000	News America, Inc., 6.400%, 12/15/2035		14,486,052
	4,335,000	R.H. Donnelley Corp., Series A-1, 6.875%, 1/15/2013(e)		249,263
	1,910,000	R.H. Donnelley Corp., Series A-2, 6.875%, 1/15/2013(e)		109,825
	470,000	R.H. Donnelley Corp., Series A-3, 8.875%, 1/15/2016(e)		27,025
	4,845,000	R.H. Donnelley Corp., Series A-4, 8.875%, 10/15/2017(e)		278,587
				71,306,454
		Metals & Mining — 0.8%
	400,000	Alcoa, Inc., 5.550%, 2/01/2017		388,297
	10,000,000	Alcoa, Inc., 5.720%, 2/23/2019		9,052,680
	3,949,000	Alcoa, Inc., 5.870%, 2/23/2022		3,423,743
	4,330,000	Alcoa, Inc., 6.750%, 1/15/2028		3,776,678
	9,785,000	Algoma Acquistion Corp., 144A, 9.875%, 6/15/2015		8,219,400
	65,000	ArcelorMittal, 6.125%, 6/01/2018		64,035
	10,850,000	ArcelorMittal USA Partnership, 9.750%, 4/01/2014		11,365,375
	1,840,000	Rio Tinto Alcan, Inc., 5.750%, 6/01/2035		1,773,000
	29,436,000	Rio Tinto Finance (USA) Ltd., 8.950%, 5/01/2014		34,739,985
	1,730,000	Teck Resources Ltd., 10.250%, 5/15/2016		1,954,900
	1,000,000	Teck Resources Ltd., 10.750%, 5/15/2019		1,162,500
	7,000,000	United States Steel Corp., 6.050%, 6/01/2017		6,537,944
	6,779,000	United States Steel Corp., 6.650%, 6/01/2037		5,529,210
	16,435,000	United States Steel Corp., 7.000%, 2/01/2018		15,783,714
				103,771,461
		Non-Captive Consumer — 3.2%
	4,900,000	American General Finance Corp., MTN, 5.750%, 9/15/2016		3,401,712
	229,130,000	American General Finance Corp., Series J, MTN, 6.900%, 12/15/2017		160,249,168
	109,950(†††)	SLM Corp., 6.000%, 12/15/2043		1,553,318
	20,590,000	SLM Corp., MTN, 5.050%, 11/14/2014		15,135,565
	2,160,000	SLM Corp., MTN, 5.125%, 8/27/2012		1,848,256

Principal Amount (‡)	Description	Value (†)
	Non-Captive Consumer — continued
4,700,000	SLM Corp., Series 7, EMTN, 4.750%, 3/17/2014, (EUR)	$	5,055,139
7,160,000	SLM Corp., Series A, MTN, 4.500%, 7/26/2010		6,957,114
52,268,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013		41,608,412
37,670,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		28,068,407
14,075,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		8,826,784
19,605,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		16,345,826
23,420,000	SLM Corp., Series A, MTN, 5.375%, 5/15/2014		17,925,153
1,390,000	SLM Corp., Series A, MTN, 5.400%, 10/25/2011		1,282,581
28,150,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		17,667,869
6,100,000	SLM Corp., Series A, MTN, 6.500%, 6/15/2010, (NZD)(b)(f)		4,129,285
95,060,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		75,810,350
			405,864,939
	Non-Captive Diversified — 6.7%
90,000	CIT Group, Inc., 4.750%, 12/15/2010		62,174
599,000	CIT Group, Inc., 5.400%, 2/13/2012		393,140
365,000	CIT Group, Inc., 5.400%, 1/30/2016		230,098
1,381,000	CIT Group, Inc., 5.600%, 4/27/2011		940,322
3,581,000	CIT Group, Inc., 5.800%, 10/01/2036		2,147,490
7,000	CIT Group, Inc., 5.850%, 9/15/2016		4,412
15,060,000	CIT Group, Inc., EMTN, 3.800%, 11/14/2012, (EUR)		13,773,772
15,150,000	CIT Group, Inc., EMTN, 4.650%, 9/19/2016, (EUR)		12,747,599
10,500,000	CIT Group, Inc., EMTN, 5.500%, 12/20/2016, (GBP)		9,564,935
60,000	CIT Group, Inc., GMTN, 4.250%, 2/01/2010		43,258
18,360,000	CIT Group, Inc., GMTN, 4.250%, 9/22/2011, (EUR)		17,060,600
2,533,000	CIT Group, Inc., GMTN, 5.000%, 2/13/2014		1,618,025
4,855,000	CIT Group, Inc., GMTN, 5.000%, 5/13/2014, (EUR)		4,191,690
341,000	CIT Group, Inc., GMTN, 5.000%, 2/01/2015		218,397
20,730,000	CIT Group, Inc., MTN, 4.250%, 3/17/2015, (EUR)		17,594,430
3,065,000	CIT Group, Inc., MTN, 5.125%, 9/30/2014		1,963,491
20,350,000	CIT Group, Inc., MTN, 5.500%, 12/01/2014, (GBP)		19,188,203
934,000	CIT Group, Inc., Series A, GMTN, 6.000%, 4/01/2036		539,609

See accompanying notes to financial statements.

44

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Non-Captive Diversified — continued
$	586,000	CIT Group, Inc., Series A, MTN, 5.650%, 2/13/2017	$	366,430
	75,990,000	CIT Group, Inc., Series A, MTN, 7.625%, 11/30/2012		49,493,123
	12,860,000	GATX Corp., 8.750%, 5/15/2014		14,470,779
	3,100,000	General Electric Capital Corp., EMTN, 6.125%, 5/17/2012, (GBP)		5,204,489
	79,035,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		54,759,040
	65,300,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		44,058,413
	30,350,000	General Electric Capital Corp., Series A, GMTN, 6.625%, 2/04/2010, (NZD)		22,042,764
	2,000,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		1,465,160
	15,305,000	General Electric Capital Corp., Series A, MTN, 0.809%, 5/13/2024(c)		10,674,136
	115,000,000	General Electric Capital Corp., Series A, MTN, 3.485%, 3/08/2012, (SGD)		78,965,605
	243,057,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		167,851,159
	43,074,000	GMAC, Inc., 144A, 5.375%, 6/06/2011		39,735,765
	3,390,000	GMAC, Inc., 144A, 5.750%, 9/27/2010		3,271,350
	34,490,000	GMAC, Inc., 144A, 6.000%, 12/15/2011		31,903,250
	311,000	GMAC, Inc., 144A, 6.625%, 12/17/2010		298,560
	15,206,000	GMAC, Inc., 144A, 6.625%, 5/15/2012		13,989,520
	22,211,000	GMAC, Inc., 144A, 6.750%, 12/01/2014		18,879,350
	4,169,000	GMAC, Inc., 144A, 6.875%, 9/15/2011		3,939,705
	2,947,000	GMAC, Inc., 144A, 6.875%, 8/28/2012		2,711,240
	7,702,000	GMAC, Inc., 144A, 7.000%, 2/01/2012		7,162,860
	17,038,000	GMAC, Inc., 144A, 7.500%, 12/31/2013		14,908,250
	32,711,000	GMAC, Inc., 144A, 8.000%, 12/31/2018		24,696,805
	25,955,000	GMAC, Inc., 144A, 8.000%, 11/01/2031		20,893,775
	4,950,000	General Motors Acceptance Corp. of Canada Ltd., EMTN, 7.125%, 9/13/2011, (AUD)		4,017,538
	34,782,000	iStar Financial, Inc., 5.150%, 3/01/2012		20,695,290
	5,255,000	iStar Financial, Inc., 5.375%, 4/15/2010		4,841,169
	3,010,000	iStar Financial, Inc., 5.500%, 6/15/2012		1,836,100
	19,110,000	iStar Financial, Inc., 5.650%, 9/15/2011		13,185,900
	1,530,000	iStar Financial, Inc., 5.700%, 3/01/2014		826,200
	4,040,000	iStar Financial, Inc., 5.800%, 3/15/2011		2,868,400

Principal Amount (‡)		Description	Value (†)
		Non-Captive Diversified — continued
$	4,815,000	iStar Financial, Inc., 5.850%, 3/15/2017	$	2,515,838
	8,815,000	iStar Financial, Inc., 5.875%, 3/15/2016		4,848,250
	4,300,000	iStar Financial, Inc., 6.050%, 4/15/2015		2,246,750
	35,130,000	iStar Financial, Inc., 8.625%, 6/01/2013		22,131,900
	1,780,000	iStar Financial, Inc., Series B, 5.125%, 4/01/2011		1,210,400
	44,610,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		25,427,700
				840,674,608
		Oil Field Services — 2.4%
	10,860,000	Nabors Industries, Inc., 6.150%, 2/15/2018		10,887,107
	127,565,000	Nabors Industries, Inc., 9.250%, 1/15/2019		151,599,777
	22,930,000	North American Energy Partners, Inc., 8.750%, 12/01/2011		22,471,400
	3,003,000	Rowan Cos., Inc., 7.875%, 8/01/2019		3,228,765
	15,520,000	Weatherford International Ltd., 6.500%, 8/01/2036		15,816,261
	2,975,000	Weatherford International Ltd., 6.800%, 6/15/2037		3,128,076
	9,580,000	Weatherford International Ltd., 7.000%, 3/15/2038		10,327,939
	71,937,000	Weatherford International Ltd., 9.625%, 3/01/2019		90,052,823
				307,512,148
		Packaging — 0.3%
	2,450,000	OI European Group BV, 144A, 6.875%, 3/31/2017, (EUR)		3,477,649
	1,750,000	Owens Brockway Glass Container, Inc., 6.750%, 12/01/2014, (EUR)		2,535,252
	33,261,000	Owens-Illinois, Inc., Senior Note, 7.800%, 5/15/2018		33,344,152
				39,357,053
		Packaging & Containers — 0.0%
	4,445,000	XL Capital Ltd., 6.250%, 5/15/2027		3,929,993
	1,425,000	XL Capital Ltd., 6.375%, 11/15/2024		1,150,706
				5,080,699
		Paper — 2.4%
	7,955,000	Domtar Corp., 5.375%, 12/01/2013		7,656,687
	12,430,000	Georgia-Pacific Corp., 7.250%, 6/01/2028		11,062,700
	11,605,000	Georgia-Pacific Corp., 7.375%, 12/01/2025		10,444,500
	120,000	Georgia-Pacific Corp., 7.700%, 6/15/2015		121,200
	42,425,000	Georgia-Pacific Corp., 7.750%, 11/15/2029		39,031,000

See accompanying notes to financial statements.

45

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Paper — continued
$	16,475,000	Georgia-Pacific Corp., 8.000%, 1/15/2024	$	16,310,250
	18,378,000	Georgia-Pacific Corp., 8.875%, 5/15/2031		18,561,780
	154,533,000	International Paper Co., 7.950%, 6/15/2018		167,507,282
	3,100,000	International Paper Co., 9.375%, 5/15/2019		3,629,778
	3,995,000	Jefferson Smurfit Corp., 7.500%, 6/01/2013(e)		2,831,456
	100,000	Smurfit-Stone Container Enterprises, Inc., 8.000%, 3/15/2017(e)		71,000
	14,520,000	Westvaco Corp., 7.950%, 2/15/2031		14,220,641
	17,355,000	Westvaco Corp., 8.200%, 1/15/2030		17,022,912
				308,471,186
		Pharmaceuticals — 0.7%
	41,300,000	Elan Finance PLC, 8.875%, 12/01/2013		41,609,750
	50,820,000	Elan Finance PLC, Senior Note, 7.750%, 11/15/2011		51,772,875
				93,382,625
		Pipelines — 2.3%
	19,745,000	DCP Midstream LP, 144A, 6.450%, 11/03/2036		17,883,659
	15,685,000	El Paso Corp., 6.950%, 6/01/2028		13,047,661
	1,500,000	El Paso Corp., 7.420%, 2/15/2037		1,288,215
	750,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		687,839
	1,000,000	El Paso Energy Corp., GMTN, 7.750%, 1/15/2032		916,198
	5,255,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		5,470,176
	9,115,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		9,460,714
	13,175,000	Enterprise Products Operating LLP, 6.300%, 9/15/2017		14,190,568
	5,100,000	Florida Gas Transmission Co., 144A, 7.900%, 5/15/2019		6,083,887
	500,000	Kinder Morgan Energy Partners LP, 5.800%, 3/15/2035		471,498
	47,310,000	Maritimes & Northeast Pipeline LLC, 144A 7.500%, 5/31/2014(b)		49,759,712
	81,710,000	NGPL Pipeco LLC, 144A, 7.119%, 12/15/2017		91,425,401
	3,425,000	ONEOK Partners LP, 6.650%, 10/01/2036		3,649,591
	20,770,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		21,558,076
	44,730,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		47,113,483
	250,000	Transportadora de Gas del Sur SA, 144A, 7.875%, 5/14/2017		215,000
	600,000	Williams Cos., Inc., 7.875%, 9/01/2021		648,997
	965,000	Williams Cos., Inc., Senior Note, 7.750%, 6/15/2031		1,011,878

Principal Amount (‡)		Description	Value (†)
		Pipelines — continued
$	4,030,000	Williams Cos., Inc., Series A, 7.500%, 1/15/2031	$	4,116,169
				288,998,722
		Property & Casualty Insurance — 0.4%
	4,785,000	Allstate Corp., 5.950%, 4/01/2036		5,076,478
	2,660,000	Marsh & McLennan Cos., Inc., 5.375%, 7/15/2014		2,768,148
	11,710,000	Marsh & McLennan Cos., Inc., 5.750%, 9/15/2015		12,348,265
	11,075,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		10,178,302
	666,000	Marsh & McLennan Cos., Inc., 9.250%, 4/15/2019		834,591
	6,080,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 144A, 14.000%, 1/15/2033		2,675,200
	11,205,000	Willis North America, Inc., 6.200%, 3/28/2017		10,968,395
				44,849,379
		Railroads — 0.4%
	2,700,000	Canadian Pacific Railway Co., 5.750%, 3/15/2033		2,599,431
	16,410,000	Canadian Pacific Railway Co., 5.950%, 5/15/2037		16,191,977
	25,430,000	CSX Corp., MTN, 6.000%, 10/01/2036		26,225,094
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		784,040
				45,800,542
		Refining — 0.0%
	1,335,000	Valero Energy Corp., 6.625%, 6/15/2037		1,192,250
		REITs — 1.1%
	2,025,000	Camden Property Trust, 5.000%, 6/15/2015		1,927,203
	27,950,000	Camden Property Trust, 5.700%, 5/15/2017		26,444,836
	4,030,000	Duke Realty LP, 5.950%, 2/15/2017		3,714,737
	3,300,000	ERP Operating LP, 5.125%, 3/15/2016		3,220,051
	47,305,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		41,663,122
	4,135,000	ProLogis, 5.625%, 11/15/2015		3,757,520
	1,000,000	ProLogis, 5.625%, 11/15/2016		897,268
	1,967,000	ProLogis, 5.750%, 4/01/2016		1,759,440
	1,002,000	ProLogis, 6.625%, 5/15/2018		925,239
	1,500,000	Simon Property Group LP, 5.250%, 12/01/2016		1,478,551
	4,900,000	Simon Property Group LP, 5.750%, 12/01/2015		5,012,269
	550,000	Simon Property Group LP, 5.875%, 3/01/2017		560,894

See accompanying notes to financial statements.

46

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		REITs — continued
$	1,890,000	Simon Property Group LP, 6.100%, 5/01/2016	$	1,942,446
	450,000	Simon Property Group LP, 6.125%, 5/30/2018		453,409
	46,015,000	WEA Finance LLC/WT Finance Australia Pty Ltd., 144A, 6.750%, 9/02/2019		46,544,126
				140,301,111
		Restaurants — 0.0%
	1,250,000	McDonald’s Corp., EMTN, 3.628%, 10/10/2010, (SGD)		902,678
		Retailers — 2.6%
	8,758,000	Dillard’s, Inc., 6.625%, 1/15/2018		6,656,080
	4,187,000	Dillard’s, Inc., 7.130%, 8/01/2018		3,255,392
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,057,500
	425,000	Dillard’s, Inc., 7.875%, 1/01/2023		310,250
	3,325,000	Dillard’s, Inc., Class A, 7.000%, 12/01/2028		2,211,125
	123,940,000	Home Depot, Inc., 5.875%, 12/16/2036		120,247,332
	3,685,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		3,427,050
	635,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		584,200
	3,330,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		2,963,700
	3,985,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,188,000
	72,470,000	J.C. Penney Corp., Inc., Senior Note, 6.375%, 10/15/2036		59,787,750
	13,935,000	Lowe’s Cos., Inc., 6.650%, 9/15/2037		16,186,227
	20,564,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		16,201,224
	12,275,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		8,948,340
	2,365,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		1,865,666
	6,365,000	Marks & Spencer PLC, 144A, 7.125%, 12/01/2037		5,946,100
	25,856,000	Target Corp., 7.000%, 1/15/2038		30,261,242
	32,675,000	Toys R Us, Inc., 7.375%, 10/15/2018		28,427,250
	8,355,000	Toys R Us, Inc., 7.875%, 4/15/2013		8,020,800
	10,270,000	Woolworth Corp., 8.500%, 1/15/2022		9,705,150
				329,250,378
		Sovereigns — 4.8%
	104,626,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		10,668,096
	10,000,000,000	Indonesia Treasury Bond, Series FR47, 10.000%, 2/15/2028, (IDR)		968,368

Principal Amount (‡)	Description	Value (†)
	Sovereigns — continued
272,460,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)	$	21,692,777
2,350,305(††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		16,941,629
2,037,000(††)	Mexican Fixed Rate Bonds, Series M-10, 9.000%, 12/20/2012, (MXN)		16,086,822
18,686,981(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		135,766,863
79,755,000	New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010, (AUD)		72,479,088
10,530,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		9,472,392
66,305,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		57,282,904
56,700,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		30,724,769
140,235,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)		86,954,249
107,840,000	Republic of Brazil, 12.500%, 1/05/2022, (BRL)		66,958,681
1,400,000,000	Republic of Iceland, Zero Coupon, 11/16/2009, (ISK)		8,948,981
2,981,242,000	Republic of Iceland, 7.000%, 3/17/2010, (ISK)		19,220,356
3,178,700,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		20,374,442
1,700,700,000	Republic of Iceland, 8.000%, 7/22/2011, (ISK)		11,108,753
3,090,910,000	Republic of Iceland, 13.750%, 12/10/2010, (ISK)		21,417,015
4,020,000	Republic of Venezuela, 7.000%, 3/16/2015, (EUR)		4,967,203
			612,033,388
	Supermarkets — 0.8%
2,000,000	American Stores Co., 7.900%, 5/01/2017		1,880,000
72,681,000	New Albertson’s, Inc., 7.450%, 8/01/2029		62,505,660
19,060,000	New Albertson’s, Inc., 7.750%, 6/15/2026		16,963,400
4,895,000	New Albertson’s, Inc., 8.000%, 5/01/2031		4,393,263
1,510,000	New Albertson’s, Inc., 8.700%, 5/01/2030		1,374,100
13,242,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		10,229,445
			97,345,868
	Supranational — 2.1%
175,000,000	Eurofima, EMTN, 11.000%, 2/05/2010, (ISK)		1,143,981
128,250,000	European Investment Bank, Zero Coupon, 3/10/2021, (AUD)		57,324,818
16,375,000	European Investment Bank, 11.250%, 2/14/2013, (BRL)		9,683,951
413,529,000,000	European Investment Bank, EMTN, 144A, Zero Coupon, 4/24/2013, (IDR)		30,455,245
134,330,000	European Investment Bank, EMTN, 144A, 4.600%, 1/30/2037, (CAD)		110,510,311

See accompanying notes to financial statements.

47

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)	Description	Value (†)
	Supranational — continued
11,330,000	European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD)	$	8,568,406
244,840,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		17,459,258
24,450,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		17,580,802
8,300,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		5,662,242
1,385,900,000	International Bank for Reconstruction & Development, 9.500%, 5/27/2010, (ISK)		9,036,783
			267,425,797
	Technology — 2.4%
41,705,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		43,399,891
41,104,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		31,290,420
5,040,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,836,700
832,000	Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR)		1,156,631
10,725,000	Amkor Technology, Inc., 7.750%, 5/15/2013		10,725,000
1,225,000	Amkor Technology, Inc., 9.250%, 6/01/2016		1,261,750
2,435,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		2,592,172
30,125,000	Avnet, Inc., 5.875%, 3/15/2014		31,320,872
35,630,000	Avnet, Inc., 6.000%, 9/01/2015		36,683,223
11,345,000	Avnet, Inc., 6.625%, 9/15/2016		11,921,995
6,225,000	Corning, Inc., 5.900%, 3/15/2014		6,644,615
6,220,000	Corning, Inc., 6.200%, 3/15/2016		6,356,965
6,150,000	Corning, Inc., 6.850%, 3/01/2029		6,275,712
4,725,000	Corning, Inc., 7.250%, 8/15/2036		4,985,229
2,900,000	Eastman Kodak Co., 7.250%, 11/15/2013		2,378,000
11,626,000	Equifax, Inc., 7.000%, 7/01/2037		11,421,917
6,290,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		4,182,850
9,739,000	Motorola, Inc., 5.220%, 10/01/2097		5,347,373
475,000	Motorola, Inc., 6.000%, 11/15/2017		455,012
9,345,000	Motorola, Inc., 6.500%, 9/01/2025		7,897,319
21,299,000	Motorola, Inc., 6.500%, 11/15/2028		17,567,650
18,715,000	Motorola, Inc., 6.625%, 11/15/2037		15,673,813
250,000	Motorola, Inc., 7.500%, 5/15/2025		225,000
9,350,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(e)		5,236,000

Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	11,770,000	Nortel Networks Ltd., 6.875%, 9/01/2023(e)	$	3,295,600
	285,000	Samsung Electronics Co. Ltd., 144A, 7.700%, 10/01/2027		316,156
	21,822,000	Xerox Capital Trust I, 8.000%, 2/01/2027		21,331,005
	4,795,000	Xerox Corp., 5.500%, 5/15/2012		5,027,850
	1,730,000	Xerox Corp., MTN, 7.200%, 4/01/2016		1,877,977
				300,684,697
		Tobacco — 1.4%
	29,189,000	Altria Group, Inc., 8.500%, 11/10/2013		33,854,570
	59,268,000	Altria Group, Inc., 9.250%, 8/06/2019		72,422,888
	1,375,000	Altria Group, Inc., 9.700%, 11/10/2018		1,707,828
	52,930,000	Reynolds American, Inc., 6.750%, 6/15/2017		55,023,858
	13,400,000	Reynolds American, Inc., 7.250%, 6/15/2037		13,271,588
				176,280,732
		Transportation Services — 0.4%
	10,503,000	APL Ltd., Senior Note, 8.000%, 1/15/2024(b)		8,586,202
	16,030,016	Atlas Air, Inc., Series 1998-1, Class 1B, 7.680%, 1/02/2014		13,625,513
	8,904,345	Atlas Air, Inc., Series 1999-1, Class A1, 7.200%, 7/02/2020		6,945,389
	265,928	Atlas Air, Inc., Series 1999-1, Class A2, 6.880%, 1/02/2011		244,654
	11,454,101	Atlas Air, Inc., Series 1999-1, Class B, 7.630%, 7/02/2016		8,590,576
	4,744,556	Atlas Air, Inc., Series 1999-1, Class C, 8.770%, 7/02/2012(g)		3,321,189
	4,917,945	Atlas Air, Inc., Series 2000-1, Class B, 9.057%, 7/02/2017		4,376,971
	6,862,758	Atlas Air, Inc., Series C, 8.010%, 1/02/2010(g)		4,803,931
	3,970,000	Erac USA Finance Co., 144A, 7.000%, 10/15/2037		3,716,357
				54,210,782
		Treasuries — 8.8%
	297,140,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		278,284,453
	130,000,000	Canadian Government, 2.750%, 12/01/2010, (CAD)		124,378,182
	65,260,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		63,766,636
	101,755,000	Canadian Government, 3.750%, 6/01/2012, (CAD)		100,015,761
	171,980,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		166,444,642
	25,445,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		25,728,290
	75,385,000	Canadian Government, 5.250%, 6/01/2012, (CAD)		76,842,497

See accompanying notes to financial statements.

48

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)	Description	Value (†)
	Treasuries — continued
22,670,000	New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)	$	16,764,390
457,420,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		80,513,554
221,050,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		40,669,013
366,200,000	Norwegian Government, 6.000%, 5/16/2011, (NOK)		66,620,872
262,545,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		50,068,092
25,000,000	U.S. Treasury Note, 3.125%, 5/15/2019		24,599,600
			1,114,695,982
	Wireless — 1.6%
8,524,000	ALLTEL Corp., 6.800%, 5/01/2029		9,355,721
29,102,000	ALLTEL Corp., Senior Note, 7.875%, 7/01/2032		35,825,144
29,635,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		26,597,412
15,931,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		14,776,003
42,310,000	Nextel Communications, Inc., Series F, 5.950%, 3/15/2014		37,444,350
2,085,000	Rogers Wireless, Inc., 7.625%, 12/15/2011, (CAD)		2,152,127
2,525,000	Rogers Wireless, Inc., Senior Secured Note, 6.375%, 3/01/2014		2,787,438
21,186,000	Sprint Capital Corp., 6.875%, 11/15/2028		17,690,310
18,070,000	Sprint Capital Corp., 6.900%, 5/01/2019		16,172,650
6,260,000	Sprint Capital Corp., 8.750%, 3/15/2032		5,915,700
11,309,000	Sprint Nextel Corp., 6.000%, 12/01/2016		10,093,283
400,000	True Move Co. Ltd., 144A, 10.375%, 8/01/2014		374,000
29,435,000	True Move Co. Ltd., 144A, 10.750%, 12/16/2013		28,257,600
			207,441,738
	Wirelines — 4.3%
10,245,000	AT&T Corp., 6.500%, 3/15/2029		10,649,186
101,060,000	AT&T, Inc., 6.500%, 9/01/2037		108,589,677
5,650,000	Axtel SAB de CV, 144A, 9.000%, 9/22/2019		5,734,750
4,370,000	Bell Canada, MTN, 144A, 6.550%, 5/01/2029, (CAD)		4,018,776
8,445,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		8,439,636
33,640,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		29,342,036
860,000	BellSouth Corp., 6.550%, 6/15/2034		920,540
2,715,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		2,695,821
155,000	Cincinnati Bell, Inc., 7.000%, 2/15/2015		150,350

Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
$	270,000	Cincinnati Bell, Inc., 8.375%, 1/15/2014	$	271,350
	5,330,000	Embarq Corp., 7.995%, 6/01/2036		5,568,859
	35,260,000	Frontier Communications Corp., 7.875%, 1/15/2027		32,174,750
	10,555,000	GTE Corp., 6.940%, 4/15/2028		11,348,609
	525,000	Hawaiian Telcom Communications, Inc., Series B, 12.500%, 5/01/2015(e)		656
	1,120,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		1,874,110
	1,800,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		2,649,543
	32,435,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		26,921,050
	13,010,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		11,465,063
	3,346,000	New England Telephone & Telegraph Co., 7.875%, 11/15/2029		3,797,024
	16,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		13,435,537
	32,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		25,835,012
	42,460,000	Qwest Capital Funding, Inc., Guaranteed Note, 6.875%, 7/15/2028		32,057,300
	12,463,000	Qwest Capital Funding, Inc., Guaranteed Note, 7.625%, 8/03/2021		10,531,235
	33,130,000	Qwest Corp., 6.875%, 9/15/2033		26,835,300
	3,075,000	Qwest Corp., 7.200%, 11/10/2026		2,567,625
	3,999,000	Qwest Corp., 7.250%, 9/15/2025		3,449,138
	2,288,000	Qwest Corp., 7.500%, 6/15/2023		2,082,080
	5,470,000	SK Broadband Co. Ltd., 144A, 7.000%, 2/01/2012		5,634,100
	23,000,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		22,421,987
	19,635,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		20,062,886
	6,030,000	Telefonica Emisiones SAU, 5.877%, 7/15/2019		6,551,691
	20,895,000	Telefonica Emisiones SAU, Guaranteed Note, 7.045%, 6/20/2036		24,727,268
	31,690,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		30,282,279
	37,101,000	Verizon Global Funding Corp., Senior Note, 5.850%, 9/15/2035		37,351,729
	6,230,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		5,301,487
	6,835,000	Verizon New York, Inc., Series A, 7.375%, 4/01/2032		7,494,605
	5,215,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		4,861,501
				548,094,546
		Total Non-Convertible Bonds (Identified Cost $10,495,755,268)		10,534,908,583

See accompanying notes to financial statements.

49

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
	Convertible Bonds — 5.4%
		Airlines — 0.0%
$	2,800,000	AMR Corp., 6.250%, 10/15/2014	$	2,957,500
		Diversified Manufacturing — 0.0%
	3,520,000	Trinity Industries, Inc., 3.875%, 6/01/2036		2,596,000
		Electric — 0.0%
	1,800,000	CMS Energy Corp., 5.500%, 6/15/2029		2,058,750
		Healthcare — 0.3%
	26,280,000	Affymetrix, Inc., 3.500%, 1/15/2038		21,155,400
	1,135,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(d)		927,862
	12,005,000	Life Technologies Corp., 1.500%, 2/15/2024		13,115,462
	190,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		166,250
	250,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		212,188
	3,650,000	Omnicare, Inc., 3.250%, 12/15/2035		2,801,375
				38,378,537
		Independent Energy — 0.0%
	860,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		642,850
	3,130,000	Penn Virginia Corp., 4.500%, 11/15/2012		2,817,000
				3,459,850
		Industrial Other — 0.3%
	30,860,000	Incyte Corp., 3.500%, 2/15/2011		30,088,500
		Lodging — 0.2%
	30,418,000	Host Hotels & Resorts, Inc., 144A, 2.625%, 4/15/2027		27,946,537
		Media Non-Cable — 0.0%
	7,761,687	Liberty Media LLC, 3.500%, 1/15/2031		4,763,735
		Metals & Mining — 0.2%
	2,250,000	ArcelorMittal, 5.000%, 5/15/2014		3,248,438
	1,000,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,180,000
	11,270,000	United States Steel Corp., 4.000%, 5/15/2014		17,919,300
				22,347,738
		Non-Captive Diversified — 0.2%
	44,035,000	iStar Financial, Inc., 1.097%, 10/01/2012(c)		22,017,500
		Oil Field Services — 0.0%
	1,300,000	Transocean, Inc., Series B, 1.500%, 12/15/2037		1,254,500
	535,000	Transocean, Inc., Series C, 1.500%, 12/15/2037		509,588
				1,764,088

Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals — 0.9%
$	635,000	Human Genome Sciences, Inc., 2.250%, 10/15/2011	$	878,681
	41,680,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		51,943,700
	1,600,000	Kendle International, Inc., 3.375%, 7/15/2012		1,412,000
	24,461,000	Nektar Therapeutics, 3.250%, 9/28/2012		22,198,358
	28,222,000	Valeant Pharmaceuticals International, Subordinated Note, 4.000%, 11/15/2013		30,373,927
				106,806,666
		REITs — 0.1%
	6,469,000	ProLogis, 1.875%, 11/15/2037		5,522,909
	5,920,000	ProLogis, 2.250%, 4/01/2037		5,335,400
				10,858,309
		Technology — 2.3%
	14,075,000	Advanced Micro Devices, Inc., 5.750%, 8/15/2012		11,805,406
	850,000	Advanced Micro Devices, Inc., 6.000%, 5/01/2015		636,438
	1,100,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		918,500
	220,000	Ciena Corp., 0.250%, 5/01/2013		175,725
	8,970,000	Ciena Corp., 0.875%, 6/15/2017		6,178,087
	2,050,000	Intel Corp., 2.950%, 12/15/2035		1,829,625
	220,000,000	Intel Corp., 144A, 3.250%, 8/01/2039		235,125,000
	9,197,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		7,530,044
	3,880,000	Kulicke & Soffa Industries, Inc., 1.000%, 6/30/2010		3,681,150
	3,730,000	Maxtor Corp., Subordinated Note, 5.750%, 3/01/2012(b)		3,394,300
	745,000	Nortel Networks Corp., 1.750%, 4/15/2012(e)		409,750
	30,767,000	Nortel Networks Corp., 2.125%, 4/15/2014(e)		16,921,850
	311,000	Richardson Electronics Ltd., 7.750%, 12/15/2011		276,790
				288,882,665
		Textile — 0.0%
	103,000	Dixie Group, Inc., Subordinated Note, 7.000%, 5/15/2012		84,460
		Wireless — 0.1%
	16,157,000	NII Holdings, Inc., 3.125%, 6/15/2012		14,117,179
		Wirelines — 0.8%
	34,645,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		27,542,775
	13,484,000	Level 3 Communications, Inc., 5.250%, 12/15/2011		12,000,760

See accompanying notes to financial statements.

50

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
$	54,075,000	Level 3 Communications, Inc., 144A 7.000%, 3/15/2015(b)	$	57,319,500
	2,470,000	Level 3 Communications, Inc., 10.000%, 5/01/2011		2,439,125
	1,000,000	Qwest Communications International, Inc., 3.500%, 11/15/2025		1,008,750
				100,310,910
		Total Convertible Bonds (Identified Cost $661,125,834)		679,438,924
	Municipals — 0.5%
		California — 0.3%
	1,530,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028		1,358,456
	4,170,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, 3.750%, 8/01/2028		3,489,831
	5,175,000	State of California, (AMBAC insured), 4.500%, 8/01/2027		5,038,484
	14,415,000	State of California, 4.500%, 10/01/2029		13,720,629
	4,190,000	State of California, (AMBAC insured), 4.500%, 8/01/2030		3,967,302
	3,620,000	State of California, 4.500%, 8/01/2030		3,427,597
	2,680,000	State of California (Various Purpose), (MBIA insured), 3.250%, 12/01/2027		2,183,101
	12,645,000	State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033		11,540,839
				44,726,239
		Illinois — 0.0%
	1,725,000	Chicago O’Hare International Airport, Series A, (FSA insured), 4.500%, 1/01/2038		1,711,252
		Michigan — 0.1%
	12,850,000	Michigan Tobacco Settlement Finance Authority, Taxable Turbo Series A, 7.309%, 6/01/2034(b)		10,273,061
		Nebraska — 0.1%
	6,230,000	Omaha Public Power District, Series AA, (FGIC insured), 4.500%, 2/01/2034		6,341,766
		Wisconsin — 0.0%
	835,000	Wisconsin Housing & Economic Development Authority, Series E, 4.900%, 11/01/2035		835,376
		Total Municipals (Identified Cost $63,889,351)		63,887,694
		Total Bonds and Notes (Identified Cost $11,220,770,453)		11,278,235,201
	Bank Loans — 0.7%
		Airlines — 0.1%
	5,645,000	Delta Air Lines, Inc., Secured Term Loan, 9/27/2013(h)		5,602,662
		Energy — 0.1%
	12,839,630	ATP Oil & Gas Corp., Tranche B-1 Term Loan, 8.500%, 7/15/2014(i)		11,767,521

Principal Amount (‡)		Description	Value (†)
		Energy — continued
$	3,384,895	ATP Oil & Gas Corp., Tranche B2 Term Loan, 9.000%, 1/15/2011(i)	$	3,102,256
				14,869,777
		Media Non-Cable — 0.1%
	30,120,849	Idearc, Inc., Term Loan B, 6.250%, 11/17/2014(e)(i)		12,738,710
	2,797,946	Tribune Co., Term Loan X, 5.000%, 6/04/2009(e)(i)(l)		1,358,766
				14,097,476
		Oil Field Services — 0.0%
	2,485,000	Dresser, Inc., Second Lien Term Loan, 5.994%, 5/04/2015(i)		2,149,525
	1,230,373	Dresser, Inc., Term Loan, 2.679%, 5/04/2014(i)		1,150,399
				3,299,924
		Retailers — 0.0%
	1,520,647	Harbor Freight Tools USA, Inc., Tranche C Term Loan, 9.750%, 2/12/2013(i)		1,528,250
		Technology — 0.2%
	6,799,473	Nuance Communications, Inc., Incremental Term Loan, 2.250%, 3/29/2013(i)		6,495,536
	512,748	Nuance Communications, Inc., Term Loan, 2.250%, 3/31/2013(i)		489,829
	433,064	Sungard Data Systems, Inc., Tranche A, 2.004%, 2/28/2014(i)		404,806
	12,001,044	Sungard Data Systems, Inc., Tranche B, 4.079%, 2/26/2016(i)		11,683,016
				19,073,187
		Wirelines — 0.2%
	1,985,000	Fairpoint Communications, Inc., Initial Term Loan A, 3/31/2014(h)		1,493,713
	1,990,879	Fairpoint Communications, Inc., Initial Term Loan A, 4.750%, 3/31/2014(i)		1,498,136
	3,970,000	Fairpoint Communications, Inc., Initial Term Loan B, 3/31/2015(h)		2,983,693
	8,087,742	Fairpoint Communications, Inc., Initial Term Loan B, 5.000%, 3/31/2015(i)		6,078,423
	16,952,315	Hawaiian Telcom Communications, Inc., Tranche C Term Loan, 4.750%, 6/01/2014(i)(j)		10,459,579
	5,395,000	Level 3 Financing, Inc., Tranche A Term Loan, 2.683%, 3/13/2014(i)		4,767,831
				27,281,375
		Total Bank Loans (Identified Cost $97,112,789)		85,752,651
Shares
	Common Stocks — 2.8%
		Biotechnology — 0.3%
	1,732,629	EPIX Pharmaceuticals, Inc.(g)		24,257
	5,111	EPIX Pharmaceuticals, Inc., Contingent Value Rights(g)		—
	867,059	Vertex Pharmaceuticals, Inc.(g)		32,861,536
				32,885,793
		Containers & Packaging — 0.1%
	460,656	Owens-Illinois, Inc.(g)		16,998,207
		Electric Utilities — 0.0%
	282,500	Duke Energy Corp.		4,446,550

See accompanying notes to financial statements.

51

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Shares	Description	Value (†)
	Electronic Equipment, Instruments & Components — 0.0%
41,343	Corning, Inc.	$	632,961
	Food Products — 0.4%
2,309,175	ConAgra Foods, Inc.		50,062,914
	Household Durables — 0.1%
477,725	KB Home		7,935,012
549,450	Lennar Corp., Class A		7,829,663
			15,764,675
	Oil, Gas & Consumable Fuels — 0.2%
846,398	Chesapeake Energy Corp.		24,037,703
141,249	Spectra Energy Corp.		2,675,256
			26,712,959
	Pharmaceuticals — 1.3%
7,238,800	Bristol-Myers Squibb Co.		163,017,776
2,288	Teva Pharmaceutical Industries Ltd., Sponsored ADR		115,681
			163,133,457
	REITs — 0.3%
290,904	Apartment Investment & Management Co., Class A		4,290,834
889,730	Associated Estates Realty Corp.		8,559,202
201,557	Developers Diversified Realty Corp.		1,862,387
460,000	Equity Residential		14,122,000
122,402	Simon Property Group, Inc.		8,498,371
			37,332,794
	Thrifts & Mortgage Finance — 0.1%
4,794,025	Federal Home Loan Mortgage Corp.(g)(k)		8,629,245
	Total Common Stocks (Identified Cost $448,488,257)		356,599,555
Preferred Stocks — 1.5%
Convertible Preferred Stocks — 1.1%
	Automotive — 0.3%
1,458,359	Ford Motor Co. Capital Trust II, 6.500%		43,925,773
	Capital Markets — 0.1%
183,851	Newell Financial Trust I, 5.250%		6,503,729
	Commercial Banks — 0.0%
5,933	Wells Fargo & Co., Series L, Class A, 7.500%		5,298,169
	Diversified Consumer Services — 0.0%
6	Six Flags, Inc., 7.250%(g)		3
	Diversified Financial Services — 0.2%
16,622	Bank of America Corp., Series L, 7.250%		14,128,700
2,144	CIT Group, Inc., 8.750%		13,272
161,133	Sovereign Capital Trust IV, 4.375%		4,874,273
			19,016,245
	Electric Utilities — 0.2%
380,577	AES Trust III, 6.750%		16,769,174

Shares	Description	Value (†)
	Electric Utilities — continued
107,725	CMS Energy Trust I, 7.750%(b)(f)	$	3,770,375
			20,539,549
	Machinery — 0.0%
171,240	United Rentals Trust I, 6.500%		4,259,595
	Oil, Gas & Consumable Fuels — 0.1%
52,020	Chesapeake Energy Corp., 4.500%		4,333,266
158,777	El Paso Energy Capital Trust I, 4.750%		5,309,106
			9,642,372
	REITs — 0.0%
42,700	FelCor Lodging Trust, Inc., Series A, 7.800%		491,050
	Semiconductors & Semiconductor Equipment — 0.2%
32,320	Lucent Technologies Capital Trust I, 7.750%		24,724,800
	Total Convertible Preferred Stocks (Identified Cost $149,943,789)		134,401,285
Non-Convertible Preferred Stocks — 0.4%
	Diversified Financial Services — 0.2%
35,000	Bank of America Corp., 6.375%		628,250
250,146	CIT Group, Inc., 6.350%		637,872
36,916	Preferred Blocker, Inc., 144A, 7.000%		21,467,810
			22,733,932
	Electric Utilities — 0.0%
393	Entergy New Orleans, Inc., 4.750%		28,357
	Thrifts & Mortgage Finance — 0.2%
389,800	Countrywide Capital IV, 6.750%		7,862,266
75,100	Federal Home Loan Mortgage Corp., 5.000%(g)(k)		199,015
1,741,500	Federal Home Loan Mortgage Corp., 5.570%(g)(k)		2,786,400
444,350	Federal Home Loan Mortgage Corp., 5.660%(g)(k)		733,178
120,695	Federal Home Loan Mortgage Corp., 5.700%(g)(k)		310,186
283,000	Federal Home Loan Mortgage Corp., 5.790%(g)(k)		752,780
81,450	Federal Home Loan Mortgage Corp., 5.810%(g)(k)		222,359
219,750	Federal Home Loan Mortgage Corp., 5.900%(g)(k)		373,575
96,600	Federal Home Loan Mortgage Corp., 6.000%(g)(k)		284,970
89,300	Federal Home Loan Mortgage Corp., 6.420%(g)(k)		267,900
392,116	Federal Home Loan Mortgage Corp., 6.550%(g)(k)		713,651

See accompanying notes to financial statements.

52

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

Shares		Description	Value (†)
		Thrifts & Mortgage Finance — continued
	3,856,103	Federal Home Loan Mortgage Corp., (fixed rate to 12/31/2012, variable rate thereafter), 8.375%(g)(k)	$	6,979,546
	192,100	Federal National Mortgage Association, 4.750%(g)(k)		489,855
	144,900	Federal National Mortgage Association, 5.125%(g)(k)		385,434
	104,850	Federal National Mortgage Association, 5.375%(g)(k)		297,774
	56,600	Federal National Mortgage Association, 5.810%(g)(k)		157,914
	87,300	Federal National Mortgage Association, 6.750%(g)(k)		137,061
	250,000	Federal National Mortgage Association, 8.250%(g)(k)		395,000
	6,747,525	Federal National Mortgage Association, (fixed rate to 12/13/2010, variable rate thereafter), 8.250%(g)(k)		10,863,515
				34,212,379
		Total Non-Convertible Preferred Stocks (Identified Cost $304,384,624)		56,974,668
		Total Preferred Stocks (Identified Cost $454,328,413)		191,375,953
	Closed-End Investment Companies — 0.2%
	191,930	BlackRock Senior High Income Fund, Inc.		658,320
	1,033,275	Dreyfus High Yield Strategies		3,668,126
	88,955	DWS High Income Trust		730,321
	860,000	Highland Credit Strategies Fund		5,461,000
	110,211	Morgan Stanley Emerging Markets Debt Fund, Inc.		1,054,719
	28,322	Van Kampen High Income Trust II		391,693
	2,055,800	Western Asset High Income Opportunity Fund, Inc.		11,964,756
	1,217,820	Western Asset Managed High Income Fund, Inc.		7,355,633
		Total Closed-End Investment Companies (Identified Cost $40,372,606)		31,284,568
	Exchange Traded Funds — 0.5%
	292,043	iShares iBoxx $ High Yield Corporate Bond Fund		25,217,913
	837,667	SPDR Barclays Capital High Yield Bond Fund		32,241,803
		Total Exchange Traded Funds (Identified Cost $53,154,775)		57,459,716
	Warrants — 0.0%
		Pharmaceuticals — 0.0%
	574,624	Valeant Pharmaceuticals International(f)(g) (Identified Cost $0)		—
Principal Amount (‡)
	Short-Term Investments — 4.1%
$	84,269	Repurchase Agreement with State Street Corporation, dated 9/30/2009 at 0.000% to be repurchased at $84,269 on 10/01/2009, collateralized by $90,000 U.S. Treasury Bill, due 11/05/2009 valued at $89,996 including accrued interest (Note 2g of Notes to Financial Statements)		84,269

Principal Amount (‡)		Description	Value (†)
$	514,789,236	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2009 at 0.000% to be repurchased at $514,789,236 on 10/01/2009, collateralized by $36,475,000 Federal Home Loan Mortgage Corp. Discount Note, due 12/31/2009 valued at $36,456,763; $300,000,000 Federal Home Loan Bank, 1.620% due 12/30/2009 valued at $304,590,000; $100,000,000 Federal National Mortgage Association Discount Note, due 12/30/2009 valued at $100,000,000; $82,495,000 Federal National Mortgage Association, 3.875% due 12/10/2009 valued at $84,041,781 including accrued interest (Note 2g of Notes to Financial Statements)	$	514,789,236
		Total Short-Term Investments (Identified Cost $514,873,505)		514,873,505
		Total Investments — 99.0% (Identified Cost $12,829,100,798)(a)		12,515,581,149
		Other assets less liabilities — 1.0%		129,768,801
		Net Assets — 100.0%	$	12,645,349,950
	(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2a of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(†††)	Amount shown represents units. One unit represents a principal amount of 25.
	(a)	Federal Tax Information:
		At September 30, 2009, the net unrealized depreciation on investments based on a cost of $12,884,137,592 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	$	763,092,378
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,131,648,821	)
		Net unrealized depreciation	$	(368,556,443	)
	(b)	Illiquid security. At September 30, 2009, the value of these securities amounted to $402,363,807 or 3.2% of net assets.
	(c)	Variable rate security. Rate as of September 30, 2009 is disclosed.
	(d)	Step Bond: Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(e)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(f)	Fair valued security by the Fund’s investment adviser. At September 30, 2009 the value of these securities amounted to $7,899,660 or 0.1% of net assets.
	(g)	Non-income producing security.
	(h)	All or a portion of this security has not settled. Contract rates are not determined and do not take effect until settlement date.
	(i)	Variable rate security. Rate shown represents the weighted average rate at September 30, 2009.
	(j)	All or a portion of interest payment is paid-in-kind.
	(k)	Future dividend payments have been eliminated as the issuer has been placed in conservatorship.
	(l)	Issuer has filed for bankruptcy.

See accompanying notes to financial statements.

53

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Investments as of September 30, 2009

144A	Securities 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 September 30, 2009, the value of these securities amounted to $1,656,764,755 or 13.1% 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 are significantly influenced by trading on exchanges not located in the United States.
ABS	Asset-Backed Securities
AMBAC	American Municipal Bond Assurance Corp.
EMTN	Euro Medium Term Note
FGIC	Financial Guaranty Insurance Company
FSA	Financial Security Assurance, Inc.
GMTN	Global Medium Term Note
MBIA	Municipal Bond Investors Assurance Corp.
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
EUR	Euro
GBP	British Pound
IDR	Indonesian Rupiah
ISK	Icelandic Krona
KRW	South Korean Won
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar
SGD	Singapore Dollar
THB	Thai Baht

Industry Summary at September 30, 2009 (Unaudited)

Treasuries	8.8	%
Non-Captive Diversified	6.9
Banking	6.7
Wirelines	5.3
Technology	4.9
Sovereigns	4.8
Healthcare	4.1
Electric	3.5
Non-Captive Consumer	3.2
Automotive	3.1
Pharmaceuticals	2.9
Retailers	2.6
Oil Field Services	2.4
Paper	2.4
Media Cable	2.4
Pipelines	2.3
Supranational	2.1
Other Investments, less than 2% each	26.5
Short-Term Investments	4.1
Total Investments	99.0
Other assets less liabilities	1.0
Net Assets	100.0	%

Currency Exposure at September 30, 2009 as a Percentage of Net Assets (Unaudited)

United States Dollar	74.9	%
Canadian Dollar	8.3
New Zealand Dollar	2.6
Brazilian Real	2.2
Other, less than 2% each	11.0
Total Investments	99.0
Other assets less liabilities	1.0
Net Assets	100.0	%

See accompanying notes to financial statements.

54

STATEMENTS OF ASSETS AND LIABILITIES

September 30, 2009

	Core Plus Bond Fund			High Income Fund			International Bond Fund
ASSETS
Investments at cost	$	249,295,375		$	170,197,311		$	21,289,200
Net unrealized appreciation (depreciation)		12,767,198			14,618,236			1,263,894
Investments at value		262,062,573			184,815,547			22,553,094
Cash		—			6,106			—
Foreign currency at value (identified cost $0, $7,780, $874,981, $0 and $8,799,207)		—			8,213			880,281
Receivable for Fund shares sold		2,547,574			744,136			512,878
Receivable for securities sold		8,288,869			—			1,721,244
Receivable from investment advisor (Note 6)		21,692			12,111			13,486
Dividends and interest receivable		2,914,685			3,335,736			318,442
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			4,791			65,206
Tax reclaims receivable		10,183			—			439
Due from broker		—			5,028			—
TOTAL ASSETS		275,845,576			188,931,668			26,065,070
LIABILITIES
Payable for securities purchased		15,890,070			3,216,971			1,517,811
Payable for Fund shares redeemed		287,373			402,363			—
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			17,552			—
Dividends payable		—			—			—
Foreign taxes payable (Note 2)		—			184			—
Management fees payable (Note 6)		86,710			88,560			10,657
Deferred Trustees’ fees (Note 6)		212,359			80,543			16,727
Administrative fees payable (Note 6)		9,956			7,209			868
Other accounts payable and accrued expenses		77,406			65,662			36,074
TOTAL LIABILITIES		16,563,874			3,879,044			1,582,137
NET ASSETS	$	259,281,702		$	185,052,624		$	24,482,933
NET ASSETS CONSIST OF:
Paid-in capital	$	266,419,164		$	200,080,520		$	22,832,559
Undistributed net investment income (Distributions in excess of net investment income)		1,162,716			8,540			180,612
Accumulated net realized gain (loss) on investments and foreign currency transactions		(21,067,376	)		(29,645,136	)		126,236
Net unrealized appreciation (depreciation) on investments and foreign currency translations		12,767,198			14,608,700			1,343,526
NET ASSETS	$	259,281,702		$	185,052,624		$	24,482,933
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	140,779,380		$	59,944,387		$	8,478,817
Shares of beneficial interest		11,820,281			13,338,029			782,082
Net asset value and redemption price per share	$	11.91		$	4.49		$	10.84
Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	12.47		$	4.70		$	11.35
Class B shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	7,027,907		$	1,568,722		$	—
Shares of beneficial interest		588,239			348,469			—
Net asset value and offering price per share	$	11.95		$	4.50		$	—
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	77,080,859		$	17,826,637		$	2,954,887
Shares of beneficial interest		6,467,699			3,960,598			273,099
Net asset value and offering price per share	$	11.92		$	4.50		$	10.82
Class Y shares:
Net assets	$	34,393,556		$	105,712,878		$	13,049,229
Shares of beneficial interest		2,872,316			23,545,501			1,205,606
Net asset value, offering and redemption price per share	$	11.97		$	4.49		$	10.82

See accompanying notes to financial statements.

55

Limited Term Government and Agency Fund			Strategic Income Fund
$	194,184,804		$	12,829,100,798
	7,110,958			(313,519,649	)
	201,295,762			12,515,581,149
	—			28,329
	—			8,687,510
	1,426,211			37,774,087
	—			32,240,848
	42,507			—
	902,024			193,384,207
	—			—
	—			52,563
	—			—
	203,666,504			12,787,748,693
	446,484			101,755,128
	635,633			32,506,294
	—			—
	185,399			—
	—			339,912
	80,898			5,667,057
	201,782			489,310
	7,903			495,206
	70,466			1,145,836
	1,628,565			142,398,743
$	202,037,939		$	12,645,349,950
$	201,023,381		$	13,614,150,354
	40,900			(3,333,964	)
	(6,137,300	)		(653,562,540	)
	7,110,958			(311,903,900	)
$	202,037,939		$	12,645,349,950
$	118,619,186		$	5,544,029,232
	10,224,857			414,142,440
$	11.60		$	13.39
$	11.95		$	14.02
$	4,441,690		$	148,886,834
	383,269			11,059,473
$	11.59		$	13.46
$	50,972,980		$	4,894,545,621
	4,390,564			363,833,272
$	11.61		$	13.45
$	28,004,083		$	2,057,888,263
	2,406,845			153,823,270
$	11.64		$	13.38

56

STATEMENTS OF OPERATIONS

For the Year Ended September 30, 2009

	Core Plus Bond Fund			High Income Fund			International Bond Fund
INVESTMENT INCOME
Dividends	$	23,956		$	162,845		$	—
Interest		12,954,595			8,858,726			644,915
Securities lending income (Note 2)		3,323			648			—
Less net foreign taxes withheld		(11,979	)		(13,149	)		—
		12,969,895			9,009,070			644,915
Expenses
Management fees (Note 6)		893,730			558,817			88,309
Service fees - Class A (Note 6)		310,233			104,938			8,741
Service and distribution fees - Class B (Note 6)		82,185			15,269			—
Service and distribution fees - Class C (Note 6)		518,988			120,884			9,880
Trustees’ fees and expenses (Note 6)		15,673			13,412			12,992
Administrative fees (Note 6)		101,792			46,013			38,718
Custodian fees and expenses		27,123			47,382			31,393
Transfer agent fees and expenses - Class A (Note 6)		177,912			51,925			2,294
Transfer agent fees and expenses - Class B (Note 6)		11,813			1,923			—
Transfer agent fees and expenses - Class C (Note 6)		74,201			14,979			720
Transfer agent fees and expenses - Class Y (Note 6)		20,708			29,083			477
Audit and tax services fees		46,320			47,344			48,521
Legal fees		6,893			3,769			481
Shareholder reporting expenses		46,257			23,342			4,683
Registration fees		66,531			84,690			47,360
Miscellaneous expenses (Note 6)		(22,662	)		(3,631	)		4,103
Total expenses		2,377,697			1,160,139			298,672
Less fee reduction and/or expense reimbursement (Note 6)		(133,826	)		(80,823	)		(154,948	)
Net expenses		2,243,871			1,079,316			143,724
Net investment income		10,726,024			7,929,754			501,191
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		1,026,647			(2,866,469	)		191,068
Foreign currency transactions		20,938			(76,605	)		55,057
Net change in unrealized appreciation (depreciation) on:
Investments		27,447,282			23,851,440			2,269,558
Foreign currency translations		(71	)		(4,640	)		126,700
Net realized and unrealized gain on investments and foreign currency transactions		28,494,796			20,903,726			2,642,383
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	39,220,820		$	28,833,480		$	3,143,574

See accompanying notes to financial statements.

57

Limited Term Government and Agency Fund			Strategic Income Fund
$	—		$	33,603,271
	7,756,448			820,316,083
	291			107,283
	—			(1,165,114	)
	7,756,739			852,861,523
	970,393			55,117,195
	306,180			11,730,368
	46,672			1,343,664
	535,208			38,124,862
	15,612			182,149
	97,102			4,879,685
	25,247			439,790
	116,220			4,738,807
	4,499			135,666
	51,317			3,829,237
	8,372			965,876
	48,112			61,539
	6,622			329,555
	18,186			1,099,511
	92,483			276,658
	(21,652	)		331,949
	2,320,573			123,586,511
	(171,005	)		—
	2,149,568			123,586,511
	5,607,171			729,275,012
	2,955,994			(769,749,888	)
	—			4,460,417
	8,456,894			2,047,826,732
	—			8,819,350
	11,412,888			1,291,356,611
$	17,020,059		$	2,020,631,623

58

STATEMENTS OF CHANGES IN NET ASSETS

	Core Plus Bond Fund						High Income Fund						International Bond Fund
	Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2009			Period Ended September 30, 2008 (a)
FROM OPERATIONS:
Net investment income	$	10,726,024		$	7,889,395		$	7,929,754		$	3,149,292		$	501,191		$	212,713
Net realized gain (loss) on investments and foreign currency transactions		1,047,585			1,986,851			(2,943,074	)		555,245			246,125			(76,409	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		27,447,211			(13,469,246	)		23,846,800			(10,381,633	)		2,396,258			(1,052,732	)
Net increase (decrease) in net assets resulting from operations		39,220,820			(3,593,000	)		28,833,480			(6,677,096	)		3,143,574			(916,428	)
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(7,509,410	)		(6,214,311	)		(3,638,806	)		(2,552,225	)		(80,043	)		(20,706	)
Class B		(436,844	)		(690,101	)		(124,178	)		(205,884	)		—			—
Class C		(2,761,267	)		(812,461	)		(969,430	)		(471,489	)		(13,441	)		(5,728	)
Class Y		(1,308,176	)		(1,030,857	)		(3,008,116	)		(54,867	)		(240,546	)		(217,001	)
Net realized capital gain
Class A		—			—			—			—			—			—
Class B		—			—			—			—			—			—
Class C		—			—			—			—			—			—
Class Y		—			—			—			—			—			—
Total distributions		(12,015,697	)		(8,747,730	)		(7,740,530	)		(3,284,465	)		(334,030	)		(243,435	)
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		58,618,493			(35,735,068	)		109,311,312			22,486,017			9,056,042			13,763,336
Redemption fees
Class A		—			10,657			17,604			12,665			—			259
Class B		—			1,520			697			782			—			—
Class C		—			1,489			4,945			3,312			—			275
Class Y		—			1,652			3,996			1,025			—			13,340
Total redemption fees		—			15,318			27,242			17,784			—			13,874
Net increase (decrease) in net assets		85,823,616			(48,060,480	)		130,431,504			12,542,240			11,865,586			12,617,347
NET ASSETS
Beginning of the year		173,458,086			221,518,566			54,621,120			42,078,880			12,617,347			—
End of the year	$	259,281,702		$	173,458,086		$	185,052,624		$	54,621,120		$	24,482,933		$	12,617,347
UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)	$	1,162,716		$	371,177		$	8,540		$	(14,090	)	$	180,612		$	(22,126	)

(a) From commencement of operations on February 1, 2008 through September 30, 2008.

See accompanying notes to financial statements.

59

Limited Term Government and Agency Fund						Strategic Income Fund
Year Ended September 30, 2009			Year Ended September 30, 2008			Year Ended September 30, 2009			Year Ended September 30, 2008
$	5,607,171		$	4,755,700		$	729,275,012		$	754,292,599
	2,955,994			498,940			(765,289,471	)		183,690,261
	8,456,894			(407,128	)		2,056,646,082			(2,817,298,752	)
	17,020,059			4,847,512			2,020,631,623			(1,879,315,892	)
	(3,913,002	)		(4,474,145	)		(356,540,265	)		(448,782,373	)
	(112,841	)		(205,652	)		(9,240,752	)		(12,700,249	)
	(1,292,557	)		(262,151	)		(258,397,380	)		(272,297,986	)
	(471,487	)		(244,165	)		(89,955,755	)		(61,058,261	)
	—			—			(33,148,981	)		(5,233,811	)
	—			—			(1,003,570	)		(183,665	)
	—			—			(25,254,965	)		(3,481,864	)
	—			—			(5,262,204	)		(634,289	)
	(5,789,887	)		(5,186,113	)		(778,803,872	)		(804,372,498	)
	51,940,484			14,420,990			923,443,021			2,697,961,138
	—			—			—			209,238
	—			—			—			7,216
	—			—			—			140,777
	—			—			—			25,844
	—			—			—			383,075
	63,170,656			14,082,389			2,165,270,772			14,655,823
	138,867,283			124,784,894			10,480,079,178			10,465,423,355
$	202,037,939		$	138,867,283		$	12,645,349,950		$	10,480,079,178
$	40,900		$	(287,351	)	$	(3,333,964	)	$	97,385,788

60

FINANCIAL HIGHLIGHTS

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income (a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Total distributions			Redemption fees (b)(c)
CORE PLUS BOND FUND
Class A
9/30/2009	$	10.54	$	0.59	$	1.44		$	2.03		$	(0.66	)	$	(0.66	)	$	—
9/30/2008		11.31		0.55		(0.71	)		(0.16	)		(0.61	)		(0.61	)		0.00
9/30/2007		11.23		0.50		0.14			0.64			(0.56	)		(0.56	)		0.00
9/30/2006		11.41		0.50		(0.07	)		0.43			(0.61	)		(0.61	)		0.00
9/30/2005		11.69		0.46		(0.18	)		0.28			(0.56	)		(0.56	)		0.00
Class B
9/30/2009		10.57		0.50		1.45			1.95			(0.57	)		(0.57	)		—
9/30/2008		11.31		0.44		(0.67	)		(0.23	)		(0.51	)		(0.51	)		0.00
9/30/2007		11.24		0.41		0.13			0.54			(0.47	)		(0.47	)		0.00
9/30/2006		11.41		0.41		(0.05	)		0.36			(0.53	)		(0.53	)		0.00
9/30/2005		11.70		0.37		(0.18	)		0.19			(0.48	)		(0.48	)		0.00
Class C
9/30/2009		10.55		0.51		1.44			1.95			(0.58	)		(0.58	)		—
9/30/2008		11.32		0.47		(0.71	)		(0.24	)		(0.53	)		(0.53	)		0.00
9/30/2007		11.25		0.41		0.13			0.54			(0.47	)		(0.47	)		0.00
9/30/2006		11.42		0.41		(0.05	)		0.36			(0.53	)		(0.53	)		0.00
9/30/2005		11.71		0.37		(0.18	)		0.19			(0.48	)		(0.48	)		0.00
Class Y
9/30/2009		10.60		0.62		1.44			2.06			(0.69	)		(0.69	)		—
9/30/2008		11.36		0.58		(0.70	)		(0.12	)		(0.64	)		(0.64	)		0.00
9/30/2007		11.29		0.54		0.13			0.67			(0.60	)		(0.60	)		0.00
9/30/2006		11.46		0.51		(0.04	)		0.47			(0.64	)		(0.64	)		0.00
9/30/2005		11.74		0.49		(0.18	)		0.31			(0.59	)		(0.59	)		0.00

(a) Per share net investment income has been calculated using the average shares outstanding during the period.

(b) Amount rounds to less than $0.01 per share, if applicable.

(c) Effective June 2, 2008, redemption fees were eliminated.

(d) A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.

See accompanying notes to financial statements.

61

						Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (d)(e)		Net assets, end of the period (000’s)		Net expenses (%) (f)(g)		Gross expenses (%) (g)		Net investment income (loss) (%) (g)	Portfolio turnover rate (%)
$	11.91	20.07		$	140,779	0.90		0.97		5.43	102
	10.54	(1.61	)		115,873	0.93		1.04		4.86	82
	11.31	5.70			105,780	1.04		1.09		4.41	69
	11.23	4.03			91,464	1.05		1.08		4.46	91
	11.41	2.43			105,111	1.13		1.18		3.93	64
	11.95	19.19			7,028	1.65		1.72		4.66	102
	10.57	(2.21	)		10,481	1.70		1.80		3.92	82
	11.31	4.90			87,101	1.79		1.85		3.64	69
	11.24	3.26			109,782	1.80		1.83		3.72	91
	11.41	1.58			132,221	1.88		1.93		3.18	64
	11.92	19.20			77,081	1.65		1.72		4.69	102
	10.55	(2.32	)		26,698	1.68		1.79		4.17	82
	11.32	4.91			12,690	1.78		1.82		3.66	69
	11.25	3.26			6,983	1.80		1.82		3.63	91
	11.42	1.59			6,065	1.88		1.93		3.17	64
	11.97	20.37			34,394	0.65		0.68		5.67	102
	10.60	(1.36	)		20,407	0.68		0.75		5.14	82
	11.36	6.06			15,946	0.70		0.75		4.75	69
	11.29	4.28			11,986	0.80	(h)	0.80	(h)	4.58	91
	11.46	2.68			9,060	0.88		0.99		4.18	64

(e) Had certain expenses not been reduced during the period, if applicable, total return would have been lower.

(f) The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fee during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher.

(g) Computed on an annualized basis for periods less than one year, if applicable.

(h) Includes fee/expense recovery of 0.06%.

62

FINANCIAL HIGHLIGHTS (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income (a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Total distributions
HIGH INCOME FUND
Class A
9/30/2009	$	4.24	$	0.34	$	0.24		$	0.58		$	(0.33	)	$	(0.33	)
9/30/2008		5.12		0.34		(0.87	)		(0.53	)		(0.35	)		(0.35	)
9/30/2007		5.09		0.33		0.08			0.41			(0.38	)		(0.38	)
9/30/2006		4.98		0.34		0.11			0.45			(0.34	)		(0.34	)
9/30/2005		4.82		0.33		0.16			0.49			(0.33	)		(0.33	)
Class B
9/30/2009		4.25		0.31		0.25			0.56			(0.31	)		(0.31	)
9/30/2008		5.13		0.30		(0.87	)		(0.57	)		(0.31	)		(0.31	)
9/30/2007		5.10		0.29		0.07			0.36			(0.33	)		(0.33	)
9/30/2006		4.98		0.30		0.12			0.42			(0.30	)		(0.30	)
9/30/2005		4.83		0.29		0.15			0.44			(0.29	)		(0.29	)
Class C
9/30/2009		4.24		0.31		0.26			0.57			(0.31	)		(0.31	)
9/30/2008		5.12		0.31		(0.87	)		(0.56	)		(0.32	)		(0.32	)
9/30/2007		5.09		0.29		0.07			0.36			(0.33	)		(0.33	)
9/30/2006		4.98		0.30		0.11			0.41			(0.30	)		(0.30	)
9/30/2005		4.83		0.29		0.15			0.44			(0.29	)		(0.29	)
Class Y
9/30/2009		4.24		0.34		0.25			0.59			(0.34	)		(0.34	)
9/30/2008(h)		4.87		0.22		(0.65	)		(0.43	)		(0.21	)		(0.21	)
INTERNATIONAL BOND FUND
Class A
9/30/2009	$	9.19	$	0.32	$	1.53		$	1.85		$	(0.20	)	$	(0.20	)
9/30/2008(j)		10.00		0.17		(0.79	)		(0.62	)		(0.19	)		(0.19	)
Class C
9/30/2009		9.18		0.24		1.53			1.77			(0.13	)		(0.13	)
9/30/2008(j)		10.00		0.13		(0.81	)		(0.68	)		(0.15	)		(0.15	)
Class Y
9/30/2009		9.18		0.33		1.53			1.86			(0.22	)		(0.22	)
9/30/2008(j)		10.00		0.18		(0.81	)		(0.63	)		(0.20	)		(0.20	)

(a) Per share net investment income has been calculated using the average shares outstanding during the period.

(b) Amount rounds to less than $0.01 per share, if applicable.

(c) A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.

(d) Had certain expenses not been reduced during the period, if applicable, total returns would have been lower.

See accompanying notes to financial statements.

63

									Ratios to Average Net Assets:
Redemption fees (b)			Net asset value, end of the period		Total return (%) (c)(d)		Net assets, end of the period (000’s)		Net expenses (%) (e)(f)	Gross expenses (%) (f)	Net investment income (loss) (%) (f)	Portfolio turnover rate (%)
$	0.00	(g)	$	4.49	15.97		$	59,944	1.15	1.28	8.82	30
	0.00			4.24	(10.98	)		38,577	1.15	1.40	7.01	27
	0.00			5.12	8.10			32,603	1.18	1.43	6.40	41
	0.00			5.09	9.39			29,069	1.31	1.48	6.70	41
	0.00			4.98	10.34			25,817	1.58	1.72	6.60	42
	0.00	(g)		4.50	15.06			1,569	1.90	2.06	8.32	30
	0.00			4.25	(11.64	)		2,267	1.90	2.15	6.15	27
	0.00			5.13	7.21			4,201	1.94	2.18	5.63	41
	0.00			5.10	8.79			7,283	2.08	2.25	6.00	41
	0.00			4.98	9.29			12,034	2.33	2.47	5.85	42
	0.00	(g)		4.50	15.37			17,827	1.90	2.03	8.09	30
	0.00			4.24	(11.62	)		9,945	1.90	2.15	6.32	27
	0.00			5.12	7.22			5,275	1.93	2.17	5.63	41
	0.00			5.09	8.58			3,457	2.07	2.23	5.96	41
	0.00			4.98	9.29			3,554	2.33	2.47	5.82	42
	0.00	(g)		4.49	16.29			105,713	0.90	0.92	8.32	30
	0.01			4.24	(9.10	)		3,833	0.90	1.15	8.03	27
$	—		$	10.84	20.41		$	8,479	1.10	2.11	3.29	91
	0.00	(i)		9.19	(6.37	)		1,953	1.10	2.95	2.66	60
	—			10.82	19.58			2,955	1.85	2.93	2.56	91
	0.01	(i)		9.18	(6.95	)		683	1.85	3.70	1.92	60
	—			10.82	20.73			13,049	0.85	1.92	3.53	91
	0.01	(i)		9.18	(6.39	)		9,981	0.85	2.48	2.74	60

(e) The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fee during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher.

(f) Computed on an annualized basis for periods less than one year, if applicable.

(g) Effective June 1, 2009, redemption fees were eliminated.

(h) From commencement of class operations on February 29, 2008 through September 30, 2008.

(i) Effective June 2, 2008, redemption fees were eliminated.

(j) For the period February 1, 2008 (inception) through September 30, 2008.

64

FINANCIAL HIGHLIGHTS (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:							Less Distributions:
	Net asset value, beginning of the period		Net investment income (a)		Net realized and unrealized gain (loss)			Total from investment operations		Dividends from net investment income			Total distributions
LIMITED TERM GOVERNMENT AND AGENCY FUND
Class A
9/30/2009	$	10.98	$	0.35	$	0.63		$	0.98	$	(0.36	)	$	(0.36	)
9/30/2008		11.00		0.45		0.02			0.47		(0.49	)		(0.49	)
9/30/2007		11.00		0.45		0.03			0.48		(0.48	)		(0.48	)
9/30/2006		11.09		0.39		(0.05	)		0.34		(0.43	)		(0.43	)
9/30/2005		11.30		0.28		(0.16	)		0.12		(0.33	)		(0.33	)
Class B
9/30/2009		10.97		0.26		0.63			0.89		(0.27	)		(0.27	)
9/30/2008		10.99		0.36		0.02			0.38		(0.40	)		(0.40	)
9/30/2007		10.98		0.37		0.03			0.40		(0.39	)		(0.39	)
9/30/2006		11.07		0.31		(0.05	)		0.26		(0.35	)		(0.35	)
9/30/2005		11.28		0.20		(0.17	)		0.03		(0.24	)		(0.24	)
Class C
9/30/2009		10.99		0.26		0.63			0.89		(0.27	)		(0.27	)
9/30/2008		11.00		0.36		0.03			0.39		(0.40	)		(0.40	)
9/30/2007		10.99		0.37		0.03			0.40		(0.39	)		(0.39	)
9/30/2006		11.08		0.31		(0.05	)		0.26		(0.35	)		(0.35	)
9/30/2005		11.30		0.20		(0.18	)		0.02		(0.24	)		(0.24	)
Class Y
9/30/2009		11.01		0.39		0.63			1.02		(0.39	)		(0.39	)
9/30/2008		11.03		0.47		0.02			0.49		(0.51	)		(0.51	)
9/30/2007		11.03		0.49		0.03			0.52		(0.52	)		(0.52	)
9/30/2006		11.13		0.43		(0.06	)		0.37		(0.47	)		(0.47	)
9/30/2005		11.34		0.31		(0.17	)		0.14		(0.35	)		(0.35	)

(a) Per share net investment income has been calculated using the average shares outstanding during the period.

(b) A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.

(c) Had certain expenses not been reduced during the period, if applicable, total returns would have been lower.

See accompanying notes to financial statements.

65

					Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (b)(c)	Net assets, end of the period (000’s)		Net expenses (%) (d)(e)	Gross expenses (%) (d)		Net investment income (loss) (%) (d)	Portfolio turnover rate (%)
$	11.60	9.05	$	118,619	0.90	0.99		3.10	77
	10.98	4.29		105,047	0.92	1.07		4.04	52
	11.00	4.46		108,536	0.99	1.10		4.13	45
	11.00	3.20		114,180	1.04	1.09		3.57	50
	11.09	1.05		141,417	1.24	1.24		2.50	93
	11.59	8.24		4,442	1.65	1.74		2.32	77
	10.97	3.52		4,532	1.67	1.82		3.29	52
	10.99	3.72		6,787	1.74	1.85		3.37	45
	10.98	2.36		9,952	1.79	1.84		2.79	50
	11.07	0.29		15,114	1.99	1.99		1.75	93
	11.61	8.24		50,973	1.65	1.74		2.32	77
	10.99	3.62		22,711	1.66	1.83		3.29	52
	11.00	3.62		5,261	1.74	1.85		3.38	45
	10.99	2.46		4,230	1.79	1.84		2.81	50
	11.08	0.21		5,715	1.99	1.99		1.75	93
	11.64	9.40		28,004	0.65	0.72		3.42	77
	11.01	4.55		6,577	0.67	0.72		4.28	52
	11.03	4.79		4,201	0.71	0.75		4.43	45
	11.03	3.43		2,461	0.74	0.74		3.89	50
	11.13	1.24		2,533	1.02	1.59	(f)	2.77	93

(d) Computed on an annualized basis for periods less than one year, if applicable.

(e) The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fee during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher.

(f) Represents the total expenses prior to reduction of a portion of the class’s transfer agent expenses.

66

FINANCIAL HIGHLIGHTS (continued)

For a share outstanding throughout each period.

			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income (a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
STRATEGIC INCOME FUND
Class A
9/30/2009	$	12.10	$	0.87	$	1.36		$	2.23		$	(0.86	)	$	(0.08	)	$	(0.94	)
9/30/2008		15.18		0.96		(3.02	)		(2.06	)		(1.01	)		(0.01	)		(1.02	)
9/30/2007		14.60		0.80		0.60			1.40			(0.82	)		—			(0.82	)
9/30/2006		14.17		0.71		0.53			1.24			(0.81	)		—			(0.81	)
9/30/2005		13.57		0.66		0.70			1.36			(0.76	)		—			(0.76	)
Class B
9/30/2009		12.16		0.79		1.36			2.15			(0.77	)		(0.08	)		(0.85	)
9/30/2008		15.25		0.85		(3.04	)		(2.19	)		(0.89	)		(0.01	)		(0.90	)
9/30/2007		14.66		0.69		0.60			1.29			(0.70	)		—			(0.70	)
9/30/2006		14.22		0.61		0.52			1.13			(0.69	)		—			(0.69	)
9/30/2005		13.60		0.56		0.71			1.27			(0.65	)		—			(0.65	)
Class C
9/30/2009		12.15		0.79		1.37			2.16			(0.78	)		(0.08	)		(0.86	)
9/30/2008		15.24		0.85		(3.03	)		(2.18	)		(0.90	)		(0.01	)		(0.91	)
9/30/2007		14.65		0.69		0.60			1.29			(0.70	)		—			(0.70	)
9/30/2006		14.22		0.61		0.51			1.12			(0.69	)		—			(0.69	)
9/30/2005		13.60		0.55		0.72			1.27			(0.65	)		—			(0.65	)
Class Y
9/30/2009		12.09		0.90		1.36			2.26			(0.89	)		(0.08	)		(0.97	)
9/30/2008		15.17		1.00		(3.03	)		(2.03	)		(1.04	)		(0.01	)		(1.05	)
9/30/2007		14.59		0.85		0.59			1.44			(0.86	)		—			(0.86	)
9/30/2006		14.17		0.76		0.51			1.27			(0.85	)		—			(0.85	)
9/30/2005		13.57		0.70		0.70			1.40			(0.80	)		—			(0.80	)

(a) Per share net investment income has been calculated using the average shares outstanding during the period.

(b) Amount rounds to less than $0.01 per share, if applicable.

(c) Effective June 2, 2008, redemption fees were eliminated.

(d) A sales charge for Class A shares and a contingent deferred sales charge for Class B and Class C shares are not reflected in total return calculations. Periods less than one year, if applicable, are not annualized.

See accompanying notes to financial statements.

67

								Ratios to Average Net Assets:
Redemption fees (b)(c)		Net asset value, end of the period		Total return (%) (d)(e)		Net assets, end of the period (000’s)		Net expenses (%) (f)(g)	Gross expenses (%) (f)	Net investment income (%) (f)	Portfolio turnover rate (%)
$	—	$	13.39	20.56		$	5,544,029	0.99	0.99	7.74	39
	0.00		12.10	(14.54	)		5,551,066	0.97	0.98	6.59	24
	0.00		15.18	9.90			5,749,315	1.00	1.00	5.39	22
	0.00		14.60	9.04			2,782,887	1.05	1.05	5.01	21
	0.00		14.17	10.20			977,198	1.18	1.18	4.71	14
	—		13.46	19.62			148,887	1.74	1.74	7.02	39
	0.00		12.16	(15.19	)		161,751	1.72	1.73	5.78	24
	0.00		15.25	9.08			233,418	1.76	1.76	4.61	22
	0.00		14.66	8.22			179,927	1.79	1.79	4.26	21
	0.00		14.22	9.46			144,081	1.93	1.93	3.98	14
	—		13.45	19.66			4,894,546	1.74	1.74	6.95	39
	0.00		12.15	(15.19	)		3,984,204	1.72	1.73	5.85	24
	0.00		15.24	9.08			3,843,823	1.75	1.75	4.63	22
	0.00		14.65	8.14			1,812,278	1.79	1.79	4.24	21
	0.00		14.22	9.45			765,200	1.93	1.93	3.93	14
	—		13.38	20.91			2,057,888	0.72	0.72	7.76	39
	0.00		12.09	(14.34	)		783,058	0.72	0.72	6.88	24
	0.00		15.17	10.22			638,868	0.74	0.74	5.67	22
	0.00		14.59	9.28			271,065	0.78	0.78	5.30	21
	0.00		14.17	10.51			50,369	0.91	0.91	4.98	14

(e) Had certain expenses not been reduced during the period, if applicable, total returns would have been lower.

(f) Computed on an annualized basis for periods less than one year, if applicable.

(g) The investment adviser and/or administrator agreed to reimburse a portion of the Fund’s expenses and/or reduce its fee during the period. Without this reimbursement/fee reduction, if applicable, expenses would have been higher.

68

NOTES TO FINANCIAL STATEMENTS

September 30, 2009

1.  Organization.  Natixis Funds Trust I and Loomis Sayles Funds II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Natixis Funds Trust I:

Loomis Sayles Core Plus Bond Fund (the “Core Plus Bond Fund”)

Loomis Sayles Funds II:

Loomis Sayles High Income Fund (the “High Income Fund”)

Loomis Sayles International Bond Fund (the “International Bond Fund”)

Loomis Sayles Limited Term Government and Agency Fund (the “Limited Term Government and Agency Fund”)

Loomis Sayles Strategic Income Fund (the “Strategic Income Fund”)

The Funds each offer Class A, Class C and Class Y shares. Effective October 12, 2007, Class B shares are no longer offered. Existing Class B shareholders may continue to reinvest dividends into Class B shares and exchange their Class B shares for Class B shares of other Natixis Funds subject to existing exchange privileges as described in the Prospectus.

Class A shares of all Funds except Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 4.50%. Class A shares of Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 3.00%. Class B shares do not pay a front-end sales charge, but pay higher Rule 12b-1 fees than Class A shares for eight years (at which point they automatically convert to Class A shares), and are subject to a contingent deferred sales charge (“CDSC”) if those shares are redeemed within six years of purchase. Class C shares do not pay a front-end sales charge, do not convert to any other Class of shares and pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are excepted from the minimum investment amount as outlined in the Fund’s Prospectus.

Most expenses of the Trusts can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in the Trusts. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees and transfer agent fees applicable to such class). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate dividends from net investment income on each class of shares.

2.  Significant Accounting Policies.  The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions that have occurred through November 23, 2009, the date the financial statements were issued, and noted no items requiring recognition in the financial statements or additional disclosure in the Notes to Financial Statements.

a.  Valuation.  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 Funds by a 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. Equity securities, including closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such 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. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued using interpolated prices determined from information provided by an independent pricing service. 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 Funds’ investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

Certain Funds may hold securities traded in foreign markets. Foreign securities are valued at the 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

69

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Funds 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 Funds calculate their net asset values.

b.  Security Transactions and Related Investment Income.  Security transactions are accounted for on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned. The amount by which negative principal adjustments exceed interest income earned or positive principal adjustments on a cumulative basis is recorded as an increase to the cost basis of the security. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c.  Foreign Currency Translation.  The books and records of the Funds are maintained in U.S. dollars. The value 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. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.

Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.

Each Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d.  Forward Foreign Currency Contracts.  Each Fund may enter into forward foreign currency contracts. Contracts to buy generally are used to acquire exposure to foreign currencies, while contracts to sell generally are used to hedge a Fund’s investments against currency fluctuation. Also, a contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. 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.

e.  Federal and Foreign Income Taxes.  Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2009 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign taxes on income and gains on investments that are accrued based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable, and are reflected as foreign taxes payable on the Statements of Assets and Liabilities.

f.  Dividends and Distributions to Shareholders.  Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United

70

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

States of America. Permanent differences are primarily due to differing treatments for book and tax purposes for items such as foreign currency transactions, treasury inflation protected bond adjustments, premium amortization, defaulted bond adjustments, paydown gains and losses, distribution redesignations, expired capital loss carryforwards and return of capital and capital gains distributions from REITS. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization accruals, forward contracts mark to market, dividends payable, securities lending collateral gain/loss adjustment, REIT basis adjustments, discount accretion on inflation-protected securities and defaulted bond interest. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2009 and 2008 was as follows:

	2009 Distributions Paid From:						2008 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Core Plus Bond Fund	$	12,015,697	$	—	$	12,015,697	$	8,747,730	$	—	$	8,747,730
High Income Fund		7,740,530		—		7,740,530		3,284,465		—		3,284,465
International Bond Fund		334,030		—		334,030		243,435		—		243,435
Limited Term Government and Agency Fund		5,789,887		—		5,789,887		5,186,113		—		5,186,113
Strategic Income Fund		725,851,869		52,952,003		778,803,872		794,838,869		9,533,629		804,372,498

Differences between these amounts and those reported in the Statements of Changes in Net Assets, if any, are primarily attributable to different book and tax treatment for short-term capital gains.

As of September 30, 2009, the components of distributable earnings on a tax basis were as follows:

	Core Plus Bond Fund			High Income Fund			International Bond Fund			Limited Term Government and Agency Fund			Strategic Income Fund
Undistributed ordinary income	$	1,375,074		$	143,101		$	416,092		$	428,081		$	3,010,647
Undistributed long-term capital gains		—			—			—			—			—
Total undistributed earnings		1,375,074			143,101			416,092			428,081			3,010,647
Capital loss carryforward:
Expires September 30, 2010		(19,393,733	)		(26,826,634	)		—			—			—
Expires September 30, 2014		(181,728	)		—			—			(1,425,832	)		—
Expires September 30, 2015		—			—			—			(4,336,746	)		—
Expires September 30, 2016		—			—			—			(100,316	)		—
Expires September 30, 2017		—			(33,112	)		—			—			(45,672,245	)
Total capital loss carryforward		(19,575,461	)		(26,859,746	)		—			(5,862,894	)		(45,672,245	)
Deferred net capital losses (post-October 2008)		(129,243	)		(2,276,152	)		(45,041	)		(83,587	)		(552,853,501	)
Unrealized appreciation (depreciation)		11,404,526			14,099,463			1,297,602			6,920,139			(366,940,694	)
Total accumulated earnings (losses)		(6,925,104	)		(14,893,334	)		1,668,653			1,401,739			(962,455,793	)
Capital loss carryforward utilized in the current year	$	123,810		$	—		$	—		$	2,626,828		$	—

The High Income Fund had carry forward losses expire in the current year in the amount of $43,374,722.

The Limited Term Government and Agency Fund had carry forward losses expire in the current year in the amount of $4,128,091.

g.  Repurchase Agreements.  It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 100% 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. It is each Fund’s policy, regarding tri-party arrangements, that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. 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.

71

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

h.  Securities Lending.  The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. government securities, sovereign debt issued by non-U.S. governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

As of September 30, 2009, there were no securities on loan.

i.  Delayed Delivery Commitments.  Purchases of when-issued or delayed delivery instruments (identified in the Portfolio of Investments as TBA investments) may have a similar effect on a Fund’s net asset value as if the Fund had created a degree of leverage in its portfolio. The price of the underlying instruments and the date when they will be paid for are fixed at the time the transaction is negotiated. If a Fund enters into such a transaction, collateral consisting of liquid securities or cash and cash equivalents will be maintained in an amount at least equal to the commitment with the custodian and/ or broker. Losses may arise due to changes in the market value of the underlying instruments or if the counterparty does not perform under the contract.

j.  Indemnifications.  Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

3.  Fair Value Measurements.  Effective October 1, 2008, the Funds adopted accounting standards related to fair value measurements and disclosures which establish a hierarchy for which various inputs are used in determining the value of each 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.);

• Level 3 – prices determined using significant unobservable inputs for situations where 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 each 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 Funds’ investments as of September 30, 2009, at value:

Core Plus Bond Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes (a)	$	—	$	249,607,477	$	—	$	249,607,477
Preferred Stocks
Diversified Financial Services		—		309,375		—		309,375
Thrifts & Mortgage Finance		401,920		6,762		—		408,682
Total Preferred Stocks		401,920		316,137		—		718,057
Short-Term Investments		11,737,039		—		—		11,737,039
Total	$	12,138,959	$	249,923,614	$	—	$	262,062,573

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

72

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

High Income Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
ABS Car Loan	$	—	$	181,185	$	—	$	181,185
ABS Credit Card		—		96,345		—		96,345
ABS Home Equity		—		2,430,426		—		2,430,426
Aerospace & Defense		—		4,739,000		—		4,739,000
Airlines		—		487,208		—		487,208
Automotive		—		4,687,489		—		4,687,489
Banking		—		501,343		—		501,343
Building Materials		—		1,639,822		—		1,639,822
Chemicals		—		475,594		—		475,594
Collateralized Mortgage Obligations		—		1,205,691		—		1,205,691
Commercial Mortgage-Backed Securities		—		5,350,282		389,767		5,740,049
Construction Machinery		—		2,658,096		—		2,658,096
Consumer Products		—		215,800		—		215,800
Diversified Manufacturing		—		110,625		—		110,625
Electric		—		8,130,035		—		8,130,035
Food & Beverage		—		2,742,244		—		2,742,244
Government Guaranteed		—		267,127		—		267,127
Government Owned - No Guarantee		—		173,888		—		173,888
Healthcare		—		11,769,047		—		11,769,047
Home Construction		—		7,143,381		—		7,143,381
Independent Energy		—		12,477,826		—		12,477,826
Industrial Other		—		350,875		—		350,875
Lodging		—		7,630,275		—		7,630,275
Media Cable		—		3,882,635		—		3,882,635
Media Non-Cable		—		2,154,113		—		2,154,113
Metals & Mining		—		3,289,709		—		3,289,709
Non-Captive Consumer		—		3,564,200		497,545		4,061,745
Non-Captive Diversified		—		3,859,765		478,858		4,338,623
Oil Field Services		—		2,371,735		—		2,371,735
Packaging		—		175,438		—		175,438
Paper		—		5,299,271		—		5,299,271
Pharmaceuticals		—		9,235,508		—		9,235,508
Pipelines		—		3,123,088		—		3,123,088
Refining		—		818,388		—		818,388
REITs		—		524,688		—		524,688
Retailers		—		4,621,306		—		4,621,306
Sovereigns		—		3,588,256		—		3,588,256
Supermarkets		—		1,768,563		—		1,768,563
Supranational		—		87,375		678,290		765,665
Technology		—		14,224,306		1,096,560		15,320,866
Textile		—		277,500		—		277,500
Transportation Services		—		760,813		—		760,813
Treasuries		—		3,440,277		—		3,440,277
Wireless		—		6,916,375		—		6,916,375
Wirelines		—		11,878,542		1,834,025		13,712,567
Total Bonds and Notes		—		161,325,455		4,975,045		166,300,500
Bank Loans (a)		—		2,706,147		—		2,706,147

73

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

High Income Fund

Asset Valuation Inputs (continued)

Description	Level 1		Level 2		Level 3		Total
Preferred Stocks Convertible Preferred Stocks (a)	$	—	$	2,246,241	$	—	$	2,246,241
Non-Convertible Preferred Stocks
Diversified Financial Services		—		159,340		—		159,340
Thrifts & Mortgage Finance		32,723		38,681		—		71,404
Total Non-Convertible Preferred Stocks		32,723		198,021		—		230,744
Total Preferred Stocks		32,723		2,444,262		—		2,476,985
Common Stocks (a)		613,193		—		—		613,193
Closed-End Investment Companies		49,360		—		—		49,360
Short-Term Investments		12,669,362		—		—		12,669,362
Total Investments		13,364,638		166,475,864		4,975,045		184,815,547
Forward Foreign Currency Contracts (unrealized appreciation)		—		4,791		—		4,791
Total	$	13,364,638	$	166,480,655	$	4,975,045	$	184,820,338

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(17,552	)	$	—	$	(17,552	)

International Bond Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Australia	$	—	$	301,423	$	—	$	301,423
Austria		—		190,037		—		190,037
Belgium		—		1,862,998		—		1,862,998
Brazil		—		104,961		—		104,961
Canada		—		1,066,847		—		1,066,847
Cayman Islands		—		286,947		—		286,947
France		—		790,285		—		790,285
Germany		—		5,372,031		—		5,372,031
India		—		174,074		—		174,074
Ireland		—		270,956		98,563		369,519
Italy		—		207,457		—		207,457
Japan		—		2,052,028		—		2,052,028
Jersey		—		76,530		—		76,530
Luxembourg		—		121,023		—		121,023
Mexico		—		286,636		—		286,636
Netherlands		—		868,794		—		868,794
Norway		—		815,874		—		815,874
Singapore		—		196,434		—		196,434
South Africa		—		104,629		—		104,629

74

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

International Bond Fund

Asset Valuation Inputs (continued)

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes (continued)
Non-Convertible Bonds (continued)
Spain	$	—	$	146,016	$	—	$	146,016
Supranational		—		1,134,977		67,829		1,202,806
Sweden		—		542,881		—		542,881
United Arab Emirates		—		184,505		—		184,505
United Kingdom		—		1,385,386		—		1,385,386
United States		—		2,019,303		—		2,019,303
Total Non-Convertible Bonds		—		20,563,032		166,392		20,729,424
Convertible Bonds (a)		—		40,875		—		40,875
Total Bonds and Notes		—		20,603,907		166,392		20,770,299
Short-Term Investments		1,782,795		—		—		1,782,795
Total Investments		1,782,795		20,603,907		166,392		22,553,094
Forward Foreign Currency Contracts (unrealized appreciation)		—		65,206		—		65,206
Total	$	1,782,795	$	20,669,113	$	166,392	$	22,618,300

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

Limited Term Government and Agency Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
ABS Car Loan	$	—	$	4,315,613	$	—	$	4,315,613
ABS Credit Card		—		6,866,462		—		6,866,462
ABS Home Equity		—		1,821,069		538,786		2,359,855
ABS Other		—		711,857		—		711,857
Collateralized Mortgage Obligations		—		899,926		—		899,926
Commercial Mortgage-Backed Securities		—		21,928,751		—		21,928,751
Government Guaranteed		—		7,012,005		—		7,012,005
Government Owned — No Guarantee		—		20,115,067		—		20,115,067
Government Sponsored		—		16,770,397		—		16,770,397
Hybrid ARMs		—		4,120,266		—		4,120,266
Mortgage Related		—		85,629,376		—		85,629,376
Treasuries		—		29,567,814		—		29,567,814
Total Bonds and Notes		—		199,758,603		538,786		200,297,389
Short-Term Investments		998,373		—		—		998,373
Total	$	998,373	$	199,758,603	$	538,786	$	201,295,762

75

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

Strategic Income Fund

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
ABS Credit Card	$	—	$	83,481,495	$	—	$	83,481,495
Aerospace & Defense		—		13,886,090		—		13,886,090
Airlines		—		181,376,841		6,940,852		188,317,693
Automotive		—		351,728,209		2,526,146		354,254,355
Banking		—		839,818,564		—		839,818,564
Brokerage		—		4,233,472		—		4,233,472
Building Materials		—		124,666,576		—		124,666,576
Chemicals		—		74,451,079		23,203,580		97,654,659
Construction Machinery		—		110,515,164		—		110,515,164
Consumer Cyclical Services		—		102,376,826		—		102,376,826
Consumer Products		—		17,259,571		—		17,259,571
Distributors		—		1,712,055		—		1,712,055
Diversified Manufacturing		—		70,557,378		20,732,656		91,290,034
Electric		—		430,386,678		4,708,532		435,095,210
Entertainment		—		26,984,554		—		26,984,554
Financial Other		—		20,368,400		—		20,368,400
Food & Beverage		—		134,142,310		—		134,142,310
Government Owned - No Guarantee		—		38,958,381		—		38,958,381
Government Sponsored		—		49,644,479		—		49,644,479
Health Insurance		—		76,663,414		—		76,663,414
Healthcare		—		481,965,184		—		481,965,184
Home Construction		—		232,235,895		—		232,235,895
Independent Energy		—		161,022,174		—		161,022,174
Industrial Other		—		18,541,438		—		18,541,438
Life Insurance		—		26,197,543		—		26,197,543
Local Authorities		—		92,012,261		—		92,012,261
Media Cable		—		306,681,023		—		306,681,023
Media Non-Cable		—		71,306,454		—		71,306,454
Metals & Mining		—		103,771,461		—		103,771,461
Non-Captive Consumer		—		401,735,654		4,129,285		405,864,939
Non-Captive Diversified		—		836,657,070		4,017,538		840,674,608
Oil Field Services		—		307,512,148		—		307,512,148
Packaging		—		39,357,053		—		39,357,053
Packaging & Containers		—		5,080,699		—		5,080,699
Paper		—		308,471,186		—		308,471,186
Pharmaceuticals		—		93,382,625		—		93,382,625
Pipelines		—		288,998,722		—		288,998,722
Property & Casualty Insurance		—		44,849,379		—		44,849,379
Railroads		—		45,800,542		—		45,800,542
Refining		—		1,192,250		—		1,192,250
REITs		—		140,301,111		—		140,301,111
Restaurants		—		902,678		—		902,678
Retailers		—		329,250,378		—		329,250,378
Sovereigns		—		612,033,388		—		612,033,388
Supermarkets		—		97,345,868		—		97,345,868
Supranational		—		236,970,552		30,455,245		267,425,797
Technology		—		300,459,697		225,000		300,684,697

76

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

Strategic Income Fund

Asset Valuation Inputs (continued)

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes (continued)
Non-Convertible Bonds (continued)
Tobacco	$	—	$	176,280,732	$	—	$	176,280,732
Transportation Services		—		54,210,782		—		54,210,782
Treasuries		—		1,114,695,982		—		1,114,695,982
Wireless		—		207,441,738		—		207,441,738
Wirelines		—		548,094,546		—		548,094,546
Total Non-Convertible Bonds		—		10,437,969,749		96,938,834		10,534,908,583
Convertible Bonds
Airlines		—		2,957,500		—		2,957,500
Diversified Manufacturing		—		2,596,000		—		2,596,000
Electric		—		2,058,750		—		2,058,750
Healthcare		—		38,378,537		—		38,378,537
Independent Energy		—		3,459,850		—		3,459,850
Industrial Other		—		30,088,500		—		30,088,500
Lodging		—		27,946,537		—		27,946,537
Media Non-Cable		—		4,763,735		—		4,763,735
Metals & Mining		—		22,347,738		—		22,347,738
Non-Captive Diversified		—		22,017,500		—		22,017,500
Oil Field Services		—		1,764,088		—		1,764,088
Pharmaceuticals		—		106,806,666		—		106,806,666
REITs		—		10,858,309		—		10,858,309
Technology		—		285,488,365		3,394,300		288,882,665
Textile		—		84,460		—		84,460
Wireless		—		14,117,179		—		14,117,179
Wirelines		—		42,991,410		57,319,500		100,310,910
Total Convertible Bonds		—		618,725,124		60,713,800		679,438,924
Municipals (a)		—		63,887,694		—		63,887,694
Total Bonds and Notes		—		11,120,582,567		157,652,634		11,278,235,201
Bank Loans (a)		—		85,752,651		—		85,752,651
Common Stocks (a)		356,599,555		—		—		356,599,555
Preferred Stocks
Convertible Preferred Stocks
Automotive		43,925,773		—		—		43,925,773
Capital Markets		—		6,503,729		—		6,503,729
Commercial Banks		5,298,169		—		—		5,298,169
Diversified Consumer Services		3		—		—		3
Diversified Financial Services		—		19,016,245		—		19,016,245
Electric Utilities		—		16,769,174		3,770,375		20,539,549
Machinery		—		4,259,595		—		4,259,595
Oil, Gas & Consumable Fuels		4,333,266		5,309,106		—		9,642,372
REITs		—		—		491,050		491,050
Semiconductors & Semiconductor Equipment		—		24,724,800		—		24,724,800
Total Convertible Preferred Stocks		53,557,211		76,582,649		4,261,425		134,401,285

77

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

Strategic Income Fund

Asset Valuation Inputs (continued)

Description	Level 1		Level 2		Level 3		Total
Preferred Stocks (continued)
Non-Convertible Preferred Stocks
Diversified Financial Services	$	1,266,122	$	21,467,810	$	—	$	22,733,932
Electric Utilities		—		28,357		—		28,357
Thrifts & Mortgage Finance		18,347,060		15,865,319		—		34,212,379
Total Non-Convertible Preferred Stocks		19,613,182		37,361,486		—		56,974,668
Total Preferred Stocks		73,170,393		113,944,135		4,261,425		191,375,953
Closed-End Investment Companies		31,284,568		—		—		31,284,568
Exchange Traded Funds		57,459,716		—		—		57,459,716
Short-Term Investments		514,873,505		—		—		514,873,505
Total	$	1,033,387,737	$	11,320,279,353	$	161,914,059	$	12,515,581,149

(a) Major categories of the Fund’s investments are included in the Portfolio of Investments.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2009:

Core Plus Bond Fund

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2008		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Net Purchases (Sales)			Net Transfers in/(out) Level 3			Balance as of September 30, 2009
Bonds and Notes
ABS Home Equity	$	2,940,801	$	—	$	(1,585,344	)	$	811,247	$	(1,401,317	)	$	(765,387	)	$	—
Financial Other		1,406,692		730		—			162,945		—			(1,570,367	)		—
Technology		522,800		786		(1,029,551	)		605,240		(99,275	)		—			—
Wireless		2,216,254		2,538		—			612,329		—			(2,831,121	)		—
Total	$	7,086,547	$	4,054	$	(2,614,895	)	$	2,191,761	$	(1,500,592	)	$	(5,166,875	)	$	—

High Income Fund

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2008		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Net Purchases (Sales)			Net Transfers in/(out) Level 3			Balance as of September 30, 2009
Bonds and Notes
Banking	$	320,000	$	4,358	$	(406,726	)	$	118,618		$	(36,250	)	$	—		$	—
Chemicals		254,600		1,994		—			(42,187	)		261,187			(475,594	)		—
Commercial Mortgage-Backed Securities		—		—		44,500			21,654			323,613			—			389,767
Healthcare		63,500		668		—			37,624			(101,792	)		—			—
Industrial Other		67,200		—		—			44,800			—			(112,000	)		—
Media Non-Cable		159,375		6,496		(266,237	)		180,741			(80,375	)		—			—
Non-Captive Consumer		408,215		9,753		—			79,577			—			—			497,545
Non-Captive Diversified		—		125		—			7,244			471,489			—			478,858

78

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

High Income Fund

Asset Valuation Inputs (continued)

Investments in Securities	Balance as of September 30, 2008		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Net Purchases (Sales)			Net Transfers in/(out) Level 3			Balance as of September 30, 2009
Bonds and Notes (continued)
Property & Casualty Insurance	$	15,900	$	—	$	(1,302	)	$	402	$	(15,000	)	$	—		$	—
Supranational		583,267		50,343		—			44,680		—			—			678,290
Technology		381,600		12,433		(8,795	)		106,662		728,300			(123,640	)		1,096,560
Wireless		133,460		860		—			57,305		275,875			(467,500	)		—
Wirelines		—		619		—			74,029		1,759,377			—			1,834,025
Preferred Stocks		—		—		—			—		—			—			—
Convertible Preferred Stocks Semiconductors & Semiconductor Equipment		371,256		—		—			239,979		—			(611,235	)		—
Total	$	2,758,373	$	87,649	$	(638,560	)	$	971,128	$	3,586,424		$	(1,789,969	)	$	4,975,045

International Bond Fund

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2008		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Net Purchases (Sales)			Net Transfers in/(out) Level 3		Balance as of September 30, 2009
Bonds and Notes
Non-Convertible Bonds
Ireland	$	—	$	—	$	—	$	(147	)	$	98,710		$	—	$	98,563
Supranational		58,327		5,034		—		4,468			—			—		67,829
United States		68,665		48		4,952		4,322			(77,987	)		—		—
Total	$	126,992	$	5,082	$	4,952	$	8,643		$	20,723		$	—	$	166,392

Limited Term Government and Agency Fund

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2008		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Net Purchases (Sales)			Net Transfers in/(out) Level 3		Balance as of September 30, 2009
Bonds and Notes
ABS Home Equity	$	743,234	$	—	$	13,224	$	(287,671	)	$	(707,002	)	$	777,001	$	538,786
Total	$	743,234	$	—	$	13,224	$	(287,671	)	$	(707,002	)	$	777,001	$	538,786

79

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

Strategic Income Fund

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2008		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Net Purchases (Sales)			Net Transfers in/(out) Level 3			Balance as of September 30, 2009
Bonds and Notes
Non-Convertible Bonds
Airlines	$	16,733,800	$	—	$	128,579		$	4,797,869		$	(2,401,865	)	$	(12,317,531	)	$	6,940,852
Automotive		—		3,949		—			(24,731	)		494,230			2,052,698			2,526,146
Banking		49,326,408		1,800,522		(34,140,022	)		20,069,348			(8,658,000	)		(28,398,256	)		—
Chemicals		9,748,500		220,718		—			3,747,860			—			9,486,502			23,203,580
Diversified Manufacturing		—		98,826		—			1,626,310			19,007,520			—			20,732,656
Electric		—		82,267		—			71,916			4,554,349			—			4,708,532
Independent Energy		4,890,065		56,028		—			688,093			—			(5,634,186	)		—
Industrial Other		9,600,000		—		—			6,400,000			—			(16,000,000	)		—
Life Insurance		2,828,966		—		403,808			1,967,772			(5,200,546	)		—			—
Media Non-Cable		5,251,125		246,750		(10,728,408	)		8,055,958			(2,825,425	)		—			—
Non-Captive Consumer		7,027,071		186,834		—			1,970,519			—			(5,055,139	)		4,129,285
Non-Captive Diversified		17,213,700		38,142		—			4,942,232			3,955,364			(22,131,900	)		4,017,538
Property & Casualty Insurance		3,662,300		2,971		(120,488	)		(446,283	)		(423,300	)		(2,675,200	)		—
Supranational		40,912,861		—		—			7,001,642			—			(17,459,258	)		30,455,245
Technology		8,828,600		64,549		(6,933	)		(314,266	)		184,650			(8,531,600	)		225,000
Wireless		19,281,400		55,587		—			8,147,063			773,550			(28,257,600	)		—
Convertible Bonds
Healthcare		2,555,500		27,551		—			1,480,595			(4,063,646	)		—			—
Technology		—		73,071		39,962			(113,053	)		(466,000	)		3,860,320			3,394,300
Transportation Services		358,670		4,616		27,920			11,794			(403,000	)		—			—
Wirelines		—		41,099		—			4,284,901			52,993,500			—			57,319,500
Preferred Stocks
Convertible Preferred Stocks
Electric Utilities		4,309,000		—		—			(538,625	)		—			—			3,770,375
REITs		—		—		—			(32,025	)		—			523,075			491,050
Semiconductors & Semiconductor Equipment		15,017,488		—		—			9,707,312			—			(24,724,800	)		—
Total	$	217,545,454	$	3,003,480	$	(44,395,582	)	$	83,502,201		$	57,521,381		$	(155,262,875	)	$	161,914,059

4.  Derivatives.  Effective April 1, 2009, the Funds adopted accounting standards related to derivative instruments and hedging activities which require enhanced disclosures. 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 Funds currently use are forward foreign currency contracts.

The Funds are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the funds. High Income Fund and International Bond Fund engaged in forward foreign currency contract transactions during the year ended September 30, 2009.

The following is a summary of derivative instruments for High Income Fund, as of September 30, 2009:

Asset Derivatives	Forwards
Foreign exchange contracts	$ 4,791
Statement of Assets and Liabilities Location	Unrealized appreciation on forward foreign currency contracts

80

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

Liability Derivatives	Forwards
Foreign exchange contracts	$ (17,552)
Statement of Assets and Liabilities Location	Unrealized depreciation on forward foreign currency contracts

Transactions in derivative instruments during the period April 1, 2009 to September 30, 2009, were as follows:

Realized Gain (Loss)	Forwards
Foreign exchange contracts	$ (36,465)
Statement of Operations Location	Net realized gain (loss) on foreign currency transactions
Change in Unrealized Appreciation (Depreciation)	Forwards
Foreign exchange contracts	$ (19,476)
Statement of Operations Location	Net change in unrealized appreciation/(depreciation) on foreign currency translations

The following is a summary of derivative instruments for International Bond Fund, as of September 30, 2009:

Asset Derivatives	Forwards
Foreign exchange contracts	$ 65,206
Statement of Assets and Liabilities Location	Unrealized appreciation on forward foreign currency contracts

Transactions in derivative instruments during the period April 1, 2009 to September 30, 2009, were as follows:

Realized Gain (Loss)	Forwards
Foreign exchange contracts	$ 195,162
Statement of Operations Location	Net realized gain (loss) on foreign currency transactions
Change in Unrealized Appreciation (Depreciation)	Forwards
Foreign exchange contracts	$ 22,227
Statement of Operations Location	Net change in unrealized appreciation/(depreciation) on foreign currency translations

Volume of derivative activity for High Income Fund and International Bond Fund, based on month-end notional amounts outstanding during the period April 1, 2009 to September 30, 2009, were as follows:

	Percentage of Net Assets
High Income Fund	Forwards
Average Notional Amount Outstanding	0.44%
Highest Notional Amount Outstanding	0.79%
Lowest Notional Amount Outstanding	0.00%
Notional Amount Outstanding as of September 30, 2009	0.00%
International Bond Fund	Forwards
Average Notional Amount Outstanding	10.93%
Highest Notional Amount Outstanding	15.51%
Lowest Notional Amount Outstanding	6.87%
Notional Amount Outstanding as of September 30, 2009	7.80%

Notional amounts outstanding are at absolute value and are determined, when applicable, by netting notional amounts of contracts to buy and sell the same underlying instrument.

81

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

5.  Purchases and Sales of Securities.  For the year ended September 30, 2009, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:

	U.S. Government and Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
Core Plus Bond Fund	$	146,443,561	$	114,266,435	$	112,488,661	$	91,084,725
High Income Fund		—		—		127,878,005		25,832,335
International Bond Fund		1,169,577		1,171,276		17,667,867		11,600,919
Limited Term Government and Agency Fund		164,053,899		121,528,615		43,725,944		17,645,403
Strategic Income Fund		163,575,904		191,548,045		3,870,713,357		3,499,805,852

6.  Management Fees and Other Transactions with Affiliates.

a.  Management Fees.  Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:

	Percentage of Average Daily Net Assets
Fund	First $100 million		Next $100 million		Next $1.8 billion		Next $13 billion		Over $15 billion
Core Plus Bond Fund	0.2500	%	0.1875	%	0.1875	%	0.1875	%	0.1875	%
High Income Fund	0.6000	%	0.6000	%	0.6000	%	0.6000	%	0.6000	%
International Bond Fund	0.6000	%	0.6000	%	0.6000	%	0.6000	%	0.6000	%
Limited Term Government and Agency Fund	0.5000	%	0.5000	%	0.5000	%	0.5000	%	0.5000	%
Strategic Income Fund	0.6500	%	0.6500	%	0.6000	%	0.5500	%	0.5400	%

Natixis Asset Management Advisors, L.P. (“Natixis Advisors”), serves as the advisory administrator to Core Plus Bond Fund. Under the terms of the advisory administration agreement, the Fund pays an advisory administration fee at the following annual rates, calculated daily and payable monthly, based on its average daily net assets:

	Percentage of Average Daily Net Assets
Fund	First $100 million		Over $100 million
Core Plus Bond Fund	0.2500	%	0.1875	%

Management and advisory administration fees are presented in the Statements of Operations as management fees.

Loomis Sayles has given binding undertakings to the Funds to reduce management fees and/or reimburse certain expenses associated with these Funds to limit their operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until January 31, 2010 and will be reevaluated on an annual basis. For the year ended September 30, 2009, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:

	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Class A	Class B	Class C	Class Y
Core Plus Bond Fund	0.90%	1.65%	1.65%	0.65%
High Income Fund	1.15%	1.90%	1.90%	0.90%
International Bond Fund	1.10%	—	1.85%	0.85%
Limited Term Government and Agency Fund	0.90%	1.65%	1.65%	0.65%
Strategic Income Fund	1.25%	2.00%	2.00%	1.00%

Loomis Sayles and Natixis Advisors have agreed to equally bear the fee reductions and/or expense reimbursements for the Core Plus Bond Fund.

82

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

Loomis Sayles (and Natixis Advisors for Core Plus Bond Fund) shall be permitted to recover expenses borne under the expense limitation agreement (whether through reduction of its management fees or otherwise) on a class by class basis in later periods to the extent the expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such reduced fees/expenses more than one year after the end of the fiscal year in which the fee/expense was reduced.

For the year ended September 30, 2009, the management fees and reductions of management fees for each Fund were as follows:

Fund	Gross Management Fee		Reduction of Management Fee1		Net Management Fee		Percentage of Average Daily Net Assets
							Gross	Net
Core Plus Bond Fund	$	446,865	$	—	$	446,865	0.218%	0.218%
High Income Fund		558,817		16,356		542,461	0.600%	0.580%
International Bond Fund		88,309		88,309		—	0.600%	—
Limited Term Government and Agency Fund		970,393		12,931		957,462	0.500%	0.493%
Strategic Income Fund		55,117,195		—		55,117,195	0.561%	0.561%

¹ Management fee reductions are subject to possible recovery until September 30, 2010.

For the year ended September 30, 2009, the advisory administration fees for Core Plus Bond Fund were as follows:

Advisory Administration Fee	Percentage of Average Daily Net Assets
$446,865	0.218%

For the year ended September 30, 2009, expenses have been reimbursed as follows:

	Reimbursement2
Fund	Class A		Class B		Class C		Class Y		Total
Core Plus Bond Fund	$	86,191	$	5,790	$	35,428	$	6,417	$	133,826
High Income Fund		48,409		1,923		14,135		—		64,467
International Bond Fund		14,225		—		4,716		47,698		66,639
Limited Term Government and Agency Fund		100,205		3,973		45,524		8,372		158,074

² Expense reimbursements are subject to possible recovery until September 30, 2010.

There were no expenses recovered during the year ended September 30, 2009 as permitted under the expense limitation agreement.

Certain officers and directors of Loomis Sayles and Natixis Advisors are also Trustees of the Funds. Loomis Sayles and Natixis Advisors are both limited partnerships indirectly owned by Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.

b.  Administrative Fees.  Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust III, Natixis Funds Trust IV, Natixis Cash Management Trust, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series, 0.0500% of the next $15 billion, 0.0425% of the next $30 billion and 0.0375% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series of $10 million, which is reevaluated on an annual basis. New funds are subject to a fee for the first twelve months of operations of $75,000 plus $12,500 per class and an additional $75,000 if managed by multiple subadvisors.

83

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

For the year ended September 30, 2009, each Fund paid the following for administrative fees to Natixis Advisors:

Fund	Administrative Fees
Core Plus Bond Fund	$	101,792
High Income Fund		46,013
International Bond Fund		38,718
Limited Term Government and Agency Fund		97,102
Strategic Income Fund		4,879,685

c.  Service and Distribution Fees.  Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of each Fund.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) and a Distribution and Service Plan relating to each Fund’s Class B and Class C shares (the “Class B and Class C Plans”).

Under the Class A Plans, each Fund pays Natixis Distributors a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by Natixis Distributors in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class B, if applicable, and Class C Plans, each Fund pays Natixis Distributors a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class B and Class C shares, as compensation for services provided and expenses incurred by Natixis Distributors in providing personal services to investors in Class B and Class C shares and/or the maintenance of shareholder accounts.

Also under the Class B, if applicable, and Class C Plans, each Fund pays Natixis Distributors a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class B and Class C shares, as compensation for services provided and expenses incurred by Natixis Distributors in connection with the marketing or sale of Class B and Class C shares.

For the year ended September 30, 2009, the Funds paid the following service and distribution fees:

	Service Fee						Distribution Fee
Fund	Class A		Class B		Class C		Class B		Class C
Core Plus Bond Fund	$	310,233	$	20,546	$	129,747	$	61,639	$	389,241
High Income Fund		104,938		3,817		30,221		11,452		90,663
International Bond Fund		8,741		—		2,470		—		7,410
Limited Term Government and Agency Fund		306,180		11,668		133,802		35,004		401,406
Strategic Income Fund		11,730,368		335,916		9,531,216		1,007,748		28,593,646

d.  Sub-Transfer Agent Fees.  Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Funds if the shares of those customers were registered directly with the Funds’ transfer agent. Accordingly, the Funds agreed to pay a portion of the intermediary fees attributable to shares of the Fund held by the intermediaries (which generally are a percentage of the value of shares held) not exceeding what the Funds would have paid its transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees.

84

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

For the year ended September 30, 2009, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Statements of Operations.

	Sub-Transfer Agent Fees
Fund	Class A		Class B		Class C		Class Y
Core Plus Bond Fund	$	93,297	$	6,378	$	37,859	$	18,255
High Income Fund		21,685		851		3,099		23,847
International Bond Fund		1,475		—		172		187
Limited Term Government and Agency Fund		50,842		1,944		11,911		7,994
Strategic Income Fund		3,503,843		100,896		1,259,866		861,698

e.  Commissions.  The Funds have been informed that commissions (including CDSCs) on Fund shares retained by Natixis Distributors during the year ended September 30, 2009 were as follows:

Fund	Commission
Core Plus Bond Fund	$	298,698
High Income Fund		104,449
International Bond Fund		25,048
Limited Term Government and Agency Fund		184,190
Strategic Income Fund		8,326,656

f.  Trustees Fees and Expenses.  The Funds do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US, or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $200,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $65,000. Each Independent Trustee also receives a meeting attendance fee of $7,500 for each meeting of the Board of Trustees that he or she attends in person and $3,750 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chair receives an additional retainer fee at the annual rate of $10,000. Each Contract Review and Governance Committee member is compensated $5,000 for each Committee meeting that he or she attends in person and $2,500 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,250 for each Committee meeting that he or she attends in person and $3,125 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each Fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees on the Statements of Assets and Liabilities.

For the year ended September 30, 2009, net depreciation in the value of participants’ deferral accounts has been included as a reduction of miscellaneous expenses on the Statements of Operations, as follows:

Fund	Amount
Core Plus Bond Fund	$	33,926
High Income Fund		8,622
Limited Term Government and Agency Fund		32,163
Strategic Income Fund		49,800

g.  Redemption Fees.  Effective June 1, 2009, the redemption fee imposed on Class A shares of High Income Fund was eliminated. Prior to June 1, 2009, shareholders of Class A shares of High Income Fund were charged a 2% redemption fee if they redeemed, including redeeming by exchange within 60 days of acquisition (including acquisition by exchange). The redemption fee was deducted from the shareholder’s redemption or exchange proceeds and was paid to the Fund. These fees were accounted for as an addition to paid-in capital and are presented on the Statements of Changes in Net Assets.

85

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

7.  Line of Credit.  Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and the Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each Fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 0.75%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

Prior to March 11, 2009, each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participated in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each Fund that participated in the line of credit. Interest was charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate plus 0.50%. In addition, a commitment fee of 0.09% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended September 30, 2009, the Funds had no borrowings under these agreements.

8.  Concentration of Risk.  International Bond Fund is a non-diversified fund. Compared with diversified mutual funds, the International Bond Fund may invest a greater percentage of its assets in a particular country. Therefore, the International Bond Fund’s returns could be significantly affected by the performance of any one of the small number of countries in its portfolio.

Each Fund may purchase investments of foreign issuers. Investing in securities of foreign issuers involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include revaluation of currencies and the risk of expropriation. Moreover, the markets for securities of many foreign issuers may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government.

9.  Shareholders.  At September 30, 2009, the Loomis Sayles Employees’ Profit Sharing Retirement Plan held 19,053 shares of beneficial interest of Limited Term Government and Agency Fund. At September 30, 2009, Natixis US owned shares equating to 46.46% of International Bond Fund’s net assets. At September 30, 2009, three shareholders individually owned more than 5% of the High Income Fund’s total outstanding shares, representing in aggregate, 21.90% of the Fund.

10.  Capital Shares.  Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:

	Year Ended September 30, 2009					Year Ended September 30, 2008
Core Plus Bond Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	5,053,473		$	54,649,921		3,961,377		$	44,610,104
Issued in connection with the reinvestment of distributions	515,393			5,579,642		416,060			4,674,418
Redeemed	(4,737,622	)		(51,103,206	)	(2,742,021	)		(30,840,053	)
Net change	831,244		$	9,126,357		1,635,416		$	18,444,469
Class B
Issued from the sale of shares	72,713		$	778,608		81,830		$	928,726
Issued in connection with the reinvestment of distributions	28,331			305,872		43,582			492,099
Redeemed	(504,102	)		(5,425,057	)	(6,832,567	)		(77,200,182	)
Net change	(403,058	)	$	(4,340,577	)	(6,707,155	)	$	(75,779,357	)
Class C
Issued from the sale of shares	5,539,383		$	59,909,721		1,866,796		$	20,868,873
Issued in connection with the reinvestment of distributions	82,284			901,682		25,095			281,730
Redeemed	(1,683,762	)		(18,156,728	)	(483,069	)		(5,447,710	)
Net change	3,937,905		$	42,654,675		1,408,822		$	15,702,893
Class Y
Issued from the sale of shares	2,459,788		$	27,430,717		1,132,575		$	12,755,055
Issued in connection with the reinvestment of distributions	63,520			692,382		44,572			502,262
Redeemed	(1,576,971	)		(16,945,061	)	(654,873	)		(7,360,390	)
Net change	946,337		$	11,178,038		522,274		$	5,896,927
Increase (decrease) from capital share transactions	5,312,428		$	58,618,493		(3,140,643	)	$	(35,735,068	)

86

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

10.  Capital Shares (continued).

	Year Ended September 30, 2009					Period Ended September 30, 2008*
High Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	9,902,651		$	37,553,280		4,904,752		$	23,822,307
Issued in connection with the reinvestment of distributions	702,667			2,621,142		378,438			1,831,932
Redeemed	(6,362,694	)		(24,378,951	)	(2,555,411	)		(12,401,358	)
Net change	4,242,624		$	15,795,471		2,727,779		$	13,252,881
Class B
Issued from the sale of shares	22,526		$	84,592		44,248		$	206,339
Issued in connection with the reinvestment of distributions	21,555			78,355		26,234			128,112
Redeemed	(229,184	)		(845,267	)	(356,172	)		(1,746,563	)
Net change	(185,103	)	$	(682,320	)	(285,690	)	$	(1,412,112	)
Class C
Issued from the sale of shares	2,411,038		$	9,092,790		1,607,159		$	7,812,971
Issued in connection with the reinvestment of distributions	155,802			577,576		53,048			255,350
Redeemed	(949,303	)		(3,508,124	)	(346,620	)		(1,670,004	)
Net change	1,617,537		$	6,162,242		1,313,587		$	6,398,317
Class Y
Issued from the sale of shares	22,731,680		$	88,407,570		922,271		$	4,329,547
Issued in connection with the reinvestment of distributions	650,415			2,696,934		9,401			42,724
Redeemed	(740,730	)		(3,068,585	)	(27,536	)		(125,340	)
Net change	22,641,365		$	88,035,919		904,136		$	4,246,931
Increase (decrease) from capital share transactions	28,316,423		$	109,311,312		4,659,812		$	22,486,017

* From February 29, 2008 (commencement of operations) through September 30, 2008 for Class Y shares.

	Year Ended September 30, 2009					Period Ended September 30, 2008**
International Bond Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	672,013		$	6,666,998		327,200		$	3,256,979
Issued in connection with the reinvestment of distributions	5,103			49,865		1,505			14,727
Redeemed	(107,505	)		(999,973	)	(116,234	)		(1,149,151	)
Net change	569,611		$	5,716,890		212,471		$	2,122,555
Class C
Issued from the sale of shares	238,418		$	2,461,614		101,736		$	1,017,705
Issued in connection with the reinvestment of distributions	670			6,563		284			2,804
Redeemed	(40,421	)		(390,729	)	(27,588	)		(272,845	)
Net change	198,667		$	2,077,448		74,432		$	747,664
Class Y
Issued from the sale of shares	148,246		$	1,536,076		1,079,358		$	10,809,876
Issued in connection with the reinvestment of distributions	24,645			234,656		21,719			215,650
Redeemed	(54,815	)		(509,028	)	(13,547	)		(132,409	)
Net change	118,076		$	1,261,704		1,087,530		$	10,893,117
Increase (decrease) from capital share transactions	886,354		$	9,056,042		1,374,433		$	13,763,336
**     From February 1, 2008 (commencement of operations) through September 30, 2008.

87

NOTES TO FINANCIAL STATEMENTS (continued)

September 30, 2009

10.  Capital Shares (continued).

	Year Ended September 30, 2009					Year Ended September 30, 2008
Limited Term Government and Agency Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	8,687,955		$	97,183,574		2,035,015		$	22,451,140
Issued in connection with the reinvestment of distributions	242,614			2,733,365		269,896			2,982,151
Redeemed	(8,273,983	)		(93,400,549	)	(2,604,784	)		(28,704,540	)
Net change	656,586		$	6,516,390		(299,873	)	$	(3,271,249	)
Class B
Issued from the sale of shares	130,399		$	1,438,679		67,405		$	747,264
Issued in connection with the reinvestment of distributions	7,515			84,528		16,247			179,371
Redeemed	(167,898	)		(1,871,502	)	(288,166	)		(3,175,026	)
Net change	(29,984	)	$	(348,295	)	(204,514	)	$	(2,248,391	)
Class C
Issued from the sale of shares	6,162,236		$	68,267,485		1,833,502		$	20,260,185
Issued in connection with the reinvestment of distributions	42,444			479,083		13,505			149,095
Redeemed	(3,881,272	)		(43,578,196	)	(257,963	)		(2,855,031	)
Net change	2,323,408		$	25,168,372		1,589,044		$	17,554,249
Class Y
Issued from the sale of shares	2,463,987		$	28,003,881		367,309		$	4,065,238
Issued in connection with the reinvestment of distributions	14,127			160,181		13,550			150,194
Redeemed	(668,533	)		(7,560,045	)	(164,425	)		(1,829,051	)
Net change	1,809,581		$	20,604,017		216,434		$	2,386,381
Increase (decrease) from capital share transactions	4,759,591		$	51,940,484		1,301,091		$	14,420,990
	Year Ended September 30, 2009					Year Ended September 30, 2008
Strategic Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	197,022,094		$	2,182,492,582		197,552,720		$	2,901,194,415
Issued in connection with the reinvestment of distributions	27,449,011			301,119,073		22,956,546			331,016,205
Redeemed	(269,140,105	)		(2,956,389,363	)	(140,438,578	)		(1,990,731,186	)
Net change	(44,669,000	)	$	(472,777,708	)	80,070,688		$	1,241,479,434
Class B
Issued from the sale of shares	498,498		$	5,392,143		410,099		$	6,009,632
Issued in connection with the reinvestment of distributions	443,741			4,856,521		401,421			5,839,477
Redeemed	(3,184,682	)		(35,016,126	)	(2,816,244	)		(41,124,244	)
Net change	(2,242,443	)	$	(24,767,462	)	(2,004,724	)	$	(29,275,135	)
Class C
Issued from the sale of shares	123,246,746		$	1,377,861,744		118,265,590		$	1,746,293,697
Issued in connection with the reinvestment of distributions	11,167,692			123,558,637		7,195,646			104,006,617
Redeemed	(98,406,847	)		(1,085,168,243	)	(49,785,407	)		(709,035,285	)
Net change	36,007,591		$	416,252,138		75,675,829		$	1,141,265,029
Class Y
Issued from the sale of shares	132,053,741		$	1,485,053,461		47,274,736		$	690,204,820
Issued in connection with the reinvestment of distributions	2,940,277			33,107,757		1,084,519			15,512,730
Redeemed	(45,930,609	)		(513,425,165	)	(25,704,216	)		(361,225,740	)
Net change	89,063,409		$	1,004,736,053		22,655,039		$	344,491,810
Increase (decrease) from capital share transactions	78,159,557		$	923,443,021		176,396,832		$	2,697,961,138

88

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees of Natixis Funds Trust I and Loomis Sayles Funds II and Shareholders of Loomis Sayles Core Plus Bond Fund, Loomis Sayles High Income Fund, Loomis Sayles International Bond Fund, Loomis Sayles Limited Term Government and Agency Fund, and Loomis Sayles Strategic Income Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Loomis Sayles Core Plus Bond Fund, a series of Natixis Funds Trust I, and Loomis Sayles High Income Fund, Loomis Sayles International Bond Fund, Loomis Sayles Limited Term Government and Agency Fund and Loomis Sayles Strategic Income Fund, each a series of Loomis Sayles Funds II (collectively, the “Funds”), at September 30, 2009, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 23, 2009

89

2009 U.S. TAX DISTRIBUTION INFORMATION TO SHAREHOLDERS (unaudited)

Corporate Dividends Received Deduction.  For the fiscal year ended September 30, 2009, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:

Fund	Qualifying Percentage
Core Plus Bond	0.18	%
High Income	2.08	%
Strategic Income	4.62	%

Capital Gains Distributions.  Pursuant to Internal Revenue Section 852(b), the following Fund paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2009, unless subsequently determined to be different.

Fund	Amount
Strategic Income	$	52,952,003

Qualified Dividend Income.  For the fiscal year ended September 30, 2009, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 15% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2009, complete information will be reported in conjunction with Form 1099-DIV.

Fund

Core Plus Bond

High Income

Strategic Income

90

TRUSTEE AND OFFICER INFORMATION

The tables below provide certain information regarding the Trustees and officers of Natixis Funds Trust I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Trusts’ Statements of Additional Information include additional information about the Trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years**	Number of Portfolios in Fund Complex Overseen*** and Other Directorships Held
INDEPENDENT TRUSTEES
Graham T. Allison, Jr. (1940)	Trustee Since 1984 for Natixis Funds Trust I (including its predecessors) and since 2003 for Loomis Sayles Funds II Contract Review and Governance Committee Member	Douglas Dillon Professor and Director of the Belfer Center for Science and International Affairs, John F. Kennedy School of Government, Harvard University	39 Director, Taubman Centers, Inc. (real estate investment trust)
Charles D. Baker (1956)	Trustee Since 2005 Contract Review and Governance Committee Member	Formerly, President and Chief Executive Officer, Harvard Pilgrim Health Care (health plan)	39 None
Edward A. Benjamin (1938)	Trustee Since 2003 for Natixis Funds Trust I and since 2002 for Loomis Sayles Funds II Chairman of the Contract Review and Governance Committee	Retired	39 None
Daniel M. Cain (1945)	Trustee Since 1996 for Natixis Funds Trust I and since 2003 for Loomis Sayles Funds II Chairman of the Audit Committee	Chairman (formerly, President and Chief Executive Officer), Cain Brothers & Company, Incorporated (investment banking)	39 Director, Sheridan Healthcare Inc. (physician practice management)
Kenneth A. Drucker (1945)	Trustee Since 2008 Audit Committee Member	Formerly, Treasurer, Sequa Corp. (manufacturing)	39 None
Wendell J. Knox**** (1948)	Trustee Since 2009 Contract Review and Governance Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	39 Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance)

91

TRUSTEE AND OFFICER INFORMATION

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years**	Number of Portfolios in Fund Complex Overseen*** and Other Directorships Held
INDEPENDENT TRUSTEES continued
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 1982 for Natixis Funds Trust I (including its predecessors) and since 2003 for Loomis Sayles Funds II Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting); formerly, Senior Vice President and Director, The Boston Consulting Group, Inc. (management consulting)	39 Director, Verizon Communications; Director, AES Corporation (international power company)
Cynthia L. Walker (1956)	Trustee Since 2005 Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School; and formerly, Dean for Finance and Chief Financial Officer, Harvard Medical School	39 None

92

TRUSTEE AND OFFICER INFORMATION

Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years**	Number of Portfolios in Fund Complex Overseen*** and Other Directorships Held
INTERESTED TRUSTEES
Robert J. Blanding1 (1947) 555 California Street San Francisco, CA 94104	Trustee Since 2003 for Natixis Funds Trust I and since 2002 for Loomis Sayles Funds II Chief Executive Officer of Loomis Sayles Funds II since 2002	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	39 None
John T. Hailer2(1960)	Trustee Since 2000 for Natixis Funds Trust I and since 2003 for Loomis Sayles Funds II	President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P., Natixis Distributors, L.P. and Natixis Global Associates, Inc.	39 None

* Each Trustee serves until retirement, resignation or removal from the Board of Trustees. The current retirement age is 72. The position of Chairperson of the Board is appointed for a two-year term. Ms. Moose was appointed to serve an additional two-year term as the Chairperson of the Board of Trustees on September 14, 2007.

** Each person listed above, except as noted, holds the same position(s) with the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust III, Natixis Funds Trust IV, Gateway Trust and the Natixis Cash Management Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”), and Hansberger International Series. Previous positions during the past five years with Natixis Distributors, L.P. (the “Distributor”), Natixis Asset Management Advisors, L.P. (“Natixis Advisors”), or Loomis, Sayles & Company, L.P. (“Loomis Sayles”) are omitted if not materially different from a Trustee’s or officer’s current position with such entity.

*** The Trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trusts, the Loomis Sayles Funds Trusts and Hansberger International Series (collectively, the “Fund Complex”).

**** Mr. Knox was appointed as trustee effective July 1, 2009.

¹ Mr. Blanding is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chairman, Director and Chief Executive Officer of Loomis Sayles.

² Mr. Hailer is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.

93

TRUSTEE AND OFFICER INFORMATION

Name and Year of Birth	Position(s) Held with the Trusts	Term of Office* and Length of Time Served	Principal Occupation During Past 5 Years**
OFFICERS OF THE TRUSTS
Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.
Daniel J. Fuss (1933) One Financial Center Boston, MA 02111	Executive Vice President of Loomis Sayles Funds II	Since June 2003	Vice Chairman and Director, Loomis, Sayles & Company, L.P.
David Giunta (1965)	President and Chief Executive Officer of Natixis Funds Trust I and President of Loomis Sayles Funds II	Since March 2008	President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.; formerly, President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company
Russell L. Kane (1969)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

94

TRUSTEE AND OFFICER INFORMATION

Name and Year of Birth	Position(s) Held with the Trusts	Term of Office* and Length of Time Served	Principal Occupation During Past 5 Years**
OFFICERS OF THE TRUSTS continued
Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

* Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current By-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

** Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Mr. Fuss is not an officer of the Natixis Funds Trusts or the Hansberger International Series. Previous positions during the past five years with the Distributor, Natixis Advisors or Loomis Sayles are omitted if not materially different from a Trustee’s or officer’s current position with such entity.

95

Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions.

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee. Ms. Cynthia L. Walker, Mr. Daniel M. Cain and Mr. Kenneth A. Drucker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

Item 4. Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements and but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.

	Audit fees				Audit-related fees1				Tax fees2				All other fees
	2008		2009		2008		2009		2008		2009		2008		2009
Loomis Sayles Core Plus Bond Fund	$	40,113	$	40,127	$	831	$	58	$	12,260	$	6,566	$	—	$	—

1. Audit-related fees consist of:

2008 - performance of agreed-upon procedures related to the Registrant’s deferred compensation plan and services related to the implementation of a new accounting standard.

2009 - performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.

2. Tax fees consist of:

2008 - review of year-end shareholder reporting and the Registrant’s tax returns.

2009 - review of Registrant’s tax returns and consulting services with respect to new security types.

Aggregate fees billed to the Registrant for non-audit services during 2008 and 2009 were $13,091 and $6,624, respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth the non-audit services provided by the Registrant’s principal accountant to Loomis, Sayles & Company, L.P. and entities controlling, controlled by or under common control with Loomis, Sayles & Company, L.P. that provide ongoing services to the Registrant (“Control Affiliates”) for the last two fiscal years.

	Audit-related fees				Tax fees				All other fees
	2008		2009		2008		2009		2008		2009
Control Affiliates	$	12,000	$	12,000	$	—	$	6,500	$	—	$	—

Aggregate fees billed to Control Affiliates for non-audit services during 2008 and 2009 were $12,000 and $18,500, respectively.

None of the audit-related, tax and other services provided by the Registrant’s principal accountant were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Board member is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. 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-CSR 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 of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)	(1)	Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).
(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(a)	(3)	Not applicable.
(b)		Certification of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

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 I
By:	/s/    DAVID L. GIUNTA
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	November 23, 2009

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed 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:	November 23, 2009
By:	/s/    MICHAEL C. KARDOK
Name:	Michael C. Kardok
Title:	Treasurer
Date:	November 23, 2009