N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04323

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.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: December 31

Date of reporting period: September 30, 2014

ITEM I SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

CGM Advisor Targeted Equity Fund

Shares		Description	Value (†)
	Common Stocks – 98.6% of Net Assets
		Automobiles – 4.5%
	1,630,000	Ford Motor Co.	$	24,107,700
		Banks – 9.8%
	620,000	Citigroup, Inc.		32,128,400
	1,050,000	Itau Unibanco Holding S.A., Preference ADR		14,574,000
	100,000	JPMorgan Chase & Co.		6,024,000
				52,726,400
		Biotechnology – 12.6%
	80,000	Biogen Idec, Inc.(b)		26,464,800
	390,000	Gilead Sciences, Inc.(b)		41,515,500
				67,980,300
		Capital Markets – 17.9%
	250,000	Ameriprise Financial, Inc.		30,845,000
	850,000	Charles Schwab Corp. (The)		24,981,500
	1,170,000	Morgan Stanley		40,446,900
				96,273,400
		Health Care Providers & Services – 15.0%
	390,000	HCA Holdings, Inc.(b)		27,502,800
	450,000	Tenet Healthcare Corp.(b)		26,725,500
	255,000	Universal Health Services, Inc., Class B		26,647,500
				80,875,800
		Hotels, Restaurants & Leisure – 5.7%
	440,000	Marriott International, Inc., Class A		30,756,000
		Household Durables – 16.7%
	1,470,000	DR Horton, Inc.		30,164,400
	810,000	Lennar Corp., Class A		31,452,300
	920,000	Toll Brothers, Inc.(b)		28,667,200
				90,283,900
		Insurance – 5.5%
	335,000	Prudential Financial, Inc.		29,459,900
		Media – 5.9%
	360,000	Walt Disney Co. (The)		32,050,800
		Textiles, Apparel & Luxury Goods – 5.0%
	305,000	NIKE, Inc., Class B		27,206,000
		Total Common Stocks (Identified Cost $486,258,745)		531,720,200

Principal Amount		Description	Value (†)
	Short-Term Investments – 1.6%
$	8,915,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $8,915,000 on 10/01/2014 collateralized by $6,790,000 U.S. Treasury Bond, 5.000% due 5/15/2037 valued at $9,098,600 including accrued interest(c) (Identified Cost $8,915,000)	$	8,915,000
		Total Investments – 100.2% (Identified Cost $495,173,745)(a)		540,635,200
		Other assets less liabilities – (0.2)%		(1,255,413	)
		Net Assets – 100.0%	$	539,379,787

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

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

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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

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

At September 30, 2014, the net unrealized appreciation on investments based on a cost of $495,173,745 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	$	58,590,223
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,128,768	)
Net unrealized appreciation	$	45,461,455

(b) Non-income producing security.

(c) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	531,720,200	$	—	$	—	$	531,720,200
Short-Term Investments		—		8,915,000		—		8,915,000
Total	$	531,720,200	$	8,915,000	$	—	$	540,635,200

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

For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.

Industry Summary at September 30, 2014 (Unaudited)

Capital Markets	17.9	%
Household Durables	16.7
Health Care Providers & Services	15.0
Biotechnology	12.6
Banks	9.8
Media	5.9
Hotels, Restaurants & Leisure	5.7
Insurance	5.5
Textiles, Apparel & Luxury Goods	5.0
Automobiles	4.5
Short-Term Investments	1.6
Total Investments	100.2
Other assets less liabilities	(0.2	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

Natixis Diversified Income Fund

Shares		Description	Value (†)
	Common Stocks – 50.5% of Net Assets
		Aerospace & Defense – 2.1%
	4,757	General Dynamics Corp.	$	604,567
	3,966	Honeywell International, Inc.		369,314
	7,388	Lockheed Martin Corp.		1,350,379
	4,323	Northrop Grumman Corp.		569,598
				2,893,858
		Automobiles – 0.2%
	7,408	General Motors Co.		236,611
		Banks – 0.9%
	6,015	Bank of Hawaii Corp.		341,712
	5,030	BB&T Corp.		187,166
	7,427	F.N.B. Corp.		89,050
	5,670	First Niagara Financial Group, Inc.		47,231
	5,576	FirstMerit Corp.		98,137
	6,565	Trustmark Corp.		151,225
	7,801	United Bankshares, Inc.		241,285
	8,527	Valley National Bancorp		82,627
				1,238,433
		Beverages – 0.2%
	5,317	Coca-Cola Co. (The)		226,823
		Biotechnology – 0.1%
	13,931	PDL BioPharma, Inc.		104,065
		Capital Markets – 0.2%
	7,424	Federated Investors, Inc., Class B		217,969
		Chemicals – 0.2%
	5,564	Olin Corp.		140,491
	4,622	RPM International, Inc.		211,595
				352,086
		Commercial Services & Supplies – 0.8%
	3,929	Deluxe Corp.		216,723
	6,418	Pitney Bowes, Inc.		160,386
	10,417	R.R. Donnelley & Sons Co.		171,464
	5,902	Republic Services, Inc.		230,296
	6,356	Waste Management, Inc.		302,101
				1,080,970
		Containers & Packaging – 0.5%
	4,591	Avery Dennison Corp.		204,988
	5,449	MeadWestvaco Corp.		223,082
	5,840	Sonoco Products Co.		229,454
				657,524
		Distributors – 0.3%
	5,018	Genuine Parts Co.		440,129

Shares		Description	Value (†)
	Common Stocks – continued
		Diversified Telecommunication Services – 0.7%
	10,196	AT&T, Inc.	$	359,307
	13,400	CenturyLink, Inc.		547,926
				907,233
		Electric Utilities – 3.7%
	8,323	American Electric Power Co., Inc.		434,544
	6,183	Cleco Corp.		297,711
	5,740	Edison International		320,981
	10,394	Entergy Corp.		803,768
	8,391	Exelon Corp.		286,049
	13,045	FirstEnergy Corp.		437,921
	6,485	IDACORP, Inc.		347,661
	6,104	NextEra Energy, Inc.		573,043
	6,901	Northeast Utilities		305,714
	4,721	OGE Energy Corp.		175,196
	8,229	Pinnacle West Capital Corp.		449,633
	9,555	PPL Corp.		313,786
	7,694	Xcel Energy, Inc.		233,898
				4,979,905
		Electrical Equipment – 0.4%
	4,553	Eaton Corp. PLC		288,524
	4,981	Emerson Electric Co.		311,711
				600,235
		Energy Equipment & Services – 0.5%
	9,869	Ensco PLC, Class A		407,689
	10,192	Noble Corp. PLC		226,466
				634,155
		Food & Staples Retailing – 0.2%
	5,990	Sysco Corp.		227,320
		Food Products – 0.4%
	5,820	Campbell Soup Co.		248,688
	5,724	General Mills, Inc.		288,776
				537,464
		Gas Utilities – 0.7%
	7,927	AGL Resources, Inc.		406,972
	7,339	New Jersey Resources Corp.		370,693
	6,198	Questar Corp.		138,153
				915,818
		Hotels, Restaurants & Leisure – 1.4%
	8,143	Darden Restaurants, Inc.		419,039
	20,400	Extended Stay America, Inc.		484,296
	16,100	Hilton Worldwide Holdings, Inc.(b)		396,543
	6,542	McDonald’s Corp.		620,247
				1,920,125
		Household Durables – 0.7%
	7,182	Garmin Ltd.		373,392
	7,862	Leggett & Platt, Inc.		274,541

Shares		Description	Value (†)
	Common Stocks – continued
		Household Durables – continued
	5,013	Tupperware Brands Corp.	$	346,098
				994,031
		Household Products – 0.9%
	5,719	Clorox Co. (The)		549,253
	5,917	Kimberly-Clark Corp.		636,491
				1,185,744
		Industrial Conglomerates – 0.1%
	5,403	General Electric Co.		138,425
		Insurance – 0.8%
	5,799	Arthur J. Gallagher & Co.		263,042
	6,228	Cincinnati Financial Corp.		293,027
	9,817	Mercury General Corp.		479,168
	8,431	Old Republic International Corp.		120,395
				1,155,632
		Leisure Products – 0.1%
	6,010	Mattel, Inc.		184,206
		Media – 0.3%
	5,831	Cinemark Holdings, Inc.		198,487
	6,298	Meredith Corp.		269,555
				468,042
		Metals & Mining – 0.1%
	4,717	Cliffs Natural Resources, Inc.		48,963
	4,658	Commercial Metals Co.		79,512
				128,475
		Multi-Utilities – 4.0%
	7,092	Alliant Energy Corp.		392,968
	8,644	Avista Corp.		263,901
	5,880	Black Hills Corp.		281,534
	6,896	CenterPoint Energy, Inc.		168,745
	7,483	CMS Energy Corp.		221,946
	6,777	Dominion Resources, Inc.		468,223
	7,563	DTE Energy Co.		575,393
	9,799	Integrys Energy Group, Inc.		635,171
	6,149	NiSource, Inc.		251,986
	8,612	PG&E Corp.		387,885
	8,689	Public Service Enterprise Group, Inc.		323,578
	8,354	SCANA Corp.		414,442
	5,528	Sempra Energy		582,541
	9,868	TECO Energy, Inc.		171,506
	7,253	Wisconsin Energy Corp.		311,879
				5,451,698
		Oil, Gas & Consumable Fuels – 1.6%
	6,241	Chevron Corp.		744,676
	7,608	ConocoPhillips		582,164
	13,277	HollyFrontier Corp.		579,940

Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – continued
	4,966	ONEOK, Inc.	$	325,521
				2,232,301
		Paper & Forest Products – 0.2%
	6,997	Domtar Corp.		245,805
		Pharmaceuticals – 1.0%
	5,266	Bristol-Myers Squibb Co.		269,514
	7,471	Eli Lilly & Co.		484,494
	6,694	Merck & Co., Inc.		396,820
	5,908	Pfizer, Inc.		174,700
				1,325,528
		Real Estate – 0.1%
	11,800	American Homes 4 Rent, Class A		199,302
		Real Estate Management & Development – 0.7%
	9,400	Alexander & Baldwin, Inc.		338,118
	29,100	Forest City Enterprises, Inc., Class A(b)		569,196
				907,314
		REITs - Apartments – 4.0%
	12,600	American Campus Communities, Inc.		459,270
	13,000	AvalonBay Communities, Inc.		1,832,610
	10,600	Camden Property Trust		726,418
	38,600	Equity Residential		2,376,988
				5,395,286
		REITs - Diversified – 2.1%
	14,100	American Assets Trust, Inc.		464,877
	4,600	Armada Hoffler Properties, Inc.		41,768
	21,800	DuPont Fabros Technology, Inc.		589,472
	8,700	EPR Properties		440,916
	16,200	Liberty Property Trust		538,812
	7,900	Vornado Realty Trust		789,684
				2,865,529
		REITs - Health Care – 2.8%
	34,900	HCP, Inc.		1,385,879
	20,300	Health Care REIT, Inc.		1,266,111
	18,000	Ventas, Inc.		1,115,100
				3,767,090
		REITs - Hotels – 1.2%
	7,400	Chatham Lodging Trust		170,792
	45,900	Host Hotels & Resorts, Inc.		979,047
	19,300	RLJ Lodging Trust		549,471
				1,699,310
		REITs - Manufactured Homes – 0.4%
	12,600	Equity Lifestyle Properties, Inc.		533,736
		REITs - Office Property – 3.9%
	29,100	BioMed Realty Trust, Inc.		587,820
	15,400	Boston Properties, Inc.		1,782,704

Shares		Description	Value (†)
	Common Stocks – continued
		REITs - Office Property – continued
	14,800	Douglas Emmett, Inc.	$	379,916
	22,800	Empire State Realty Trust, Inc., Class A		342,456
	54,100	Gramercy Property Trust, Inc.		311,616
	20,500	Kilroy Realty Corp.		1,218,520
	39,300	Piedmont Office Realty Trust, Inc., Class A		693,252
				5,316,284
		REITs - Regional Malls – 3.9%
	11,700	Macerich Co. (The)		746,811
	23,800	Simon Property Group, Inc.		3,913,196
	9,600	Taubman Centers, Inc.		700,800
				5,360,807
		REITs - Shopping Centers – 2.3%
	15,500	Acadia Realty Trust		427,490
	38,200	DDR Corp.		639,086
	8,400	Federal Realty Investment Trust		995,064
	16,700	Ramco-Gershenson Properties Trust		271,375
	8,700	Regency Centers Corp.		468,321
	22,300	Retail Opportunity Investments Corp.		327,810
				3,129,146
		REITs - Single Tenant – 0.3%
	11,000	National Retail Properties, Inc.		380,270
		REITs - Storage – 2.0%
	17,200	CubeSmart		309,256
	15,600	Extra Space Storage, Inc.		804,492
	10,000	Public Storage		1,658,400
				2,772,148
		REITs - Warehouse/Industrials – 1.5%
	44,500	ProLogis, Inc.		1,677,650
	25,200	Rexford Industrial Realty, Inc.		348,768
				2,026,418
		Semiconductors & Semiconductor Equipment – 0.2%
	6,988	Intel Corp.		243,322
		Specialty Retail – 0.1%
	5,706	Staples, Inc.		69,043
		Technology Hardware, Storage & Peripherals – 0.3%
	6,610	Seagate Technology PLC		378,555
		Thrifts & Mortgage Finance – 0.2%
	11,826	New York Community Bancorp, Inc.		187,678
	8,410	People’s United Financial, Inc.		121,693
				309,371
		Tobacco – 1.2%
	9,710	Altria Group, Inc.		446,077
	8,368	Lorillard, Inc.		501,327
	8,417	Philip Morris International, Inc.		701,978
				1,649,382

Shares		Description	Value (†)
	Common Stocks – continued
		Trading Companies & Distributors – 0.0%
	176	United Rentals, Inc.(b)	$	19,554
		Total Common Stocks (Identified Cost $60,865,395)		68,702,477
Principal Amount (‡)
	Bonds and Notes – 46.2%
	Non-Convertible Bonds – 43.5%
		ABS Car Loan – 1.2%
$	125,000	CarNow Auto Receivables Trust, Series 2014-1A, Class C, 2.810%, 11/15/2018, 144A		124,991
	100,000	CPS Auto Receivables Trust, Series 2014-C, Class C, 3.770%, 8/17/2020, 144A		99,866
	35,000	First Investors Auto Owner Trust, Series 2014-1A, Class D, 3.280%, 4/15/2021, 144A		34,811
	65,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A		64,700
	90,000	Flagship Credit Auto Trust, Series 2013-2, Class C, 4.420%, 12/16/2019, 144A		93,023
	54,033	Ford Credit Auto Owner Trust, Series 2011-B, Class A4, 1.350%, 12/15/2016		54,232
	160,000	Ford Credit Auto Owner Trust, Series 2013-B, Class A3, 0.570%, 10/15/2017		160,142
	310,000	Honda Auto Receivables Owner Trust, Series 2013-2, Class A3, 0.530%, 2/16/2017		310,157
	36,950	Nissan Auto Receivables Owner Trust, Series 2011-A, Class A4, 1.940%, 9/15/2017		37,194
	44,575	Nissan Auto Receivables Owner Trust, Series 2013-A, Class A3, 0.500%, 5/15/2017		44,599
	325,000	Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3, 0.670%, 8/15/2018		324,231
	95,000	Santander Drive Auto Receivables Trust, Series 2014-4, Class D, 3.100%, 11/16/2020		94,961
	30,000	SNAAC Auto Receivables Trust, Series 2014-1A, Class D, 2.880%, 1/15/2020, 144A		30,050
	94,000	World Omni Auto Receivables Trust, Series 2013-A, Class A3, 0.640%, 4/16/2018		94,100
				1,567,057
		ABS Credit Card – 0.6%
	300,000	American Express Credit Account Secured Note Trust, Series 2012-4, Class A, 0.394%, 5/15/2020(c)		299,301
	100,000	Chase Issuance Trust, Series 2012-A5, Class A5, 0.590%, 8/15/2017		100,102
	100,000	Chase Issuance Trust, Series 2012-A8, Class A8, 0.540%, 10/16/2017		99,989
	298,000	Citibank Credit Card Issuance Trust, Series 2013-A2, Class A2, 0.435%, 5/26/2020(c)		297,574
				796,966
		ABS Home Equity – 2.0%
	52,679	Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033		55,316
	56,224	Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033		57,851

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	93,220	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033	$	95,641
	134,394	Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.523%, 11/20/2034(c)		126,959
	25,353	Banc of America Funding Trust, Series 2005-4, Class 1A3, 5.500%, 8/25/2035		25,956
	71,428	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		73,275
	45,357	Banc of America Mortgage Securities, Inc., Series 2004-8, Class 1A19, 5.500%, 10/25/2034		45,655
	94,228	Banc of America Mortgage Securities, Inc., Series 2004-A, Class 2A2, 2.679%, 2/25/2034(c)		94,264
	32,185	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.705%, 2/25/2035(c)		31,717
	3,924	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-10, Class 11A1, 2.656%, 1/25/2035(c)		3,887
	12,183	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A, 2.415%, 7/25/2034(c)		11,966
	61,431	Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.567%, 2/25/2037(c)		60,914
	103,920	Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033		105,941
	171,001	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034		171,232
	45,351	Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034		47,972
	25,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035		24,540
	56,382	Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-57, Class A11, 5.500%, 1/25/2034		58,838
	24,091	Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.395%, 9/20/2034(c)		23,837
	38,165	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.425%, 4/25/2035(c)		33,166
	11,381	Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028		11,517
	12,298	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		12,693
	69,544	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 2.959%, 7/19/2035(c)		65,239
	65,022	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.814%, 12/25/2034(c)		62,690
	91,406	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.731%, 12/25/2034(c)		91,250
	190,932	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.682%, 9/25/2035(c)		192,840
	112,891	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 2.587%, 5/19/2034(c)		112,834
	10,866	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.795%, 7/25/2045(c)		10,224
	42,525	JPMorgan Mortgage Trust, Series 2007-A1, Class 5A1, 2.607%, 7/25/2035(c)		42,545
	47,643	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.315%, 1/25/2047(c)		36,283

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	46,516	MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033	$	48,220
	46,148	MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034		48,677
	68,971	Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035		70,121
	50,599	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.633%, 5/25/2036(c)		46,038
	67,973	Residential Accredit Loans, Inc., Series 2003-QS17, Class CB5, 5.500%, 9/25/2033		70,933
	39,046	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.630%, 9/25/2034(c)		38,882
	119,068	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		125,302
	24,907	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-21XS, Class 1A5, 5.000%, 12/25/2034		25,322
	33,317	WaMu Mortgage Pass Through Certificates, Series 2004-AR1, Class A, 2.406%, 3/25/2034(c)		33,441
	107,606	WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.396%, 1/25/2035(c)		108,486
	77,797	WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034		82,026
	21,708	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.875%, 4/25/2047(c)		19,590
	51,355	Wells Fargo Mortgage Backed Securities Trust, Series 2003-M, Class A1, 2.619%, 12/25/2033(c)		51,766
	35,786	Wells Fargo Mortgage Backed Securities Trust, Series 2003-N, Class 1A2, 2.482%, 12/25/2033(c)		35,833
	80,902	Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.637%, 2/25/2034(c)		81,821
	46,607	Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035		48,014
	39,800	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.614%, 6/25/2035(c)		40,210
				2,761,724
		ABS Other – 0.7%
	120,000	OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A		119,998
	100,000	OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A		100,000
	205,000	SpringCastle America Funding LLC, Series 2014-AA, Class B, 4.610%, 10/25/2027, 144A		204,938
	280,000	Springleaf Funding Trust, Series 2013-BA, Class A, 3.920%, 1/16/2023, 144A		286,740
	170,000	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		169,673
	100,000	Springleaf Funding Trust, Series 2014-AA, Class B, 3.450%, 12/15/2022, 144A		99,790
				981,139

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Aerospace & Defense – 0.4%
$	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A	$	189,000
	300,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		313,500
				502,500
		Airlines – 1.7%
	48,808	Air Canada Pass Through Trust, Series 2013-1, Class A, 4.125%, 11/15/2026, 144A		49,357
	200,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		207,326
	60,000	American Airlines Pass Through Trust, Series 21014-1, Class B, 4.375%, 4/01/2024		61,319
	175,238	British Airways Pass Through Trust, Series 2013-1, Class B, 5.625%, 12/20/2021, 144A		185,929
	19,022	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		20,068
	80,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		84,800
	35,766	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		41,173
	12,641	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		14,032
	692,247	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024(d)		747,627
	195,000	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		197,336
	255,000	United Airlines Pass Through Trust, Series 2014-2, Class A, 3.750%, 3/03/2028		256,178
	120,523	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		134,986
	106,562	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		119,349
	143,107	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		149,547
				2,269,027
		Automotive – 0.2%
	150,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		153,375
	40,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		42,200
	25,000	Lear Corp., 5.375%, 3/15/2024		25,125
				220,700
		Banking – 3.7%
	64,000	Ally Financial, Inc., 8.000%, 11/01/2031		79,840
	600,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		234,092
	200,000	Bank of America Corp., MTN, 4.200%, 8/26/2024		198,271
	500,000	Bank of Montreal, 1.950%, 1/30/2018		509,899

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	500,000	Bank of Nova Scotia, 1.950%, 1/30/2017	$	509,812
	355,000	Citigroup, Inc., 5.500%, 9/13/2025		386,598
	105,000	Citigroup, Inc., 5.875%, 2/22/2033		117,796
	25,000	Citigroup, Inc., 6.000%, 10/31/2033		27,987
	20,000	Citigroup, Inc., 6.125%, 8/25/2036		22,931
	250,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 4.625%, 12/01/2023		259,003
	100,000	HBOS PLC, 6.000%, 11/01/2033, 144A		111,000
	200,000	ING Bank NV, 5.800%, 9/25/2023, 144A		220,303
	520,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		506,655
	400,000	JPMorgan Chase & Co., 3.875%, 9/10/2024		392,137
	200,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		228,929
	100,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		115,033
	65,000	Morgan Stanley, 5.000%, 11/24/2025		67,978
	175,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		169,090
	100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		92,403
	720,000	Morgan Stanley, MTN, 4.100%, 5/22/2023(d)		718,011
	40,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(e)		48,653
				5,016,421
		Brokerage – 0.5%
	140,000	Jefferies Group LLC, 5.125%, 1/20/2023		148,806
	45,000	Jefferies Group LLC, 6.250%, 1/15/2036		47,367
	20,000	Jefferies Group LLC, 6.450%, 6/08/2027		22,408
	295,000	Jefferies Group LLC, 6.500%, 1/20/2043		325,967
	95,000	Jefferies Group LLC, 6.875%, 4/15/2021		110,703
				655,251
		Building Materials – 0.4%
	25,000	HD Supply, Inc., 7.500%, 7/15/2020		25,937
	170,000	Masco Corp., 5.850%, 3/15/2017		184,501

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – continued
$	40,000	Masco Corp., 6.500%, 8/15/2032	$	40,000
	20,000	Masco Corp., 7.750%, 8/01/2029		22,916
	200,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A		188,000
	300,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		110,612
				571,966
		Cable Satellite – 0.2%
	10,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		9,600
	105,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		103,613
	95,000	Time Warner Cable, Inc., 5.500%, 9/01/2041		106,939
	40,000	Time Warner Cable, Inc., 5.875%, 11/15/2040		47,065
				267,217
		Chemicals – 0.1%
	200,000	Hercules, Inc., 6.500%, 6/30/2029		178,000
	25,000	Methanex Corp., 5.250%, 3/01/2022		27,478
				205,478
		Consumer Products – 0.1%
	160,000	Avon Products, Inc., 5.000%, 3/15/2023		156,677
		Diversified Manufacturing – 0.2%
	200,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A		206,500
		Electric – 0.8%
	500,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		516,325
	115,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		61,464
	88,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		45,764
	100,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		110,269
	300,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		341,656
				1,075,478
		Finance Companies – 2.4%
	170,000	Air Lease Corp., 4.250%, 9/15/2024		167,237
	165,000	Aviation Capital Group Corp., 4.625%, 1/31/2018, 144A		171,998

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Finance Companies – continued
$	110,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A	$	124,850
	25,000	CIT Group, Inc., 5.000%, 8/15/2022		25,063
	85,000	CIT Group, Inc., 5.000%, 8/01/2023		84,363
	400,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(e)		463,000
	80,000	International Lease Finance Corp., 5.875%, 4/01/2019		85,200
	80,000	International Lease Finance Corp., 6.250%, 5/15/2019		85,720
	35,000	International Lease Finance Corp., 8.250%, 12/15/2020		41,344
	105,000	International Lease Finance Corp., 8.625%, 1/15/2022		128,100
	115,000	iStar Financial, Inc., 4.000%, 11/01/2017		111,550
	95,000	iStar Financial, Inc., 5.000%, 7/01/2019		91,437
	140,000	iStar Financial, Inc., 7.125%, 2/15/2018		144,900
	160,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		158,400
	70,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		74,025
	30,000	Navient LLC, 4.875%, 6/17/2019		30,000
	412,000	Navient LLC, 5.500%, 1/25/2023		396,035
	5,000	Navient LLC, MTN, 5.500%, 1/15/2019		5,100
	180,000	Navient LLC, MTN, 7.250%, 1/25/2022		195,300
	65,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		64,513
	80,000	Navient LLC, Series A, MTN, 8.450%, 6/15/2018		90,000
	280,000	Springleaf Finance Corp., 7.750%, 10/01/2021		313,600
	110,000	Springleaf Finance Corp., 8.250%, 10/01/2023		123,750
	115,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		122,187
				3,297,672
		Financial Other – 0.2%
	200,000	Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A		185,500
	105,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019		103,425
	50,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		50,000
				338,925

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Food & Beverage – 0.4%
$	280,000	BRF S.A., 3.950%, 5/22/2023, 144A	$	263,466
	240,000	Tyson Foods, Inc., 3.950%, 8/15/2024		240,420
				503,886
		Government Owned - No Guarantee – 1.0%
	59,000	Ecopetrol S.A., 5.875%, 9/18/2023		65,121
	85,000	Ecopetrol S.A., 5.875%, 5/28/2045		86,063
	600,000	Pertamina Persero PT, 4.300%, 5/20/2023, 144A(d)		568,500
	315,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		330,003
	250,000	Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A		257,901
				1,307,588
		Healthcare – 1.2%
	25,000	HCA, Inc., 7.050%, 12/01/2027		25,125
	75,000	HCA, Inc., 7.500%, 12/15/2023		81,750
	520,000	HCA, Inc., 7.500%, 11/06/2033		546,000
	310,000	HCA, Inc., 7.690%, 6/15/2025		341,000
	20,000	HCA, Inc., 8.360%, 4/15/2024		23,000
	140,000	HCA, Inc., MTN, 7.580%, 9/15/2025		152,600
	50,000	HCA, Inc., MTN, 7.750%, 7/15/2036		54,250
	255,000	Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A		251,812
	55,000	Universal Health Services, Inc., 3.750%, 8/01/2019, 144A		54,863
	100,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		99,875
				1,630,275
		Home Construction – 0.8%
	40,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		39,800
	105,000	KB Home, 7.250%, 6/15/2018		112,350
	150,000	KB Home, 7.500%, 9/15/2022		160,500
	145,000	Lennar Corp., 4.750%, 11/15/2022		140,288
	80,000	Pulte Group, Inc., 6.000%, 2/15/2035		76,000

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Home Construction – continued
$	515,000	Pulte Group, Inc., 6.375%, 5/15/2033	$	513,712
				1,042,650
		Independent Energy – 0.7%
	85,000	Continental Resources, Inc., 4.500%, 4/15/2023		88,048
	240,000	Newfield Exploration Co., 5.625%, 7/01/2024		256,800
	400,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(f)		13,200
	200,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(f)		8,000
	142,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		182,366
	5,000	QEP Resources, Inc., 5.375%, 10/01/2022		4,900
	50,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		48,562
	45,000	SandRidge Energy, Inc., 8.125%, 10/15/2022		44,944
	105,000	Southwestern Energy Co., 4.100%, 3/15/2022		107,727
	125,000	Talisman Energy, Inc., 3.750%, 2/01/2021		126,346
	100,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		105,750
				986,643
		Integrated Energy – 0.1%
	10,000	California Resources Corp., 5.000%, 1/15/2020, 144A		10,150
	110,000	California Resources Corp., 5.500%, 9/15/2021, 144A		111,650
	15,000	California Resources Corp., 6.000%, 11/15/2024, 144A		15,413
				137,213
		Leisure – 0.0%
	35,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		39,900
		Life Insurance – 0.1%
	85,000	American International Group, Inc., 4.875%, 6/01/2022		93,494
	21,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		28,297
				121,791
		Lodging – 0.0%
	55,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021, 144A		56,650

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Lodging – continued
$	1,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016	$	1,092
				57,742
		Metals & Mining – 1.5%
	255,000	Alcoa, Inc., 5.900%, 2/01/2027		267,101
	40,000	Alcoa, Inc., 6.750%, 1/15/2028		45,387
	160,000	Allegheny Technologies, Inc., 5.950%, 1/15/2021		172,492
	245,000	ArcelorMittal, 6.000%, 3/01/2021		257,556
	135,000	ArcelorMittal, 6.750%, 2/25/2022		144,956
	225,000	ArcelorMittal, 7.250%, 3/01/2041		225,563
	100,000	ArcelorMittal, 7.500%, 10/15/2039		103,000
	75,000	Barrick North America Finance LLC, 4.400%, 5/30/2021		75,956
	225,000	Glencore Funding LLC, 4.625%, 4/29/2024, 144A		226,778
	200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		208,000
	200,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A		186,240
	145,000	Xstrata Finance Canada Ltd., 4.950%, 11/15/2021, 144A		154,304
				2,067,333
		Midstream – 0.5%
	70,000	Energy Transfer Partners LP, 5.200%, 2/01/2022		75,053
	140,000	EnLink Midstream Partners LP, 4.400%, 4/01/2024		145,309
	100,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		107,270
	80,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		77,400
	85,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020		88,400
	60,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		62,400
	100,000	Sunoco Logistics Partners Operations LP, 4.250%, 4/01/2024		101,319
				657,151
		Non-Agency Commercial Mortgage-Backed Securities – 1.3%
	265,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		287,845
	100,000	DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.730%, 11/10/2046, 144A(c)		107,849
	400,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.521%, 12/05/2031, 144A(c)		414,783

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	260,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.991%, 8/10/2045(c)	$	269,570
	100,000	Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A		101,952
	25,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049		26,146
	100,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.773%, 4/12/2049(c)		107,374
	100,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.991%, 8/12/2045, 144A(c)		108,502
	100,000	Motel 6 Trust, Series 2012-MTL6, Class D, 3.781%, 10/05/2025, 144A		100,083
	130,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class AM, 5.603%, 10/15/2048		139,882
	60,000	WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(c)		63,404
				1,727,390
		Paper – 0.2%
	205,000	Weyerhaeuser Co., 6.875%, 12/15/2033		262,363
	5,000	Weyerhaeuser Co., 6.950%, 10/01/2027		6,174
	30,000	Weyerhaeuser Co., 7.375%, 3/15/2032		39,765
				308,302
		Pharmaceuticals – 0.5%
	620,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A(d)		637,050
	15,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		15,563
	10,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		10,550
				663,163
		Property & Casualty Insurance – 0.1%
	170,000	Old Republic International Corp., 4.875%, 10/01/2024		170,226
		REITs - Health Care – 0.2%
	245,000	HCP, Inc., 3.875%, 8/15/2024		240,012
		Retailers – 1.6%
	125,000	Advance Auto Parts, Inc., 4.500%, 12/01/2023		130,524
	150,000	Best Buy Co., Inc., 5.000%, 8/01/2018		154,500
	250,519	CVS Pass Through Trust, 4.704%, 1/10/2036, 144A		264,157
	206,906	CVS Pass Through Trust, 7.507%, 1/10/2032, 144A		263,211

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Retailers – continued
$	214,501		CVS Pass Through Trust, Series 2014, 4.163%, 8/10/2036, 144A	$	215,063
	400,000		Dillard’s, Inc., 6.625%, 1/15/2018		437,000
	205,000		Dillard’s, Inc., 7.000%, 12/01/2028		212,175
	100,000		Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		120,466
	225,000		Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		284,315
	45,000		Toys R Us, Inc., 7.375%, 10/15/2018		31,050
					2,112,461
			Sovereigns – 0.1%
	155,000		Republic of Portugal, 5.125%, 10/15/2024, 144A		160,583
			Supermarkets – 0.2%
	35,000		Delhaize Group S.A., 5.700%, 10/01/2040		37,147
	320,000		New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		260,800
					297,947
			Supranational – 0.6%
	136,000,000		International Bank for Reconstruction & Development, EMTN, 4.250%, 2/05/2016, (CLP)		229,791
	26,380,000		International Finance Corp., 7.800%, 6/03/2019, (INR)		454,903
	435,000		International Finance Corp., GMTN, 10.500%, 4/17/2018, (BRL)		178,851
					863,545
			Technology – 1.1%
	470,000		Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		442,975
	390,000		Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		367,575
	110,000		Arrow Electronics, Inc., 3.000%, 3/01/2018		112,743
	195,000		Flextronics International Ltd., 5.000%, 2/15/2023		194,512
	415,000		Jabil Circuit, Inc., 4.700%, 9/15/2022		417,594
					1,535,399
			Treasuries – 13.5%
	15,000	(††)	Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)		110,933
	60,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(d)		465,821
	31,500	(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)		256,935

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Treasuries – continued
	60,000	(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)	$	527,731
	10,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		238,705
	700,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		258,809
	365,000		U.S. Treasury Bond, 3.125%, 8/15/2044		359,183
	2,694,129		U.S. Treasury Inflation Indexed Bond, 0.125%, 7/15/2024(g)		2,586,574
	848,501		U.S. Treasury Inflation Indexed Bond, 1.375%, 2/15/2044(g)		907,564
	2,163,915		U.S. Treasury Inflation Indexed Bond, 2.500%, 1/15/2029(g)(h)		2,641,160
	739,382		U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2016(g)		747,931
	6,543,044		U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2019(g)		6,558,891
	1,310,000		U.S. Treasury Note, 0.375%, 5/31/2016		1,308,669
	1,000,000		U.S. Treasury Note, 0.875%, 4/15/2017		1,000,000
	400,000		U.S. Treasury Note, 0.875%, 7/15/2017		398,625
					18,367,531
			Wireless – 0.7%
	4,000,000		America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		289,934
	190,000		Crown Castle International Corp., 4.875%, 4/15/2022		184,775
	480,000		Sprint Corp., 7.875%, 9/15/2023, 144A		508,800
					983,509
			Wirelines – 1.7%
	10,000		CenturyLink, Inc., 5.625%, 4/01/2020		10,315
	80,000		CenturyLink, Inc., 7.650%, 3/15/2042		78,800
	240,000		CenturyLink, Inc., Series P, 7.600%, 9/15/2039		237,000
	75,000		Embarq Corp., 7.995%, 6/01/2036		81,068
	35,000		Level 3 Financing, Inc., 6.125%, 1/15/2021, 144A		36,050
	75,000		Level 3 Financing, Inc., 7.000%, 6/01/2020		79,031
	70,000		Level 3 Financing, Inc., 8.125%, 7/01/2019		74,550
	85,000		Level 3 Financing, Inc., 8.625%, 7/15/2020		92,012
	400,000		Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		148,839

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	15,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021	$	16,688
	246,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		240,772
	402,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		399,990
	40,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		42,800
	45,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		50,625
	75,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		82,437
	75,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		83,524
	75,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		95,005
	100,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		181,413
	205,000	Verizon Communications, Inc., 5.150%, 9/15/2023		227,011
				2,257,930
		Total Non-Convertible Bonds (Identified Cost $58,140,223)		59,130,868
	Convertible Bonds – 2.6%
		Automotive – 0.1%
	65,000	Ford Motor Co., 4.250%, 11/15/2016		111,394
		Construction Machinery – 0.2%
	190,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018		234,056
	20,000	Trinity Industries, Inc., 3.875%, 6/01/2036		38,825
				272,881
		Energy – 0.1%
	135,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		132,131
	125,000	Peabody Energy Corp., 4.750%, 12/15/2066		85,625
				217,756
		Home Construction – 0.5%
	85,000	Lennar Corp., 2.750%, 12/15/2020, 144A		150,450
	150,000	Lennar Corp., 3.250%, 11/15/2021, 144A		257,250
	220,000	Standard Pacific Corp., 1.250%, 8/01/2032		247,775
				655,475

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Pharmaceuticals – 0.6%
$	83,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018	$	87,876
	92,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		100,740
	90,000	Emergent Biosolutions, Inc., 2.875%, 1/15/2021, 144A		90,450
	75,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		350,203
	70,000	Mylan, Inc., 3.750%, 9/15/2015		239,138
				868,407
		Property & Casualty Insurance – 0.1%
	100,000	Old Republic International Corp., 3.750%, 3/15/2018		117,062
		REITs - Mortgage – 0.1%
	70,000	iStar Financial, Inc., 3.000%, 11/15/2016		88,288
		Retailers – 0.3%
	45,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		56,756
	246,000	Priceline Group, Inc. (The), 0.350%, 6/15/2020		273,829
	30,000	Priceline Group, Inc. (The), 1.000%, 3/15/2018		40,369
				370,954
		Technology – 0.6%
	185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		215,525
	105,000	Intel Corp., 2.950%, 12/15/2035		133,612
	45,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032		160,369
	70,000	Novellus Systems, Inc., 2.625%, 5/15/2041		152,556
	35,000	Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A		38,850
	80,000	Xilinx, Inc., 2.625%, 6/15/2017		118,450
				819,362
		Transportation Services – 0.0%
	30,000	Macquarie Infrastructure Co. LLC, 2.875%, 7/15/2019		33,263
		Total Convertible Bonds (Identified Cost $2,924,739)		3,554,842

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – 0.1%
		Michigan – 0.1%
$	45,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034 (Identified Cost $45,000)	$	38,621
		Total Bonds and Notes (Identified Cost $61,109,962)		62,724,331
Shares
	Preferred Stocks – 1.4%
	Convertible Preferred Stocks – 0.7%
		Banking – 0.1%
	19	Bank of America Corp., Series L, 7.250%		21,783
	70	Wells Fargo & Co., Series L, Class A, 7.500%		84,176
				105,959
		Electric – 0.0%
	1,117	NextEra Energy, Inc., 5.889%		66,920
		Food & Beverage – 0.1%
	2,620	Tyson Foods, Inc., 4.750%		131,786
		REITs - Diversified – 0.3%
	2,794	Crown Castle International Corp., Series A, 4.500%		293,873
	1,400	Weyerhaeuser Co., Series A, 6.375%		75,642
				369,515
		REITs - Mortgage – 0.1%
	1,780	iStar Financial, Inc., Series J, 4.500%		105,910
		Utility Other – 0.1%
	1,532	Dominion Resources, Inc., 6.375%		76,447
	1,013	Dominion Resources, Inc., Series A, 6.125%		56,789
	1,325	Dominion Resources, Inc., Series B, 6.000%		74,531
				207,767
		Total Convertible Preferred Stocks (Identified Cost $929,317)		987,857
	Non-Convertible Preferred Stocks – 0.7%
		Banking – 0.7%
	4,375	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		117,819
	288	Ally Financial, Inc., Series G, 7.000%, 144A		288,270

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Banking – continued
	4,125	Countrywide Capital IV, 6.750%	$	105,146
	20,424	SunTrust Banks, Inc., Series E, 5.875%		470,773
		Total Non-Convertible Preferred Stocks (Identified Cost $879,854)		982,008
		Total Preferred Stocks (Identified Cost $1,809,171)		1,969,865
Principal Amount (‡)
	Senior Loans – 0.1%
		Supermarkets – 0.1%
$	79,000	New Albertson’s, Inc., Term Loan, 4.750%, 6/27/2021(c)		77,568
		Transportation Services – 0.0%
	24,938	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(c)		24,761
		Total Senior Loans (Identified Cost $103,297)		102,329
Notional Amount
	Purchased Swaptions – 0.2%
		Interest Rate Swaptions – 0.2%
	35,000,000	1-year Interest Rate Swap Put, expiring 11/19/2014, Pay 3-month LIBOR, Receive 0.400% (i)(j)		2,835
	9,000,000	10-year Interest Rate Swap Call, expiring 5/20/2016, Pay 3.388%, Receive 3-month LIBOR (i)(k)		258,624
		Total Purchased Swaptions (Identified Cost $383,100)		261,459
Principal Amount (‡)
	Short-Term Investments – 1.5%
	1,727,458	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $1,727,458 on 10/01/2014 collateralized by $1,180,000 U.S. Treasury Note, 3.625% due 2/15/2020 valued at $1,293,575; $475,000 U.S. Treasury Note, 1.625% due 4/30/2019 valued at $476,781 including accrued interest(l)		1,727,458
	115,000	U.S. Treasury Bills, 0.015%, 12/11/2014(m)		114,997
	130,000	U.S. Treasury Bills, 0.037%, 2/05/2015(m)(n)		129,990
	35,000	U.S. Treasury Bills, 0.055%, 1/02/2015(m)		34,998
		Total Short-Term Investments (Identified Cost $2,007,433)		2,007,443

		Description	Value (†)
		Total Investments – 99.9% (Identified Cost $126,278,358)(a)	$	135,767,904
		Other assets less liabilities – 0.1%		109,787
		Net Assets – 100.0%	$	135,877,691
Notional Amount
	Written Swaptions – (0.1%)
		Interest Rate Swaptions – (0.1)%
$	9,000,000	10-year Interest Rate Swap Call, expiring 5/20/2016, Pay 3-month LIBOR, Receive 3.888% (i)(k) (Premiums Received $212,040)	$	(140,940	)

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

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadvisers and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

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

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

Bilateral interest rate swaps are valued based on prices supplied by an independent pricing service, if available, or prices obtained from broker-dealers.

Centrally cleared interest rate swaps are valued at settlement prices of the clearinghouse on which the contracts were traded, if available, or prices obtained from broker-dealers.

Swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available.

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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

(††) Amount shown represents units. One unit represents a principal amount of 100.

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

At September 30, 2014, the net unrealized appreciation on investments based on a cost of $126,385,078 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	$	13,242,685
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,859,859	)
Net unrealized appreciation	$	9,382,826

At December 31, 2013, the Fund had a short-term capital loss carryforward of $10,106,858 which expires on December 31, 2017. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b) Non-income producing security.

(c) Variable rate security. Rate as of September 30, 2014 is disclosed.

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

(e) Perpetual bond with no specified maturity date.

(f) The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

(g) Treasury Inflation Protected Security (TIPS).

(h) A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts, futures contracts or swaptions.

(i) The Fund may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate.

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

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

Over-the-counter interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

(j) Counterparty is Goldman Sachs International.

(k) Counterparty is Barclays PLC.

(l) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

(n) A portion of this security has been pledged as initial margin for open futures contracts.

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2014, the value of Rule 144A holdings amounted to $12,458,386 or 9.2% 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

REMIC Real Estate Mortgage Investment Conduit

AUD Australian Dollar

BRL Brazilian Real

CLP Chilean Peso

COP Colombian Peso

EUR Euro

GBP British Pound

INR Indian Rupee

MXN Mexican Peso

PHP Philippine Peso

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the 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. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At September 30, 2014, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell1		12/04/2014	British Pound		67,000	$	108,558	$	2,415
Buy2		10/31/2014	Euro		198,000		250,131		(13,702	)
Sell2		10/31/2014	Euro		198,000		250,131		15,876
Total								$	4,589

¹ Counterparty is Credit Suisse International.

²  Counterparty is Barclays Bank PLC.

Futures Contracts

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

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

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

At September 30, 2014, open short futures contracts were as follows:

Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		12/19/2014		14	$	1,930,688	$	16,618

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Common Stocks*	$	68,702,477	$	—	$	—		$	68,702,477
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan		—		1,442,066		124,991	(a)		1,567,057
ABS Other		—		—		981,139	(a)		981,139
Airlines		—		908,088		1,360,939	(a)		2,269,027
Retailers		—		1,897,398		215,063	(a)		2,112,461
All Other Non-Convertible Bonds*		—		52,201,184		—			52,201,184
Total Non-Convertible Bonds		—		56,448,736		2,682,132			59,130,868
Convertible Bonds*		—		3,554,842		—			3,554,842
Municipals*		—		38,621		—			38,621
Total Bonds and Notes		—		60,042,199		2,682,132			62,724,331
Preferred Stocks
Convertible Preferred Stocks
Food & Beverage		—		131,786		—			131,786
REITs - Mortgage		—		105,910		—			105,910
All Other Convertible Preferred Stocks*		750,161		—		—			750,161
Total Convertible Preferred Stocks		750,161		237,696		—			987,857
Non-Convertible Preferred Stocks*		982,008		—		—			982,008
Total Preferred Stocks		1,732,169		237,696		—			1,969,865
Senior Loan*		—		102,329		—			102,329
Purchased Swaptions*		—		261,459		—			261,459
Short-Term Investments		—		2,007,443		—			2,007,443
Total Investments		70,434,646		62,651,126		2,682,132			135,767,904
Forward Foreign Currency Contracts (unrealized appreciation)		—		18,291		—			18,291
Futures Contracts (unrealized appreciation)		16,618		—		—			16,618
Total	$	70,451,264	$	62,669,417	$	2,682,132		$	135,802,813

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Written Swaptions*	$	—	$	(140,940	)	$	—	$	(140,940	)
Forward Foreign Currency Contracts (unrealized depreciation)		—		(13,702	)		—		(13,702	)
Total	$	—	$	(154,642	)	$	—	$	(154,642	)

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

(a) Valued using broker-dealer bid prices.

A preferred stock valued at $89,334 was transferred from Level 2 to Level 1 during the period ended September 30, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available. At September 30, 2014, this security was valued at the closing bid quotation in accordance with the Fund’s valuation policies.

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

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2013 and/or September 30, 2014:

Asset Valuation Inputs

Investments in Securities	Balance as of December 31, 2013		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	—	$	—	$	—	$	124,991	$	—		$	—	$	—		$	124,991	$	—
ABS Other		284,200		—		—		2,044		694,895		—			—		—			981,139		2,044
Airlines		1,487,108		52		962		14,717		—		(141,900	)		—		—			1,360,939		20,496
Retailers		254,668		—		—		562		215,000		(499	)		—		(254,668	)		215,063		562
Total	$	2,025,976	$	52	$	962	$	17,323	$	1,034,886	$	(142,399	)	$	—	$	(254,668	)	$	2,682,132	$	23,102

A debt security valued at $254,668 was transferred from Level 3 to Level 2 during the period ended September 30, 2014. At December 31, 2013, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Derivatives

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

The Fund may use interest rate swaptions to gain exposure, such as to enter into a contract to benefit from a rise or fall in interest rates. During the period ended September 30, 2014, the Fund engaged in interest rate swaptions for this purpose.

The Fund is 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 Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended September 30, 2014, the Fund engaged in forward foreign currency transactions for hedging purposes.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the period ended September 30, 2014, the Fund used futures contracts to manage duration and interest rate swaptions for hedging purposes and to manage duration.

The following is a summary of derivative instruments for the Fund as of September 30, 2014:

Assets	Investments at value1		Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts2		Total
Over-the-counter asset derivatives
Interest rate contracts	$	261,459	$	—	$	—	$	261,459
Foreign exchange contracts		—		18,291		—		18,291
Total over-the-counter asset derivatives	$	261,459	$	18,291	$	—	$	279,750
Exchange traded/cleared asset derivatives
Interest rate contracts		—		—		16,618		16,618
Total asset derivatives	$	261,459	$	18,291	$	16,618	$	296,368

Liabilities	Swaptions written at value			Unrealized depreciation on forward foreign currency contracts			Total
Over-the-counter liability derivatives
Interest rate contracts	$	(140,940	)	$	—		$	(140,940	)
Foreign exchange contracts		—			(13,702	)		(13,702	)
Total over-the-counter liability derivatives	$	(140,940	)	$	(13,702	)	$	(154,642	)

¹ Represents purchased swaptions, at value.

² Represents cumulative unrealized appreciation (depreciation) on futures contracts.

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

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of September 30, 2014, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2014:

Maximum Amount of Loss - Gross	Maximum Amount of Loss - Net
$320,435	$165,793

Industry Summary at September 30, 2014 (Unaudited)

Treasuries	13.5	%
Banking	4.5
Multi-Utilities	4.0
REITs - Apartments	4.0
REITs - Regional Malls	3.9
REITs - Office Property	3.9
Electric Utilities	3.7
REITs - Health Care	3.0
Aerospace & Defense	2.5
Finance Companies	2.4
REITs - Diversified	2.4
REITs - Shopping Centers	2.3
Pharmaceuticals	2.1
REITs - Storage	2.0
ABS Home Equity	2.0
Other Investments, less than 2% each	42.2
Short-Term Investments	1.5
Total Investments	99.9
Other assets less liabilities (including open written swaptions, forward foreign currency contracts and futures contracts)	0.1
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

Natixis Oakmark International Fund

Shares		Description	Value (†)
	Common Stocks – 96.9% of Net Assets
		Australia – 3.8%
	4,043,268	AMP Ltd.	$	19,285,330
	1,157,853	Orica Ltd.		19,108,838
				38,394,168
		Canada – 0.4%
	113,500	Thomson Reuters Corp.		4,134,827
		Cayman Islands – 0.7%
	251,000	Melco Crown Entertainment Ltd., Sponsored ADR		6,598,790
		France – 15.5%
	569,700	BNP Paribas S.A.		37,809,952
	32,600	Christian Dior S.A.		5,461,282
	341,658	Danone		22,879,438
	127,300	Kering		25,666,200
	100,400	LVMH Moet Hennessy Louis Vuitton S.A.		16,303,165
	160,200	Pernod-Ricard S.A.		18,131,561
	171,176	Publicis Groupe S.A.		11,730,416
	291,500	Safran S.A.		18,899,020
	13,600	Sanofi		1,537,760
				158,418,794
		Germany – 10.2%
	201,300	Allianz SE, (Registered)		32,496,225
	259,300	Bayerische Motoren Werke AG		27,712,495
	427,600	Daimler AG, (Registered)		32,654,503
	160,000	SAP SE		11,547,145
				104,410,368
		Ireland – 2.5%
	1,621,931	Experian PLC		25,773,144
		Israel – 0.4%
	65,700	Check Point Software Technologies Ltd.(b)		4,549,068
		Italy – 4.9%
	54,900	Exor SpA		2,122,363
	10,412,800	Intesa Sanpaolo SpA		31,433,390
	2,735,500	Prada SpA		16,555,088
				50,110,841
		Japan – 12.6%
	594,600	Canon, Inc.		19,345,850
	3,695,000	Daiwa Securities Group, Inc.		29,303,841
	957,100	Honda Motor Co. Ltd.		32,837,942
	73,200	Meitec Corp.		2,175,828
	294,400	Olympus Corp.(b)		10,557,396
	49,900	Secom Co. Ltd.		2,972,763

Shares		Description	Value (†)
	Common Stocks – continued
		Japan – continued
	537,800	Toyota Motor Corp.	$	31,643,690
				128,837,310
		Korea – 2.7%
	25,000	Samsung Electronics Co. Ltd.		28,000,184
		Netherlands – 6.6%
	42,554	Akzo Nobel NV		2,911,596
	3,447,900	CNH Industrial NV		27,310,777
	168,100	Heineken Holding NV		11,098,742
	188,346	Koninklijke Ahold NV		3,046,621
	707,424	Koninklijke Philips NV		22,495,935
				66,863,671
		Sweden – 4.2%
	359,900	Atlas Copco AB, Series B		9,301,165
	324,700	Hennes & Mauritz AB, Series B		13,426,335
	847,200	SKF AB, Series B		17,637,262
	61,700	Swedish Match AB		1,996,092
				42,360,854
		Switzerland – 16.5%
	264,200	Adecco S.A., (Registered)		17,860,161
	335,500	Cie Financiere Richemont S.A., (Registered)		27,424,145
	1,911,958	Credit Suisse Group AG, (Registered)		52,895,571
	1,210	Givaudan S.A., (Registered)		1,928,738
	255,700	Holcim Ltd., (Registered)		18,602,603
	174,800	Kuehne & Nagel International AG, (Registered)		22,025,401
	230,100	Nestle S.A., (Registered)		16,910,274
	16,700	Novartis AG, (Registered)		1,572,612
	64,500	Schindler Holding AG		8,736,848
				167,956,353
		United Kingdom – 15.9%
	1,045,400	Diageo PLC		30,151,555
	51,900	G4S PLC		210,451
	750,100	GlaxoSmithKline PLC		17,135,384
	23,127,200	Lloyds Banking Group PLC(b)		28,771,796
	1,313,200	Meggitt PLC		9,578,511
	481,400	Schroders PLC		18,587,370
	100	Schroders PLC, (Non Voting)		3,064
	538,400	Smiths Group PLC		11,004,381
	2,396,400	Tesco PLC		7,158,668
	421,900	Willis Group Holdings PLC		17,466,660
	157,496	Wolseley PLC		8,249,473
	666,100	WPP PLC		13,344,323
				161,661,636
		Total Common Stocks (Identified Cost $1,041,506,877)		988,070,008

Principal Amount		Description	Value (†)
	Short-Term Investments – 2.3%
$	23,764,953	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $23,764,953 on 10/01/2014 collateralized by $22,215,000 U.S. Treasury Note, 3.625% due 8/15/2019 valued at $24,242,119 including accrued interest(c) (Identified Cost $23,764,953)	$	23,764,953
		Total Investments – 99.2% (Identified Cost $1,065,271,830)(a)		1,011,834,961
		Other assets less liabilities – 0.8%		7,977,280
		Net Assets – 100.0%	$	1,019,812,241

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

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

Forward foreign currency contracts are valued utilizing interpolated rates determined based on 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).

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

As of September 30, 2014, approximately 94% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

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

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

At September 30, 2014, the net unrealized depreciation on investments based on a cost of $1,065,271,830 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	$	12,260,492
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(65,697,361	)
Net unrealized depreciation	$	(53,436,869	)

(b) Non-income producing security.

(c) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the 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. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At September 30, 2014, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell1	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell		6/17/2015	Australian Dollar		18,264,000	$	15,701,295	$	624,165
Sell		3/18/2015	Swedish Krona		92,571,000		12,824,775		963,311
Sell		12/17/2014	Swiss Franc		48,845,000		51,200,304		4,744,874
Total								$	6,332,350

¹  Counterparty is State Street Bank and Trust Company.

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	38,394,168	$	—	$	38,394,168
France		—		158,418,794		—		158,418,794
Germany		—		104,410,368		—		104,410,368
Ireland		—		25,773,144		—		25,773,144
Italy		—		50,110,841		—		50,110,841
Japan		—		128,837,310		—		128,837,310
Korea		—		28,000,184		—		28,000,184
Netherlands		—		66,863,671		—		66,863,671
Sweden		—		42,360,854		—		42,360,854
Switzerland		—		167,956,353		—		167,956,353
United Kingdom		17,466,660		144,194,976		—		161,661,636
All Other Common Stocks*		15,282,685		—		—		15,282,685
Total Common Stocks		32,749,345		955,320,663		—		988,070,008
Short-Term Investments		—		23,764,953		—		23,764,953
Total Investments		32,749,345		979,085,616		—		1,011,834,961
Forward Foreign Currency Contracts (unrealized appreciation)		—		6,332,350		—		6,332,350
Total	$	32,749,345	$	985,417,966	$	—	$	1,018,167,311

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

A common stock valued at $14,810,131 was transferred from Level 1 to Level 2 during the period ended September 30, 2014. At December 31, 2014, this security was valued at the market price in the foreign market in accordance with the Fund’s valuation policies. At September 30, 2014, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security.

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

Derivatives

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

The Fund is 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 Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended September 30, 2014, the Fund engaged in forward foreign currency transactions for hedging purposes.

The following is a summary of derivative instruments for the Fund, as of September 30, 2014:

Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	6,332,350

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

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to an International Swaps and Derivatives Association, Inc. (“ISDA”) agreement between the Fund and its counterparty. ISDA agreements typically contain master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, to one net amount payable by either the Fund or the counterparty.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures include, but are not limited to, minimum counterparty credit rating requirements and monitoring of counterparty credit default swap spreads. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other

security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, each as of September 30, 2014:

Maximum Amount of Loss - Gross	Maximum Amount of Loss - Net
$ 6,332,350	$ 6,332,350

Industry Summary at September 30, 2014 (Unaudited)

Automobiles	12.2	%
Capital Markets	9.9
Banks	9.6
Textiles, Apparel & Luxury Goods	8.9
Insurance	6.8
Machinery	6.3
Beverages	5.9
Technology Hardware, Storage & Peripherals	4.6
Professional Services	4.4
Food Products	3.9
Industrial Conglomerates	3.3
Aerospace & Defense	2.9
Media	2.8
Chemicals	2.4
Marine	2.2
Pharmaceuticals	2.0
Other Investments, less than 2% each	8.8
Short-Term Investments	2.3
Total Investments	99.2
Other assets less liabilities (including forward foreign currency contracts)	0.8
Net Assets	100.0	%

Currency Exposure Summary at September 30, 2014 (Unaudited)

Euro	35.6	%
British Pound	16.7
Swiss Franc	16.5
Japanese Yen	12.6
United States Dollar	5.1
Swedish Krona	4.2
Australian Dollar	3.8
South Korean Won	2.7
Other, less than 2% each	2.0
Total Investments	99.2
Other assets less liabilities (including forward foreign currency contracts)	0.8
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

Natixis U.S. Equity Opportunities Fund

Shares		Description	Value (†)
	Common Stocks – 97.6% of Net Assets
		Air Freight & Logistics – 4.6%
	235,470	Expeditors International of Washington, Inc.	$	9,555,373
	50,900	FedEx Corp.		8,217,805
	40,898	United Parcel Service, Inc., Class B		4,019,864
				21,793,042
		Automobiles – 1.6%
	231,700	General Motors Co.		7,400,498
		Banks – 6.4%
	766,300	Bank of America Corp.		13,065,415
	164,300	Citigroup, Inc.		8,514,026
	145,000	JPMorgan Chase & Co.		8,734,800
				30,314,241
		Beverages – 6.1%
	114,793	Coca-Cola Co. (The)		4,897,069
	58,800	Diageo PLC, Sponsored ADR		6,785,520
	145,327	Monster Beverage Corp.(b)		13,322,126
	73,151	SABMiller PLC, Sponsored ADR		4,064,270
				29,068,985
		Biotechnology – 1.0%
	32,835	Amgen, Inc.		4,612,004
		Capital Markets – 4.8%
	150,800	Franklin Resources, Inc.		8,235,188
	148,244	Greenhill & Co., Inc.		6,891,863
	214,785	SEI Investments Co.		7,766,626
				22,893,677
		Communications Equipment – 5.8%
	490,671	Cisco Systems, Inc.		12,350,189
	202,857	QUALCOMM, Inc.		15,167,618
				27,517,807
		Consumer Finance – 2.2%
	25,936	American Express Co.		2,270,437
	99,700	Capital One Financial Corp.		8,137,514
				10,407,951
		Diversified Financial Services – 1.3%
	129,106	MSCI, Inc.(b)		6,070,564
		Energy Equipment & Services – 3.0%
	106,000	Halliburton Co.		6,838,060
	74,897	Schlumberger Ltd.		7,616,276
				14,454,336
		Food Products – 2.6%
	514,276	Danone, Sponsored ADR		6,891,298

Shares		Description	Value (†)
	Common Stocks – continued
		Food Products – continued
	130,500	Unilever PLC, Sponsored ADR	$	5,467,950
				12,359,248
		Health Care Equipment & Supplies – 3.9%
	124,000	Medtronic, Inc.		7,681,800
	104,720	Varian Medical Systems, Inc.(b)		8,390,167
	22,728	Zimmer Holdings, Inc.		2,285,300
				18,357,267
		Health Care Providers & Services – 1.6%
	86,800	UnitedHealth Group, Inc.		7,486,500
		Hotels, Restaurants & Leisure – 0.9%
	60,628	Yum! Brands, Inc.		4,364,003
		Household Products – 1.0%
	56,612	Procter & Gamble Co. (The)		4,740,689
		Insurance – 4.8%
	112,900	Aflac, Inc.		6,576,425
	167,100	American International Group, Inc.		9,026,742
	84,400	Aon PLC		7,399,348
				23,002,515
		Internet & Catalog Retail – 6.3%
	61,523	Amazon.com, Inc.(b)		19,837,476
	54,013	HomeAway, Inc.(b)		1,917,462
	277,900	Liberty Interactive Corp., Class A(b)		7,925,708
				29,680,646
		Internet Software & Services – 8.5%
	52,705	Alibaba Group Holding Ltd., Sponsored ADR(b)		4,682,839
	159,435	Facebook, Inc., Class A(b)		12,601,743
	24,017	Google, Inc., Class A(b)		14,131,843
	9,617	Google, Inc., Class C(b)		5,552,471
	58,701	Vistaprint NV(b)		3,216,228
				40,185,124
		IT Services – 5.0%
	30,794	Automatic Data Processing, Inc.		2,558,366
	106,000	MasterCard, Inc., Class A		7,835,520
	61,954	Visa, Inc., Class A		13,219,125
				23,613,011
		Machinery – 1.3%
	75,400	Illinois Tool Works, Inc.		6,365,268
		Media – 1.1%
	78,900	Omnicom Group, Inc.		5,433,054
		Metals & Mining – 0.5%
	30,309	Compass Minerals International, Inc.		2,554,443
		Oil, Gas & Consumable Fuels – 2.1%
	105,900	Apache Corp.		9,940,833

Shares		Description	Value (†)
	Common Stocks – continued
		Pharmaceuticals – 4.0%
	41,967	Merck & Co., Inc.	$	2,487,804
	70,818	Novartis AG, ADR		6,666,098
	100,297	Novo Nordisk AS, Sponsored ADR		4,776,143
	92,300	Sanofi, ADR		5,208,489
				19,138,534
		Semiconductors & Semiconductor Equipment – 3.8%
	8,062	Altera Corp.		288,458
	15,057	Analog Devices, Inc.		745,171
	155,918	ARM Holdings PLC, Sponsored ADR		6,812,057
	260,800	Intel Corp.		9,081,056
	22,245	Linear Technology Corp.		987,456
				17,914,198
		Software – 9.1%
	136,492	Autodesk, Inc.(b)		7,520,709
	49,447	FactSet Research Systems, Inc.		6,009,294
	250,135	Microsoft Corp.		11,596,259
	478,765	Oracle Corp.		18,327,124
				43,453,386
		Specialty Retail – 2.5%
	93,400	Home Depot, Inc. (The)		8,568,516
	65,812	Lowe’s Cos., Inc.		3,482,771
				12,051,287
		Technology Hardware, Storage & Peripherals – 1.8%
	84,700	Apple, Inc.		8,533,525
		Total Common Stocks (Identified Cost $407,014,617)		463,706,636
Principal Amount
	Short-Term Investments – 2.8%
$	13,409,150	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $13,409,150 on 10/01/2014 collateralized by $4,690,000 U.S. Treasury Note, 1.625% due 4/30/2019 valued at $4,707,588; $9,030,000 U.S. Treasury Note, 1.500% due 5/31/2019 valued at $8,973,563 including accrued interest(c) (Identified Cost $13,409,150)		13,409,150
		Total Investments – 100.4% (Identified Cost $420,423,767)(a)		477,115,786
		Other assets less liabilities – (0.4)%		(1,879,788	)
		Net Assets – 100.0%	$	475,235,998

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadvisers and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

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

Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations.

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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

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

At September 30, 2014, the net unrealized appreciation on investments based on a cost of $420,423,767 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	$	60,757,032
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,065,013	)
Net unrealized appreciation	$	56,692,019

(b) Non-income producing security.

(c) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	463,706,636	$	—	$	—	$	463,706,636
Short-Term Investments		—		13,409,150		—		13,409,150
Total	$	463,706,636	$	13,409,150	$	—	$	477,115,786

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

For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.

Industry Summary at September 30, 2014 (Unaudited)

Software	9.1	%
Internet Software & Services	8.5
Banks	6.4
Internet & Catalog Retail	6.3
Beverages	6.1
Communications Equipment	5.8
IT Services	5.0
Insurance	4.8
Capital Markets	4.8
Air Freight & Logistics	4.6
Pharmaceuticals	4.0
Health Care Equipment & Supplies	3.9
Semiconductors & Semiconductor Equipment	3.8
Energy Equipment & Services	3.0
Food Products	2.6
Specialty Retail	2.5
Consumer Finance	2.2
Oil, Gas & Consumable Fuels	2.1
Other Investments, less than 2% each	12.1
Short-Term Investments	2.8
Total Investments	100.4
Other assets less liabilities	(0.4	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

Vaughan Nelson Small Cap Value Fund

Shares		Description	Value (†)
	Common Stocks – 97.0% of Net Assets
		Aerospace & Defense – 1.8%
	53,350	Esterline Technologies Corp.(b)	$	5,936,255
		Banks – 9.0%
	152,275	Capital Bank Financial Corp., Class A(b)		3,636,327
	419,055	FirstMerit Corp.		7,375,368
	95,200	Prosperity Bancshares, Inc.		5,442,584
	203,825	Union Bankshares Corp.		4,708,357
	266,350	Webster Financial Corp.		7,761,439
				28,924,075
		Building Products – 0.9%
	38,925	Lennox International, Inc.		2,992,165
		Capital Markets – 2.5%
	117,225	LPL Financial Holdings, Inc.		5,398,211
	169,925	TCP Capital Corp.		2,730,695
				8,128,906
		Chemicals – 1.5%
	187,150	Taminco Corp.(b)		4,884,615
		Commercial Services & Supplies – 2.3%
	260,500	KAR Auction Services, Inc.		7,458,115
		Communications Equipment – 1.6%
	221,225	CommScope Holding Co., Inc.(b)		5,289,490
		Consumer Finance – 1.7%
	96,325	First Cash Financial Services, Inc.(b)		5,392,274
		Containers & Packaging – 3.7%
	533,375	Graphic Packaging Holding Co.(b)		6,629,851
	114,925	Silgan Holdings, Inc.		5,401,475
				12,031,326
		Diversified Consumer Services – 1.2%
	161,825	ServiceMaster Global Holdings, Inc.(b)		3,916,165
		Electrical Equipment – 0.9%
	124,875	Thermon Group Holdings, Inc.(b)		3,049,448
		Electronic Equipment, Instruments & Components – 1.4%
	53,400	Littelfuse, Inc.		4,548,612
		Energy Equipment & Services – 2.0%
	215,300	Forum Energy Technologies, Inc.(b)		6,590,333
		Health Care Equipment & Supplies – 7.6%
	147,375	Alere, Inc.(b)		5,715,202
	128,900	Haemonetics Corp.(b)		4,501,188
	118,125	Integra LifeSciences Holdings Corp.(b)		5,863,725
	173,875	Merit Medical Systems, Inc.(b)		2,065,635

Shares		Description	Value (†)
	Common Stocks – continued
		Health Care Equipment & Supplies – continued
	59,975	Teleflex, Inc.	$	6,299,774
				24,445,524
		Health Care Providers & Services – 3.7%
	151,775	Amsurg Corp.(b)		7,596,338
	63,525	LifePoint Hospitals, Inc.(b)		4,395,295
				11,991,633
		Health Care Technology – 0.8%
	118,175	MedAssets, Inc.(b)		2,448,586
		Hotels, Restaurants & Leisure – 2.2%
	144,000	Bloomin’ Brands, Inc.(b)		2,640,960
	64,525	Jack in the Box, Inc.		4,399,960
				7,040,920
		Household Durables – 0.7%
	70,225	Ryland Group, Inc. (The)		2,334,279
		Insurance – 7.7%
	147,800	American Equity Investment Life Holding Co.		3,381,664
	111,450	Aspen Insurance Holdings Ltd.		4,766,716
	286,900	CNO Financial Group, Inc.		4,865,824
	151,237	HCC Insurance Holdings, Inc.		7,303,235
	72,075	Platinum Underwriters Holdings Ltd.		4,387,205
				24,704,644
		Internet & Catalog Retail – 1.6%
	83,050	HSN, Inc.		5,096,779
		IT Services – 5.4%
	179,300	Broadridge Financial Solutions, Inc.		7,464,259
	59,650	CACI International, Inc., Class A(b)		4,251,255
	151,675	iGATE Corp.(b)		5,569,506
				17,285,020
		Machinery – 7.3%
	93,425	Barnes Group, Inc.		2,835,449
	176,275	Hillenbrand, Inc.		5,445,135
	90,175	Kennametal, Inc.		3,725,129
	204,975	Rexnord Corp.(b)		5,831,538
	37,550	Standex International Corp.		2,783,957
	223,725	Wabash National Corp.(b)		2,980,017
				23,601,225
		Metals & Mining – 2.0%
	103,725	Globe Specialty Metals, Inc.		1,886,758
	67,500	Reliance Steel & Aluminum Co.		4,617,000
				6,503,758
		Oil, Gas & Consumable Fuels – 3.4%
	92,950	Bonanza Creek Energy, Inc.(b)		5,288,855
	135,264	Oasis Petroleum, Inc.(b)		5,655,388
				10,944,243

Shares		Description	Value (†)
	Common Stocks – continued
		Paper & Forest Products – 0.9%
	102,200	KapStone Paper and Packaging Corp.(b)	$	2,858,534
		Pharmaceuticals – 1.0%
	70,775	Lannett Co., Inc.(b)		3,233,002
		Professional Services – 2.8%
	50,475	Dun & Bradstreet Corp. (The)		5,929,298
	101,300	ICF International, Inc.(b)		3,119,027
				9,048,325
		REITs - Hotels – 1.4%
	708,125	Hersha Hospitality Trust		4,510,756
		Road & Rail – 1.7%
	76,000	Celadon Group, Inc.		1,478,200
	82,600	Con-way, Inc.		3,923,500
				5,401,700
		Software – 6.8%
	70,825	BroadSoft, Inc.(b)		1,490,158
	83,325	CommVault Systems, Inc.(b)		4,199,580
	63,625	Ellie Mae, Inc.(b)		2,074,175
	128,725	SS&C Technologies Holdings, Inc.(b)		5,649,740
	150,950	Verint Systems, Inc.(b)		8,394,330
				21,807,983
		Specialty Retail – 4.3%
	148,525	GNC Holdings, Inc., Class A		5,753,858
	42,700	Group 1 Automotive, Inc.		3,104,717
	109,400	Men’s Wearhouse, Inc. (The)		5,165,868
				14,024,443
		Textiles, Apparel & Luxury Goods – 2.8%
	148,350	Steven Madden Ltd.(b)		4,781,320
	174,775	Wolverine World Wide, Inc.		4,379,862
				9,161,182
		Trading Companies & Distributors – 2.4%
	32,000	DXP Enterprises, Inc.(b)		2,357,760
	66,825	WESCO International, Inc.(b)		5,229,725
				7,587,485
		Total Common Stocks (Identified Cost $261,834,679)		313,171,800
Principal Amount
	Short-Term Investments – 2.7%
$	8,637,408	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $8,637,408 on 10/01/2014 collateralized by $8,780,000 U.S. Treasury Note, 1.625% due 4/30/2019 valued at $8,812,925 including accrued interest(c) (Identified Cost $8,637,408)		8,637,408

Total Investments – 99.7% (Identified Cost $270,472,087)(a)		321,809,208
Other assets less liabilities – 0.3%		988,047
Net Assets – 100.0%	$	322,797,255

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

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

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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

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

At September 30, 2014, the net unrealized appreciation on investments based on a cost of $270,472,087 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	$	54,585,992
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,248,871	)
Net unrealized appreciation	$	51,337,121

(b) Non-income producing security.

(c) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

REITs Real Estate Investment Trusts

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2014, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	313,171,800	$	—	$	—	$	313,171,800
Short-Term Investments		—		8,637,408		—		8,637,408
Total	$	313,171,800	$	8,637,408	$	—	$	321,809,208

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

For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.

Industry Summary at September 30, 2014 (Unaudited)

Banks	9.0	%
Insurance	7.7
Health Care Equipment & Supplies	7.6
Machinery	7.3
Software	6.8
IT Services	5.4
Specialty Retail	4.3
Containers & Packaging	3.7
Health Care Providers & Services	3.7
Oil, Gas & Consumable Fuels	3.4
Textiles, Apparel & Luxury Goods	2.8
Professional Services	2.8
Capital Markets	2.5
Trading Companies & Distributors	2.4
Commercial Services & Supplies	2.3
Hotels, Restaurants & Leisure	2.2
Energy Equipment & Services	2.0
Metals & Mining	2.0
Other Investments, less than 2% each	19.1
Short-Term Investments	2.7
Total Investments	99.7
Other assets less liabilities	0.3
Net Assets	100.0	%

ITEM 2. CONTROLS AND PROCEDURES.

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

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

ITEM 3. EXHIBITS

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

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

SIGNATURES

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

Natixis Funds Trust I
By:	/s/ David L. Giunta
Name:	David L. Giunta
Title:	President and Chief Executive Officer
Date:	November 21, 2014

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 21, 2014
By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	November 21, 2014

EX-99.CERT

Exhibit (a)(1)

Natixis Funds Trust I

Exhibit to SEC Form N-Q

Section 302 Certification

I, David L. Giunta, certify that:

1. I have reviewed this report on Form N-Q of Natixis Funds Trust I;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 21, 2014

/s/ David L. Giunta

David L. Giunta

President and Chief Executive Officer

Exhibit (a)(2)

Natixis Funds Trust I

Exhibit to SEC Form N-Q

Section 302 Certification

I, Michael C. Kardok, certify that:

1. I have reviewed this report on Form N-Q of Natixis Funds Trust I;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of such disclosure controls and procedures, as of a date within 90 days prior to the filing of this report, based on such evaluation; and

d. Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 21, 2014

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer