-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, AEgX1wydfBtZBEaBHtWiylvWfQarxG2Ws2tB66AA0yCmjilIo4Pq0OTaUGvIliKt wn8fWdmOLMVj0i74tOw9og== 0001145443-05-001984.txt : 20050826 0001145443-05-001984.hdr.sgml : 20050826 20050826101204 ACCESSION NUMBER: 0001145443-05-001984 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20050630 FILED AS OF DATE: 20050826 DATE AS OF CHANGE: 20050826 EFFECTIVENESS DATE: 20050826 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LOOMIS SAYLES FUNDS II CENTRAL INDEX KEY: 0000872649 IRS NUMBER: 043113285 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-06241 FILM NUMBER: 051050417 BUSINESS ADDRESS: STREET 1: 399 BOYLSTON STREET CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 8003997788 MAIL ADDRESS: STREET 1: 399 BOYLSTON STREET CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS I DATE OF NAME CHANGE: 20031119 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS DATE OF NAME CHANGE: 20031015 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS II DATE OF NAME CHANGE: 20030718 N-Q 1 d17665_nq.txt LOOMIS SAYLES FUNDS II 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: 811-6241 Loomis Sayles Funds II - -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 399 Boylston Street, Boston, Massachusetts 02116 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Coleen Downs Dinneen, Esq. IXIS Asset Management Distributors, L.P. 399 Boylston Street Boston, Massachusetts 02116 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (617) 449-2810 Date of fiscal year end: September 30 Date of reporting period: June 30, 2005 ITEM I SCHEDULE OF INVESTMENTS PORTFOLIO OF INVESTMENTS - as of June 30, 2005 (Unaudited) Loomis Sayles Aggressive Growth Fund
Shares Value (a) - ---------------------------------------------------------------------------------------------------- COMMON STOCKS - 98.3% of total net assets Aerospace & Defense - 2.1% Precision Castparts Corp. 13,200 $ 1,028,280 ----------- Beverages - 2.1% Constellation Brands, Inc., Class A (c) 33,925 1,000,788 ----------- Biotechnology - 4.4% Affymetrix, Inc. (c)(d) 8,075 435,484 Amylin Pharmaceuticals, Inc. (c)(d) 20,675 432,728 Celgene Corp. (c)(d) 6,800 277,236 Idenix Pharmaceuticals, Inc. (c) 9,750 211,380 Invitrogen Corp. (c) 9,200 766,268 ----------- 2,123,096 ----------- Capital Markets - 2.0% Legg Mason, Inc. 9,225 960,415 ----------- Commercial Banks - 1.5% SVB Financial Group (c)(d) 15,000 718,500 ----------- Commercial Services & Supplies - 2.6% Corporate Executive Board Co. 16,175 1,266,988 ----------- Communications Equipment - 2.3% Juniper Networks, Inc. (c) 45,125 1,136,248 ----------- Computers & Peripherals - 0.8% PalmOne, Inc. (c) 12,150 383,576 ----------- Diversified Financial Services - 2.5% Moody's Corp. 26,550 1,193,688 ----------- Electronic Equipment & Instruments - 1.6% Cogent, Inc. (c)(d) 27,250 777,988 ----------- Energy Equipment & Services - 3.9% National-Oilwell Varco, Inc. (c) 15,925 757,075 Transocean, Inc. (c) 20,750 1,119,877 ----------- 1,876,952 ----------- Food & Staples Retailing - 2.3% Whole Foods Market, Inc. 9,625 1,138,637 ----------- Healthcare Equipment & Supplies - 3.8% Intuitive Surgical, Inc. (c)(d) 9,225 430,254 St. Jude Medical, Inc. (c) 17,800 776,258 Ventana Medical Systems, Inc. (c)(d) 15,550 625,576 ----------- 1,832,088 -----------
Healthcare Providers & Services - 11.0% Covance, Inc. (c) 19,850 $ 890,670 Express Scripts, Inc. (c)(d) 15,000 749,700 Medco Health Solutions, Inc. (c) 18,550 989,828 Sierra Health Services, Inc. (c)(d) 14,275 1,020,091 United Surgical Partners International, Inc. (c)(d) 14,175 738,234 WellPoint, Inc. (c) 13,500 940,140 ----------- 5,328,663 ----------- Hotels, Restaurants & Leisure - 5.1% Starwood Hotels & Resorts Worldwide, Inc. 12,850 752,624 Station Casinos, Inc. 14,200 942,880 Yum! Brands, Inc. 14,950 778,596 ----------- 2,474,100 ----------- Household Durables - 7.9% D.R. Horton, Inc. 26,600 1,000,426 Harman International Industries, Inc. 8,300 675,288 Meritage Homes Corp. (c) 6,250 496,875 Tempur-Pedic International, Inc. (c)(d) 30,425 674,827 Toll Brothers, Inc. (c)(d) 9,650 979,957 ----------- 3,827,373 ----------- Internet Software & Services - 3.8% Google, Inc., Class A (c) 2,500 735,375 VeriSign, Inc. (c) 38,350 1,102,946 ----------- 1,838,321 ----------- IT Services - 2.7% Cognizant Technology Solutions Corp. (c) 27,875 1,313,749 ----------- Media - 4.5% Getty Images, Inc. (c) 13,250 983,945 Univision Communications, Inc., Class A (c) 17,175 473,171 XM Satellite Radio Holdings, Inc., Class A (c)(d) 22,125 744,728 ----------- 2,201,844 ----------- Oil, Gas & Consumable Fuels - 3.8% EOG Resources, Inc. 20,550 1,167,240 Southwestern Energy Co. (c)(d) 14,025 658,894 ----------- 1,826,134 ----------- Real Estate - 4.6% CB Richard Ellis Group, Inc., Class A (c) 23,525 1,031,807 St. Joe Co. 14,525 1,184,368 ----------- 2,216,175 ----------- Semiconductors & Semiconductor Equipment - 5.7% Cypress Semiconductor Corp. (c)(d) 33,600 423,024 Marvell Technology Group Ltd. (c) 24,800 943,392 MEMC Electronic Materials, Inc. (c) 44,825 706,890 Microsemi Corp. (c) 36,400 684,320 ----------- 2,757,626 ----------- Software - 4.5% Activision, Inc. (c) 44,925 742,161 Autodesk, Inc. 21,250 730,362 Micros Systems, Inc. (c) 16,100 720,475 ----------- 2,192,998 ----------- Specialty Retail - 6.3% Advance Auto Parts, Inc. (c) 16,675 1,076,371 Chico's FAS, Inc. (c) 28,700 983,836 Urban Outfitters, Inc. (c)(d) 18,050 1,023,255 ----------- 3,083,462 -----------
Textiles Apparel & Luxury Goods - 2.3% Coach, Inc. (c) 33,850 $ 1,136,345 ----------- Wireless Telecommunication Services - 4.2% Nextel Partners, Inc., Class A (c) 51,675 1,300,660 NII Holdings Inc., Class B (c)(d) 11,475 733,711 ----------- 2,034,371 ----------- TOTAL COMMON STOCKS (Identified Cost $41,365,182) 47,668,405 -----------
Principal Amount - ---------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 21.1% of total net assets Repurchase Agreement with State Street Corp., dated 6/30/05 at 1.400% to be repurchased at $1,236,048 on 7/01/05 collateralized by $1,255,000 U.S. Treasury Bond, due 4/30/07 with a value of $1,262,148 (e) $1,236,000 1,236,000 -----------
Shares - ---------------------------------------------------------------------------------------------------- State Street Navigator Securities Lending Prime Portfolio (f) 9,009,569 9,009,569 ------------ TOTAL SHORT-TERM INVESTMENTS (Identified Cost $10,245,569) 10,245,569 ------------ TOTAL INVESTMENTS - 119.4% (Identified Cost $51,610,751) (b) 57,913,974 Other assets less liabilities -- (19.4)% (9,421,236) ------------ TOTAL NET ASSETS -- 100% $ 48,492,738 ============
(a) Equity securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Such pricing services generally use the most recent bid prices in the principal market in which such securities are normally traded. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available (including restricted securities, if any) are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales and passive foreign investment companies.): At June 30, 2005, the unrealized appreciation on investments based on cost of $51,610,751 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 $ 6,612,528 Aggregate gross unrealized depreciation for all investments in which there is an excess tax cost over value (309,305) ----------- Net unrealized appreciation $ 6,303,223 ===========
(c) Non-income producing security. (d) All or a portion of this security was on loan to brokers at June 30, 2005. The Fund has entered into an agreement with State Street Bank and Trust Company, as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. The Fund receives fees for lending their securities. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at June 30, 2005 were $8,800,098 and $9,009,569, respectively. (e) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The Fund's adviser is responsible for determining that the value of the collateral is at all times at least equal to 102% of the repurchase price, including interest. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. (f) Represents investments of securities lending collateral. - -------------------------------------------------------------------------------- Loomis Sayles Growth Fund - Schedule of Investments - -------------------------------------------------------------------------------- Investments as of June 30, 2005 (Unaudited)
Shares Description Value (a) - ---------------------------------------------------------------------------------------------------- Common Stocks - 98.7% of Total Net Assets Biotechnology - 1.3% 31,000 Genentech, Inc. (c) $ 2,488,680 ----------- Capital Markets - 6.8% 63,994 Legg Mason, Inc. 6,662,415 35,026 Lehman Brothers Holdings, Inc. 3,477,381 45,523 T. Rowe Price Group, Inc. 2,849,740 ----------- 12,989,536 ----------- Communications Equipment - 6.3% 99,350 Cisco Systems, Inc. (c) 1,898,579 148,575 Corning, Inc. (c) 2,469,316 87,875 Juniper Networks, Inc. (c) 2,212,693 203,375 Motorola, Inc. 3,713,627 50,200 QUALCOMM, Inc. 1,657,102 ----------- 11,951,317 ----------- Computers & Peripherals - 3.9% 60,587 Apple Computer, Inc. (c) 2,230,207 132,825 Dell, Inc. (c) 5,247,916 ----------- 7,478,123 ----------- Diversified Financial Services - 4.1% 10,125 Chicago Mercantile Exchange Holdings, Inc. 2,991,937 104,737 Moody's Corp. 4,708,976 ----------- 7,700,913 ----------- Food & Staples Retailing - 4.5% 85,475 Walgreen Co. 3,930,995 39,009 Whole Foods Market, Inc. 4,614,765 ----------- 8,545,760 ----------- Healthcare Equipment & Supplies - 5.6% 32,575 C.R. Bard, Inc. 2,166,563 89,375 St. Jude Medical, Inc. (c) 3,897,644 42,675 Stryker Corp. 2,029,623 34,214 Zimmer Holdings, Inc. (c) 2,606,080 ----------- 10,699,910 ----------- Healthcare Providers & Services - 13.1% 53,600 Aetna, Inc. 4,439,152 91,325 Caremark Rx, Inc. (c) 4,065,789 65,650 HCA, Inc. 3,720,386 66,700 Medco Health Solutions, Inc. (c) 3,559,112 72,992 UnitedHealth Group, Inc. 3,805,803 76,002 WellPoint, Inc. (c) 5,292,779 ----------- 24,883,021 ----------- Household Durables - 5.7% 91,541 D.R. Horton, Inc. 3,442,857 39,950 Pulte Homes, Inc. 3,365,788 38,750 Toll Brothers, Inc. (c)(d) 3,935,062 ----------- 10,743,707 ----------- Household Products - 3.3% 117,925 Procter & Gamble Co. 6,220,544 ----------- Industrial Conglomerates - 3.6% 194,611 General Electric Co. 6,743,271 -----------
Insurance - 4.4% 31,950 Hartford Financial Services Group, Inc. $ 2,389,221 55,875 Metlife, Inc. 2,511,023 51,575 Prudential Financial, Inc. 3,386,414 ----------- 8,286,658 ----------- Internet Software & Services - 6.0% 25,155 Google, Inc., Class A (c) 7,399,343 113,175 Yahoo! Inc. (c) 3,921,514 ----------- 11,320,857 ----------- IT Services - 1.0% 41,925 Cognizant Technology Solutions Corp. (c) 1,975,925 ----------- Media - 1.2% 30,775 Getty Images, Inc. (c)(d) 2,285,351 ----------- Multiline Retail - 1.5% 18,625 Sears Holdings Corp. (c) 2,791,329 ----------- Oil, Gas & Consumable Fuels - 3.5% 36,315 EOG Resources, Inc. 2,062,692 44,000 Exxon Mobil Corp. 2,528,680 57,545 XTO Energy, Inc. (d) 1,955,955 ----------- 6,547,327 ----------- Pharmaceuticals - 4.5% 67,600 Abbott Laboratories 3,313,076 78,791 Johnson & Johnson 5,121,415 ----------- 8,434,491 ----------- Semiconductors & Semiconductor Equipment - 6.3% 51,575 Broadcom Corp., Class A (c) 1,831,428 237,200 Intel Corp. 6,181,432 140,425 Texas Instruments, Inc. 3,941,730 ----------- 11,954,590 ----------- Software - 3.0% 88,767 Adobe Systems, Inc. 2,540,512 39,900 Autodesk, Inc. 1,371,363 69,575 Microsoft Corp. 1,728,243 ----------- 5,640,118 ----------- Specialty Retail - 6.6% 84,425 American Eagle Outfitters, Inc. 2,587,626 63,575 Bed Bath & Beyond, Inc. (c) 2,656,164 47,250 Best Buy Co., Inc. 3,238,988 115,323 Chico's FAS, Inc. (c) 3,953,272 ----------- 12,436,050 ----------- Textiles Apparel & Luxury Goods - 2.5% 140,631 Coach, Inc. (c) 4,720,983 ----------- Total Common Stocks (Identified Cost $169,021,133) 186,838,461 -----------
Principal Amount ---------------- Short-Term Investments - 5.5% of Total Net Assets $ 2,141,000 Repurchase Agreement with State Street Corp., 2,141,000 dated 6/30/05 at 1.400% to be repurchased at ----------- $2,141,083 on 7/1/05 collateralized by $2,205,000 U.S. Treasury Note, 3.000% due 12/31/2006 with a value of $2,185,018 (e)
Shares ------ 8,267,606 State Street Navigator Securities Lending Prime Portfolio (f) $ 8,267,606 ------------ Total Short-Term Investment (Identified Cost $10,408,606) 10,408,606 ------------ Total Investments - 104.2% (Identified Cost $179,429,739) (b) 197,247,067 Other assets less liabilities -- (4.2)% (7,868,265) ------------ Total Net Assets -- 100% $189,378,802 ============
(a) Equity securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Such pricing services generally use the most recent bid prices in the principal market in which such securities are normally traded. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available (including restricted securities, if any) are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2005, the unrealized appreciation on investments based on cost of $179,429,739 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 18,974,459 Aggregate gross unrealized depreciation for all investments in which there is an excess tax cost over value (1,157,131) ------------- Net unrealized appreciation $ 17,817,328 =============
(c) Non-income producing security. (d) All or a portion of this security was on loan to brokers at June 30, 2005. The Fund has entered into an agreement with State Street Bank and Trust Company, as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. The Fund receives fees for lending their securities. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at June 30, 2005 were $8,094,517 and $8,267,606, respectively. (e) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The Fund's adviser is responsible for determining that the value of the collateral is at all times at least equal to 102% of the repurchase price, including interest. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. (f) Represents investments of securities lending collateral. - -------------------------------------------------------------------------------- LOOMIS SAYLES HIGH INCOME FUND -- SCHEDULE OF INVESTMENTS - -------------------------------------------------------------------------------- Investments as of June 30, 2005 (unaudited)
Principal Amount Description Value (a) - ---------------------------------------------------------------------------------------------------- Bonds and Notes -- 93.4% of Total Net Assets Aerospace/Defense -- 0.6% $ 250,000 TD Funding Corp., Senior Subordinated Note 8.375%, 7/15/2011 $ 265,000 ------------ Airlines -- 2.0% 225,000 AMR Corp., Senior Note, Convertible 4.250%, 9/23/2023 194,625 35,000 AMR Corp., Senior Note, Convertible 4.500%, 2/15/2024 27,037 86,366 Continental Airlines, Inc., Series 1997-4, Class 4B 6.900%, 1/02/2017 70,341 165,762 Continental Airlines, Inc., Series 1998-1, Class 1A 6.648%, 9/15/2017 163,570 169,920 Continental Airlines, Inc., Series 1998-1, Class 1B 6.748%, 3/15/2017 139,497 54,100 Continental Airlines, Inc., Series 1999-1, Class C 6.954%, 8/02/2009 43,854 109,326 Continental Airlines, Inc., Series 1999-2, Class B 7.566%, 3/15/2020 90,039 120,690 Continental Airlines, Inc., Series 2002-2, Class B 8.307%, 4/02/2018 100,354 ------------ 829,317 ------------ Automotive -- 4.8% 600,000 Cummins, Inc. 7.125%, 3/01/2028 604,500 35,000 Dana Corp. 5.850%, 1/15/2015 30,800 100,000 Dana Corp. 7.000%, 3/15/2028 87,536 195,000 Dana Corp. 7.000%, 3/1/2029 170,353 230,000 Delphi Corp. 7.125%, 5/01/2029 (c) 158,700 145,000 Ford Motor Co. 6.375%, 2/01/2029 111,798 355,000 General Motors Acceptance Corp. 4.130%, 3/20/2007 344,292 145,000 General Motors Acceptance Corp. 8.000%, 11/01/2031 129,390 125,000 General Motors Acceptance Corp. of Canada, Ltd., Series E., (MTN) 6.625%, 12/17/2010 (GBP) 202,520 110,000 Tenneco Automotive, Inc., Senior Subordinated Note 8.625%, 11/15/2014 110,550 ------------ 1,950,439 ------------ Banking -- 3.2% 7,000,000 Barclays Bank PLC, 144A 4.160%, 2/22/2010 (THB) (d) 169,243 9,000,000 Barclays Financial, LLC, 144A 4.100%, 3/22/2010 (THB) (d) 216,923 990,000 Citibank NA, 144A 15.000%, 7/02/2010 (BRL) (d) 434,374 500,000 HSBC Bank USA, 144A 3.310%, 8/25/2010 (d) 502,800 ------------ 1,323,340 ------------
Biotechnology -- 0.4% 165,000 Enzon, Inc. 4.500%, 7/01/2008 145,612 ------------ Chemicals -- 2.6% 450,000 Borden Chemical, Inc. 7.875%, 2/15/2023 360,000 550,000 Borden Chemical, Inc. 9.200%, 3/15/2021 506,000 270,000 Hercules, Inc., Subordinated Note 6.500%, 6/30/2029 207,900 ------------ 1,073,900 ------------ Commercial Services -- 0.3% 95,000 Hertz Corp., Senior Note 6.350%, 6/15/2010 90,852 20,000 Hertz Corp., Senior Note 6.900%, 8/15/2014 18,594 20,000 NGL Capital Securities 8.316%, 6/01/2027 17,500 ------------ 126,946 ------------ Construction Machinery -- 2.6% 350,000 Case Credit Corp. 6.750%, 10/21/2007 341,250 100,000 Case New Holland, Inc., Senior Note, 144A 9.250%, 8/01/2011 105,000 120,000 Great Lakes Dredge & Dock Corp., Senior Subordinated Note 7.750%, 12/15/2013 (c) 90,900 550,000 United Rentals North America, Inc., Senior Subordinated Note 7.000%, 2/15/2014 (c) 523,875 ------------ 1,061,025 ------------ Electric -- 5.2% 340,000 AES Corp. (The), Senior Note 7.750%, 3/01/2014 368,900 100,000 Allegheny Energy Supply Co., LLC 7.800%, 3/15/2011 109,000 100,000 Calpine Corp., Senior Note 7.750%, 4/15/2009 (c) 68,000 200,000 Calpine Corp., Senior Note 7.875%, 4/01/2008 (c) 140,000 705,000 Calpine Corp., Senior Note 8.500%, 2/15/2011 (c) 482,925 170,000 Calpine Corp., Senior Secured Note, 144A 8.750%, 7/15/2013 125,800 360,000 Enersis SA, Cayman Island 7.400%, 12/01/2016 (yankee) 391,410 140,000 Enersis SA, Chile 7.375%, 1/15/2014 151,109 44,218 Salton SEA Funding Corp., Series E, Senior Note 8.300%, 5/30/2011 48,446 250,000 TXU Corp., 144A 5.550%, 11/15/2014 242,464 ------------ 2,128,054 ------------ Electronics -- 0.5% 125,000 Amkor Technology, Inc. 5.000%, 3/15/2007 (c) 108,125 125,000 Amkor Technology, Inc., Senior Note 7.750%, 5/15/2013 (c) 107,500 ------------ 215,625 ------------ Financial Services -- 0.4% 145,000 Astoria Depositor Corp., 144A 8.144%, 5/01/2021 143,550 ------------ Food and Beverage -- 1.9% 600,000 Bavaria SA, Senior Note, 144A 8.875%, 11/01/2010 660,900 115,000 Friendly Ice Cream Corp., Guaranteed Senior Note 8.375%, 6/15/2012 (c) 111,550 ------------ 772,450 ------------
Healthcare -- 2.4% 150,000 Columbia/HCA, Inc. 7.500%, 12/15/2023 158,188 75,000 Columbia/HCA, Inc. 7.690%, 6/15/2025 80,353 500,000 Columbia/HCA, Inc. 7.750%, 7/15/2036 532,687 200,000 Columbia/HCA, Inc., (MTN) 7.580%, 9/15/2025 210,871 ------------ 982,099 ------------ Home Construction -- 0.7% 300,000 K Hovnanian Enterprises 6.250%, 1/15/2015 296,250 ------------ Independent Energy -- 0.9% 270,000 Chesapeake Energy Corp., Senior Note 6.875%, 1/15/2016 281,475 100,000 Chesapeake Energy Corp., Senior Note, 144A 6.375%, 6/15/2015 102,500 ------------ 383,975 ------------ Integrated Energy -- 1.3% 265,000 Cerro Negro Finance, Ltd., 144A 7.900%, 12/01/2020 242,475 300,000 Petrozuata Finance, Inc., Series B, 144A 8.220%, 4/01/2017 281,250 ------------ 523,725 ------------ Lodging -- 0.8% 300,000 FelCor Lodging, LP, Senior Note 9.000%, 6/01/2011 327,750 ------------ Media Cable -- 5.3% 500,000 Charter Communications Holdings, Inc., Senior Note 9.625%, 11/15/2009 373,750 150,000 Charter Communications Holdings, Inc., Senior Note 10.000%, 5/15/2011 109,500 550,000 CSC Holdings, Inc., Senior Note 7.625%, 7/15/2018 530,750 200,000 Innova S De RL 9.375%, 9/19/2013 225,500 175,000 PanAmSat Corp. 6.875%, 1/15/2028 164,719 650,000 Rogers Cable, Inc., Senior Note 5.500%, 3/15/2014 612,625 150,000 Rogers Communications, Inc. 2.000%, 11/26/2005 168,562 ------------ 2,185,406 ------------ Metals and Mining -- 1.9% 520,000 AK Steel Corp., Guaranteed Senior Note 7.750%, 6/15/2012 (c) 439,400 150,000 Glencore Funding, LLC, Guaranteed Note, 144A 6.000%, 4/15/2014 143,835 175,000 Vale Overseas, Ltd. 8.250%, 1/17/2034 192,500 ------------ 775,735 ------------ Oil & Gas -- 0.3% 40,000 Dynegy Holdings, Inc. 7.125%, 5/15/2018 38,100 90,000 NGC Corp. 7.625%, 10/15/2026 85,725 ------------ 123,825 ------------
Oil Field Services -- 0.1% 35,000 North American Energy Partners, Inc., Senior Note 8.750%, 12/01/2011 30,100 ------------ Packaging -- 1.5% 350,000 Owens-Illinois, Inc., Senior Note 7.500%, 5/15/2010 (c) 367,500 135,000 Owens-Illinois, Inc., Senior Note 7.800%, 5/15/2018 141,750 125,000 Solo Cup Co., Senior Subordinated Note 8.500%, 2/15/2014 (c) 116,875 ------------ 626,125 ------------ Paper -- 4.5% 270,000 Abitibi-Consolidated, Inc. 7.500%, 4/01/2028 234,225 250,000 Abitibi-Consolidated, Inc. 8.500%, 8/01/2029 232,500 100,000 Arcel Finance, Ltd., 144A 6.361%, 5/01/2012 100,327 200,000 Arcel Finance, Ltd., 144A 7.048%, 9/01/2011 206,716 685,000 Bowater, Inc. 6.500%, 6/15/2013 (c) 676,437 165,000 Georgia-Pacific Corp. 7.250%, 6/01/2028 176,550 200,000 Georgia-Pacific Corp. 7.375%, 12/01/2025 216,250 ------------ 1,843,005 ------------ Pharmaceuticals -- 6.1% 85,000 Elan Capital Corp., Ltd., Convertible 6.500%, 11/10/2008 100,351 120,000 Elan Finance Corp., Senior Note, 144A 7.750%, 11/15/2011 102,600 127,000 EPIX Pharmaceuticals, Inc., Senior Note 3.000%, 6/15/2024 99,377 325,000 Inhale Therapeutic Systems, Inc., Subordinated Note 3.500%, 10/17/2007 302,656 375,000 IVAX Corp., Senior Note, Convertible 1.500%, 3/01/2024 (c) 382,500 202,000 IVAX Corp., Senior Subordinated Note, Convertible 4.500%, 5/15/2008 (c) 201,495 250,000 Pharma Intermediate 0/11.500%, 4/01/2014 (g) 180,625 200,000 Quintiles Transnational Corp., Senior Subordinated Note 10.000%, 10/01/2013 219,000 175,000 Regeneron Pharmaceuticals, Inc., Subordinated Note, Convertible 5.500%, 10/17/2008 151,375 155,000 Valeant Pharmaceuticals International, Subordinated Note, Convertible 3.000%, 8/16/2010 132,719 300,000 Valeant Pharmaceuticals International, Subordinated Note, Convertible 4.000%, 11/15/2013 256,875 310,000 Vertex Pharmaceuticals, Inc., 144A 5.750%, 2/15/2011 382,075 ------------ 2,511,648 ------------ Pipelines -- 6.0% 65,000 Coastal Corp. 6.500%, 6/01/2008 64,512 415,000 El Paso CGP, Co. 6.375%, 2/01/2009 408,775 825,000 El Paso CGP, Co. 6.950%, 6/01/2028 721,875 165,000 Williams Cos., Inc. 7.875%, 9/01/2021 187,687 982,000 Williams Cos., Inc., Series A 7.500%, 1/15/2031 1,063,015 ------------ 2,445,864 ------------ Real Estate Investment Trusts -- 1.3% 500,000 Crescent Real Estate Equities, LP, Senior Subordinated Note 9.250%, 4/15/2009 532,500 ------------
Retailers -- 4.4% 250,000 Dillard's Department Stores, Inc. 6.625%, 1/15/2018 237,500 600,000 Dillard's, Inc. 7.750%, 7/15/2026 589,500 270,000 Saks, Inc. 7.375%, 2/15/2019 (c) 270,000 335,000 Toys R US, Inc. 7.375%, 10/15/2018 273,025 400,000 Woolworth Corp. 8.500%, 1/15/2022 439,000 ------------ 1,809,025 ------------ Sovereigns -- 5.1% 95,000 Republic of Brazil 8.250%, 1/20/2034 92,910 175,000 Republic of Colombia 8.125%, 5/21/2024 174,562 100,000,000 Republic of Colombia 11.750%, 3/01/2010 (COP) 45,730 19,250,000 United Mexican States 9.000%, 12/20/2012 (MXN) 1,756,723 ------------ 2,069,925 ------------ Supranational -- 3.5% 6,000,000 Inter-American Development Bank, Series E, (MTN) Zero Coupon, 5/11/2009 (BRL) (d) 1,444,081 ------------ Technology -- 10.6% 225,000 Corning, Inc. 5.900%, 3/15/2014 (c) 231,225 270,000 Corning, Inc. 6.200%, 3/15/2016 281,901 225,000 Corning, Inc. 6.750%, 9/15/2013 243,125 155,000 Corning, Inc. 6.850%, 3/01/2029 160,175 215,000 Kulicke & Soffa Industries, Inc., Subordinated Note, Convertible 0.500%, 11/30/2008 158,831 910,000 Lucent Technologies, Inc. 6.450%, 3/15/2029 814,450 315,000 Maxtor Corp., Subordinated Note 5.750%, 3/01/2012 (d) 277,200 425,000 Nortel Networks Corp. 6.875%, 9/01/2023 397,375 300,000 Nortel Networks Corp., Guaranteed Senior Note 4.250%, 9/01/2008 279,750 100,000 Northern Telecom Capital Corp. 7.875%, 6/15/2026 100,000 100,000 SCI Systems, Inc., Subordinated Note, Convertible 3.000%, 3/15/2007 94,000 105,000 Unisys Corp. 6.875%, 3/15/2010 103,163 325,000 Xerox Capital Trust I, Guaranteed Note 8.000%, 2/01/2027 336,375 300,000 Xerox Corp., (MTN) 7.200%, 4/01/2016 324,000 500,000 Xerox Corp., Senior Note 6.875%, 8/15/2011 530,000 ------------ 4,331,570 ------------ Transportation Services -- 4.9% 275,000 American President Cos., Ltd., Senior Note 8.000%, 1/15/2024 288,750 123,906 Atlas Air, Inc., Series 1998-1, Class 1A 7.380%, 1/02/2018 124,486 121,281 Atlas Air, Inc., Series 1999-1, Class A1 7.200%, 1/02/2019 121,479 120,704 Atlas Air, Inc., Series 2000-1, Class A 8.707%, 1/02/2019 125,490 250,000 Bombardier Capital Funding, LP 6.750%, 5/14/2009 (GBP) 437,137 300,000 Overseas Shipholding Group, Senior Note 7.500%, 2/15/2024 289,500 295,000 Stena AB, Senior Note 7.000%, 12/01/2016 273,613 350,000 Stena AB, Senior Note 7.500%, 11/01/2013 344,750 ------------ 2,005,205 ------------
Wireless -- 1.5% 250,000 NTL Cable PLC 9.750%, 4/15/2014 (GBP) 458,387 150,000 Rogers Wireless Communications, Inc., Senior Secured Note 6.375%, 3/01/2014 152,625 ------------ 611,012 ------------ Wirelines -- 5.8% 50,000 Cincinnati Bell, Inc. 8.375%, 1/15/2014 (c) 51,250 95,000 Citizens Communications Co. 7.000%, 11/01/2025 82,650 155,000 Citizens Communications Co., Senior Note 9.000%, 8/15/2031 158,875 80,000 MCI, Inc., Senior Note 8.735%, 5/01/2014 89,700 375,000 Qwest Capital Funding, Inc. 6.875%, 7/15/2028 297,188 1,890,000 Qwest Capital Funding, Inc. 7.750%, 2/15/2031 (c) 1,630,125 75,000 Qwest Capital Funding, Inc., Guaranteed Note 7.000%, 8/03/2009 (c) 73,313 ------------ 2,383,101 ------------ Total Bonds and Notes (Identified Cost $35,880,428) 38,277,184 ------------
Shares Description Value (a) - ---------------------------------------------------------------------------------------------------- Preferred Stocks -- 4.0% Electric -- 1.7% 6,475 AES Trust III, Preferred, 6.75%, 10/15/2029 308,372 8,000 CMS Energy Trust I, Preferred, Convertible, 7.75%, 7/15/2027 404,000 ------------ 712,372 ------------ Packaging -- 0.6% 6,500 Owens-Illinois, Inc., Convertible, 4.75%, 12/31/2049 (c) 264,875 ------------ Pipelines -- 0.9% 4,000 Williams Holdings of Delaware, Preferred, Convertible, 5.50%, 6/01/2033 364,000 ------------ Technology -- 0.5% 225 Lucent Technologies Capital Trust I, Convertible, 7.75%, 3/15/2017 218,419 ------------ Wirelines -- 0.3% 2,000 Philippine Long Distance Telephone Co., Sponsored GDR, Convertible, $24.80, 12/31/2049 103,000 ------------ Total Preferred Stocks (Identified Cost $1,412,789) 1,662,666 ------------
Shares Description Value (a) - ---------------------------------------------------------------------------------------------------- Common Stocks -- 0.2% Investment Companies -- 0.1% 2,220 CIM High Yield Securities Fund 9,013 2,175 High Income Opportunity Fund, Inc. 14,051 3,835 Morgan Stanley Emerging Markets Debt Fund, Inc. (c) 38,120 525 Senior High Income Portfolio, Inc. 3,129 ------------ 64,313 ------------ Metals and Mining -- 0.1% 900 Cia Vale do Rio Doce, ADR (c) 26,352 ------------ Total Common Stocks (Identified Cost $77,368) 90,665 ------------
Principal Amount Description Value (a) - ---------------------------------------------------------------------------------------------------- Short Term Investments -- 15.5% 639,072 Repurchase Agreement with Investors Bank & Trust Co. dated 6/30/2005 at $639,108 on 07/01/2005, collateralized by $671,317 Federal National Mortgage Administration Bond, 3.86% due 1/25/2032 valued at $671,026. (f) 639,072 263,212 American Beacon Fund, 3.18%, due 7/01/2005 (e) 263,212 376,388 Bank of Nova Scotia, 3.11%, due 7/11/2005 (e) 376,388 84,582 Bank of Nova Scotia, 3.16%, due 7/15/2005 (e) 84,582 211,454 Bank of Nova Scotia, 3.30%, due 7/29/2005 (e) 211,454 346,342 BGI Institutional Money Market Fund (e) 346,342 345,640 Calyon, 3.09%, due 7/01/2005 (e) 345,640 211,454 Clipper Receivables Corp., 3.19%, due 7/14/2005 (e) 211,454 228,370 Compass Securitization, 3.16%, due 7/11/2005 (e) 228,370 230,857 Fairway Finance, 3.26%, due 7/25/2005 (e) 230,857 211,454 Falcon Asset Securitization Corp., 3.17%, due 7/12/2005 (e) 211,454 169,163 General Electric Capital Corp., 3.25%, due 7/08/2005 (e) 169,163 179,275 Goldman Sachs Financial Square Prime Obligations Fund (e) 179,275 217,713 Greyhawk Funding, 3.26%, due 8/01/2005 (e) 217,713 211,454 Jupiter Securitization Corp., 3.21%, due 7/15/2005 (e) 211,454 211,454 Lexington Parker Capital Corp., 3.26%, due 7/19/2005 (e) 211,454 27,068 Merrimac Cash Fund-Premium Class (e) 27,068 324,815 National Australia Bank, 3.26%, due 7/06/2005 (e) 324,815 211,454 Park Avenue Receivables Corp., 3.23%, due 7/20/2005 (e) 211,454 211,454 Prefco, 3.26%, due 7/26/2005 (e) 211,454 165,308 Rabobank Nederland, 3.35%, due 7/01/2005 (e) 165,309 208,099 Ranger Funding, 3.19%, due 7/15/2005 (e) 208,099 211,454 Royal Bank of Canada, 3.25%, due 8/05/2005 (e) 211,454 422,908 Royal Bank of Scotland, 3.29%, due 7/12/2005 (e) 422,908 211,454 Sheffield Receivables Corp., 3.34%, due 7/15/2005 (e) 211,454 210,316 Yorktown Capital LLC, 3.24%, due 7/20/2005 (e) 210,316 ------------ Total Short Term Investments (Identified Cost $6,342,215) 6,342,215 ------------ Total Investments -- 113.1% (Identified Cost $43,712,800) (b) 46,372,730 Other assets less liabilities (5,377,137) ----------- Total Net Assets -- 100% $40,995,593 ===========
(a) Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of less than sixty days) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service authorized by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Short-term obligations with a remaining maturity of less than sixty days are stated at amortized cost, which approximates market value. Equity securities for which market quotations are readily available are valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees. The pricing service provides the last reported sale price for securities listed on an applicable securities exchange or, if no sale was reported and in the case of over-the-counter securities not so listed, the last reported bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price("NOCP"), or if lacking NOCP, at the most recent bid quotations on the NASDAQ National Market. Certain securities held by the Fund were valued on the basis of a price provided by a principal market maker. The prices provided by the principal market makers may differ form the value that would be realized if the securities were sold. All other securities and assets are valued at their fair value as determined in good faith by the Fund's investment adviser and subadviser, pursuant to the procedures approved by the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and /or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales, return of capital included in dividends received from the Fund's investments in REIT's and interest adjustments on defaulted bonds. Amortization of premium on debt securities is excluded for tax purposes.): At June 30, 2005, the net unrealized appreciation on investments based on cost of $43,721,934 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 3,229,115 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (578,319) ----------- Net unrealized appreciation $ 2,650,796 ===========
At September 30, 2004, the Fund had a capital loss carryover of approximately $85,140,904 of which $14,939,549 expires on September 30, 2008, $43,374,721 expires on September 30, 2009 and $26,826,634 expires on September 30, 2010. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (c) All or a portion of this security was on loan to brokers at June 30, 2005. The Fund has entered into an agreement with Investors Bank & Trust Company, as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at June 30, 2005 were $5,566,988 and $5,703,143, respectively. (d) Illiquid security. At June 30, 2005, the value of these securities was $3,044,621 or 7.4% of net assets. (e) Represents investments of securities lending collateral. (f) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The Fund's investment adviser is responsible for determining that the value of the collateral is at all times at least equal to 102% of the repurchase price, including interest. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund's ability to dispose of the underlying securities. (g) Step Bond: Coupon rate is zero or below market for an initial period and then increases to a higher coupon rate at a specified date. ADR/GDR An American Depositary Receipt (ADR) or Global Depositary Receipt (GDR) is a certificate issued by a U.S. Bank representing the right to receive securities of the foreign issuer described. The values of ADRs and GDRs are significantly influenced by trading on exchanges not located in the United States. MTN Medium Term Note Yankee U.S. Dollar denominated security issued by a non - U.S. company 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registrations, normally to qualified institutional buyers. At the period end, the value of these amounted to $4,162,832 or 10.2% of net assets. BRL - Brazilian Real COP - Colombian Peso GBP - British Pound MXN - Mexican Peso THB - Thai Baht - -------------------------------------------------------------------------------- Loomis Sayles Investment Grade Bond Fund - Schedule of Investments - -------------------------------------------------------------------------------- Investments as of June 30, 2005 (Unaudited)
Principal Amount Description Value (a) - ---------------------------------------------------------------------------------------------------- BONDS AND NOTES - 94.8% OF TOTAL NET ASSETS Non-Convertible Bonds - 93.2% Aerospace & Defense - 0.0% $ 145,000 Raytheon Co., 7.375%, 7/15/2025 $ 149,413 ------------ Airlines - 1.9% 449,167 American Airlines, Inc., 6.978%, 4/01/2011 464,033 1,000,000 American Airlines, Inc., Class B, 8.608%, 4/01/2011 (c) 937,625 1,814,793 Continental Airlines, Inc., 6.703%, 12/15/2022 1,771,756 1,112,072 Continental Airlines, Inc., Series 1999-1A, 6.545%, 2/02/2019 1,113,275 787,369 Continental Airlines, Inc., Series 1998-1A, 6.648%, 9/15/2017 776,957 367,387 Continental Airlines, Inc., Series 1999-2, 7.256%, 3/15/2020 370,317 1,767,095 Continental Airlines, Inc., Series 2000-2, 7.707%, 10/02/2022 1,768,722 612,040 US Airways, 6.850%, 1/30/2018 613,403 ------------ 7,816,088 ------------ Asset-Backed Securities - 0.6% 966,446 Community Program Loan Trust, Series 1987-A, Class A4, 4.500%, 10/01/2018 965,653 1,700,000 Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029 1,629,283 ------------ 2,594,936 ------------ Automotive - 3.7% 375,000 Cummins Engine Co., Inc., 7.125%, 3/01/2028 377,812 3,150,000 Delphi Automotive Systems Corp., 7.125%, 5/01/2029 (c) 2,173,500 2,500,000 Ford Motor Co., 6.375%, 2/01/2029 1,927,555 700,000 Ford Motor Credit Co., 7.375%, 10/28/2009 684,031 1,500,000 General Motors Acceptance Corp., 6.875%, 9/15/2011 (c) 1,384,632 3,000,000 General Motors Acceptance Corp., 7.000%, 12/07/2005, (GBP) 5,370,205 3,050,000 General Motors Acceptance Corp., 7.500%, 12/01/2006, (NZD) 2,018,693 700,000 General Motors Corp., 6.750%, 5/01/2028 (c) 512,750 950,000 GMAC International Finance BV, 8.000%, 3/14/2007, (NZD) 637,740 ------------ 15,086,918 ------------ Banking - 5.6% 144,000,000 Barclays Financial LLC, 4.100%, 3/22/2010, (THB), 144A 3,472,869 140,000,000 Barclays Financial LLC, 4.160%, 2/22/2010, (THB), 144A 3,386,906 1,500,000 CIT Group, Inc., 5.500%, 12/01/2014, (GBP) 2,753,114 9,860,000 Citibank NA, 15.000%, 7/02/2010, (BRL), 144A 4,346,277 4,500,000 HSBC Bank USA, 3.310%, 8/25/2010, 144A 4,525,200 18,000,000 J.P. Morgan Chase & Co., Zero Coupon, 5/10/2010, (BRL), 144A 4,069,035 250,000 J.P. Morgan Chase & Co., 4.000%, 2/01/2008 248,728 100,000 Key Bank NA, 6.950%, 2/01/2028 121,389 ------------ 22,923,518 ------------
Beverages - 0.4% 1,525,000 Cia Brasileira de Bebidas, 8.750%, 9/15/2013 1,763,281 ------------ Brokerage - 0.2% 1,000,000 Morgan Stanley, 3.625%, 4/01/2008 (c) 984,497 ------------ Consumer Products - 0.4% 1,400,000 Bausch & Lomb, Inc., 7.125%, 8/01/2028 1,572,588 ------------ Electric - 3.9% 2,750,000 Constellation Energy Group, Inc., 4.550%, 6/15/2015 2,655,152 5,500,000 Empresa Nacional de Electricidad SA (Endesa-Chile), 7.875%, 2/01/2027 6,084,265 1,000,000 Empresa Nacional de Electricidad SA (Endesa-Chile), 8.350%, 8/01/2013 1,161,437 4,000,000 Enersis SA, 7.400%, 12/01/2016 4,348,996 1,500,000 MidAmerican Energy Holdings Co., 5.875%, 10/01/2012 1,593,325 45,000 Quezon Power Philippines Co., 8.860%, 6/15/2017 43,358 ------------ 15,886,533 ------------ Foreign Agencies - 1.1% 220,000 Alberta Municipal Funding Corp., 5.700%, 9/01/2011, (CAD) 198,613 3,670,000 Pemex Project Funding Master Trust, 8.625%, 12/01/2023, 144A 4,459,050 ------------ 4,657,663 ------------ Foreign Local Governments - 9.3% 19,100,000 Kommunekredit, 5.000%, 6/07/2006, (NOK) 2,986,316 35,951 Province of Alberta, 5.930%, 9/16/2016, (CAD) 32,644 4,525,000 Province of British Columbia, 5.250%, 12/01/2006, (CAD) 3,811,058 5,175,000 Province of British Columbia, 6.000%, 6/09/2008, (CAD) 4,564,524 3,275,000 Province of British Columbia, 6.250%, 12/01/2009, (CAD) 2,989,982 3,285,000 Province of Manitoba, 4.450%, 12/01/2008, (CAD) 2,787,766 6,510,000 Province of Manitoba, 5.750%, 6/02/2008, (CAD) 5,700,613 500,000 Province of Nova Scotia, 6.600%, 6/01/2027, (CAD) 514,039 700,000 Province of Ontario, 3.500%, 9/08/2006, (CAD) 575,052 4,490,000 Province of Ontario, 5.900%, 3/08/2006, (CAD) 3,737,057 7,500,000 Province of Saskatchewan, 4.750%, 12/01/2006, (CAD) 6,275,055 550,000 Province of Saskatchewan, 5.500%, 6/02/2008, (CAD) 478,612 4,110,000 Province of Saskatchewan, 6.000%, 6/01/2006, (CAD) 3,446,834 ------------ 37,899,552 ------------ Government Owned - No Guarantee - 0.9% 5,150,000 SLM Corp., 6.500%, 6/15/2010, (NZD) 3,560,480 ------------
Government Agencies - 14.0% 1,250,000 Federal Home Loan Mortgage Corp., 3.220%, 6/20/2007, (SGD) 757,700 5,800,000 Federal Home Loan Mortgage Corp., 4.625%, 2/15/2007, (EUR) 7,290,152 262,724 Federal Home Loan Mortgage Corp., 5.000%, 12/01/2031 263,337 9,250,000 Federal Home Loan Mortgage Corp., 5.500%, 9/15/2011 9,949,300 7,500,000 Federal Home Loan Mortgage Corp., 5.750%, 1/15/2012 8,205,030 700,000 Federal National Mortgage Association, Zero Coupon, 10/29/2007, (NZD) 419,414 16,000,000 Federal National Mortgage Association, 2.290%, 2/19/2009, (SGD) 9,517,845 1,850,000 Federal National Mortgage Association, 5.375%, 11/15/2011 (c) 1,982,608 17,450,000 Federal National Mortgage Association, 5.500%, 3/15/2011 (c) 18,717,725 64,639 Federal National Mortgage Association, 6.000%, 7/01/2029 66,435 ------------ 57,169,546 ------------ Healthcare - 3.4% 2,625,000 Columbia/HCA Healthcare Corp., 7.050%, 12/01/2027 2,633,873 250,000 Columbia/HCA Healthcare Corp., 7.500%, 12/15/2023 263,647 620,000 Columbia/HCA Healthcare Corp., 7.580%, 9/15/2025 653,699 1,000,000 Columbia/HCA Healthcare Corp., 7.750%, 7/15/2036 1,065,375 5,000,000 HCA, Inc., 5.750%, 3/15/2014 4,977,920 800,000 HCA, Inc., 6.250%, 2/15/2013 817,690 3,250,000 HCA, Inc., 6.300%, 10/01/2012 3,336,073 ------------ 13,748,277 ------------ Home Construction - 0.1% 250,000 Pulte Homes, Inc., 5.250%, 1/15/2014 (c) 249,903 ------------ Independent/Energy - 0.2% 500,000 Devon Financing Corp. LLC, 7.875%, 9/30/2031 650,351 ------------ Integrated/Energy - 0.1% 150,000 Cerro Negro Finance Ltd., 7.900%, 12/01/2020, 144A 137,250 200,000 Petrozuata Finance, Inc., 8.220%, 4/01/2017, 144A 187,500 ------------ 324,750 ------------ Life Insurance - 1.7% 11,700,000 ASIF Global Financing XXVII, 2.380%, 2/26/2009, (SGD), 144A 6,952,258 ------------ Media Cable - 1.2% 3,750,000 Cox Communications, Inc., 6.750%, 3/15/2011 Class A 4,083,191 350,000 NTL Cable PLC, 9.750%, 4/15/2014, (GBP) 641,134 ------------ 4,724,325 ------------
Media NonCable - 0.8% 2,500,000 Clear Channel Communications, Inc., 4.250%, 5/15/2009 (c) 2,409,170 1,000,000 Clear Channel Communications, Inc., 5.750%, 1/15/2013 (c) 977,109 ------------ 3,386,279 ------------ Metals & Mining - 0.4% 1,500,000 Teck Cominco Ltd., 7.000%, 9/15/2012 1,674,990 ------------ Mortgage Related - 0.8% 3,000,000 Bank of America Commercial Mortgage, Inc., 5.460%, 4/11/2037 3,160,583 ------------ Natural Gas - 0.6% 70,000 Coastal Corp., 6.375%, 2/01/2009 68,950 2,425,000 Coastal Corp., 6.950%, 6/01/2028 2,121,875 250,000 Coastal Corp., 7.750%, 6/15/2010 255,000 ------------ 2,445,825 ------------ Non Captive Consumer - 0.3% 1,000,000 Capital One Bank, 6.700%, 5/15/2008 1,061,831 ------------ Non-Captive Diversified - 0.8% 4,200,000 General Electric Capital Corp., 6.625%, 2/04/2010, (NZD) 2,934,040 500,000 General Electric Capital Corp., Series EMTN, 1.725%, 6/27/2008, (SGD) 292,268 ------------ 3,226,308 ------------ Oil Field Services - 0.4% 250,000 Ensco International, Inc., 6.750%, 11/15/2007 263,821 665,000 Pecom Energia SA, 8.125%, 7/15/2010, 144A 690,769 600,000 Transocean Sedco Forex, Inc., 7.375%, 4/15/2018 739,467 ------------ 1,694,057 ------------ Paper - 1.2% 2,225,000 Georgia-Pacific Corp., 7.375%, 12/01/2025 2,405,781 750,000 International Paper Co., 4.000%, 4/01/2010 (c) 724,805 300,000 International Paper Co., 5.250%, 4/01/2016 297,790 145,000 Weyerhaeuser Co., 6.750%, 3/15/2012 159,535 1,000,000 Weyerhaeuser Co., 7.125%, 7/15/2023 1,119,285 ------------ 4,707,196 ------------ Pharmaceuticals - 0.1% 500,000 Schering-Plough Corp., 5.550%, 12/01/2013 530,126 ------------ Pipelines - 0.7% 935,000 El Paso Corp., 7.000%, 5/15/2011(c) 932,663 1,720,000 El Paso Energy Corp., 6.750%, 5/15/2009 (c) 1,720,000 ------------ 2,652,663 ------------
Railroads - 1.2% 5,000,000 Canadian Pacific Railway Ltd., 4.900%, 6/15/2010, (CAD), 144A 4,275,646 195,000 Missouri Pacific Railroad Co., 4.750%, 1/01/2020 169,423 243,000 Missouri Pacific Railroad Co., 4.750%, 1/01/2030 206,389 281,000 Missouri Pacific Railroad Co., 5.000%, 1/01/2045 220,821 ------------ 4,872,279 ------------ Real Estate Investment Trusts - 1.5% 1,000,000 EOP Operating LP, 6.750%, 2/15/2012 1,100,797 1,075,000 Highwoods Realty LP, 7.500%, 4/15/2018 1,203,844 234,000 istar Financial, Inc., Series REGS, 5.700%, 3/01/2014 237,005 2,370,000 New Plan Excel Realty Trust, 5.875%, 6/15/2007 2,441,787 1,000,000 Spieker Properties, Inc., 7.350%, 12/01/2017 1,179,009 ------------ 6,162,442 ------------ Restaurants - 0.2% 1,000,000 McDonald's Corp., 3.627%, 10/10/2010, (SGD) 621,607 ------------ Retailers - 0.0% 22,000 J.C. Penney Co., Inc., 7.125%, 11/15/2023 23,870 ------------ Sovereigns - 18.5% 10,900,000 Canadian Government, 4.250%, 9/01/2008, (CAD) 9,205,629 16,265,000 Canadian Government, 4.500%, 9/01/2007, (CAD) 13,696,633 9,600,000 Canadian Government, 5.500%, 6/01/2010, (CAD) 8,590,956 2,825,000 Canadian Government, 6.000%, 9/01/2005, (CAD) 2,314,230 5,000,000 Canadian Government, Series WH31, 6.000%, 6/01/2008, (CAD) 4,413,346 29,310,000 Government of Sweden, Series 1040, 6.500%, 5/05/2008, (SEK) 4,215,817 55,815,000 Government of Sweden, Series 1045, 5.250%, 3/15/2011, (SEK) 8,175,350 15,000,000 Kingdom of Norway, 5.500%, 5/15/2009, (NOK) 2,518,552 44,930,000 Kingdom of Norway, 6.750%, 1/15/2007, (NOK) 7,312,116 100,000,000 Mexican Fixed Rate Bonds, 9.000%, 12/20/2012, (MXN) 9,127,529 2,259,396 PF Export Receivables Master Trust, 6.436%, 6/01/2015, 144A 2,316,853 1,500,000 Republic of Brazil, 8.250%, 1/20/2034 (c) 1,467,000 325,000 Republic of Brazil, 8.875%, 4/15/2024 (c) 338,000 10,000 Republic of Brazil, 10.125%, 5/15/2027 (c) 11,585 250,000 Republic of Brazil, 11.000%, 8/17/2040 (c) 300,750 247,500 Republic of Peru, 5.000%, 3/07/2017 (f) 231,412 500,000 Republic of South Africa, 5.250%, 5/16/2013, (EUR) 663,505 150,000 Republic of South Africa, 12.500%, 12/21/2006, (ZAR) 23,964 500,000 SP Powerassets Ltd., 3.730%, 10/22/2010, (SGD) 314,444 ------------ 75,237,671 ------------
Supranational - 3.4% 22,000,000 Inter-American Development Bank, Zero Coupon, 5/11/2009, (BRL) 5,319,557 2,585,000 International Bank for Reconstruction & Development, Zero Coupon, 8/20/2007, (NZD) 1,568,981 6,000,000 International Bank for Reconstruction & Development, 5.500%, 11/03/2008, (NZD) 4,140,802 4,045,000 International Bank for Reconstruction & Development, 8.000%, 5/23/2007, (NZD) 2,880,280 ------------ 13,909,620 ------------ Technology - 2.3% 2,500,000 Arrow Electronics, Inc., 6.875%, 7/01/2013 2,748,540 500,000 Motorola, Inc., 5.800%, 10/15/2008 (c) 521,995 625,000 Motorola, Inc., 7.625%, 11/15/2010 715,141 1,625,000 Motorola, Inc., 8.000%, 11/01/2011 (c) 1,915,678 3,115,000 Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A 3,349,687 ------------ 9,251,041 ------------ Textile - 0.0% 25,000 Kellwood Co., 7.625%, 10/15/2017 26,848 ------------ Tobacco - 0.6% 2,000,000 Altria Group, Inc., 7.000%, 11/04/2013 2,238,198 ------------ Transportation Services - 0.5% 464,909 Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/2019 465,668 578,229 Atlas Air, Inc., Series A, 7.380%, 1/02/2018 580,935 1,000,000 ERAC USA Finance Co., 6.800%, 2/15/2008, 144A 1,056,064 ------------ 2,102,667 ------------ Treasuries - 9.0% 5,000,000 U.S. Treasury Notes, 2.500%, 9/30/2006 (c) 4,933,595 5,965,000 U.S. Treasury Notes, 2.625%, 5/15/2008 (c) 5,796,536 1,045,000 U.S. Treasury Notes, 2.750%, 6/30/2006 (c) 1,036,959 19,000,000 U.S. Treasury Notes, 2.750%, 7/31/2006 (c) 18,838,937 6,035,000 U.S. Treasury Notes, 3.000%, 2/15/2008 (c) 5,937,167 ------------ 36,543,194 ------------ Wireless - 0.2% 1,000,000 America Movil SA de CV, 4.125%, 3/01/2009 979,214 ------------ Wirelines - 1.0% 1,400,000 Philippine Long Distance Telephone Co., 8.350%, 3/06/2017 1,414,000 1,000,000 Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A 1,288,001 250,000 US West Capital Funding, Inc., 6.500%, 11/15/2018 205,000 1,650,000 US West Capital Funding, Inc., 6.875%, 7/15/2028 1,307,625 ------------ 4,214,626 ------------ Total Non-Convertible Bonds (Identified Cost $351,758,775) 379,438,012 ------------
Convertible Bonds - 1.6% Independent/Energy - 0.6% 500,000 Devon Energy Corp., 4.900%, 8/15/2008 561,875 1,750,000 Devon Energy Corp., 4.950%, 8/15/2008 1,966,562 ------------ 2,528,437 ------------ Pharmaceuticals - 1.0% 4,360,000 Chiron Corp., 1.625%, 8/01/2033 4,043,900 ------------ Total Convertible Bonds (Identified Cost $6,268,635) 6,572,337 ------------ Total Bonds and Notes (Identified Cost $358,027,410) 386,010,349 ------------ Short-Term Investments - 19.8% of Total Net Assets 13,546,000 Repurchase Agreement with State Street Corp., dated 6/30/05 at 1.400% to be purchased at $13,546,527 on 7/1/05 collateralized by $13,945,000 U.S. Treasury Note, 3.00% due 12/31/06 with a value of $13,818,630 (d) $ 13,546,000 ------------ 67,531,255 State Street Navigator Securities Lending Prime Portfolio (e) 67,531,255 ------------ Total Short-Term Investments (Identified Cost $81,077,255) 81,077,255 ------------ Total Investments - 114.6% (Identified Cost $439,104,665) (b) 467,087,604 Other assets less liabilities -- (14.6)% (59,663,820) ------------ Total Net Assets -- 100% $407,423,784 ============
(a) Debit securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Such pricing services generally use the most recent bid prices in the principal market in which such securities are normally traded. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available (including restricted securities, if any) are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At June 30, 2005, the unrealized appreciation on investments based on cost of $441,820,908 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 $ 30,288,618 Aggregate gross unrealized depreciation for all investments in which there is an excess tax cost over value (5,021,929) ------------ Net unrealized appreciation $ 25,266,689 ============
(c) All or a portion of this security was on loan to brokers at June 30, 2005. The Fund has entered into an agreement with State Street Bank and Trust Company , as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. The Fund receives fees for lending their securities. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at June 30, 2005 were $66,166,632 and $67,531,256, respectively. (d) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase, including interest. The Fund's adviser is responsible for determining that the value of the collateral is at all times at least equal to 102% of the repurchase price, including interest. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. (e) Represents investments of securities lending collateral. (f) Variable rate. Rate disclosed is rate at June 30, 2005. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2005, the total value of these securities amounted to $44,513,365 or 10.92% of net assets. Key to Abbreviations: BRL: Brazilian Real; CAD: Canadian Dollar; EUR: Euro; GBP: Great British Pound; MXN: Mexican Peso; NOK: Norwegian Krone; NZD: New Zealand Dollar; SEK: Swedish Krona; SGD: Singapore Dollar; THB: Thailand Baht; ZAR: South African Rand - -------------------------------------------------------------------------------- LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND - SCHEDULE OF INVESTMENTS - -------------------------------------------------------------------------------- Investments as of June 30, 2005 (unaudited)
Principal Amount Description Value (a) - ---------------------------------------------------------------------------------------------------- Bonds and Notes -- 100.2% of Total Net Assets $ 1,035,000 Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3 4.615%, 2/25/2035 $ 1,031,241 2,240,000 Residential Asset Mortgage Products, Inc., Series 2003-RZ5, Class A3 3.800%, 7/25/2030 2,232,100 1,376,000 Residential Funding Mortgage Securities II, Series 2003-HI4, Class AI4 4.590%, 4/25/2018 1,380,502 1,900,000 Residential Funding Mortgage Securities II, Series 2004-HI3, Class A3 3.810%, 12/25/2016 1,877,649 670,000 Residential Funding Mortgage Securities II, Series 2004-HI3, Class A4 4.630%, 3/25/2019 668,849 ------------ 7,190,341 ------------ Government Agencies -- 7.4% 2,935,000 Federal Farm Credit Bank 2.375%, 10/02/2006 2,884,201 6,200,000 Federal Home Loan Bank 3.625%, 11/14/2008 6,143,047 3,000,000 FNMA 5.500%, 5/02/2006 3,041,151 600,000 FNMA 6.625%, 9/15/2009 661,174 ------------ 12,729,573 ------------ Mortgage Related -- 46.6% 7,561,747 FHLMC 4.000%, with various maturities to 2019 (c) 7,397,233 6,279,463 FHLMC 4.500%, with various maturities to 2034 (c) 6,237,382 341,057 FHLMC 6.000%, 11/01/2019 352,705 12,826,740 FHLMC 6.500%, with various maturities to 2034 (c) 13,283,495 435,981 FHLMC 7.000%, 2/01/2016 456,348 90,263 FHLMC 7.500%, with various maturities to 2026 (c) 95,533 74,897 FHLMC 8.000%, with various maturities to 2015 (c) 78,796 7,389 FHLMC 10.000%, 7/01/2019 8,325 563,274 FHLMC 11.500%, with various maturities to 2020 (c) 622,295 20,226,691 FNMA 4.000%, with various maturities to 2020 (c) 19,830,051 5,889,710 FNMA 5.500%, with various maturities to 2034 (c) 5,989,187 8,016,066 FNMA 6.000%, with various maturities to 2034 (c) 8,273,113 12,161,765 FNMA 6.500%, with various maturities to 2034 (c) 12,598,337 425,735 FNMA 7.000%, 12/01/2022 455,047 1,365,565 FNMA 7.500%, with various maturities to 2032 (c) 1,455,231 205,309 FNMA 8.000%, with various maturities to 2016 (c) 219,558 232,293 GNMA 6.000%, 12/15/2031 239,892 978,861 GNMA 6.500%, 5/15/2031 1,023,679 989,728 GNMA 7.000%, with various maturities to 2031 (c) 1,049,105 4,036 GNMA 8.500%, 2/15/2006 4,126 54,234 GNMA 9.000%, with various maturities to 2009 (c) 56,932 16,054 GNMA 9.500%, 8/15/2009 17,126 1,485 GNMA 10.000%, 9/15/2016 1,668 27,515 GNMA 12.500%, with various maturities to 2015 (c) 31,172 219,974 GNMA 16.000%, with various maturities to 2012 (c) 255,588 86,044 GNMA 17.000%, with various maturities to 2011 (c) 101,292 ------------ 80,133,216 ------------
Treasuries -- 42.0% 5,155,000 U.S. Treasury Bond 7.250%, 5/15/2016 (d) 6,601,019 6,240,000 U.S. Treasury Note 1.500%, 3/31/2006 6,149,570 7,390,000 U.S. Treasury Note 1.625%, with various maturities to 2006 (c) 7,312,912 3,200,000 U.S. Treasury Note 1.875%, 12/31/2005 (d) 3,175,875 1,290,000 U.S. Treasury Note 2.250%, 2/15/2007 1,262,336 5,330,000 U.S. Treasury Note 2.375%, 8/15/2006 (d) 5,260,459 2,645,000 U.S. Treasury Note 2.750%, 6/30/2006 (d) 2,624,647 8,095,000 U.S. Treasury Note 3.000%, 12/31/2006 (d) 8,020,688 2,500,000 U.S. Treasury Note 3.125%, 10/15/2008 (d) 2,456,347 23,375,000 U.S. Treasury Note 3.375%, with various maturities to 2008 (c) 23,253,469 1,930,000 U.S. Treasury Note 6.125%, 8/15/2007 2,026,952 750,000 U.S. Treasury Note 6.625%, 5/15/2007 790,137 4,000,000 U.S. Treasury STRIPS, Zero Coupon, 11/15/2014 3,394,072 ------------ 72,328,483 ------------ Total Bonds and Notes (Identified Cost $172,238,148) 172,381,613 ------------
Principal Amount Description Value (a) - ---------------------------------------------------------------------------------------------------- Short Term Investments -- 20.9% $10,332,205 Repurchase Agreement with Investors Bank & Trust Co. dated 6/30/2005 at $10,332,782 on 7/01/2005, collateralized by $7,781,523 Federal Home Loan Mortgage Corporation Bond, 6.375%, due 10/25/2014 valued at $7,862,314 and $2,803,119 Small Business Administration Bond, 6.375% due 10/25/2014 valued at $2,986,502 (e) 10,332,205 1,184,726 American Beacon Fund, 3.18%, due 7/01/2005 (f) 1,184,726 1,694,133 Bank of Nova Scotia, 3.11%, due 7/11/2005 (f) 1,694,133 380,704 Bank of Nova Scotia, 3.16%, due 7/15/2005 (f) 380,704 951,760 Bank of Nova Scotia, 3.30%, due 7/29/2005 (f) 951,760 1,558,896 BGI Institutional Money Market Fund (f) 1,558,896 1,555,735 Calyon, 3.09%, due 7/01/2005 (f) 1,555,735 951,760 Clipper Receivables Corp., 3.19%, due 7/14/2005 (f) 951,764 1,027,901 Compass Securitization, 3.16%, due 7/11/2005 (f) 1,027,901 1,039,094 Fairway Finance, 3.26%, due 7/25/2005 (f) 1,039,094 951,760 Falcon Asset Securitization Corp., 3.17%, due 7/12/2005 (f) 951,760 761,408 General Electric Capital Corp., 3.25%, due 7/08/2005 (f) 761,408 806,921 Goldman Sachs Financial Square Prime Obligations Fund (f) 806,921 979,932 Greyhawk Funding, 3.26%, due 8/01/2005 (f) 979,932 951,760 Jupiter Securitization Corp., 3.21%, due 7/15/2005 (f) 951,760 951,760 Lexington Parker Capital Corp., 3.26%, due 7/19/2005 (f) 951,760 121,834 Merrimac Cash Fund-Premium Class (f) 121,834 1,462,001 National Australia Bank, 3.26%, due 7/06/2005 (f) 1,462,001 951,760 Park Avenue Receivables Corp., 3.23%, due 7/20/2005 (f) 951,760 951,760 Prefco, 3.26%, due 7/26/2005 (f) 951,760 744,054 Rabobank Nederland, 3.35%, due 7/01/2005 (f) 744,054 936,659 Ranger Funding, 3.19%, due 7/15/2005 (f) 936,659 951,760 Royal Bank of Canada, 3.25%, due 8/05/2005 (f) 951,760 1,903,521 Royal Bank of Scotland, 3.29%, due 7/12/2005 (f) 1,903,521 951,760 Sheffield Receivables Corp., 3.34%, due 7/15/2005 (f) 951,760 946,637 Yorktown Capital LLC, 3.24%, due 7/20/2005 (f) 946,637 ------------ Total Short Term Investments (Identified Cost $36,002,205) 36,002,205 ------------ Total Investments -- 121.1% (Identified Cost $208,240,353) (b) 208,383,818 Other assets less liabilities (36,251,392) ------------ Total Net Assets -- 100% $172,132,426 ============
(a) Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of less than sixty days) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service authorized by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Short-term obligations with a remaining maturity of less than sixty days are stated at amortized cost, which approximates market value. Equity securities for which market quotations are readily available are valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees. The pricing service provides the last reported sale price for securities listed on an applicable securities exchange or, if no sale was reported and in the case of over-the-counter securities not so listed, the last reported bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price("NOCP"), or if lacking NOCP, at the most recent bid quotations on the NASDAQ National Market. All other securities and assets are valued at their fair value as determined in good faith by the Funds' investment adviser and subadviser, pursuant to the procedures approved by the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and /or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales, return of capital included in dividends received from the Fund's investments in REIT's and interest adjustments on defaulted bonds. Amortization of premium on debt securities is excluded for tax purposes.): At June 30, 2005, the net unrealized depreciation on investments based on cost of $208,438,170 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost.....................................$ 1,085,357 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value..................................... (1,139,709) ----------- Net unrealized depreciation...................................................$ (54,352) ===========
At September 30, 2004, the Fund had a capital loss carryover of approximately $18,142,649 of which $2,731,339 expires on September 30, 2005, $10,626,315 expires on September 30, 2007, $4,165,768 expires on September 30, 2008, $425,323 expires on September 30, 2011 and $193,904 expires on September 30, 2012. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (c) The Portfolio's investment in mortgage related securities of the Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and the Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer and for United States Treasury Bonds which have the same coupon rate have been aggregated for the purpose of presentation in the schedule of investments. (d) All or a portion of this security was on loan to brokers at June 30, 2005. The Fund has entered into an agreement with Investors Bank & Trust Company, as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at June 30, 2005 were $24,965,693 and $25,670,000, respectively. (e) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The Fund's investment adviser is responsible for determining that the value of the collateral is at all times at least equal to 102% of the repurchase price, including interest. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund's ability to dispose of the underlying securities. (f) Represents investments of securities lending collateral. FHLMC Federal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association GNMA Government National Mortgage Association - -------------------------------------------------------------------------------- LOOMIS SAYLES MUNICIPAL INCOME FUND -- SCHEDULE OF INVESTMENTS - -------------------------------------------------------------------------------- Investments as of June 30, 2005 (unaudited)
Principal Amount Description Value (a) - ---------------------------------------------------------------------------------------------------- Tax Exempt Obligations -- 98.8% of Total Net Assets California -- 9.0% $ 1,000,000 California Health Facilities Financing Authority, Multiple Obligors, 4.950%, 7/01/2026 $ 1,059,490 2,000,000 California State, 5.125%, 6/01/2027 2,120,420 1,000,000 California State Public Works Board, Coalinga State Hospital, 5.000%, 6/01/2010 1,073,530 2,655,000 California Statewide Communities Development Authority, 5.250%, 7/01/2023 2,898,915 3,000,000 Sacramento, CA, Power Authority, 6.000%, 7/01/2022 3,157,740 ------------ 10,310,095 ------------ District of Columbia -- 4.4% 1,700,000 District of Columbia, 5.500%, 6/01/2014 1,859,324 3,000,000 Metropolitan Washington D.C. Airports Authority, 5.125%, 10/01/2029, (FGIC insured) 3,157,170 ------------ 5,016,494 ------------ Florida -- 4.4% 1,750,000 Coral Gables, FL, Health Facilities Authority, Multiple Obligors, 5.000%, 8/15/2034 1,913,170 3,000,000 Highlands County, FL, Health Facilities Authority, Multiple Obligors, 5.375%, 11/15/2035 3,092,430 ------------ 5,005,600 ------------ Illinois -- 6.0% 1,910,000 Illinois Educational Facility Authority Revenue, 5.000%, 7/01/2033 2,007,467 1,500,000 Illinois State, 5.400%, 12/01/2020, (MBIA insured) 1,657,005 3,000,000 Metropolitan Pier & Exposition Authority, IL, 5.250%, 6/15/2042, (MBIA insured) 3,206,610 ------------ 6,871,082 ------------ Indiana -- 1.9% 2,000,000 Indianapolis, IN, Local Public Improvement Bond Bank, 5.250%, 7/01/2033, (MBIA insured) 2,127,240 ------------ Louisiana -- 4.5% 4,000,000 Desoto Parish, LA, Environmental Improvement, 5.000%, 11/01/2018 4,122,960 1,000,000 Ernest N. Morial, New Orleans, LA, Exhibit Hall Authority, 5.000%, 7/15/2033 1,044,310 ------------ 5,167,270 ------------ Massachusetts -- 4.7% 4,000,000 Massachusetts State, 5.000%, 3/01/2019 4,334,160 1,045,000 Massachusetts State Health & Educational Facilities Authority, 4.500%, 8/15/2035 1,024,675 ------------ 5,358,835 ------------ Michigan -- 7.6% 1,000,000 Michigan State Comprehensive Transportation, 5.250%, 5/15/2022 1,123,990 2,850,000 Michigan State Hospital Finance Authority, Henry Ford Health System, 5.500%, 3/01/2014 3,127,305 1,100,000 Michigan State Hospital Finance Authority, Oakwood Obligated Group, 5.500%, 11/01/2014 1,212,453 1,000,000 Taylor Brownfield Redevelopment Authority, MI, 5.000%, 5/01/2025, (MBIA insured) 1,074,600 2,000,000 University of Michigan, 5.250%, 12/01/2020 2,145,500 ------------ 8,683,848 ------------
Minnesota -- 2.9% 1,000,000 Chaska Minnesota Electric Revenue, 5.250%, 10/01/2025 1,089,170 2,000,000 Minnesota State Municipal Power Agency, 5.250%, 10/01/2024 2,178,440 ------------ 3,267,610 ------------ Mississippi -- 4.9% 2,000,000 Lowndes County, MS, Solid Waste Disposal & Pollution Control, 6.700%, 4/01/2022 2,465,040 2,500,000 Lowndes County, MS, Solid Waste Disposal & Pollution Control, 6.800%, 4/01/2022 3,110,100 ------------ 5,575,140 ------------ New Jersey -- 2.8% 1,000,000 New Jersey Economic Development Authority, 5.500%, 6/15/2024 1,060,220 1,000,000 New Jersey Economic Development Authority, 5.625%, 6/15/2018 1,065,820 1,000,000 New Jersey Health Care Facilities Financing Authority, Catholic Health East, 5.375%, 11/15/2033 1,059,380 ------------ 3,185,420 ------------ New York -- 17.5% 3,000,000 New York State Dormitory Authority, 5.500%, 5/15/2013 3,372,660 2,740,000 New York State Dormitory Authority, 5.750%, 7/01/2013 3,096,994 1,000,000 New York State Dormitory Authority, Rockefeller University, 5.000%, 7/01/2032 1,057,300 1,000,000 New York State Housing Finance Agency, 5.250%, 9/15/2019 1,153,440 3,000,000 New York State Municipal Bond Bank Agency, 5.250%, 6/01/2020 3,266,670 1,000,000 New York, NY, 4.250%, 5/15/2019 1,008,040 2,000,000 New York, NY, 6.000%, 1/15/2020 2,302,560 1,400,000 New York, NY, City Health & Hospital Corp., 5.000%, 2/15/2020 1,497,314 2,000,000 New York, NY, City Municipal Water Finance Authority, 5.000%, 6/15/2025 2,169,520 1,000,000 New York, NY, City Municipal Water Finance Authority, 5.125%, 6/15/2034 1,065,710 ------------ 19,990,208 ------------ North Carolina -- 1.2% 1,300,000 North Carolina Eastern Municipal Power Agency, 5.500%, 1/01/2012 1,417,403 ------------ Oregon -- 5.3% 1,750,000 Multnomah County, OR, Hospital Facilities Authority, Providence Health System, 5.250%, 10/01/2012 1,944,180 4,000,000 Western Generation Agency, 144A 7.400%, 1/01/2016 (c) 4,078,960 ------------ 6,023,140 ------------ Pennsylvania -- 4.9% 5,000,000 Pennsylvania State Industrial Development Authority, 5.500%, 7/01/2019, (AMBAC insured) 5,631,050 ------------ Puerto Rico -- 2.9% 1,000,000 Puerto Rico Commonwealth Infrastructure Financing Authority, 5.500%, 10/01/2040 1,101,460 2,000,000 Puerto Rico Public Finance Corp., 5.750%, 8/01/2027 2,222,340 ------------ 3,323,800 ------------ South Carolina -- 2.9% 3,000,000 Greenville County, SC, School District, 5.500%, 12/01/2028 3,271,860 ------------ South Dakota -- 1.2% 1,250,000 South Dakota Health & Educational Facilities Authority, Sioux Valley Hospital, 5.250%, 11/01/2027 1,323,575 ------------
Tennessee -- 2.2% 1,500,000 Tennessee Housing Development Agency, 5.200%, 7/01/2023 1,582,650 860,000 Tennessee Housing Development Agency, Homeownership Program, 5.150%, 7/01/2022 896,189 ------------ 2,478,839 ------------ Texas -- 5.6% 2,000,000 Dallas-Fort Worth, TX, International Airport, 5.500%, 11/01/2033 2,144,560 1,000,000 Katy, TX, Independent School District, 5.125%, 2/15/2020 1,075,540 3,000,000 Lewisville, TX, Independent School District, 5.250%, 8/15/2027 3,190,110 ------------ 6,410,210 ------------ Washington -- 2.0% 2,000,000 Energy Northwest, WA, Electric, Project No. 1, 5.500%, 7/01/2014 2,284,580 ------------ Total Tax Exempt Obligations (Identified Cost $106,767,609) 112,723,299 ------------
Short Term Investment -- 0.1%
Principal Amount Description Value (a) - ---------------------------------------------------------------------------------------------------- 140,657 Repurchase Agreement with Investors Bank & Trust Co. dated 6/30/2005 at $140,664 on 7/01/2005, collateralized by $137,621 Small Business Administration Bond, 6.505%, due 8/25/2016 valued at $147,689 (d) 140,657 ------------ Total Short Term Investment (Cost $140,657) 140,657 ------------ Total Investments -- 98.9% (Identified Cost $106,908,266) (b) 112,863,956 Other assets less liabilities 1,257,570 ------------ Total Net Assets -- 100.0% $114,121,526 ============
(a) Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of less than sixty days) are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service authorized by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Short-term obligations with a remaining maturity of less than sixty days are stated at amortized cost, which approximates market value. Equity securities for which market quotations are readily available are valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees. The pricing service provides the last reported sale price for securities listed on an applicable securities exchange or, if no sale was reported and in the case of over-the-counter securities not so listed, the last reported bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking NOCP, at the most recent bid quotations on the NASDAQ National Market. All other securities and assets are valued at their fair value as determined in good faith by the Funds' investment adviser and subadviser, pursuant to the procedures approved by the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and /or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales, return of capital included in dividends received from the Fund's investments in REIT's and interest adjustments on defaulted bonds. Amortization of premium on debt securities is excluded for tax purposes.): At June 30, 2005, the net unrealized appreciation on investments based on cost of $106,585,067 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 $ 6,312,156 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value $ (33,267) ------------ Net unrealized appreciation $ 6,278,889 ============
At September 30, 2004, the Fund had a capital loss carryover of approximately $1,839,271 of which $1,700,392 expires on September 30, 2007 and $138,879 expires on September 30, 2012. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (c) Illiquid security. At June 30, 2005, the value of this security amounted to $4,078,960 or 3.6% of net assets. (d) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The Fund's investment adviser is responsible for determining that the value of the collateral is at all times at least equal to 102% of the repurchase price, including interest. AMBAC American Municipal Bond Assurance Corporation FGIC Financial Guarantee Insurance Company MBIA Municipal Bond Investors Assurance Corporation - -------------------------------------------------------------------------------- Loomis Sayles Research Fund - Schedule of Investments - -------------------------------------------------------------------------------- Investments as of June 30, 2005 (Unaudited)
Shares Description Value (a) - ---------------------------------------------------------------------------------------------------- COMMON STOCKS - 99.2% OF TOTAL NET ASSETS Aerospace & Defense - 3.4% 5,950 Rockwell Collins, Inc. $ 283,696 10,750 United Technologies Corp. 552,012 ------------ 835,708 ------------ Beverages - 4.2% 16,825 Coca-Cola Co. 702,444 6,525 PepsiCo, Inc. 351,893 ------------ 1,054,337 ------------ Biotechnology - 1.0% 3,175 Genentech, Inc.(c) 254,889 ------------ Capital Markets - 11.0% 4,800 Bear Stearns Cos., Inc. 498,912 6,175 Franklin Resources, Inc. 475,351 5,050 Goldman Sachs Group, Inc. 515,201 5,025 Legg Mason, Inc. 523,153 7,325 Lehman Brothers Holdings, Inc. 727,225 ------------ 2,739,842 ------------ Chemicals - 2.7% 6,525 Dow Chemical Co. 290,558 6,075 Ecolab, Inc. 196,587 4,075 Praxair, Inc. 189,895 ------------ 677,040 ------------ Communications Equipment - 3.0% 5,800 Harris Corp. 181,018 18,200 Motorola, Inc. 332,332 7,300 QUALCOMM, Inc. 240,973 ------------ 754,323 ------------ Computers & Peripherals - 2.3% 4,675 Apple Computer, Inc.(c) 172,087 10,125 Dell, Inc.(c) 400,039 ------------ 572,126 ------------ Diversified Financial Services - 1.9% 775 Chicago Mercantile Exchange 229,013 5,475 Moody's Corp. 246,156 ------------ 475,169 ------------ Diversified Telecommunication Services - 3.1% 11,525 BellSouth Corp. 306,219 7,250 CenturyTel, Inc. 251,068 9,525 SBC Communications, Inc. 226,219 ------------ 783,506 ------------ Electric Utilities - 3.4% 7,950 Edison International 322,373 10,325 Exelon Corp. 529,982 ------------ 852,355 ------------ Energy Equipment & Services - 2.8% 9,200 Halliburton Co. 439,944 4,850 Transocean, Inc.(c) 261,755 ------------ 701,699 ------------
Food & Staples Retailing - 2.3% 10,100 CVS Corp. $ 293,607 6,325 Walgreen Co. 290,887 ------------ 584,494 ------------ Healthcare Equipment & Supplies - 2.5% 4,475 Kinetic Concepts, Inc.(c) 268,500 8,175 St. Jude Medical, Inc.(c) 356,512 ------------ 625,012 ------------ Healthcare Providers & Services - 5.9% 4,250 Aetna, Inc. 351,985 7,425 Caremark Rx, Inc.(c) 330,561 6,400 UnitedHealth Group, Inc. 333,696 3,525 Universal Health Services, Inc., Class B 219,184 3,550 WellPoint, Inc.(c) 247,222 ------------ 1,482,648 ------------ Hotels, Restaurants & Leisure - 2.8% 4,500 Marriott International, Inc., Class A 306,990 6,600 Starwood Hotels & Resorts Worldwide, Inc. 386,562 ------------ 693,552 ------------ Household Products - 2.5% 11,800 Procter & Gamble Co. 622,450 ------------ Industrial Conglomerates - 6.2% 31,700 General Electric Co. 1,098,405 14,925 Tyco International Ltd. 435,810 ------------ 1,534,215 ------------ Insurance - 5.7% 10,200 Allstate Corp. 609,450 5,900 American International Group, Inc. 342,790 7,075 Prudential Financial, Inc. 464,544 ------------ 1,416,784 ------------ Internet Software & Services - 3.3% 650 Google, Inc., Class A(c) 191,197 11,150 VeriSign, Inc.(c) 320,674 9,000 Yahoo! Inc.(c) 311,850 ------------ 823,721 ------------ Media - 1.7% 4,675 McGraw-Hill Cos., Inc. 206,869 6,350 Viacom, Inc., Class B 203,327 ------------ 410,196 ------------ Multiline Retail - 4.8% 3,100 Federated Department Stores, Inc. 227,168 10,075 J.C. Penney Co., Inc. (Holding Co.) 529,743 6,500 Nordstrom, Inc. 441,805 ------------ 1,198,716 ------------ Oil, Gas & Consumable Fuels - 5.4% 9,725 Chevron Corp. 543,822 14,150 Exxon Mobil Corp. 813,200 ------------ 1,357,022 ------------ Personal Products - 0.9% 4,425 Gillette Co. (The) 224,038 ------------ Pharmaceuticals - 4.3% 8,050 Johnson & Johnson 523,250 20,000 Pfizer, Inc. 551,600 ------------ 1,074,850 ------------ Road & Rail - 1.0% 5,250 Burlington Northern Santa Fe Corp. 247,170 ------------
Semiconductors & Semiconductor Equipment - 2.6% 24,725 Intel Corp. $ 644,334 ------------ Software - 3.5% 12,500 Activision, Inc.(c) 206,500 3,875 Electronic Arts, Inc.(c) 219,364 33,050 Oracle Corp.(c) 436,260 ------------ 862,124 ------------ Specialty Retail - 0.9% 6,625 Chico's FAS, Inc.(c) 227,105 ------------ Textiles Apparel & Luxury Goods - 1.6% 12,200 Coach, Inc.(c) 409,554 ------------ Thrifts & Mortgage Finance - 2.5% 8,400 Countrywide Financial Corp. 324,324 4,650 Golden West Financial Corp. 299,367 ------------ 623,691 ------------ Total Common Stocks (Identified Cost $21,426,026) 24,762,670 ------------ Total Investments - 99.2% (Identified Cost $21,426,026) (b) 24,762,670 Other assets less liabilities -- 0.8% 196,224 ------------ Total Net Assets -- 100% $ 24,958,894 ============
(a) Equity securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Such pricing services generally use the most recent bid prices in the principal market in which such securities are normally traded. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available (including restricted securities, if any) are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2005, the unrealized appreciation on investments based on cost of $21,426,026 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 3,577,071 Aggregate gross unrealized depreciation for all investments in which there is an excess tax cost over value (240,427) ------------ Net unrealized appreciation $ 3,336,644 ============
(c) Non-income producing security. PORTFOLIO OF INVESTMENTS - as of June 30, 2005 (Unaudited) Loomis Sayles Small Cap Growth Fund
Shares Value (a) - ---------------------------------------------------------------------------------------------------- COMMON STOCKS - 99.2% of total net assets Aerospace & Defense - 2.7% Aviall, Inc. (e) 7,150 $ 225,868 Essex Corp. (e) 12,350 282,568 ----------- 508,436 ----------- Biotechnology - 3.7% Encysive Pharmaceuticals, Inc. (e) 9,000 97,290 Human Genome Sciences, Inc. (e) 7,950 92,061 Idenix Pharmaceuticals, Inc. (c)(e) 7,625 165,310 Keryx Biopharmaceuticals, Inc. (c)(e) 7,550 99,660 Senomyx, Inc. (c)(e) 7,025 115,983 Vertex Pharmaceuticals, Inc. (e) 7,725 130,089 ----------- 700,393 ----------- Capital Markets - 2.1% Affiliated Managers Group, Inc. (c)(e) 2,875 196,449 GFI Group, Inc. (e) 5,425 193,130 ----------- 389,579 ----------- Chemicals - 1.0% Scotts Miracle-Gro Co., Class A (e) 2,550 181,586 ----------- Commercial Banks - 0.9% Hanmi Financial Corp. 10,500 175,350 ----------- Commercial Services & Supplies - 7.9% Advisory Board Co. (e) 4,850 236,389 Corporate Executive Board Co. 3,000 234,990 CRA International, Inc. (e) 5,150 277,327 Hudson Highland Group, Inc. (c)(e) 11,075 172,659 LECG Corp. (e) 10,275 218,447 Mobile Mini, Inc. (c)(e) 5,200 179,296 PeopleSupport, Inc. (c)(e) 19,375 176,700 ----------- 1,495,808 ----------- Communications Equipment - 0.6% Ixia (e) 5,300 103,032 ----------- Diversified Consumer Services - 3.3% Bright Horizons Family Solutions, Inc. (e) 4,375 178,150 Laureate Education, Inc. (e) 5,700 272,802 Universal Technical Institute, Inc. (c)(e) 5,425 180,110 ----------- 631,062 ----------- Energy Equipment & Services - 5.5% Atwood Oceanics, Inc. (e) 2,200 135,432 Cal Dive International, Inc. (e) 3,000 157,110 Hydril Co. (e) 3,350 182,073 Pioneer Drilling Co. (e) 12,125 185,027 Unit Corp. (e) 4,850 213,448 Universal Compression Holdings, Inc. (e) 4,725 171,234 ----------- 1,044,324 -----------
Food & Staples Retailing - 0.7% United Natural Foods, Inc. (e) 4,100 $ 124,517 ----------- Healthcare Equipment & Supplies - 8.2% American Medical Systems Holdings, Inc. (e) 6,925 143,001 ArthroCare Corp. (c)(e) 6,575 229,730 Aspect Medical Systems, Inc. (c)(e) 7,375 219,333 ev3, Inc. (c)(e) 6,700 93,130 Foxhollow Technologies, Inc. (c)(e) 4,375 167,431 Immucor, Inc. (e) 4,375 126,656 Intuitive Surgical, Inc. (c)(e) 2,875 134,090 NuVasive, Inc. (c)(e) 9,575 159,137 OraSure Technologies, Inc. (c)(e) 15,850 158,342 Palomar Medical Technologies, Inc. (c)(e) 5,075 121,394 ----------- 1,552,244 ----------- Healthcare Providers & Services - 11.5% Chemed Corp. 4,950 202,356 HealthExtras, Inc. (e) 11,775 236,324 HealthTronics, Inc. (c)(e) 17,425 226,351 LCA-Vision, Inc. 5,950 288,337 Matria Healthcare, Inc. (e) 5,112 164,760 Psychiatric Solutions, Inc. (e) 4,850 236,244 Radiation Therapy Services, Inc. (e) 6,450 171,248 Sierra Health Services, Inc. (e) 3,925 280,480 Symbion, Inc. (e) 7,725 184,241 United Surgical Partners International, Inc. (e) 3,650 190,092 ----------- 2,180,433 ----------- Hotels, Restaurants & Leisure - 3.1% Panera Bread Co., Class A (c)(e) 2,650 164,525 Pinnacle Entertainment, Inc. (e) 12,000 234,720 Sonic Corp. (e) 6,350 193,866 ----------- 593,111 ----------- Household Durables - 2.3% Meritage Homes Corp. (e) 3,000 238,500 Tempur-Pedic International, Inc. (c)(e) 9,125 202,392 ----------- 440,892 ----------- Household Products - 1.4% Central Garden & Pet Co. (e) 5,425 266,476 ----------- Insurance - 1.8% ProAssurance Corp. (e) 4,725 197,316 Universal American Financial Corp. (e) 6,150 139,113 ----------- 336,429 ----------- Internet & Catalog Retail - 3.5% Blue Nile, Inc. (c)(e) 6,050 197,774 Coldwater Creek, Inc. (e) 9,775 243,495 GSI Commerce, Inc. (c)(e) 12,925 216,494 ----------- 657,763 ----------- Internet Software & Services - 2.8% CryptoLogic, Inc. 5,200 156,052 j2 Global Communications, Inc. (c)(e) 4,725 162,729 Online Resources Corp. (e) 19,275 218,000 ----------- 536,781 ----------- IT Services - 4.8% Anteon International Corp. (e) 3,350 152,827 CACI International, Inc., Class A (e) 2,300 145,268 Global Payments, Inc. (c) 3,800 257,640 iPayment Holdings, Inc. (e) 5,875 214,555 SRA International, Inc., Class A (e) 4,150 144,088 ----------- 914,378 -----------
Machinery - 2.8% American Science & Engineering, Inc. (c)(e) 3,800 $ 168,568 Bucyrus International, Inc., Class A 4,725 179,456 Joy Global, Inc. 5,087 170,872 ----------- 518,896 ----------- Oil, Gas & Consumable Fuels - 1.7% Energy Partners Ltd. (e) 6,000 157,260 Range Resources Corp. (c) 5,875 158,038 ----------- 315,298 ----------- Pharmaceuticals - 2.6% Impax Laboratories, Inc. (c)(e) 10,725 168,383 Kos Pharmaceuticals, Inc. (e) 3,575 234,162 Penwest Pharmaceuticals Co. (e) 8,000 94,560 ----------- 497,105 ----------- Real Estate - 2.8% CB Richard Ellis Group, Inc., Class A (e) 7,625 334,432 Jones Lang LaSalle, Inc. (e) 4,150 183,555 ----------- 517,987 ----------- Semiconductors & Semiconductor Equipment - 7.5% ADE Corp. (c)(e) 2,425 68,021 ATMI, Inc. (e) 9,375 271,969 FormFactor, Inc. (e) 6,900 182,298 Microsemi Corp. (e) 12,450 234,060 PortalPlayer, Inc. (c)(e) 4,950 103,059 Power Integrations, Inc. (e) 6,450 139,127 Tessera Technologies, Inc. (e) 5,525 184,590 Trident Microsystems, Inc. (e) 4,125 93,596 Volterra Semiconductor Corp. (c)(e) 9,000 134,010 ----------- 1,410,730 ----------- Software - 4.6% Bottomline Technologies, Inc. (e) 18,700 279,939 Quest Software, Inc. (e) 10,400 141,752 SS&C Technologies, Inc. 7,850 248,688 Ultimate Software Group, Inc. (e) 11,675 191,470 ----------- 861,849 ----------- Specialty Retail - 3.1% Children's Place Retail Stores, Inc. (The) (c)(e) 5,200 242,684 Guess?, Inc. (e) 8,750 145,075 Guitar Center, Inc. (e) 3,350 195,539 ----------- 583,298 ----------- Textiles Apparel & Luxury Goods - 1.1% Carter's, Inc. (e) 3,550 207,249 ----------- Thrifts & Mortgage Finance - 1.9% FirstFed Financial Corp. (e) 3,450 205,655 PFF Bancorp, Inc. 5,300 160,537 ----------- 366,192 ----------- Trading Companies & Distributors - 0.9% NuCo2, Inc. (c)(e) 6,925 177,765 -----------
Wireless Telecommunication Services - 2.4% Alamosa Holdings, Inc. (c)(e) 11,875 $ 165,063 SBA Communications Corp. (c)(e) 20,775 280,462 ----------- 445,525 ----------- TOTAL COMMON STOCKS (Identified Cost $16,108,861) 18,734,488 -----------
Principal Amount - ---------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 27.6% Repurchase Agreement with State Street Corp., dated $422,000 422,000 6/30/2005 at 1.400% to be repurchased at $422,016 ----------- on 7/01/2005 collateralized by $430,000 U.S. Treasury Note, 3.625% due 4/30/2007 with a value of $432,449 (d)
Shares - ---------------------------------------------------------------------------------------------------- State Street Navigator Securities Lending Prime Portfolio (f) 4,806,685 $ 4,806,685 ----------- TOTAL SHORT-TERM INVESTMENTS (Identified Cost $5,228,685) 5,228,685 ----------- TOTAL INVESTMENTS - 126.8% (Identified Cost $21,337,546) (b) 23,963,173 Other assets less liabilities -- (26.8)% -5,070,774 ----------- TOTAL NET ASSETS -- 100% 18,892,399 ===========
(a) Equity securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Such pricing services generally use the most recent bid prices in the principal market in which such securities are normally traded. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available (including restricted securities, if any) are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2005, the unrealized appreciation on investments based on cost of $21,337,546 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost 2,841,897 Aggregate gross unrealized depreciation for all investments in which there is an excess tax cost over value (216,270) --------- Net unrealized appreciation 2,625,627 =========
(c) All or a portion of this security was on loan to brokers at June 30, 2005. The Fund has entered into an agreement with State Street Bank and Trust Company , as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. The Fund receives fees for lending their securities. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at June 30, 2005 were $4,688,197and $4,806,685, respectively. (d) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The Fund's adviser is responsible for determining that the value of the collateral is at all times at least equal to 102% of the repurchase price, including interest. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. (e) Non-income producing security. (f) Represents investments of securities lending collateral. LOOMIS SAYLES STRATEGIC INCOME FUND -- SCHEDULE OF INVESTMENTS Investments as of June 30, 2005 (unaudited)
Principal Amount Description Value (a) - -------------------------------------------------------------------------------------------------------------- Bonds and Notes -- 89.3% of Total Net Assets Convertible Bonds -- 4.3% Canada -- 0.5% $ 6,025,000 Nortel Networks Corp., Guaranteed Senior Note 4.250%, 9/01/2008 $ 5,618,312 1,500,000 Rogers Communications, Inc. 2.000%, 11/26/2005 1,685,625 ------------ 7,303,937 ------------ Ireland -- 0.2% 2,045,000 Elan Capital Corp., Ltd., Convertible 6.500%, 11/10/2008 2,414,327 ------------ United Kingdom -- 0.3% 3,270,000 Colt Telecom Group PLC 2.000%, 4/03/2007, (EUR) 4,827,373 ------------ United States -- 3.3% 5,469,000 Amkor Technology, Inc. 5.000%, 3/15/2007 (c) 4,730,685 200,000 Builders Transport, Inc., Subordinated Note 6.500%, 5/01/2011 (d)(e)(f)(g)(h) 20 1,000,000 Builders Transport, Inc., Subordinated Note 8.000%, 8/15/2005 (d)(e)(f)(g)(h) 100 5,000,000 Chiron Corp. 1.625%, 8/01/2033 4,637,500 176,000 Dixie Group, Inc., Subordinated Note 7.000%, 5/15/2012 163,680 3,901,000 EPIX Pharmaceuticals, Inc., Senior Note 3.000%, 6/15/2024 3,052,532 3,450,000 Inhale Therapeutic Systems, Inc., Subordinated Note 3.500%, 10/17/2007 3,212,812 500,000 IVAX Corp., Senior Note, Convertible 1.500%, 3/01/2024 (c) 510,000 2,110,000 IVAX Corp., Senior Subordinated Note, Convertible 4.500%, 5/15/2008 (c) 2,104,725 5,710,000 Kulicke & Soffa Industries, Inc., Subordinated Note, Convertible 0.500%, 11/30/2008 (c) 4,218,262 275,000 Level 3 Communications, Inc. 6.000%, 3/15/2010 143,000 2,822,000 Maxtor Corp., Subordinated Note 5.750%, 3/01/2012 (h) 2,483,360 625,000 Nextel Communications, Inc., Senior Note 5.250%, 1/15/2010 627,344 500,000 Preston Corp., Subordinated Note 7.000%, 5/01/2011 470,000 7,620,000 Regeneron Pharmaceuticals, Inc., Subordinated Note 5.500%, 10/17/2008 6,591,300 311,000 Richardson Electronics, Ltd., 144A 7.750%, 12/15/2011 295,450 600,000 SCI Systems, Inc., Subordinated Note, Convertible 3.000%, 3/15/2007 564,000 5,910,000 Valeant Pharmaceuticals International, Subordinated Note, Convertible 3.000%, 8/16/2010 (c) 5,060,437 6,705,000 Valeant Pharmaceuticals International, Subordinated Note, Convertible 4.000%, 11/15/2013 (c) 5,741,156 5,225,000 Vertex Pharmaceuticals, Inc., 144A 5.750%, 2/15/2011 6,439,812 ------------ 51,046,175 ------------ Total Convertible Bonds (Identified Cost $63,653,544) 65,591,812 ------------ Non-Convertible Bonds -- 85.0% Argentina -- 0.2% 2,405,000 Pecom Energia SA, 144A 8.125%, 7/15/2010 2,498,194 1,294,608 Republic of Argentina 8.280%, 12/31/2033 1,191,039 ------------ 3,689,233 ------------
Brazil -- 1.5% 10,350,000 Republic of Brazil 8.250%, 1/20/2034 (c) 10,122,300 6,000,000 Republic of Brazil 8.875%, 4/15/2024 6,240,000 5,808,000 Republic of Brazil 10.125%, 5/15/2027 6,728,568 ------------ 23,090,868 ------------ Canada -- 17.8% 3,865,000 Abitibi-Consolidated, Inc. 7.500%, 4/01/2028 3,352,887 2,020,000 Bombardier, Inc. 7.450%, 5/01/2034 1,717,000 1,295,000 Bombardier, Inc., 144A 7.350%, 12/22/2026, (CAD) 901,704 5,840,000 Calpine Canada Energy Finance ULC 8.500%, 5/01/2008 (CAD) (c) 4,204,800 2,800,000 Calpine Canada Energy Finance ULC 8.750%, 10/15/2007, (CAD) 1,713,167 14,000,000 Canadian Government 4.250%, 9/01/2008, (CAD) 11,838,212 111,010,000 Canadian Government 4.500%, 9/01/2007, (CAD) 93,595,069 13,540,000 Canadian Government 6.000%, 9/01/2005, (CAD) 11,105,495 24,200,000 Canadian Government 6.000%, 6/01/2008, (CAD) 21,386,735 335,000 General Motors Acceptance Corp. of Canada, Ltd., Series E, (MTN) 6.625%, 12/17/2010, (GBP) 542,752 825,000 General Motors Nova Scotia Finance Co. 8.875%, 7/10/2023, (GBP) 1,190,909 945,000 GMAC Canada Ltd. 7.750%, 9/26/2008, (NZD) 593,598 3,750,000 Nortel Networks Corp. 6.875%, 9/01/2023 3,506,250 1,085,000 North American Energy Partners, Inc., Senior Note 8.750%, 12/01/2011 933,100 5,990,000 Province of British Columbia 5.250%, 12/01/2006, (CAD) 5,051,088 29,235,000 Province of British Columbia 6.000%, 6/09/2008, (CAD) 25,817,811 13,000,000 Province of Manitoba 4.450%, 12/01/2008, (CAD) 11,051,167 6,685,000 Province of Manitoba 5.750%, 6/02/2008, (CAD) 5,861,018 1,525,000 Province of Ontario 3.500%, 9/08/2006, (CAD) 1,254,324 33,780,000 Province of Ontario 5.700%, 12/01/2008, (CAD) 29,805,655 6,240,000 Province of Ontario 5.900%, 3/08/2006, (CAD) 5,199,949 18,470,000 Province of Saskatchewan 5.500%, 6/02/2008, (CAD) 16,092,315 5,300,000 Province of Saskatchewan 6.000%, 6/01/2006, (CAD) 4,449,570 8,500,000 Rogers Wireless Communications, Inc., Senior Note 7.625%, 12/15/2011, (CAD) 7,454,316 2,525,000 Rogers Wireless Communications, Inc., Senior Secured Note 6.375%, 3/01/2014 2,569,187 ------------ 271,188,078 ------------ Cayman Islands -- 0.4% 1,000,000 Enersis SA, Cayman Island, (yankee) 7.400%, 12/01/2016 1,087,249 3,905,000 Vale Overseas, Ltd. 8.250%, 1/17/2034 4,295,500 ------------ 5,382,749 ------------ Chile -- 0.8% 4,875,000 Empresa Nacional de Electricidad SA, Chile 7.875%, 2/01/2027 5,392,871 250,000 Empresa Nacional de Electricidad SA, Chile 8.350%, 8/01/2013 290,359 1,700,000 Empresa Nacional de Electricidad SA, Chile 8.625%, 8/01/2015 2,031,515 4,525,000 Enersis SA, Chile 7.375%, 1/15/2014 4,884,050 ------------ 12,598,795 ------------
Ireland -- 0.4% 7,450,000 Elan Finance Corp., Senior Note, 144A 7.750%, 11/15/2011 6,369,750 ------------ Mexico -- 3.7% 615,200,000 United Mexican States 9.000%, 12/20/2012, (MXN) 56,142,138 ------------ Netherlands -- 0.0% 337,000 GMAC International Finance BV 8.000%, 3/14/2007, (NZD) 226,132 ------------ Norway -- 0.4% 10,000,000 Kingdom of Norway 5.500%, 5/15/2009, (NOK) 1,680,061 22,740,000 Kingdom of Norway 6.750%, 1/15/2007, (NOK) 3,706,301 ------------ 5,386,362 ------------ Philippines -- 0.4% 3,700,000 Philippine Long Distance Telephone Co., (MTN) 8.350%, 3/06/2017 3,737,000 1,867,500 Quezon Power (Philippines), Ltd., Senior Secured Note, (yankee) 8.860%, 6/15/2017 1,799,336 ------------ 5,536,336 ------------ Republic of Korea -- 0.7% 5,470,000 Hanarotelecom, Inc., 144A 7.000%, 2/01/2012 (c) 5,428,866 5,000,000 Hynix Semiconductor, Inc., 144A 9.875%, 7/01/2012 4,987,500 300,000 Samsung Electronics Co., Ltd., 144A 7.700%, 10/01/2027 322,602 ------------ 10,738,968 ------------ Singapore -- 0.0% 1,050,000 SP PowerAssets, Ltd., Series E, (MTN) 3.730%, 10/22/2010, (SGD) 659,491 ------------ South Africa -- 0.1% 11,405,000 Republic of South Africa 12.500%, 12/21/2006, (ZAR) 1,822,748 ------------ Supranational -- 3.5% 80,000,000 Inter-American Development Bank, Series E, (MTN), Zero Coupon, 5/11/2009, (BRL) (h) 19,254,424 22,300,000 International Bank for Reconstruction & Development, (MTN), Zero Coupon 8/20/2007, (NZD) 13,529,276 92,000,000 JPMorgan Chase Bank NA, 144A, Zero Coupon 5/17/2010, (BRL) (h) 20,701,150 ------------ 53,484,850 ------------ Sweden -- 2.0% 207,265,000 Kingdom of Sweden 6.500%, 5/05/2008, (SEK) 29,851,027 ------------ Thailand -- 1.5% 975,000,000 Barclays Bank PLC, 144A 4.160%, 2/22/2010, (THB) (h) 23,573,111 ------------ United Kingdom -- 0.5% 4,570,000 NTL Cable PLC 9.750%, 4/15/2014, (GBP) 8,379,310 ------------ United States -- 49.0% 5,565,000 AES Corp. (The) 8.375%, 3/01/2011, (GBP) 9,979,158 4,020,000 AES Corp. (The), Senior Note 7.750%, 3/01/2014 4,361,700 1,975,000 AES Corp. (The), Senior Subordinated Note 8.875%, 11/01/2027 2,162,625 8,825,000 AK Steel Corp., Guaranteed Senior Note 7.750%, 6/15/2012 (c) 7,457,125 1,750,000 Altria Group, Inc. 7.000%, 11/04/2013 1,958,423 1,638,001 American Airline 8.040%, 9/16/2011 1,392,071 700,000 American Airlines 8.608%, 4/01/2011 (c) 656,337 825,000 American Airlines, Inc., Series 99-1 7.324%, 10/15/2009 730,807 750,000 American Airlines, Inc., Series 1999-1, Class A2 7.024%, 10/15/2009 775,027
9,853,000 American President Cos., Ltd., Senior Note 8.000%, 1/15/2024 10,345,650 6,450,000 Amkor Technology, Inc., Senior Note 7.125%, 3/15/2011 (c) 5,579,250 475,000 Amkor Technology, Inc., Senior Note 7.750%, 5/15/2013 (c) 408,500 925,000 Amkor Technology, Inc., Senior Subordinated Note 10.500%, 5/01/2009 (c) 797,813 400,000 AMR Corp., Senior Note, Convertible 4.500%, 2/15/2024 309,000 8,000,000 ASIF Global Financing, 144A 2.380%, 2/26/2009, (SGD) 4,747,623 5,420,000 Astoria Depositor Corp., 144A 8.144%, 5/01/2021, 5,365,800 5,323,737 Atlas Air, Inc. 9.057%, 1/02/2014 5,023,425 8,037,387 Atlas Air, Inc., Series 1998-1, Class 1A 7.380%, 1/02/2018 8,075,002 16,288,877 Atlas Air, Inc., Series 1998-1, Class 1B 7.680%, 1/02/2014 13,620,107 3,824,381 Atlas Air, Inc., Series 1999-1, Class A1 7.200%, 1/02/2019 3,830,627 454,293 Atlas Air, Inc., Series 1999-1, Class A2 6.880%, 7/02/2009 437,794 8,319,594 Atlas Air, Inc., Series 1999-1, Class B 7.630%, 1/02/2015 6,959,919 804,694 Atlas Air, Inc., Series 2000-1, Class A 8.707%, 1/02/2019 836,600 529,000,000 Barclays Financial, LLC, 144A 4.100%, 3/22/2010, (THB) (h) 12,750,254 800,000 Bausch & Lomb, Inc. 7.125%, 8/01/2028 898,622 13,881,000 Borden Chemical, Inc. 7.875%, 2/15/2023 11,104,800 4,557,000 Borden Chemical, Inc. 9.200%, 3/15/2021 4,192,440 3,014,000 Borden, Inc. 8.375%, 4/15/2016 2,803,020 500,000 Bowater, Inc. 6.500%, 6/15/2013 (c) 493,750 7,245,000 Calpine Corp., Senior Note 7.750%, 4/15/2009 (c) 4,926,600 900,000 Calpine Corp., Senior Note 7.875%, 4/01/2008 (c) 630,000 8,575,000 Calpine Corp., Senior Note 8.500%, 2/15/2011 (c) 5,873,875 3,560,000 Calpine Corp., Senior Note 8.625%, 8/15/2010 (c) 2,394,100 12,060,000 Charter Communications Holdings, Inc., Senior Note 9.625%, 11/15/2009 9,014,850 400,000 Charter Communications Holdings, Inc., Senior Note 10.000%, 4/01/2009 309,000 1,725,000 Charter Communications Holdings, Inc., Senior Note 10.000%, 5/15/2011 1,259,250 350,000 Chesapeake Energy Corp., Senior Note, 144A 6.375%, 6/15/2015 358,750 425,000 Cincinnati Bell, Inc. 8.375%, 1/15/2014 (c) 435,625 2,500,000 CIT Group, Inc., Series E, Senior Note, (MTN) 5.500%, 12/01/2014, (GBP) 4,592,874 18,650,000 Citibank NA, 144A 15.000%, 7/02/2010, (BRL) (h) 8,182,896 925,000 Coastal Corp. 7.750%, 6/15/2010 943,500 3,320,000 Columbia/HCA Healthcare Corp. 7.050%, 12/01/2027 3,331,222 500,000 Columbia/HCA, Inc. 7.500%, 12/15/2023 527,294 500,000 Columbia/HCA, Inc. (MTN) 7.580%, 9/15/2025 527,177 1,070,000 Continental Airlines, Inc. 5.000%, 6/15/2023 (c) 941,600 1,216,590 Continental Airlines, Inc., Series 1997-4, Class 4A 6.900%, 1/02/2018 1,209,831 2,136,699 Continental Airlines, Inc., Series 1997-4, Class 4B 6.900%, 1/02/2017 1,740,228 1,544,726 Continental Airlines, Inc., Series 1998-1, Class 1B 6.748%, 3/15/2017 1,268,159
1,647,514 Continental Airlines, Inc., Series 1999-1, Class A 6.545%, 2/02/2019 1,649,296 2,727,931 Continental Airlines, Inc., Series 1999-1, Class B 6.795%, 8/02/2018 2,277,544 401,887 Continental Airlines, Inc., Series 1999-1, Class C 6.954%, 8/02/2009 325,771 2,011,592 Continental Airlines, Inc., Series 1999-2, Class B 7.566%, 3/15/2020 1,656,726 556,537 Continental Airlines, Inc., Series 2001-1, Class A1 6.703%, 6/15/2021 543,339 292,476 Continental Airlines, Inc., Series 2001-1, Class B 7.373%, 12/15/2015 244,114 4,693,122 Continental Airlines, Inc., Series 2002-2, Class B 8.307%, 4/02/2018 3,902,345 6,225,000 Corning, Inc. 5.900%, 3/15/2014 6,397,227 6,220,000 Corning, Inc. 6.200%, 3/15/2016 6,494,171 650,000 Corning, Inc. 6.750%, 9/15/2013 702,360 1,000,000 Corning, Inc. 6.850%, 3/01/2029 1,033,385 400,000 CSC Holdings, Inc., Senior Note 7.875%, 2/15/2018 394,000 250,000 CSC Holdings, Inc., Series B, Senior Note 8.125%, 7/15/2009 253,125 250,000 CSC Holdings, Inc., Series B, Senior Note 8.125%, 8/15/2009 253,125 2,145,000 Cummins, Inc. 7.125%, 3/01/2028 2,161,088 310,000 Dana Corp. 5.850%, 1/15/2015 272,800 460,000 Dana Corp. 7.000%, 3/15/2028 402,667 1,610,000 Dana Corp. 7.000%, 3/01/2029 1,406,504 10,705,000 Delphi Corp. 7.125%, 5/01/2029 7,386,450 7,285,000 Dillard's Department Stores, Inc. 6.625%, 1/15/2018 6,920,750 425,000 Dillard's Department Stores, Inc. 7.875%, 1/01/2023 425,000 1,350,000 Dillard's, Inc. 7.000%, 12/01/2028 1,248,750 1,600,000 Dillard's, Inc. 7.130%, 8/01/2018 1,560,000 1,500,000 Dillard's, Inc. 7.750%, 7/15/2026 1,473,750 900,000 Dynegy Holdings, Inc. 7.125%, 5/15/2018 857,250 3,705,000 Edison Mission Energy Corp., Senior Note 7.730%, 6/15/2009 3,904,144 260,000 El Paso CGP, Co. 6.375%, 2/01/2009 256,100 13,905,000 El Paso CGP, Co. 6.950%, 6/01/2028 12,166,875 1,965,000 EL Paso Corp. 7.000%, 5/15/2011 1,960,088 750,000 EL Paso Corp., Senior Note, (MTN) 7.800%, 8/01/2031 729,375 1,600,000 El Paso Energy Corp. 6.750%, 5/15/2009 1,600,000 1,000,000 EL Paso Energy Corp., (MTN), (FRN) 7.750%, 1/15/2032 975,000 3,153,000 Enzon, Inc., 4.500%, 7/01/2008 2,782,523 4,000,000 FHLMC 3.220%, 6/20/2007, (SGD) 2,421,551 7,000,000 FHLMC 4.625%, 2/15/2007, (EUR) 8,806,826 28,200,000 FNMA 2.290%, 2/19/2009, (SGD) 16,753,824 6,500,000 FNMA 2.375%, 2/15/2007 6,357,208
34,000,000 FNMA, Zero Coupon 10/29/2007, (NZD) 20,362,749 150,000 Ford Motor Co. 6.625%, 10/01/2028 117,668 2,110,000 Friendly Ice Cream Corp., Guaranteed Senior Note 8.375%, 6/15/2012 (c) 2,046,700 30,350,000 General Electric Capital Corp. 6.625%, 2/04/2010, (NZD) 21,192,790 500,000 General Electric Capital Corp., Series E, (MTN) 1.725%, 6/27/2008, (SGD) 291,896 3,100,000 General Electric Capital Corp., Series E, (MTN) 6.125%, 5/17/2012, (GBP) 6,018,826 6,625,000 General Motors Acceptance Corp. 4.100%, 7/16/2007 6,392,946 8,000,000 General Motors Acceptance Corp. 4.130%, 3/20/2007 7,758,688 3,401,000 General Motors Acceptance Corp., Series E, (MTN) 7.500%, 12/01/2006, (NZD) 2,249,474 1,350,000 Georgia-Pacific Corp. 7.250%, 6/01/2028 1,444,500 3,200,000 Georgia-Pacific Corp. 7.375%, 12/01/2025 3,460,000 3,775,000 Georgia-Pacific Corp. 7.750%, 11/15/2029 4,242,156 2,090,000 Great Lakes Dredge & Dock Corp., Senior Subordinated Note 7.750%, 12/15/2013 (c) 1,583,175 1,000,000 HCA, Inc., Senior Note 5.750%, 3/15/2014 995,584 855,000 Hertz Corp., Senior Note 6.350%, 6/15/2010 817,672 190,000 Hertz Corp., Senior Note 6.900%, 8/15/2014 176,640 16,050,000 HSBC Bank USA, 144A 3.310%, 8/25/2010 (h) 16,139,880 2,515,000 IMC Global, Inc. 7.300%, 1/15/2028 2,426,975 1,880,000 IMC Global, Inc. 7.375%, 8/01/2018 1,880,000 640,000 JC Penney Co., Inc. 7.125%, 11/15/2023 694,400 400,000 Level 3 Comm, Inc. 6.000%, 9/15/2009 216,000 2,335,000 Liberty Media Corp., Convertible 3.500%, 1/15/2031 2,066,475 12,035,000 Lucent Technologies, Inc. 6.450%, 3/15/2029 10,771,325 206,275 Managed High Income Portfolio, Inc. 1,303,658 1,250,000 McDonald's Corp., Series E, (MTN) 3.6275%, 10/10/2010, (SGD) 776,018 881,000 Missouri Pacific Railroad Co. 5.000%, 1/01/2045 692,327 1,000,000 Morgan Stanley 5.375%, 11/14/2013, (GBP) 1,838,256 1,000,000 Navistar International, 144A 6.250%, 3/01/2012 965,000 2,145,000 NGC Corp. 7.625%, 10/15/2026 2,043,113 825,000 NGL Capital Securities 8.316%, 6/01/2027 721,875 3,175,000 Northern Telecom Capital Corp. 7.875%, 6/15/2026 3,175,000 253,249 Northwest Airlines Corp. 7.950%, 3/01/2015 188,847 6,145,000 Owens-Illinois, Inc., Senior Note 7.800%, 5/15/2018 6,452,250 3,000,000 Pemex Project Funding Master Trust, 144A 8.625%, 12/01/2023 3,645,000 4,350,000 Pemex Project Funding Master Trust, 144A 9.500%, 9/15/2027 (c) 5,676,750 2,000,000 Pharma Intermediate 0/11.500%, 4/01/2014 (k) 1,445,000 1,920,000 Pioneer Natural Resource 5.875%, 7/15/2016 1,936,239 800,000 Qwest Capital Funding, Inc. 6.500%, 11/15/2018 656,000 33,450,000 Qwest Capital Funding, Inc. 6.875%, 7/15/2028 (c) 26,509,125
950,000 Qwest Capital Funding, Inc. 7.250%, 2/15/2011 (c) 909,625 1,700,000 Qwest Capital Funding, Inc. 7.750%, 2/15/2031 (c) 1,466,250 2,025,000 Qwest Capital Funding, Inc., Guaranteed Note 7.000%, 8/03/2009 (c) 1,979,438 2,420,000 Qwest Capital Funding, Inc., Guaranteed Note 7.625%, 8/03/2021 (c) 2,135,650 1,350,000 Qwest Corp. 7.250%, 9/15/2025 1,262,250 6,255,000 Saks, Inc. 7.375%, 2/15/2019 6,255,000 6,100,000 SLM Corp. 6.500%, 6/15/2010, (NZD) 4,215,449 493,374 Tiverton Power Associates, LP, 144A 9.000%, 7/15/2018 407,034 1,690,000 Toys R US, Inc. 7.375%, 10/15/2018 1,377,350 6,405,000 TTI Holding Corp., Senior Subordinated Note, 144A 10.000%, 3/15/2013 5,988,675 315,000 TXU Corp., 144A 5.550%, 11/15/2014 305,505 2,225,000 TXU Corp.,144A 6.550%, 11/15/2034 (c) 2,185,221 5,000,000 U.S. Treasury Note 1.625%, 2/28/2006 4,940,820 95,775,000 U.S. Treasury Note 2.500%, 5/31/2006 (c) 94,888,315 49,730,000 U.S. Treasury Note 2.625%, 5/15/2008 (c) 48,325,525 29,225,000 U.S. Treasury Note 2.750%, 6/30/2006 (c) 29,000,114 50,270,000 U.S. Treasury Note 3.000%, 2/15/2008 (c) 49,455,073 1,020,000 United Rentals North America, Inc., Senior Subordinated Note 7.000%, 2/15/2014 (c) 971,550 2,500,000 Wal-Mart Stores, Inc. 4.750%, 1/29/2013, (GBP) 4,513,794 600,000 Williams Cos., Inc. 7.875%, 9/01/2021 682,500 965,000 Williams Cos., Inc., Senior Note 7.750%, 6/15/2031 1,063,913 8,600,000 Williams Cos., Inc., Series A 7.500%, 1/15/2031 9,309,500 1,000,000 Woolworth Corp. 8.500%, 1/15/2022 1,097,500 15,550,000 Xerox Capital Trust I, Guaranteed Note 8.000%, 2/01/2027 16,094,250 1,730,000 Xerox Corp., (MTN) 7.200%, 4/01/2016 1,868,400 ------------ 747,544,829 ------------ Uruguay -- 0.3% 1,600,000 Republic of Uruguay 7.500%, 3/15/2015 1,568,000 2,834,959 Republic of Uruguay 7.875%, 1/15/2033 2,579,813 ------------ 4,147,813 ------------ Venezuela -- 1.8% 16,535,000 Cerro Negro Finance, Ltd., 144A 7.900%, 12/01/2020 15,129,525 13,790,000 Petrozuata Finance, Inc., Series B, 144A 8.220%, 4/01/2017 12,928,125 ------------ 28,057,650 ------------ Total Non-Convertible Bonds (Identified Cost $1,243,271,649) 1,297,870,238 ------------- Total Bonds and Notes (Identified Cost $1,306,925,193) 1,363,462,050 -------------
Shares Description Value (a) - ------------------------------------------------------------------------------------------------------------ Preferred Stocks -- 3.4% Philippines -- 0.5% 156,314 Philippine Long Distance Telephone Co., Sponsored GDR, Convertible, $24.80, 12/31/2049 8,050,171 ------------
United States -- 2.9% 105,450 AES Trust III, Convertible, Preferred, 6.75%, 10/15/2029 5,022,056 36,725 CMS Energy Trust I, Convertible, 7.75%, 7/15/2027 1,854,612 51,500 Cummins Capital Trust I, Convertible 4,139,313 1,100 Delphi Trust I 8.25% Preferred Stock (c) 20,537 41,300 Felcor Lodging Trust, Inc. (REIT), Convertible, 8.08%, 12/13/2049 1,001,525 24,550 Host Marriott Finance Trust (REIT), Convertible 1,405,488 13,100 Lucent Technologies Capital Trust I, Convertible, 7.75%, 3/15/2017 12,716,825 15,000 Newell Financial Trust I, Convertible 654,375 293,375 Owens-Illinois, Inc., Convertible, 4.75%, 12/31/2049 11,955,031 800 Pacific Gas & Electric Co., Series G 18,440 212,425 Travelers Property Casualty Convertible Preferred Stock (c) 4,756,196 10,000 United Rentals Trust I, Convertible 417,500 ------------ 43,961,898 ------------ Total Preferred Stocks (Identified Cost $46,027,045) 52,012,069 ------------
Shares Description Value (a) - ------------------------------------------------------------------------------------------------------------ Common Stocks -- 2.7% Brazil -- 0.2% 117,000 Cia Vale do Rio Doce, ADR (c) 3,425,760 ------------ United States -- 2.5% 602,250 Associated Estates Realty Corp. (REIT) 5,558,767 53,260 Chesapeake Energy Corp. 1,214,328 27,045 CIM High Yield Securities Fund 109,803 41,343 Corning, Inc. 687,121 182,500 Developers Diversified Realty Corp. (REIT) 8,387,700 282,500 Duke Energy Corp. (c) 8,398,725 574,675 High Income Opportunity Fund, Inc. 3,712,401 110,211 Morgan Stanley Emerging Markets Debt Fund, Inc. (c) 1,095,497 6,300 Senior High Income Portfolio, Inc. 37,548 117,700 Simon Property Group, Inc. (c) 8,532,073 ------------ 37,733,963 ------------ Total Common Stocks (Identified Cost $27,942,441) 41,159,723 ------------
Principal Amount Description Value (a) - -------------------------------------------------------------------------------------------------------------- Short Term Investments -- 21.2% 49,434,307 Repurchase Agreement with Investors Bank & Trust Co. dated 6/30/2005 at 2.01% to be repurchased at $49,437,067 on 7/1/05, collateralized by $21,008,935 Federal Home Loan Mortgage Bond, 3.57%, due 12/15/2034 valued at $21,000,000 and $20,786,146 Federal National Mortgage Association Bond, 5.20%, due 8/1/2034 valued at $21,000,000 and $2,551,662 Federal Home Loan Mortgage Bond, 3.72% due 3/15/2032 valued at $2,575,837 and $7,274,786 Federal National Mortgage Association Bond, 3.81% due 9/25/2032 valued at $7,330,185 (j) 49,434,307 12,636,913 American Beacon Fund, 3.18%, due 7/01/2005 (i) 12,636,913 18,070,515 Bank of Nova Scotia, 3.11%, due 7/11/2005 (i) 18,070,515 4,060,790 Bank of Nova Scotia, 3.16%, due 7/15/2005 (i) 4,060,790 10,151,975 Bank of Nova Scotia, 3.30%, due 7/29/2005 (i) 10,151,975 16,628,001 BGI Institutional Money Market Fund (i) 16,628,001 16,594,281 Calyon, 3.09%, due 7/01/2005 (i) 16,594,281 10,151,975 Clipper Receivables Corp., 3.19%, due 7/14/2005 (i) 10,151,975 10,964,133 Compass Securitization, 3.16%, due 7/11/2005 (i) 10,964,133 11,083,520 Fairway Finance, 3.26%, due 7/25/2005 (i) 11,083,520 10,151,975 Falcon Asset Securitization Corp., 3.17%, due 7/12/2005 (i) 10,151,975 8,121,580 General Electric Capital Corp., 3.25%, due 7/08/2005 (i) 8,121,580 8,607,039 Goldman Sachs Financial Square Prime Obligations Fund (i) 8,607,039 10,452,473 Greyhawk Funding, 3.26%, due 8/01/2005 (i) 10,452,473 10,151,975 Jupiter Securitization Corp., 3.21%, due 7/15/2005 (i) 10,151,975 10,151,975 Lexington Parker Capital Corp., 3.26%, due 7/19/2005 (i) 10,151,975 1,299,544 Merrimac Cash Fund-Premium Class (i) 1,299,544 15,594,468 National Australia Bank, 3.26%, due 7/06/2005 (i) 15,594,468 10,151,975 Park Avenue Receivables Corp., 3.23%, due 7/20/2005 (i) 10,151,975 10,151,975 Prefco, 3.26%, due 7/26/2005 (i) 10,151,975 7,936,471 Rabobank Nederland, 3.35%, due 7/01/2005 (i) 7,936,471 9,990,900 Ranger Funding, 3.19%, due 7/15/2005 (i) 9,990,900 10,151,975 Royal Bank of Canada, 3.25%, due 8/05/2005 (i) 10,151,975 20,303,950 Royal Bank of Scotland, 3.29%, due 7/12/2005 (i) 20,303,950 10,151,975 Sheffield Receivables Corp., 3.34%, due 7/15/2005 (i) 10,151,975 10,097,323 Yorktown Capital LLC, 3.24%, due 7/20/2005 (i) 10,097,323 ------------ Total Short Term Investments (Identified Cost $323,243,983) 323,243,983 ------------
Total Investments -- 116.6% (Identified Cost $1,704,138,662) (b) 1,779,877,825 Other assets less liabilities (253,859,745) --------------- Total Net Assets -- 100% $ 1,526,018,080 ===============
(a) Debt securities for which market quotations are readily available (other than short-term obligations with a remaining maturity of less than sixty days are generally valued at market price on the basis of valuations furnished to the Fund by a pricing service authorized by the Board of Trustees, which service determines valuations for normal, institutional size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Short-term obligations with a remaining maturity of less than sixty days are stated at amortized cost, which approximates market value. Equity securities for which market quotations are readily available are valued at market price on the basis of valuations furnished to the Fund by a pricing service which has been authorized by the Board of Trustees. The pricing service provides the last reported sale price for securities listed on an applicable securities exchange or, if no sale was reported and in the case of over-the counter securities not so listed, the last reported bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking NOCP, at the most recent bid quotations on the NASDAQ National Market. Certain securities held by the Fund were valued on the basis of a price provided by a principal market maker. The prices provided by the principal market makers may differ from the value that would be realized if the securities were sold. All other securities and assets are valued at their fair value as determined in good faith by the Funds' investment adviser and subadviser, pursuant to the procedures approved by the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and /or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information: (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales, return of capital included in dividends received from the Fund's investments in REIT's and interest adjustments on defaulted bonds. Amortization of premium on debt securities is excluded for tax purposes.): At June 30, 2005, the net unrealized appreciation on investments based on cost of $1,707,490,893 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost......................................$ 94,230,030 Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value...................................... (21,843,098) -------------- Net unrealized appreciation..........................................................$ 72,386,932 ==============
At September 30, 2004, the Fund had a capital loss carryover of approximately $49,383,086 of which $3,167,856 expires on September 30, 2007 and $6,500,127 expires on September 30, 2008, $10,848,517 expires on September 30, 2009, $21,770,312 expires on September 30, 2010 and $7,096,274 expires on September 30, 2011 These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. (c) All or a portion of this security was on loan to brokers at June 30, 2005. The Fund has entered into an agreement with Investors Bank & Trust Company, as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at June 30, 2005 were $267,003,045 and $273,809,676, respectively. (d) Non-income producing security. (e) Issuer filed petition under Chapter 11 of the Federal Bankruptcy Code. (f) Security valued at fair value as determined in good faith by or under the direction of the Board of Trustees. (g) Security is in default of principal and interest payment. (h) Illiquid security. At June 30, 2005, the value of these securities amounted to $103,085,195 or 6.8% of net assets. (i) Represents investments of securities lending collateral. (j) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. The Fund's investment adviser is responsible for determining that the value of the collateral is at all times at least equal to 102% of the repurchase price, including interest. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund's ability to dispose of the underlying securities. (k) Step Bond: Coupon rate is zero or below market for an initial period and then increases to a higher coupon rate at a specified rate. ADR/GDR An American Depositary Receipt (ADR) or Global Depositary Receipt (GDR) is a certificate issued by a Custodian Bank representing the right to receive securities of the foreign issuer described. The values of ADRs and GDRs are significantly influenced by trading on exchanges not located in the United States. FRN Floating Rate Note MTN Medium Term Note REIT Real Estate Investment Trust Yankee U.S. dollar denominated security issued by a non - U.S. Company. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registrations, normally to qualified institutional buyers. At the period end, the value of these amounted to $166,294,177 or 10.9% of net assets. BRL - Brazilian Real CAD - Canadian Dollar EUR - Euro GBP - British Pound MXN - Mexican Peso NOK - Norwegian Krone NZD - New Zealand Dollar SEK - Swedish Krona SGD - Singapore Dollar THB - Thai Baht ZAR - South African Rand PORTFOLIO OF INVESTMENTS - as of June 30, 2005 (Unaudited) Loomis Sayles Tax-Managed Equity Fund
Shares Value (a) - ---------------------------------------------------------------------------------------------------- COMMON STOCKS - 96.6% of total net assets Aerospace & Defense - 2.0% United Technologies Corp. 3,400 $ 174,590 ----------- Automobiles - 0.8% Harley-Davidson, Inc. 1,500 74,400 ----------- Beverages - 3.2% PepsiCo, Inc. 5,250 283,133 ----------- Biotechnology - 2.6% Amgen, Inc. (c) 3,900 235,794 ----------- Capital Markets - 6.5% Bear Stearns Cos., Inc. 2,050 213,077 Franklin Resources, Inc. 1,500 115,470 Goldman Sachs Group, Inc. 2,500 255,050 ----------- 583,597 ----------- Chemicals - 3.8% Ecolab, Inc. 4,500 145,620 Praxair, Inc. 4,150 193,390 ----------- 339,010 ----------- Commercial Banks - 5.2% Wells Fargo & Co. 3,925 241,702 Zions Bancorporation 3,000 220,590 ----------- 462,292 ----------- Commercial Services & Supplies - 2.0% ARAMARK Corp., Class B 6,800 179,520 ----------- Communications Equipment - 5.9% Cisco Systems, Inc. (c) 9,825 187,756 Harris Corp. 7,225 225,492 QUALCOMM, Inc. 3,525 116,360 ----------- 529,608 ----------- Computers & Peripherals - 2.2% Dell, Inc. (c) 5,000 197,550 ----------- Containers & Packaging - 1.8% Ball Corp. 4,575 164,517 ----------- Diversified Financial Services - 2.5% Citigroup, Inc. 4,900 226,527 ----------- Diversified Telecommunication Services - 2.4% SBC Communications, Inc. 9,000 213,750 -----------
Electronic Equipment & Instruments - 2.0% Flextronics International Ltd. (c) 13,625 $ 179,986 ----------- Energy Equipment & Services - 1.7% GlobalSantaFe Corp. 3,675 149,940 ----------- Food & Staples Retailing - 2.2% Wal-Mart Stores, Inc. 4,000 192,800 ----------- Healthcare Equipment & Supplies - 7.2% Guidant Corp. 2,225 149,742 Kinetic Concepts, Inc. (c) 2,550 153,000 Medtronic, Inc. 3,600 186,444 Zimmer Holdings, Inc. (c) 2,100 159,957 ----------- 649,143 ----------- Healthcare Providers & Services - 1.5% Caremark Rx, Inc. (c) 3,100 138,012 ----------- Hotels, Restaurants & Leisure - 2.4% Carnival Corp. 4,000 218,200 ----------- Household Durables - 1.9% Leggett & Platt, Inc. 6,400 170,112 ----------- Industrial Conglomerates - 3.2% General Electric Co. 8,250 285,863 ----------- Insurance - 3.1% AFLAC, Inc. 6,500 281,320 ----------- IT Services - 3.3% Accenture Ltd., Class A (c) 9,650 218,766 ----------- First Data Corp. 1,950 78,273 ----------- 297,039 Machinery - 3.4% Danaher Corp. 2,775 145,244 Dover Corp. 4,475 162,800 ----------- 308,044 ----------- Media - 2.4% Viacom, Inc., Class B 6,825 218,537 ----------- Multiline Retail - 1.9% Target Corp. 3,200 174,112 ----------- Oil, Gas & Consumable Fuels - 7.1% ConocoPhillips 3,100 178,219 Devon Energy Corp. 4,325 219,191 Exxon Mobil Corp. 4,075 234,190 ----------- 631,600 ----------- Personal Products - 3.7% Alberto-Culver Co. 3,500 151,655 Avon Products, Inc. 4,725 178,841 ----------- 330,496 -----------
Pharmaceuticals - 4.1% Abbott Laboratories 4,175 $ 204,617 Perrigo Co. 11,625 162,052 ----------- 366,669 ----------- Semiconductors & Semiconductor Equipment - 4.6% DSP Group, Inc. (c) 5,550 132,479 Intel Corp. 5,825 151,799 Maxim Integrated Products, Inc. 3,325 127,048 ----------- 411,326 ----------- TOTAL COMMON STOCKS (Identified Cost $7,948,821) 8,667,487 ----------- TOTAL INVESTMENTS - 96.6% (Identified Cost $7,948,821) (b) 8,667,487 Other assets less liabilities -- 3.4% 302,372 ----------- TOTAL NET ASSETS -- 100% $ 8,969,859 ===========
(a) Equity securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Such pricing services generally use the most recent bid prices in the principal market in which such securities are normally traded. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available (including restricted securities, if any) are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2005, the unrealized appreciation on investments based on cost of $7,948,821 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 $ 945,022 Aggregate gross unrealized depreciation for all investments in which there is an excess tax cost over value (226,356) ----------- Net unrealized appreciation $ 718,666 ===========
(c) Non-income producing security. PORTFOLIO OF INVESTMENTS - as of June 30, 2005 (Unaudited) Loomis Sayles Value Fund
Shares Value (a) - ---------------------------------------------------------------------------------------------------- COMMON STOCKS - 98.7% of total net assets Aerospace & Defense - 5.0% Honeywell International, Inc. 17,050 $ 624,541 Northrop Grumman Corp. 12,250 676,812 United Technologies Corp. 9,150 469,853 ----------- 1,771,206 ----------- Capital Markets - 4.7% Lehman Brothers Holdings, Inc. 7,600 754,528 Merrill Lynch & Co., Inc. 9,750 536,347 Morgan Stanley 7,100 372,537 ----------- 1,663,412 ----------- Chemicals - 2.0% Praxair, Inc. 15,525 723,465 ----------- Commercial Banks - 7.4% Bank of America Corp. 10,325 470,923 SunTrust Banks, Inc. 4,625 334,110 U.S. Bancorp 26,050 760,660 Wachovia Corp. 12,504 620,199 Wells Fargo & Co. 7,200 443,376 ----------- 2,629,268 ----------- Commercial Services & Supplies - 1.9% Waste Management, Inc. 24,125 683,703 ----------- Communications Equipment - 3.0% Avaya, Inc. (e) 42,225 351,312 Motorola, Inc. 39,325 718,074 ----------- 1,069,386 ----------- Computers & Peripherals - 1.1% Hewlett-Packard Co. 16,275 382,625 ----------- Consumer Finance - 1.7% American Express Co. 11,050 588,192 ----------- Diversified Financial Services - 8.1% CIT Group, Inc. 16,475 707,931 Citigroup, Inc. 25,800 1,192,734 J.P. Morgan Chase & Co. 26,775 945,693 ----------- 2,846,358 ----------- Diversified Telecommunication Services - 4.8% BellSouth Corp. 26,525 704,769 CenturyTel, Inc. 8,325 288,295 SBC Communications, Inc. 29,175 692,906 ----------- 1,685,970 -----------
Electric Utilities - 4.4% Exelon Corp. 17,200 $ 882,876 PG&E Corp. 17,725 665,396 ----------- 1,548,272 ----------- Electrical Equipment - 0.9% ABB Ltd. ADR (c)(e) 51,325 332,073 ----------- Energy Equipment & Services - 4.7% GlobalSantaFe Corp. 19,800 807,840 Halliburton Co. 18,075 864,346 ----------- 1,672,186 ----------- Healthcare Equipment & Supplies - 1.7% Baxter International, Inc. 16,650 617,715 ----------- Healthcare Providers & Services - 3.2% Quest Diagnostics, Inc. 8,400 447,468 Universal Health Services, Inc., Class B 10,825 673,098 ----------- 1,120,566 ----------- Hotels, Restaurants & Leisure - 1.8% McDonald's Corp. 22,450 622,988 ----------- Independent Power Producer & Energy - 1.3% Constellation Energy Group, Inc. 8,100 467,289 ----------- Industrial Conglomerates - 1.9% Tyco International Ltd. 22,875 667,950 ----------- Insurance - 5.3% Allstate Corp. 13,700 818,575 American International Group, Inc. 9,350 543,235 Prudential Financial, Inc. 7,925 520,355 ----------- 1,882,165 ----------- IT Services - 2.3% Accenture Ltd., Class A (e) 19,125 433,564 First Data Corp. 9,100 365,274 ----------- 798,838 ----------- Leisure Equipment & Products - 1.2% Hasbro, Inc. 19,550 406,445 ----------- Media - 6.4% DIRECTV Group, Inc. (The) (e) 35,775 554,512 McGraw-Hill Cos., Inc. 10,875 481,219 News Corp., Class A 37,250 602,705 Time Warner, Inc. (e) 36,225 605,320 ----------- 2,243,756 ----------- Multiline Retail - 3.9% Federated Department Stores, Inc. 7,325 536,776 J.C. Penney Co., Inc. (Holding Co.) 15,750 828,135 ----------- 1,364,911 -----------
Oil, Gas & Consumable Fuels - 9.2% BP Plc ADR 7,200 $ 449,136 Chevron Corp. 8,550 478,116 ConocoPhillips 8,500 488,665 ExxonMobil Corp. 23,150 1,330,430 Peabody Energy Corp. 9,650 502,186 ----------- 3,248,533 ----------- Pharmaceuticals - 3.1% Abbott Laboratories 11,700 573,417 Pfizer, Inc. 18,800 518,504 ----------- 1,091,921 ----------- Property & Casualty Insurance - 0.9% Berkshire Hathaway, Inc., Class B (e) 119 331,237 ----------- Real Estate - 1.2% Simon Property Group, Inc. 5,650 409,569 ----------- Road & Rail - 1.3% Burlington Northern Santa Fe Corp. 10,000 470,800 ----------- Semiconductors & Semiconductor Equipment - 1.3% Freescale Semiconductor, Inc., Class B (e) 22,198 470,154 ----------- Specialty Retail - 0.9% Office Depot, Inc. (e) 14,175 323,757 ----------- Tobacco - 2.1% Altria Group, Inc. 11,400 737,124 ----------- TOTAL COMMON STOCKS (Identified Cost $27,681,030) 34,871,834 -----------
Principal Amount - ---------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT - 2.0% Commercial Paper - 1.3% New Center Asset Trust, 2.100%, 7/01/2005 (f) $ 472,000 472,000 -----------
Shares - ---------------------------------------------------------------------------------------------------- State Street Navigator Securities Lending Prime Portfolio (d) 245,747 245,747 ----------- TOTAL SHORT-TERM INVESTMENT (Identified Cost $717,747) 717,747 ----------- TOTAL INVESTMENTS - 100.7% (Identified Cost $28,398,777) (b) 35,589,581 Other assets less liabilities -- (0.7)% (253,405) -------------- TOTAL NET ASSETS -- 100% $ 35,336,176 ==============
(a) Equity securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Such pricing services generally use the most recent bid prices in the principal market in which such securities are normally traded. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available (including restricted securities, if any) are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales and return of capital included in dividends received from the Fund's investments in REIT's.): At June 30, 2005, the unrealized appreciation on investments based on cost of $28,398,777 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 $ 7,554,988 Aggregate gross unrealized depreciation for all investments in which there is an excess tax cost over value (364,184) ----------- Net unrealized appreciation $ 7,190,804 ===========
(c) All or a portion of this security was on loan to brokers at June 30, 2005. The Fund has entered into an agreement with State Street Bank and Trust Company , as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. The Fund receives fees for lending their securities. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at June 30, 2005 were $235,553 and $245,747, respectively. (d) Represents investment of securities lending collateral. (e) Non-income producing security. (f) Interest rate represents annualized yield at the time of purchase; not a coupon rate. ADR An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States. PORTFOLIO OF INVESTMENTS - as of June 30, 2005 (Unaudited) Loomis Sayles Worldwide Fund
Principal Amount Value (a) - ---------------------------------------------------------------------------------------------------- BONDS AND NOTES - 32.7% of total net assets NON-CONVERTIBLE BONDS - 32.7% Australia - 0.2% South Australia Government Finance Authority, Zero Coupon Bond, 12/21/2015 AUD 120,000 $ 51,971 ---------- Brazil - 0.4% Republic of Brazil C Bond, 8.000%, 4/15/2014 USD 26,387 26,981 Republic of Brazil, 8.750%, 2/04/2025 50,000 51,500 ---------- 78,481 ---------- Canada - 1.2% Avenor, Inc., 10.850%, 11/30/2014 CAD 20,000 19,116 Canadian Government, 0.700%, 3/20/2006 JPY 10,000,000 90,563 Canadian Pacific Railway Ltd., 4.900%, 6/15/2010, 144A CAD 25,000 21,378 Province of British Columbia, 6.000%, 6/09/2008 35,000 30,871 Province of Ontario, 5.900%, 3/08/2006 15,000 12,485 Rogers Wireless, Inc., 7.625%, 12/15/2011 25,000 21,898 Shaw Communications, Inc., 7.500%, 11/20/2013 70,000 62,454 ---------- 258,765 ---------- Cayman Island - 0.5% Arcel Finance Ltd., 7.048%, 9/01/2011, 144A USD 15,000 15,504 Vale Overseas Ltd., 8.250%, 1/17/2034 75,000 82,500 ---------- 98,004 ---------- Chile - 0.3% Empresa Nacional de Electricidad SA, Series B, 8.500%, 4/01/2009 (c) 50,000 55,581 ---------- Colombia - 0.4% Republic of Colombia, 8.125%, 5/21/2024 (c) 40,000 39,900 Republic of Columbia, 11.750%, 3/01/2010 COP 100,000,000 45,667 ---------- 85,567 ---------- Denmark - 0.2% Kingdom of Denmark, 5.000%, 8/15/2005 DKK 225,000 36,605 ---------- France - 0.2% Dexia Municipal Agency, 5.500%, 4/25/2006 EUR 25,000 31,054 ----------
Germany - 2.1% Eurohypo AG - Europaeische Hypothekenbank der Deutschen Bank, 4.000%, 2/01/2007 150,000 $ 186,744 Hypothekenbank in Essen AG, 5.250%, 1/22/2008 115,000 149,370 KFW, 2.500%, 10/11/2010 80,000 96,257 Republic of Germany, 3.250%, 4/17/2009 10,000 12,502 ---------- 444,873 ---------- Ireland - 0.2% Republic of Ireland, 4.600%, 4/18/2016 30,000 40,964 ---------- Italy - 2.2% Republic of Italy, 0.375%, 10/10/2006 JPY 33,000,000 298,907 Republic of Italy, 4.500%, 3/01/2007 EUR 135,000 169,699 ---------- 468,606 ---------- Korea - 0.2% Hanarotelecom, Inc., 7.000%, 2/01/2012, 144A USD 50,000 49,624 ---------- Mexico - 1.5% Government of Mexico, 6.750%, 6/06/2006 JPY 7,000,000 66,818 Innova S de RL, 9.375%, 9/19/2013 (c) USD 25,000 28,188 Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 MXN 1,000,000 91,275 United Mexican States, 4.250%, 6/16/2015 EUR 100,000 120,020 ---------- 306,301 ---------- Netherlands - 0.8% E. On International Finance, Series EMTN, 5.750%, 5/29/2009 10,000 13,504 GMAC International Finance BV, 8.000%, 3/14/2007 NZD 55,000 36,922 Kingdom of Netherlands, 5.000%, 7/15/2011 EUR 50,000 68,169 Olivetti Finance NV, 6.875%, 1/24/2013 10,000 14,553 RWE Finance B.V., 6.125%, 10/26/2012 25,000 36,074 ---------- 169,222 ---------- Singapore - 0.5% Government of Singapore, 4.625%, 7/01/2010 SGD 125,000 82,323 Singapore Telecommunications Ltd., 6.000%, 11/21/2011 EUR 10,000 14,045 ---------- 96,368 ---------- South Africa - 0.3% Republic of South Africa, 5.250%, 5/16/2013 50,000 66,350 ----------
Supranational - 1.0% Inter-American Development Bank, Zero Coupon Bond, 5/11/2009 BRL 700,000 $ 169,259 International Bank for Reconstruction & Development, 2.000%, 2/18/2008 JPY 4,000,000 37,719 ---------- 206,978 ---------- Sweden - 0.8% Government of Sweden, Series 1040, 6.500%, 5/05/2008 SEK 540,000 77,671 Government of Sweden, Series 1045, 5.250%, 3/15/2011 495,000 72,504 Stena AB, 7.500%, 11/01/2013 USD 25,000 24,625 ---------- 174,800 ---------- United Kingdom - 1.4% Barclays Financial LLC, 4.100%, 3/22/2010, 144A THB 4,000,000 96,468 Barclays Financial LLC, 4.160%, 2/22/2010, 144A 4,000,000 96,769 NGG Finance Plc, 6.125%, 8/23/2011 EUR 10,000 14,060 United Kingdom Treasury, 5.000%, 3/07/2025 GBP 10,000 19,797 United Kingdom Treasury, 6.250%, 11/25/2010 25,000 49,530 WPP Group Plc, 6.000%, 6/18/2008 EUR 10,000 13,236 ---------- 289,860 ---------- United States - 18.2% AES Corp., 7.750%, 3/01/2014 (c) USD 100,000 108,500 Agco Corp., 6.875%, 4/15/2014 EUR 20,000 25,447 AK Steel Corp., 7.750%, 6/15/2012 (c) USD 100,000 84,500 American Standard, Inc., 8.250%, 6/01/2009 GBP 10,000 19,617 Amkor Technology, Inc., 10.500%, 5/01/2009 (c) USD 50,000 43,125 Arrow Electronics, Inc., 6.875%, 7/01/2013 75,000 82,456 ASIF Global Financing XXVII, 2.380%, 2/26/2009, 144A SGD 100,000 59,421 Atlas Air Worldwide Holdings, Inc., 7.200%, 1/02/2019 USD 80,854 80,986 Atlas Air, Inc., Series B, 7.680%, 1/02/2014 42,865 35,842 Bausch & Lomb, Inc., 7.125%, 8/01/2028, 95,000 106,711 Borden, Inc., 7.875%, 2/15/2023 150,000 120,000 Charter Communications Holdings LLC, 10.000%, 5/15/2011 200,000 146,000 Chesapeake Energy Corp., 6.875%, 1/15/2016 110,000 114,675 Columbia/HCA Healthcare Corp., 7.050%, 12/01/2027 50,000 50,169 Columbia/HCA Healthcare Corp., 7.190%, 11/15/2015 50,000 53,959 Continental Airlines, Inc., Series 1998-1A, 6.648%, 9/15/2017 41,441 40,893 Continental Airlines, Inc., Series 2000-2, 7.487%, 10/02/2010 75,000 75,804
Corning Glass, 8.875%, 3/15/2016 25,000 $ 29,855 Cummins Engine Co., Inc., 7.125%, 3/01/2028 160,000 161,200 Delphi Automotive Systems Corp., 7.125%, 5/01/2029 (c) 35,000 24,150 Dillard's, Inc., 6.625%, 1/15/2018 (c) 50,000 47,500 Dillard's, Inc., 7.000%, 12/01/2028 50,000 46,250 ESI Tractebel Acquisition Corp., Series B, 7.990%, 12/30/2011 21,000 22,325 Federal Home Loan Mortgage Corp., 5.125%, 1/15/2012 EUR 200,000 273,238 Federal National Mortgage Association, 2.290%, 2/19/2009 SGD 100,000 59,486 Federal National Mortgage Association, 2.375%, 2/15/2007 USD 50,000 48,902 General Motors Acceptance Corp., 4.100%, 7/16/2007 (h) 75,000 72,373 Georgia-Pacific Group, 7.375%, 12/01/2025 50,000 54,063 Georgia-Pacific Group, 7.750%, 11/15/2029 35,000 39,331 HSBC Bank USA, 3.310%, 8/25/2010, 144A 100,000 100,560 IMC Global, Inc., 7.375%, 8/01/2018 100,000 100,000 J.C. Penney Co., Inc., 7.125%, 11/15/2023 25,000 27,125 KfW International Finance, Inc., 1.750%, 3/23/2010 JPY 2,000,000 19,240 KfW International Finance, Inc., 2.050%, 9/21/2009 7,000,000 67,817 Lear Corp., 8.125%, 4/01/2008 EUR 50,000 63,467 Lucent Technologies, Inc., 6.450%, 3/15/2029 USD 155,000 138,725 Morgan Stanley, 5.375%, 11/14/2013 GBP 20,000 36,730 Motorola, Inc., 8.000%, 11/01/2011 (c) USD 75,000 88,416 News America Holdings, Inc., 8.625%, 2/07/2014 AUD 50,000 40,838 Pemex Project Funding Master Trust, 7.875%, 2/01/2009 (c) USD 115,000 125,638 Qwest Corp., 6.875%, 9/15/2033 30,000 25,988 U.S. Treasury Notes, 2.500%, 5/31/2006 35,000 34,676 U.S. Treasury Notes, 2.625%, 5/15/2008 50,000 48,588 U.S. Treasury Notes, 2.750%, 6/30/2006 40,000 39,692 U.S. Treasury Notes, 3.000%, 2/15/2008 50,000 49,189 U.S. Treasury Notes, 3.250%, 8/15/2008 200,000 197,508 US West Capital Funding, Inc., 6.875%, 7/15/2028 200,000 158,500 Williams Cos., Inc., 7.500%, 1/15/2031 100,000 108,250 Woolworth Corp., 8.500%, 1/15/2022 150,000 164,625 Xerox Capital Trust I, 8.000%, 2/01/2027 50,000 51,750
Xerox Corp., 7.200%, 4/01/2016 20,000 $ 21,600 ----------- 3,835,700 ----------- Venezuela - 0.1% Cerro Negro Finance Ltd., 7.900%, 12/01/2020, 144A USD 30,000 27,450 ----------- TOTAL NON-CONVERTIBLE BONDS (Identified Cost $6,366,093) 6,873,124 ----------- CONVERTIBLE BONDS - 0.0% United States - 0.0% Builders Transportation, Inc., 8.000%, 8/15/2005 (g) 95,000 9 ----------- TOTAL CONVERTIBLE BONDS (Identified Cost $94,108) 9 ----------- TOTAL BONDS AND NOTES (Identified Cost $6,460,201) 6,873,133 -----------
Shares - ---------------------------------------------------------------------------------------------------- COMMON STOCKS - 63.5% of total net assets Australia - 1.1% Aristocrat Leisure Ltd. (c) 27,050 237,654 ----------- Austria - 1.2% Erste Bank der oesterreichischen Sparkassen AG 2,225 111,072 Wienerberger AG 3,125 144,847 ----------- 255,919 ----------- Belgium - 0.6% Umicore (c) 1,675 133,896 ----------- Bermuda - 1.0% Marvell Technology Group Ltd. (f) 5,313 202,107 ----------- Finland - 1.1% Nokia Oyj, ADR 14,275 237,536 ----------- France - 2.0% Sanofi-Aventis, ADR 7,025 287,955 Total Fina SA, Class B 575 134,408 ----------- 422,363 ----------- Germany - 0.5% Siemens AG 1,525 110,690 ----------- Greece - 0.7% Piraeus Bank S.A. 8,050 149,889 -----------
Hong Kong - 0.4% Esprit Holdings Ltd. 10,775 $ 77,695 ----------- Ireland - 0.5% Anglo Irish Bank Corp. Plc 9,292 114,916 ----------- Italy - 0.6% Eni Spa (c) 4,925 126,415 ----------- Japan - 2.6% Honda Motor Co. Ltd. 5,075 249,302 SFCG Co. Ltd. (c) 495 115,547 Sumitomo Realty & Development Co. Ltd. 7,550 84,080 UFJ Holdings, Inc. (f) 18 93,139 ----------- 542,068 ----------- Mexico - 0.9% America Movil S.A. de C.V., Series L 63,875 189,835 ----------- Netherlands - 0.7% Randstad Holding N.V. 4,450 153,268 ----------- Scotland - 0.7% Royal Bank of Scotland Group Plc 4,650 139,991 ----------- Switzerland - 4.2% ABB Ltd. (f) 19,000 122,763 Alcon, Inc. 1,750 191,362 Roche Holding AG 3,325 418,967 Synthes, Inc. 1,275 139,537 ----------- 872,629 ----------- Thailand - 0.7% PTT Public Company Ltd. 29,000 152,405 ----------- United Kingdom - 3.0% Standard Chartered Plc 15,775 287,367 Vodafone Group Plc 54,250 131,881 Wolseley Plc 9,700 203,315 ----------- 622,563 ----------- United States - 41.0% Aetna, Inc. 2,500 207,050 American Eagle Outfitters, Inc. 6,450 197,692 Apple Computer, Inc. (f) 3,825 140,798 Best Buy Co., Inc. 3,950 270,772 Burlington Northern Santa Fe Corp. 5,150 242,462 Caremark Rx, Inc. (f) 5,725 254,877 CenturyTel, Inc. (c) 4,250 147,178 Chicago Mercantile Exchange 350 103,425 Chico's FAS, Inc. (f) 5,750 197,110 Citigroup, Inc. 2,000 92,460 Coach, Inc. (f) 9,650 323,950 ConocoPhillips 2,850 163,847 Corning, Inc. (f) 5,167 85,876 Dell, Inc. (f) 9,425 372,382 DIRECTV Group, Inc. (The) (f) 10,000 155,000 ExxonMobil Corp. 2,850 163,790
General Electric Co. 6,850 $ 237,352 GlobalSantaFe Corp. 4,800 195,840 Google, Inc., Class A (f) 1,525 448,579 Intel Corp. 8,025 209,131 Johnson & Johnson 5,150 334,750 Legg Mason, Inc. 3,525 366,988 Lehman Brothers Holdings, Inc. 1,700 168,776 McDonald's Corp. 4,000 111,000 Medco Health Solutions, Inc. (f) 5,000 266,800 Motorola, Inc. 15,000 273,900 Peabody Energy Corp. 4,000 208,160 Praxair, Inc. 1,900 88,540 Prudential Financial, Inc. 4,650 305,319 QUALCOMM, Inc. 7,250 239,322 Sears Holdings Corp. (f) 1,450 217,311 St. Jude Medical, Inc. (f) 6,425 280,194 Stryker Corp. 3,475 165,271 Texas Instruments, Inc. 10,075 282,805 Toll Brothers, Inc. (c)(f) 2,875 291,956 UnitedHealth Group, Inc. 3,250 169,455 WellPoint, Inc. (f) 2,950 205,438 Wells Fargo & Co. 2,125 130,858 Whole Foods Market, Inc. 1,575 186,323 XTO Energy, Inc. 3,233 109,890 ----------- 8,612,627 ----------- TOTAL COMMON STOCKS (Identified Cost $11,140,258) 13,354,466 -----------
Principal Amount - ---------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 12.1% Repurchase Agreement with State Street Corp., dated 6/30/2005 $ 815,000 815,000 at 1.40% to be repurchased at $815,032 on 7/01/2005 collateralized by $830,000 U.S. Treasury Note,3.625% due 4/30/2007 with a value of $834,728 (e)
Shares - ---------------------------------------------------------------------------------------------------- State Street Navigator Securities Lending Prime Portfolio (d) 1,720,134 1,720,134 --------- TOTAL SHORT TERM INVESTMENTS (Identified Cost $2,535,134) 2,535,134 --------- TOTAL INVESTMENTS - 108.3% (Identified Cost $20,135,593) (b) 22,762,733 Other assets less liabilities -- (8.3)% (1,736,693) ----------- TOTAL NET ASSETS -- 100% $21,026,040 ===========
(a) Equity securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the security's last sale price on the exchange or market where primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ National Market are valued at the NASDAQ Official Closing Price ("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ National Market. Debt securities for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser's pricing committee and approved by the Board of Trustees. Such pricing services generally use the most recent bid prices in the principal market in which such securities are normally traded. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Short-term obligations with a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available (including restricted securities, if any) are valued at fair value as determined in good faith by the Fund's investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other investment companies are valued at the net asset value each day. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing equity securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. (b) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Adjustments for amortization of premium on debt securities are not included for tax purposes.): At June 30, 2005, the unrealized appreciation on investments based on cost of $20,156,153 for federal income tax purposes was as follows: Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 2,949,213 Aggregate gross unrealized depreciation for all investments in which there is an excess tax cost over value (342,633) ----------- Net unrealized appreciation $ 2,606,580 ===========
(c) All or a portion of this security was on loan to brokers at June 30, 2005. The Fund has entered into an agreement with State Street Bank and Trust Company , as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized at all times with cash or securities with a market value at least equal to the market value of the securities on loan. The Fund receives fees for lending their securities. The market value of securities on loan to borrowers and the value of collateral held by the Fund with respect to such loans at June 30, 2005 were $1,666,409 and $1,720,134, respectively. (d) Represents investment of securities lending collateral. (e) The Fund, through its custodian, receives delivery of the underlying securities collateralizing repurchase agreements. It is the Fund's policy that the market value of the collateral be at least equal to 102% of the repurchase, including interest. The Fund's adviser is responsible for determining that the value of the collateral is at all times at least equal to 102% of the repurchase price, including interest. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. (f) Non-income producing security. (g) Non-income producing security due to default or bankruptcy filing. (h) Variable rate security. Rate as of June 30, 2005 is disclosed. ADR An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States. 144A Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2005, the total value of these securities amounted to $467,174 or 2.22% of total net assets Key to Abbreviations: AUD: Australian Dollar; BRL: Brazilian Real; CAD: Canadian Dollar; COP: Colombian Peso; DKK: Danish Krone; EUR: Euro; GBP: Great British Pound; JPY: Japanese Yen; MXN: Mexican Peso; NZD: New Zealand Dollar; SGD: Singapore Dollar; SEK: Swedish Krona; THB: Thai Baht; USD: United States Dollar. 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 as required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended (the "Act") filed herewith. (a)(2) Certification for the principal financial officer as required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended (the "Act") 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. Loomis Sayles Funds II By: /s/ Robert J. Blanding ----------------------------- Name: Robert J. Blanding Title: President and Chief Executive Officer Date: August 26, 2005 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/ Robert J. Blanding ----------------------------- Name: Robert J. Blanding Title: President and Chief Executive Officer Date: August 26, 2005 By:/s/ Michael C. Kardok ----------------------------- Name: Michael C. Kardok Title: Treasurer Date: August 26, 2005 EX-99.CERT(A)(1) 2 d17665_ex99a1.txt CEO SECTION 302 CERTIFICATION Exhibit (a)(1) Loomis Sayles Funds II ---------------------- Exhibit to SEC Form N-Q ----------------------- Section 302 Certification I, Robert J. Blanding, certify that: 1. I have reviewed this report on Form N-Q of Loomis Sayles Funds II; 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; 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: August 26, 2005 /s/ Robert J. Blanding Robert J. Blanding President & Chief Executive Officer EX-99.CERT(A)(2) 3 d17665_ex99a2.txt TREASURER SECTION 302 CERTIFICATION Exhibit (a)(2) Loomis Sayles Funds II ---------------------- 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 Loomis Sayles Funds II; 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; 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: August 26, 2005 /s/ Michael C. Kardok Michael C. Kardok Treasurer Loomis Sayles Funds II -----END PRIVACY-ENHANCED MESSAGE-----