Loomis Sayles Funds II


Shares	Description	Value (†)
Common Stocks – 64.2% of Net Assets
	Brazil – 4.5%
166,400	Lojas Renner SA	$	3,756,186
195,300	Natura Cosmeticos SA		4,073,144
147,184	Vale SA, Sponsored ADR		4,272,751

			12,102,081

	Cayman Islands – 1.8%
4,738	Baidu, Inc., Sponsored ADR(b)		1,948,408
39,581	Ctrip.com International Ltd., ADR(b)		2,844,290

			4,792,698

	Chile – 0.6%
39,545	Sociedad Quimica y Minera de Chile SA, Sponsored ADR		1,485,706

	China – 1.7%
210,100	Tencent Holdings Ltd.		4,549,376

	France – 0.8%
48,363	ArcelorMittal, (NY Registered)		2,212,607

	Germany – 1.2%
34,706	Siemens AG, (Registered)		3,185,001

	Hong Kong – 2.0%
1,009,000	BOC Hong Kong Holdings Ltd.		2,277,197
748,000	Li & Fung Ltd.		3,078,173

			5,355,370

	Korea – 2.6%
31,304	Hyundai Motor Co.		3,240,328
40,369	Samsung Electro-Mechanics Co. Ltd.		3,712,599

			6,952,927

	Netherlands – 1.5%
82,745	Randstad Holding NV(b)		4,117,174

	Russia – 2.3%
1,011,769	Sberbank		2,842,059
170,313	Vimpel-Communications, Sponsored ADR		3,166,119

			6,008,178

	Switzerland – 2.5%
214,701	ABB Ltd. (Registered)(b)		4,130,792
53,666	Credit Suisse Group AG		2,658,685

			6,789,477

	Taiwan – 0.7%
109,194	MediaTek, Inc.		1,897,197

	Turkey – 1.5%
40,757	BIM Birlesik Magazalar AS		1,895,336
474,888	Turkiye Garanti Bankasi AS		2,022,978

			3,918,314

	United Kingdom – 5.8%
253,562	Experian PLC		2,504,614
304,441	Standard Chartered PLC		7,685,894
69,318	Vodafone Group PLC, Sponsored ADR		1,600,552
198,684	Xstrata PLC(b)		3,543,746

			15,334,806

	United States – 34.7%
46,340	Amazon.com, Inc.(b)		6,233,657
44,006	Anadarko Petroleum Corp.		2,746,854
47,812	Apple, Inc.(b)		10,081,638
120,363	Bank of America Corp.		1,812,667
84,834	Broadcom Corp., Class A(b)		2,668,029
58,032	Caterpillar, Inc.		3,307,244
103,190	Cisco Systems, Inc.(b)		2,470,369


Shares			Description	Value (†)
			United States – continued
	59,947		Coach, Inc.	$	2,189,864
	56,805		FMC Technologies, Inc.(b)		3,285,601
	27,173		Franklin Resources, Inc.		2,862,676
	22,074		Goldman Sachs Group, Inc. (The)		3,726,974
	12,246		Google, Inc., Class A(b)		7,592,275
	63,993		Guess?, Inc.		2,706,904
	52,154		Hewlett-Packard Co.		2,686,452
	97,021		International Game Technology		1,821,084
	65,198		JPMorgan Chase & Co.		2,716,801
	132,801		Marvell Technology Group Ltd.(b)		2,755,621
	25,011		Priceline.com, Inc.(b)		5,464,903
	88,675		QUALCOMM, Inc.		4,102,105
	91,829		Southwestern Energy Co.(b)		4,426,158
	120,317		Starbucks Corp.(b)		2,774,510
	74,915		Tiffany & Co.		3,221,345
	78,069		Urban Outfitters, Inc.(b)		2,731,634
	26,818		Vertex Pharmaceuticals, Inc.(b)		1,149,151
	28,973		Visa, Inc., Class A		2,533,979
	28,041		Walter Energy, Inc.		2,111,768
	85,829		Wells Fargo & Co.		2,316,525

					92,496,788

			Total Common Stocks (Identified Cost $141,547,355)		171,197,700


Principal Amount (‡)
	Bonds and Notes – 32.2%
	Non-Convertible Bonds – 31.0%
			Argentina – 0.2%
$	570,000		Transportadora de Gas del Sur SA, 7.875%, 5/14/2017, 144A		504,450

			Australia – 0.1%
	230,000		New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010, (AUD)		211,370

			Bermuda – 0.2%
	100,000		Noble Group Ltd., 6.750%, 1/29/2020, 144A		102,625
	100,000		Noble Group Ltd., 8.500%, 5/30/2013, 144A		111,750
	200,000		Qtel International Finance Ltd., 7.875%, 6/10/2019, 144A		224,195

					438,570

			Brazil – 0.7%
	200,000		Banco Nacional de Desenvolvimento Economico e Social, 6.500%, 6/10/2019, 144A		215,000
	1,492,430	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 8/15/2010, (BRL)		866,082
	447,729	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL)		249,335
	200,000		Gerdau Holdings, Inc., 7.000%, 1/20/2020, 144A		205,500
	100,000		NET Servicos de Comunicacao SA, 7.500%, 1/27/2020, 144A		102,000
	100,000		Telemar Norte Leste SA, 9.500%, 4/23/2019, 144A		119,500

					1,757,417


Principal Amount (‡)		Description	Value (†)
		Canada – 0.6%
$	343,000	ArcelorMittal USA Partnership, 9.750%, 4/01/2014	$	360,150
	855,000	Canadian Government, 4.500%, 6/01/2015, (CAD)(c)		883,368
	25,000	Canadian Pacific Railway Ltd., MTN, 4.900%, 6/15/2010, (CAD), 144A		24,303
	50,000	Nortel Networks Ltd., 6.875%, 9/01/2023(d)		22,500
	100,000	Pacific Rubiales Energy Corp., 8.750%, 11/10/2016, 144A		105,000
	100,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		96,297

				1,491,618

		Cayman Islands – 0.9%
	360,000	DASA Finance Corp., 8.750%, 5/29/2018, 144A		373,500
	200,000	Embraer Overseas Ltd., 6.375%, 1/24/2017		202,000
	100,000	Fibria Overseas Finance Ltd., 9.250%, 10/30/2019, 144A		112,250
	100,000	Hutchison Whampoa International 09 Ltd., 7.625%, 4/09/2019, 144A		114,907
	100,000	LPG International, Inc., 7.250%, 12/20/2015		107,750
	170,000	Marfrig Overseas Ltd., 9.625%, 11/16/2016, 144A		170,850
	200,000	Odebrecht Finance Ltd., 7.000%, 4/21/2020, 144A		202,250
	320,000	Petrobras International Finance Co., 5.875%, 3/01/2018		322,691
	300,000	Petrobras International Finance Co., 6.875%, 1/20/2040		308,280
	536,000	Vale Overseas Ltd., 6.875%, 11/21/2036		535,550

				2,450,028

		Chile – 0.0%
	100,000	Celulosa Arauco y Constitucion SA, 7.250%, 7/29/2019		108,665

		Colombia – 0.1%
	200,000	Ecopetrol SA, 7.625%, 7/23/2019		221,700
	100,000	Empresas Publicas de Medellin ESP, 7.625%, 7/29/2019, 144A		110,000
	40,000	Republic of Colombia, 8.125%, 5/21/2024		47,400

				379,100

		Croatia – 0.1%
	200,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		215,415

		France – 0.4%
	35,000	Lafarge SA, EMTN, 4.750%, 3/23/2020, (EUR)		47,383
	250,000	Lafarge SA, EMTN, 5.375%, 6/26/2017, (EUR)		360,149
	240,000	Veolia Environnement, EMTN, 4.000%, 2/12/2016, (EUR)		346,414
	25,000	Veolia Environnement, EMTN, 5.125%, 5/24/2022, (EUR)		36,407
	100,000	Wendel, 4.375%, 8/09/2017, (EUR)		113,250


Principal Amount (‡)		Description	Value (†)
		France – continued
$	200,000	Wendel, 4.875%, 5/26/2016, (EUR)	$	242,270

				1,145,873

		Germany – 0.6%
	200,000	Bertelsmann AG, 4.750%, 9/26/2016, (EUR)		283,396
	110,000	Bundesrepublik Deutschland, Series 06, 3.750%, 1/04/2017, (EUR)		165,081
	705,000	Republic of Germany, 3.750%, 7/04/2013, (EUR)		1,070,109

				1,518,586

		India – 0.2%
	500,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		469,181
	100,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		89,771

				558,952

		Indonesia – 0.7%
	200,000	Adaro Indonesia PT, 7.625%, 10/22/2019, 144A		197,750
	400,000	Indonesia Government International Bond, 6.875%, 1/17/2018		438,000
	700,000	Indonesia Government International Bond, 7.750%, 1/17/2038, 144A		787,500
	1,500,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		173,794
	100,000	Indonesia Government International Bond, 11.625%, 3/04/2019, 144A		143,500

				1,740,544

		Italy – 0.2%
	250,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		348,654
	100,000	Telecom Italia SpA, EMTN, 5.375%, 1/29/2019, (EUR)		149,319

				497,973

		Japan – 0.5%
	10,000,000	Japan Finance Corp. for Small and Medium Enterprises, 1.100%, 9/20/2011, (JPY)		108,351
	120,000,000	Japan Government, 1.400%, 6/20/2011, (JPY)		1,311,963

				1,420,314

		Korea – 0.6%
	400,000	Export-Import Bank of Korea, 8.125%, 1/21/2014		464,355
	200,000	Korea Gas Corp., 6.000%, 7/15/2014, 144A		216,465
	300,000	Korea Hydro & Nuclear Power Co. Ltd., 6.250%, 6/17/2014, 144A		327,333
	460,000	SK Broadband Co. Ltd., 7.000%, 2/01/2012, 144A		483,000


Principal Amount (‡)			Description	Value (†)
			Korea – continued
$	140,000		SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A	$	143,420

					1,634,573

			Luxembourg – 0.2%
	200,000		Enel Finance International SA, EMTN, 5.000%, 9/14/2022, (EUR)		294,992
	125,000		Telecom Italia Capital SA, 6.000%, 9/30/2034		118,211
	10,000		Telecom Italia Capital SA, 6.375%, 11/15/2033		9,859

					423,062

			Malaysia – 0.1%
	200,000		Ranhill Labuan Ltd., 12.500%, 10/26/2011, 144A		170,000

			Mexico – 0.7%
	340,000		Axtel SAB de CV, 7.625%, 2/01/2017, 144A		333,200
	160,000		Corporacion GEO SAB de CV, 8.875%, 9/25/2014, 144A		165,200
	295,000		Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		280,250
	22,000	(††††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		171,130
	44,000	(††††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		349,656
	100,000		Mexichem SAB de CV, 8.750%, 11/06/2019, 144A		107,500
	330,000		Petroleos Mexicanos, 8.000%, 5/03/2019		381,975

					1,788,911

			Netherlands – 0.2%
	150,000		Koninklijke KPN NV, EMTN, 4.750%, 1/17/2017, (EUR)		221,376
	100,000		Majapahit Holding BV, 7.250%, 6/28/2017, 144A		102,250
	100,000		Majapahit Holding BV, 7.750%, 1/20/2020, 144A		104,750
	100,000		Majapahit Holding BV, 8.000%, 8/07/2019, 144A		105,500
	50,000		OI European Group BV, 6.875%, 3/31/2017, (EUR), 144A		68,810

					602,686

			Norway – 0.5%
	635,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		111,484
	1,765,000		Norwegian Government, 5.000%, 5/15/2015, (NOK)		323,172
	1,885,000		Norwegian Government, 6.000%, 5/16/2011, (NOK)		341,089
	2,860,000		Norwegian Government, 6.500%, 5/15/2013, (NOK)		545,864

					1,321,609

			Qatar – 0.1%
	250,000		Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.500%, 9/30/2014, 144A		261,911


Principal Amount (‡)		Description	Value (†)
		Qatar – continued
$	100,000	State of Qatar, 4.000%, 1/20/2015, 144A	$	100,250

				362,161

		Singapore – 0.2%
	200,000	Prime Dig Pte Ltd., 11.750%, 11/03/2014, 144A		202,000
	435,000	Singapore Government, 2.250%, 7/01/2013, (SGD)		323,720

				525,720

		South Africa – 0.3%
	130,000	Edcon Proprietary Ltd., 3.964%, 6/15/2014, (EUR), 144A(e)		117,967
	450,000	Edcon Proprietary Ltd., 3.964%, 6/15/2014, (EUR)(e)		408,347
	285,000	Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR)		408,051

				934,365

		Spain – 0.1%
	100,000	Santander Issuances SA Unipersonal, (fixed rate to 9/30/2014, variable rate thereafter), 4.500%, 9/30/2019, (EUR)		144,117
	150,000	Santander Issuances SA Unipersonal, EMTN, (fixed rate to 5/29/2014, variable rate thereafter), 4.750%, 5/29/2019, (EUR)		218,024

				362,141

		Supranational – 0.1%
	14,000,000	European Investment Bank, 1.250%, 9/20/2012, (JPY)		154,014

		Sweden – 0.2%
	3,020,000	Sweden Government Bond, 5.500%, 10/08/2012, (SEK)		464,584

		Thailand – 0.1%
	330,000	True Move Co. Ltd., 10.375%, 8/01/2014		310,200
	100,000	True Move Co. Ltd., 10.375%, 8/01/2014, 144A		94,000

				404,200

		United Arab Emirates – 0.6%
	400,000	Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A		363,347
	400,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		407,803
	500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		384,611
	150,000	Emirate of Abu Dhabi, 5.500%, 4/08/2014, 144A		157,737
	250,000	Mubadala Development Co., GMTN, 7.625%, 5/06/2019, 144A		266,840

				1,580,338

		United Kingdom – 0.6%
	100,000	BAT International Finance PLC, 5.875%, 3/12/2015, (EUR)		156,978
	60,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		99,930
	200,000	Imperial Tobacco Finance PLC, EMTN, 4.375%, 11/22/2013, (EUR)		295,082


Principal Amount (‡)		Description	Value (†)
		United Kingdom – continued
$	100,000	Rexam PLC, EMTN, 4.375%, 3/15/2013, (EUR)	$	144,767
	250,000	Standard Chartered Bank, EMTN, 5.875%, 9/26/2017, (EUR)		374,379
	250,000	United Kingdom Treasury, 4.000%, 9/07/2016, (GBP)		417,106
	100,000	WPP PLC, 6.000%, 4/04/2017, (GBP)		164,180

				1,652,422

		United States – 20.9%
	155,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		111,019
	15,000	Amkor Technology, Inc., 7.750%, 5/15/2013		15,244
	35,000	Anheuser-Busch Cos., Inc., 6.500%, 5/01/2042		35,957
	250,000	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 1/15/2019, 144A		292,699
	60,000	Arrow Electronics, Inc., 6.875%, 7/01/2013		65,439
	75,000	AT&T, Inc., 6.500%, 9/01/2037		77,738
	38,492	Atlas Air, Inc., Series B, 7.680%, 1/02/2014		32,718
	145,000	Avnet, Inc., 6.000%, 9/01/2015		147,226
	200,000	Bank of America Corp., (fixed rate to 5/06/2014, variable rate thereafter), 4.750%, 5/06/2019, (EUR)		258,158
	400,000,000	Barclays Financial LLC, 4.060%, 9/16/2010, (KRW), 144A		343,194
	310,000	Borden, Inc., 7.875%, 2/15/2023		206,150
	410,000	Borden, Inc., 8.375%, 4/15/2016		307,500
	5,000	Boston Scientific Corp., 5.450%, 6/15/2014		5,250
	30,000	Boston Scientific Corp., 6.400%, 6/15/2016		32,250
	60,000	Boston Scientific Corp., 7.000%, 11/15/2035		58,875
	50,000	Bristol-Myers Squibb Co., 4.625%, 11/15/2021, (EUR)		73,201
	700,000	Capital One Multi-Asset Execution Trust, Series 2005-A10, Class A, 0.313%, 9/15/2015(e)		686,521
	2,335,000	Capital One Multi-Asset Execution Trust, Series 2006-A5, Class A5, 0.293%, 1/15/2016(e)		2,280,418
	15,000	Chesapeake Energy Corp., 6.500%, 8/15/2017		14,700
	70,000	Chesapeake Energy Corp., 6.875%, 1/15/2016		70,000
	75,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		72,375
	79,617	CIT Group, Inc., 7.000%, 5/01/2013		74,243
	119,429	CIT Group, Inc., 7.000%, 5/01/2014		110,920
	119,429	CIT Group, Inc., 7.000%, 5/01/2015		106,889


Principal Amount (‡)		Description	Value (†)
		United States – continued
$	199,049	CIT Group, Inc., 7.000%, 5/01/2016	$	175,163
	278,673	CIT Group, Inc., 7.000%, 5/01/2017		241,749
	120,000	Citi Credit Card Issuance Trust, Series 2001-A4, Class A4, 5.375%, 4/10/2013, (EUR)		175,851
	800,000	Comcast Corp., 5.650%, 6/15/2035		747,782
	190,000	CSX Corp., 6.250%, 3/15/2018		204,596
	265,000	Cummins, Inc., 5.650%, 3/01/2098		165,265
	160,000	Cummins, Inc., 7.125%, 3/01/2028		157,818
	10,000	D.R. Horton, Inc., 5.250%, 2/15/2015		9,400
	333,864	Delta Air Lines, Inc., Series 2007-1, Class B, 8.021%, 8/10/2022		292,965
	329,097	Delta Air Lines, Inc., Series 2007-1, Class C, 8.954%, 8/10/2014		293,591
	50,000	Dillard’s, Inc., 6.625%, 1/15/2018		41,500
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		36,750
	11,000	ESI Tractebel Acquisition Corp., Series B, 7.990%, 12/30/2011		10,945
	250,000	Exelon Corp., 4.900%, 6/15/2015		257,900
	150,000	Foot Locker, Inc., 8.500%, 1/15/2022		141,750
	10,000	Ford Motor Co., 6.625%, 2/15/2028		7,725
	1,750,000	Ford Motor Co., 6.625%, 10/01/2028		1,351,875
	15,000	Ford Motor Co., 7.125%, 11/15/2025		11,700
	595,000	Ford Motor Co., 7.450%, 7/16/2031		525,831
	2,250,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		2,246,611
	260,000	Ford Motor Credit Co. LLC, 7.250%, 10/25/2011		262,572
	345,000	Ford Motor Credit Co. LLC, 7.500%, 8/01/2012		347,918
	905,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		906,203
	170,000	Ford Motor Credit Co. LLC, 8.625%, 11/01/2010		175,040
	390,000	Ford Motor Credit Co. LLC, 9.750%, 9/15/2010		402,421
	80,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		64,400
	45,000	General Electric Capital Corp., 5.625%, 5/01/2018		46,113
	205,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		189,806


Principal Amount (‡)		Description	Value (†)
		United States – continued
$	750,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015	$	779,101
	3,375,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		3,138,750
	35,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		34,563
	525,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		535,500
	405,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		429,300
	288,000	GMAC, Inc., 6.000%, 12/15/2011, 144A		282,240
	129,000	GMAC, Inc., 6.625%, 5/15/2012, 144A		126,420
	257,000	GMAC, Inc., 6.750%, 12/01/2014, 144A		244,150
	28,000	GMAC, Inc., 6.875%, 9/15/2011, 144A		27,580
	60,000	GMAC, Inc., 6.875%, 8/28/2012, 144A		58,800
	63,000	GMAC, Inc., 7.000%, 2/01/2012, 144A		62,055
	63,000	GMAC, Inc., 7.250%, 3/02/2011, 144A		62,370
	55,000	GMAC, Inc., 7.500%, 12/31/2013, 144A		53,075
	129,000	GMAC, Inc., 8.000%, 12/31/2018, 144A		113,520
	1,946,000	GMAC, Inc., 8.000%, 11/01/2031, 144A		1,751,400
	150,000	Goldman Sachs Group, Inc. (The), 1.065%, 5/23/2016, (EUR)(e)		195,738
	150,000	Goldman Sachs Group, Inc. (The), 4.750%, 1/28/2014, (EUR)		220,496
	455,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		467,689
	400,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		658,552
	165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		142,725
	25,000	GTE Corp., 6.940%, 4/15/2028		25,647
	20,000	HCA, Inc., 5.750%, 3/15/2014		18,800
	55,000	HCA, Inc., 6.250%, 2/15/2013		53,488
	90,000	HCA, Inc., 6.375%, 1/15/2015		84,937
	15,000	HCA, Inc., 6.500%, 2/15/2016		14,250
	40,000	HCA, Inc., 6.750%, 7/15/2013		39,400
	225,000	HCA, Inc., 7.050%, 12/01/2027		192,937
	245,000	HCA, Inc., 7.190%, 11/15/2015		227,850
	90,000	HCA, Inc., 7.500%, 12/15/2023		82,237
	250,000	HCA, Inc., 7.500%, 11/06/2033		218,634


Principal Amount (‡)		Description	Value (†)
		United States – continued
$	1,295,000	HCA, Inc., 7.690%, 6/15/2025	$	1,185,834
	395,000	HCA, Inc., 8.360%, 4/15/2024		375,250
	125,000	HCA, Inc., 8.750%, 11/01/2010, (GBP)		203,919
	110,000	HCA, Inc., MTN, 7.580%, 9/15/2025		97,900
	75,000	HCA, Inc., MTN, 7.750%, 7/15/2036		66,750
	75,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.750%, 11/15/2014		73,500
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		428,755
	260,000	Hilcorp Energy I LP, 7.750%, 11/01/2015, 144A		254,800
	110,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		108,838
	250,000	iStar Financial, Inc., 5.150%, 3/01/2012		152,500
	95,000	iStar Financial, Inc., 5.500%, 6/15/2012		57,000
	105,000	iStar Financial, Inc., 5.650%, 9/15/2011		77,175
	70,000	iStar Financial, Inc., 5.850%, 3/15/2017		39,200
	300,000	iStar Financial, Inc., 5.875%, 3/15/2016		168,750
	145,000	iStar Financial, Inc., 6.050%, 4/15/2015		81,562
	985,000	iStar Financial, Inc., 8.625%, 6/01/2013		630,400
	35,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		19,600
	950,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		553,375
	5,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		4,931
	125,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		111,000
	15,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		14,869
	5,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		4,963
	5,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		4,500
	450,000	Jefferies Group, Inc., 8.500%, 7/15/2019		491,908
	260,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		183,300
	15,000	K. Hovnanian Enterprises, Inc., 6.375%, 12/15/2014		10,875
	150,000	Kraft Foods, Inc., 6.250%, 3/20/2015, (EUR)		235,837
	15,000	Lennar Corp., Series B, 5.500%, 9/01/2014		13,950
	1,090,000	Lennar Corp., Series B, 5.600%, 5/31/2015		998,712
	55,000	Lennar Corp., Series B, 6.500%, 4/15/2016		50,600


Principal Amount (‡)		Description	Value (†)
		United States – continued
$	15,000	Level 3 Financing, Inc., 8.750%, 2/15/2017	$	13,688
	10,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		9,450
	130,000	MBNA Credit Card Master Note Trust, Series 03A5, 4.150%, 4/19/2010, (EUR)		187,348
	150,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		191,489
	230,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		388,002
	500,000	New Albertson’s, Inc., 7.450%, 8/01/2029		428,750
	50,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		38,063
	80,000	News America, Inc., 6.150%, 3/01/2037		79,591
	25,000	News America, Inc., 6.400%, 12/15/2035		25,671
	925,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		899,562
	140,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		135,800
	230,000	Nextel Communications, Inc., Series F, 5.950%, 3/15/2014		214,762
	250,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027		131,250
	35,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		23,450
	1,000,000	NRG Energy, Inc., 7.375%, 2/01/2016		1,001,250
	50,000	Ohio Edison Co., 6.875%, 7/15/2036		53,405
	150,000	Owens Brockway Glass Container, Inc., 6.750%, 12/01/2014, (EUR)		209,657
	565,000	Owens Corning, Inc., 6.500%, 12/01/2016		578,601
	535,000	Owens Corning, Inc., 7.000%, 12/01/2036		498,963
	40,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		40,300
	47,000	Pulte Homes, Inc., 5.200%, 2/15/2015		43,828
	540,000	Pulte Homes, Inc., 6.000%, 2/15/2035		426,600
	695,000	Pulte Homes, Inc., 6.375%, 5/15/2033		561,212
	1,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,154,775
	650,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		526,500
	400,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		356,000
	60,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		51,000
	560,000	Qwest Corp., 6.875%, 9/15/2033		492,800
	115,000	Qwest Corp., 7.250%, 9/15/2025		106,375
	58,000	R.H. Donnelley Corp., 6.875%, 1/15/2013(d)		5,438


Principal Amount (‡)			Description	Value (†)
			United States – continued
$	50,000		R.H. Donnelley Corp., Series A-1, 6.875%, 1/15/2013(d)	$	4,688
	60,000		R.H. Donnelley Corp., Series A-2, 6.875%, 1/15/2013(d)		5,625
	18,000		R.H. Donnelley Corp., Series A-3, 8.875%, 1/15/2016(d)		1,688
	735,000		R.H. Donnelley Corp., Series A-4, 8.875%, 10/15/2017(d)		68,906
	305,000		R.H. Donnelley, Inc., 11.750%, 5/15/2015, 144A(d)		251,625
	80,000		Reynolds American, Inc., 6.750%, 6/15/2017		82,848
	20,000		Reynolds American, Inc., 7.250%, 6/15/2037		20,142
	1,600	(†††)	SLM Corp., 6.000%, 12/15/2043		24,908
	120,000		SLM Corp., MTN, 5.050%, 11/14/2014		108,237
	35,000		SLM Corp., MTN, 5.125%, 8/27/2012		32,812
	15,000		SLM Corp., Series A, MTN, 4.500%, 7/26/2010		14,946
	228,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		209,746
	10,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		7,687
	115,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		108,483
	75,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		69,178
	30,000		SLM Corp., Series A, MTN, 5.400%, 10/25/2011		29,974
	20,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		15,079
	625,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		616,721
	294,000		Sprint Capital Corp., 6.875%, 11/15/2028		244,387
	320,000		Sprint Capital Corp., 6.900%, 5/01/2019		294,400
	110,000		Sprint Capital Corp., 8.750%, 3/15/2032		103,675
	26,000		Sprint Nextel Corp., 6.000%, 12/01/2016		23,725
	265,000		Tenet Healthcare Corp., 6.875%, 11/15/2031		212,000
	23,000		Tenet Healthcare Corp., 7.375%, 2/01/2013		23,058
	250,000		Textron, Inc., 3.875%, 3/11/2013, (EUR)		338,544
	395,000		Time Warner, Inc., 6.625%, 5/15/2029		411,867
	160,000		Time Warner, Inc., 6.950%, 1/15/2028		172,169
	105,000		Toll Brothers Finance Corp., 5.150%, 5/15/2015		100,470
	375,000		Toys R Us, Inc., 7.375%, 10/15/2018		343,125
	3,150,000		TXU Corp., Series P, 5.550%, 11/15/2014		2,233,974
	2,570,000		TXU Corp., Series Q, 6.500%, 11/15/2024		1,207,170


Principal Amount (‡)		Description	Value (†)
		United States – continued
$	30,000	TXU Corp., Series R, 6.550%, 11/15/2034	$	13,909
	2,000,000	U.S. Treasury Notes, 1.125%, 12/15/2011		2,000,704
	490,000	United Air Lines, Inc., 10.400%, 11/01/2016		516,337
	2,320,000	United Rentals North America, Inc., 7.000%, 2/15/2014		2,099,600
	840,000	United Rentals North America, Inc., 7.750%, 11/15/2013		789,600
	770,000	United States Steel Corp., 6.650%, 6/01/2037		619,451
	50,000	USG Corp., 6.300%, 11/15/2016		44,750
	230,000	USG Corp., 9.500%, 1/15/2018		236,900
	168,000	Verizon Communications, Inc., 5.850%, 9/15/2035		163,822
	5,000	Verizon Maryland, Inc., 5.125%, 6/15/2033		3,956
	140,000	Verizon New York, Inc., Series B, 7.375%, 4/01/2032		150,808
	110,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		98,125
	185,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		259,299
	100,000	Williams Cos., Inc. (The), 7.500%, 1/15/2031		107,873
	310,000	Williams Cos., Inc. (The), 7.875%, 9/01/2021		355,576
	24,000	Xerox Capital Trust I, 8.000%, 2/01/2027		23,760
	125,000	Xerox Corp., 6.750%, 2/01/2017		134,096
	20,000	Xerox Corp., MTN, 7.200%, 4/01/2016		21,507

				55,908,191

		Total Non-Convertible Bonds (Identified Cost $80,427,576)		82,727,852

	Convertible Bonds – 1.2%
		United States – 1.2%
	125,000	Ford Motor Co., 4.250%, 11/15/2016		156,719
	1,125,000	Intel Corp., 3.250%, 8/01/2039, 144A		1,292,344
	430,000	iStar Financial, Inc., 0.790%, 10/01/2012(e)		237,059
	365,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		318,919
	440,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		385,000
	185,000	Level 3 Communications, Inc., 5.250%, 12/15/2011		175,519
	215,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(f)		243,487
	200,000	NII Holdings, Inc., 3.125%, 6/15/2012		183,500
	80,000	Valeant Pharmaceuticals International, 4.000%, 11/15/2013		95,600

		Total Convertible Bonds (Identified Cost $3,000,470)		3,088,147


Principal Amount (‡)		Description	Value (†)
	Municipals – 0.0%
		United States – 0.0%
$	135,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(f) (Identified Cost $134,987)	$	97,386

		Total Bonds and Notes (Identified Cost $83,563,033)		85,913,385

	Bank Loans – 0.1%
	United States – 0.1%
	1,958	Dole Food Co., Inc., Credit Link Deposit, 8.000%, 4/12/2013(g)		1,975
	1,255	Dole Food Co., Inc., Tranche B Term Loan, 8.000%, 4/12/2013(g)		1,267
	5,374	Dole Food Co., Inc., Tranche C Term Loan, 8.000%, 4/12/2013(g)		5,422
	57,498	Hawaiian Telcom Communications, Inc., Tranche C Term Loan, 4.750%, 6/01/2014(g)(h)		41,470
	159,059	Idearc, Inc., Exit Term Loan, 11.000%, 12/31/2015(g)		82,181
	40,000	Level 3 Financing, Inc., Tranche A Term Loan, 2.530%, 3/13/2014(g)		36,200
	2,758	Sungard Data Systems, Inc., Tranche A, 1.985%, 2/28/2014(g)		2,610
	76,426	Sungard Data Systems, Inc., Tranche B, 3.898%, 2/26/2016(g)		74,037
	7,314	Tribune Co., Term Loan X, 5.000%, 6/04/2009(d)(g)(l)		4,094

				249,256

		Total Bank Loans (Identified Cost $304,174)		249,256


Shares
	Preferred Stocks – 0.4%
		United States – 0.4%
	12,940	Federal Home Loan Mortgage Corp., (fixed rate to 12/31/2012, variable rate thereafter), 8.375%(b)(i)		13,587
	17,500	Federal National Mortgage Association, (fixed rate to 12/13/2010, variable rate thereafter), 8.250%(b)(i)		19,250
	682	GMAC, Inc., Series G, 144A, 7.000%		449,523
	820	Lucent Technologies Capital Trust, 7.750%		637,140

				1,119,500

		Total Preferred Stocks (Identified Cost $1,389,779)		1,119,500

	Warrants – 0.0%
		United States – 0.0%
	12,495	Valeant Pharmaceuticals International, Expiration 8/16/2010(b)(f)(j) (Identified Cost $0)		2,249


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 1.5%
$	39	Repurchase Agreement with State Street Corp., dated 12/31/2009 at 0.000%, to be repurchased at $39 on 1/04/2010, collateralized by $5,000 U.S. Treasury Bill, due 1/25/2010 valued at $5,000 including accrued interest(k)	$	39
	4,139,999	Tri-Party Repurchase Agreement with Fixed Income Clearing Corp., dated 12/31/2009 at 0.000% to be repurchased at $4,139,999 on 1/04/2010, collateralized by $4,185,000 Federal Home Loan Mortgage Corp., 2.250% due 8/17/2012 valued at $4,226,850 including accrued interest(k)		4,139,999

		Total Short-Term Investments (Identified Cost $4,140,038)		4,140,038

		Total Investments - 98.4% (Identified Cost $230,944,379)(a)		262,622,128
		Other assets less liabilities — 1.6%		4,227,793

		Net Assets — 100.0%	$	266,849,921

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

†

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are “marked-to-market” daily using interpolated prices determined by an independent pricing service. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

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 securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. At December 31, 2009, approximately 19% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees.

The books and records of the Fund are maintained in U.S. dollars. The 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.

(††)	Security held in units. One unit represents a principal amount of 1,000. Amount shown represents principal amount including inflation adjustments.

(†††)

Amount shown represents units. One unit represents a principal amount of 25.

(††††)

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

(a)

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

At December 31, 2009, the net unrealized appreciation on investments based on a cost of $231,019,668 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	$	38,876,317
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(7,273,857	)

Net unrealized appreciation	$	31,602,460

At September 30, 2009, the Fund had a capital loss carryforward of approximately $54,290,711, which expires on September 30, 2017.

At September 30, 2009, post-October capital loss deferrals were $56,215,833. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)	All or a portion of this security is held as collateral for open forward contracts.

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

(e)	Variable rate security. Rate as of December 31, 2009 is disclosed.

(f)	Illiquid security. At December 31, 2009, the value of these securities amounted to $343,122 or 0.1% of net assets.

(g)	Variable rate security. Rate shown represents the weighted average rate at December 31, 2009.

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

(i)	Future dividend payments have been eliminated as the issuer has been placed in conservatorship.

(j)	Fair valued security by the Fund’s investment adviser. At December 31, 2009 the value of this security amounted to $2,249 or 0.0% of net assets.

(k)

It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 100% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. It is the Fund’s policy, regarding tri-party arrangements, that the market value of the collateral be at least equal to 102% of the repurchase price, including interest. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

(l)	Issuer has filed for bankruptcy.

144A

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2009, the total value of these securities amounted to $14,934,030 or 5.6% of net assets.

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

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

EUR

Euro

GBP	British Pound

IDR	Indonesian Rupiah

JPY	Japanese Yen

KRW	South Korean Won

MXN	Mexican Peso

NOK	Norwegian Krone

SEK	Swedish Krona

SGD	Singapore Dollar

Forward Foreign Currency Contracts

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

At December 31, 2009, the Fund had the following open forward foreign currency contracts:


Contract to Buy	Delivery Date	Currency	Units	Notional Value		Unrealized Depreciation
Buy¹	03/15/2010	South Korean Won	780,800,000	$	668,273	$	(2,003	)

¹	Counterparty is Barclays Bank PLC.

Fair Value Measurements

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

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2009, at value:

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2009:

Derivatives

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

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund.

Industry Summary Table at December 31, 2009 (Unaudited)


Commercial Banks	6.4	%
Metals & Mining	5.3
Internet Software & Services	5.3
Computers & Peripherals	4.8
Internet & Catalog Retail	4.4
Capital Markets	3.4
Specialty Retail	3.2
Treasuries	3.0
Semiconductors & Semiconductor Equipment	3.0
Hotels, Restaurants & Leisure	2.8
Oil, Gas & Consumable Fuels	2.7
Automotive	2.6
Professional Services	2.5
Communications Equipment	2.4
Non-Captive Diversified	2.4
Electric	2.2
Wirelines	2.1
Other Investments, less then 2% each	38.3
Short-Term Investments	1.6

Total Investments	98.4
Other assets less liabilities (including open Forward Foreign Currency Contracts)	1.6

Net Assets	100.0	%

Currency Exposure at December 31, 2009 as Percentage of Net Assets (Unaudited)


United States Dollar	70.1	%
British Pound	6.0
Euro	5.8
Hong Kong Dollar	3.7
Brazilian Real	3.3
South Korean Won	2.7
Other, less than 2% each	6.8

Total Investments	98.4
Other assets less liabilities (including open Forward Foreign Currency Contracts)	1.6

Net Assets	100.0	%


Shares	Description	Value (†)
Common Stocks – 99.6% of Net Assets
	Capital Markets – 7.1%
8,891	BlackRock, Inc.	$	2,064,490
32,184	Franklin Resources, Inc.		3,390,584
16,140	Goldman Sachs Group, Inc. (The)		2,725,078

			8,180,152

	Commercial Banks – 0.5%
22,178	Wells Fargo & Co.		598,584

	Communications Equipment – 6.5%
194,877	Brocade Communications Systems, Inc.(b)		1,486,911
170,799	Cisco Systems, Inc.(b)		4,088,928
39,891	QUALCOMM, Inc.		1,845,358

			7,421,197

	Computers & Peripherals – 10.4%
26,306	Apple, Inc.(b)		5,546,883
117,890	EMC Corp.(b)		2,059,538
45,881	Hewlett-Packard Co.		2,363,330
15,345	International Business Machines Corp.		2,008,661

			11,978,412

	Diversified Financial Services – 2.6%
11,548	IntercontinentalExchange, Inc.(b)		1,296,840
41,295	JPMorgan Chase & Co.		1,720,763

			3,017,603

	Energy Equipment & Services – 1.5%
30,234	FMC Technologies, Inc.(b)		1,748,735

	Health Care Providers & Services – 4.2%
29,243	Express Scripts, Inc.(b)		2,528,057
36,168	Medco Health Solutions, Inc.(b)		2,311,497

			4,839,554

	Hotels, Restaurants & Leisure – 3.4%
94,302	International Game Technology		1,770,048
92,699	Starbucks Corp.(b)		2,137,639

			3,907,687

	Industrial Conglomerates – 1.6%
22,322	3M Co.		1,845,360

	Internet & Catalog Retail – 9.2%
35,626	Amazon.com, Inc.(b)		4,792,410
53,133	Expedia, Inc.(b)		1,366,049
20,054	Priceline.com, Inc.(b)		4,381,799

			10,540,258

	Internet Software & Services – 7.3%
114,729	eBay, Inc.(b)		2,700,721
9,179	Google, Inc., Class A(b)		5,690,796

			8,391,517

	IT Services – 5.6%
57,472	Cognizant Technology Solutions Corp., Class A(b)		2,603,481
43,769	Visa, Inc., Class A		3,828,037

			6,431,518

	Machinery – 4.2%
41,248	Deere & Co.		2,231,105
27,176	Flowserve Corp.		2,568,947

			4,800,052

	Media – 1.2%
44,265	Discovery Communications, Inc., Class A(b)		1,357,608

	Metals & Mining – 3.8%
19,874	Cliffs Natural Resources, Inc.		915,993


Shares		Description	Value (†)
		Metals & Mining – continued
	31,666	Freeport-McMoRan Copper & Gold, Inc.(b)	$	2,542,463
	12,034	Walter Energy, Inc.		906,280

				4,364,736

		Multiline Retail – 1.6%
	47,615	Nordstrom, Inc.		1,789,372

		Oil, Gas & Consumable Fuels – 7.4%
	28,023	Anadarko Petroleum Corp.		1,749,196
	14,758	EOG Resources, Inc.		1,435,953
	33,494	Range Resources Corp.		1,669,676
	76,248	Southwestern Energy Co.(b)		3,675,154

				8,529,979

		Pharmaceuticals – 3.2%
	18,354	Allergan, Inc.		1,156,486
	133,059	Mylan, Inc.(b)		2,452,277

				3,608,763

		Semiconductors & Semiconductor Equipment – 6.0%
	100,069	Broadcom Corp., Class A(b)		3,147,170
	26,934	Cree, Inc.(b)		1,518,270
	103,916	Marvell Technology Group Ltd.(b)		2,156,257

				6,821,697

		Software – 6.6%
	112,448	Microsoft Corp.		3,428,540
	96,763	Oracle Corp.		2,374,564
	24,672	Salesforce.com, Inc.(b)		1,820,053

				7,623,157

		Specialty Retail – 5.7%
	42,063	Guess?, Inc.		1,779,265
	53,314	Tiffany & Co.		2,292,502
	69,743	Urban Outfitters, Inc.(b)		2,440,307

				6,512,074

		Total Common Stocks (Identified Cost $89,773,236)		114,308,015


Principal Amount
	Short-Term Investments – 0.7%
$	776,620	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $776,620 on 1/04/2010 collateralized by $785,000 Federal Home Loan Mortgage Corp., 2.250% due 8/24/2012 valued at $793,831 including accrued interest(c) (Identified Cost $776,620)		776,620

		Total Investments - 100.3% (Identified Cost $90,549,856)(a)		115,084,635

		Other assets less liabilities — (0.3)%		(368,505	)

		Net Assets — 100.0%	$	114,716,130

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At December 31, 2009, the net unrealized appreciation on investments based on a cost of $90,549,856 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	$	24,823,517
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(288,738	)

Net unrealized appreciation	$	24,534,779

At September 30, 2009, the Fund had a capital loss carryforward of approximately $72,936,734, of which $9,606,459 expires on September 30, 2010; $6,192,314 expires on September 30, 2011; $75,866 expires on September 30, 2016 and $57,062,095 expires on September 30, 2017. At September 30, 2009, post-October capital loss deferrals were $57,669,601. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2009, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*
	$	114,308,015	$	—	$	—	$	114,308,015
Short-Term Investments		—		776,620		—		776,620

Total	$	114,308,015	$	776,620	$	—	$	115,084,635

*	Major categories of the Fund’s investments are included above.

Industry Summary at December 31, 2009 (Unaudited)


Computers & Peripherals	10.4	%
Internet & Catalog Retail	9.2
Oil, Gas & Consumable Fuels	7.4
Internet Software & Services	7.3
Capital Markets	7.1
Software	6.6
Communications Equipment	6.5
Semiconductors & Semiconductor Equipment	6.0
Specialty Retail	5.7
IT Services	5.6
Health Care Providers & Services	4.2
Machinery	4.2
Metals & Mining	3.8
Hotels, Restaurants & Leisure	3.4
Pharmaceuticals	3.2
Diversified Financial Services	2.6
Other Investments, less than 2% each	6.4
Short-Term Investments	0.7

Total Investments	100.3
Other assets less liabilities	(0.3	)

Net Assets	100.0	%


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 91.5% of Net Assets
	Non-Convertible Bonds — 76.4%
		ABS Home Equity — 1.8%
$	700,000	Asset Backed Funding Certificates, Series 2006-HE1, Class A2B, 0.341%, 1/25/2037(b)	$	326,981
	101,492	Citigroup Mortgage Loan Trust, Inc., Series 2006-NC1, Class A2B, 0.341%, 8/25/2036(b)		81,792
	575,112	Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A, 0.381%, 8/25/2036(b)		414,717
	650,000	Fremont Home Loan Trust, Series 2004-D, Class M2, 0.831%, 11/25/2034(b)		367,836
	725,000	GSAMP Trust, Series 2006-HE5, Class A2C, 0.381%, 8/25/2036(b)		282,320
	276,992	HSI Asset Securitization Corp. Trust, Series 2006-HE2, Class 2A1, 0.281%, 12/25/2036(b)		200,783
	497,721	Long Beach Mortgage Loan Trust, Series 2006-WL2, Class 2A3, 0.431%, 1/25/2036(b)		359,253
	2,000,000	Residential Asset Mortgage Products, Inc., Series 2006-RZ5, Class A2, 0.411%, 8/25/2046(b)		1,224,846

				3,258,528

		Aerospace & Defense — 2.3%
	1,590,000	BE Aerospace, Inc., 8.500%, 7/01/2018		1,685,400
	2,900,000	Bombardier, Inc., 144A, 7.450%, 5/01/2034		2,508,500

				4,193,900

		Airlines — 1.0%
	49,894	Continental Airlines, Inc., Series 1997-4, Class 4B, 6.900%, 7/02/2018		46,651
	302,009	Continental Airlines, Inc., Series 2000-2, Class A-1, 7.707%, 10/02/2022		291,439
	514,974	Continental Airlines, Inc., Series 2001-1, Class B, 7.373%, 6/15/2017		455,752
	180,000	Continental Airlines, Inc., Series 2007-1, Class B, 6.903%, 4/19/2022		156,600
	745,000	United Air Lines, Inc., 10.400%, 5/01/2018		785,044

				1,735,486

		Automotive — 2.5%
	450,000	FCE Bank PLC, EMTN, 7.875%, 2/15/2011, (GBP)		723,206
	420,000	Ford Motor Co., 6.375%, 2/01/2029		324,450
	1,220,000	Ford Motor Co., 6.625%, 10/01/2028		942,450
	65,000	Ford Motor Co., 6.625%, 2/15/2028		50,213


Principal Amount (‡)		Description	Value (†)
		Automotive — continued
$	40,000	Ford Motor Co., 7.500%, 8/01/2026	$	31,500
	130,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		129,804
	310,000	Ford Motor Credit Co. LLC, 7.500%, 8/01/2012		312,622
	1,320,000	Ford Motor Credit Co. LLC, 8.000%, 6/01/2014		1,355,360
	150,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		150,199
	635,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		549,275

				4,569,079

		Banking — 0.6%
	12,176,250,000	JPMorgan Chase Bank NA, EMTN, 144A, Zero Coupon, 10/17/2011, (IDR)		1,132,605

		Building Materials — 1.0%
	750,000	Masco Corp., 4.800%, 6/15/2015		689,445
	50,000	Masco Corp., 6.500%, 8/15/2032		42,550
	345,000	Masco Corp., 7.750%, 8/01/2029		321,062
	785,000	USG Corp., 6.300%, 11/15/2016		702,575
	75,000	USG Corp., 9.500%, 1/15/2018		77,250
	65,000	USG Corp., 144A, 9.750%, 8/01/2014		69,387

				1,902,269

		Chemicals — 0.3%
	855,000	Hercules, Inc., Subordinated Note, 6.500%, 6/30/2029		581,400

		Collateralized Mortgage Obligations — 1.6%
	461,996	Adjustable Rate Mortgage Trust, Series 2005-10, Class 5A1, 0.491%, 1/25/2036(b)		263,253
	566,071	Impac CMB Trust, Series 2005-3, Class A1, 0.471%, 8/25/2035(b)		349,791
	725,090	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 1.500%, 1/25/2036(b)		433,588
	622,943	Lehman Mortgage Trust, Series 2006-6, Class 5A1, 0.731%, 12/25/2036(b)		449,474
	817,057	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.351%, 7/25/2037(b)(c)		351,335
	369,316	Master Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 3.536%, 3/25/2035(b)		298,241
	536,911	Residential Accredit Loans, Inc., Series 2005-QA13, Class 2A1, 5.801%, 12/25/2035(b)		224,319
	216,295	Structured Adjustable Rate Mortgage Loan Trust, Series 2007-7, Class 1A1, 0.531%, 8/25/2037(b)		123,847


Principal Amount (‡)		Description	Value (†)
	Collateralized Mortgage Obligations — continued
$	482,420	WaMu Mortgage Pass Through Certificates, Series 2006-AR10, Class 1A1, 5.921%, 9/25/2036(b)	$	365,917

				2,859,765

		Commercial Mortgage-Backed Securities — 1.8%
	100,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		86,297
	800,000	Commercial Mortgage Pass Through Certificates, Series 2007-C9, Class A4, 5.816%, 12/10/2049(b)		725,497
	100,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.808%, 9/15/2039(b)		80,656
	650,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		576,981
	1,375,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		1,214,874
	520,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.818%, 6/15/2049(b)		452,843
	100,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		84,356

				3,221,504

		Construction Machinery — 1.8%
	985,000	RSC Equipment Rental, Inc., 9.500%, 12/01/2014		986,231
	2,245,000	United Rentals North America, Inc., 7.000%, 2/15/2014		2,031,725
	15,000	United Rentals North America, Inc., 7.750%, 11/15/2013		14,100
	150,000	United Rentals North America, Inc., 10.875%, 6/15/2016		163,125

				3,195,181

		Consumer Products — 0.3%
	670,000	Acco Brands Corp., 7.625%, 8/15/2015		623,100
		Electric — 2.1%
	35,000	AES Corp. (The), 8.000%, 10/15/2017		35,919
	211,641	AES Ironwood LLC, 8.857%, 11/30/2025		209,524
	22,930	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		22,873
	375,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		305,625
	180,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		124,200
	815,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		707,012
	2,230,000	Edison Mission Energy, 7.625%, 5/15/2027		1,510,825


Principal Amount (‡)		Description	Value (†)
		Electric — continued
$	140,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027	$	73,500
	195,000	TXU Corp., Series P, 5.550%, 11/15/2014		138,294
	1,015,000	TXU Corp., Series Q, 6.500%, 11/15/2024		476,762
	370,000	TXU Corp., Series R, 6.550%, 11/15/2034		171,540

				3,776,074

		Food & Beverage — 1.0%
	710,000	Aramark Services, Inc., 5.000%, 6/01/2012		681,600
	600,000	CCL Finance Ltd., 144A, 9.500%, 8/15/2014		645,000
	570,000	Tyson Foods, Inc., 7.850%, 4/01/2016		584,250

				1,910,850

		Government Owned - No Guarantee — 0.1%
	200,000	DP World Ltd., 144A, 6.850%, 7/02/2037		153,844

		Healthcare — 4.5%
	95,000	Boston Scientific Corp., 7.000%, 11/15/2035		93,219
	205,000	HCA, Inc., 6.500%, 2/15/2016		194,750
	35,000	HCA, Inc., 7.050%, 12/01/2027		30,013
	630,000	HCA, Inc., 7.500%, 12/15/2023		575,659
	700,000	HCA, Inc., 7.500%, 11/06/2033		612,176
	40,000	HCA, Inc., 7.690%, 6/15/2025		36,628
	1,260,000	HCA, Inc., 5.750%, 3/15/2014		1,184,400
	370,000	HCA, Inc., 6.250%, 2/15/2013		359,825
	10,000	HCA, Inc., 6.300%, 10/01/2012		10,000
	50,000	HCA, Inc., 6.375%, 1/15/2015		47,187
	215,000	HCA, Inc., 6.750%, 7/15/2013		211,775
	1,070,000	HCA, Inc., 7.190%, 11/15/2015		995,100
	480,000	HCA, Inc., 8.360%, 4/15/2024		456,000
	670,000	HCA, Inc., MTN, 7.580%, 9/15/2025		596,300
	1,685,000	HCA, Inc., MTN, 7.750%, 7/15/2036		1,499,650
	375,000	Psychiatric Solutions, Inc., 7.750%, 7/15/2015		362,812
	380,000	Psychiatric Solutions, Inc., 144A, 7.750%, 7/15/2015		358,150
	255,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		204,000
	190,000	Tenet Healthcare Corp., 7.375%, 2/01/2013		190,475


Principal Amount (‡)		Description	Value (†)
	Healthcare — continued
$	60,000	Tenet Healthcare Corp., 9.875%, 7/01/2014	$	63,150

				8,081,269

		Home Construction — 3.6%
	755,000	D.R. Horton, Inc., 6.500%, 4/15/2016		736,125
	410,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		389,500
	315,000	KB Home, 5.750%, 2/01/2014		296,100
	360,000	KB Home, Guaranteed Note, 5.875%, 1/15/2015		333,000
	1,790,000	KB Home, Guaranteed Note, 7.250%, 6/15/2018		1,700,500
	580,000	Lennar Corp., Series B, 5.600%, 5/31/2015		531,425
	830,000	Lennar Corp., Series B, 6.500%, 4/15/2016		763,600
	1,325,000	Pulte Homes, Inc., 6.000%, 2/15/2035		1,046,750
	495,000	Pulte Homes, Inc., 6.375%, 5/15/2033		399,713
	380,000	Pulte Homes, Inc., 7.875%, 6/15/2032		349,600

				6,546,313

		Independent Energy — 6.2%
	40,000	Chesapeake Energy Corp., 6.375%, 6/15/2015		39,200
	3,295,000	Chesapeake Energy Corp., 6.500%, 8/15/2017		3,229,100
	790,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		762,350
	620,000	Connacher Oil and Gas Ltd., 144A, 10.250%, 12/15/2015		567,300
	500,000	Connacher Oil and Gas Ltd., 144A, 11.750%, 7/15/2014		552,500
	825,000	Hilcorp Energy I LP, 144A, 7.750%, 11/01/2015		808,500
	200,000	Pioneer Natural Resources Co., 6.875%, 5/01/2018		197,884
	3,127,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		2,824,025
	1,260,000	SandRidge Energy, Inc., 144A, 8.000%, 6/01/2018		1,237,950
	1,065,000	Swift Energy Co., 7.125%, 6/01/2017		1,006,425

				11,225,234

		Industrial Other — 0.1%
	140,000	Ranhill Labuan Ltd., 144A, 12.500%, 10/26/2011		119,000

		Lodging — 3.5%
	170,000	Felcor Lodging Trust, Inc., 144A, 10.000%, 10/01/2014		171,488
	615,000	Host Hotels & Resorts LP, 6.375%, 3/15/2015		602,700
	55,000	Host Hotels & Resorts LP, 6.750%, 6/01/2016		54,725


Principal Amount (‡)		Description	Value (†)
		Lodging — continued
$	80,000	Host Hotels & Resorts LP, 6.875%, 11/01/2014	$	80,500
	135,000	Royal Caribbean Cruises Ltd., 6.875%, 12/01/2013		132,638
	2,000,000	Royal Caribbean Cruises Ltd., 7.000%, 6/15/2013		1,995,000
	670,000	Royal Caribbean Cruises Ltd., 7.250%, 6/15/2016		647,387
	2,590,000	Starwood Hotels & Resorts Worldwide, Inc., 6.750%, 5/15/2018		2,596,475

				6,280,913

		Media Cable — 0.3%
	500,000	Virgin Media Finance PLC, 8.375%, 10/15/2019		514,375

		Media Non-Cable — 1.2%
	175,000	Intelsat Corp., 6.875%, 1/15/2028		149,625
	1,765,000	Intelsat Subsidiary Holding Co. Ltd., 8.500%, 1/15/2013		1,800,300
	160,000	Intelsat Subsidiary Holding Co. Ltd., 144A, 8.875%, 1/15/2015		164,800
	85,000	R.H. Donnelley Corp., 6.875%, 1/15/2013(c)		7,969
	25,000	R.H. Donnelley Corp., Series A-1, 6.875%, 1/15/2013(c)		2,344
	160,000	R.H. Donnelley Corp., Series A-2, 6.875%, 1/15/2013(c)		15,000
	615,000	R.H. Donnelley Corp., Series A-3, 8.875%, 1/15/2016(c)		57,656
	155,000	R.H. Donnelley Corp., Series A-4, 8.875%, 10/15/2017(c)		14,531

				2,212,225

		Metals & Mining — 1.6%
	355,000	ArcelorMittal, 9.850%, 6/01/2019		459,158
	315,000	Drummond Co., Inc., 144A, 9.000%, 10/15/2014		330,356
	410,000	Steel Dynamics, Inc., 6.750%, 4/01/2015		406,412
	1,145,000	Steel Dynamics, Inc., 7.750%, 4/15/2016		1,192,231
	355,000	United States Steel Corp., 6.050%, 6/01/2017		338,907
	125,000	United States Steel Corp., 7.000%, 2/01/2018		122,437

				2,849,501

		Non-Captive Consumer — 2.6%
	60,000	SLM Corp., MTN, 5.050%, 11/14/2014		54,119
	10,000	SLM Corp., MTN, 5.125%, 8/27/2012		9,375
	20,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013		18,399
	10,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		7,687


Principal Amount (‡)		Description	Value (†)
	Non-Captive Consumer — continued
$	4,260,000	SLM Corp., Series A, MTN, 5.375%, 5/15/2014	$	3,929,296
	5,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,770
	735,000	SLM Corp., Series A, MTN, 6.500%, 6/15/2010, (NZD)(d)		519,385
	245,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		241,754

				4,783,785

		Non-Captive Diversified — 2.6%
	1,300,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		916,836
	590,000	General Motors Acceptance Corp. of Canada Ltd., EMTN, 7.125%, 9/13/2011, (AUD)		474,411
	66,000	GMAC, Inc., 144A, 5.375%, 6/06/2011		63,525
	172,000	GMAC, Inc., 144A, 5.750%, 9/27/2010		170,280
	412,000	GMAC, Inc., 144A, 6.000%, 4/01/2011		403,760
	398,000	GMAC, Inc., 144A, 6.000%, 12/15/2011		390,040
	208,000	GMAC, Inc., 144A, 6.625%, 5/15/2012		203,840
	2,041,000	GMAC, Inc., 144A, 6.750%, 12/01/2014		1,938,950
	24,000	GMAC, Inc., 144A, 8.000%, 11/01/2031		21,600
	80,000	iStar Financial, Inc., 5.850%, 3/15/2017		44,800
	10,000	iStar Financial, Inc., 5.875%, 3/15/2016		5,625
	15,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		8,737

				4,642,404

		Oil Field Services — 1.4%
	490,000	Basic Energy Services, Inc., 7.125%, 4/15/2016		407,925
	380,000	Basic Energy Services, Inc., 11.625%, 8/01/2014		406,600
	350,000	Compagnie Generale de Geophysique-Veritas, 144A, 9.500%, 5/15/2016		374,500
	305,000	Complete Production Services, Inc., 8.000%, 12/15/2016		300,806
	30,000	Key Energy Services, Inc., 8.375%, 12/01/2014		30,075
	1,052,000	North American Energy Partners, Inc., 8.750%, 12/01/2011		1,052,000

				2,571,906

		Packaging — 0.1%
	175,000	Owens-Illinois, Inc., Senior Note, 7.800%, 5/15/2018		176,313

		Paper — 3.0%
	500,000	Fibria Overseas Finance Ltd., 144A, 9.250%, 10/30/2019		561,250


Principal Amount (‡)		Description	Value (†)
		Paper — continued
$	340,000	Georgia-Pacific Corp., 7.250%, 6/01/2028	$	316,200
	160,000	Georgia-Pacific Corp., 7.375%, 12/01/2025		152,800
	1,071,000	Georgia-Pacific Corp., 7.750%, 11/15/2029		1,057,612
	815,000	Georgia-Pacific Corp., 8.000%, 1/15/2024		831,300
	2,305,000	Georgia-Pacific Corp., 8.875%, 5/15/2031		2,443,300
	35,000	Georgia-Pacific LLC, 144A, 7.125%, 1/15/2017		35,438

				5,397,900

		Pharmaceuticals — 1.3%
	2,340,000	Elan Finance PLC, 8.875%, 12/01/2013		2,328,300

		Pipelines — 1.7%
	2,285,000	El Paso Corp., 6.950%, 6/01/2028		1,959,815
	225,000	El Paso Corp., 7.000%, 6/15/2017		223,153
	405,000	El Paso Corp., 7.420%, 2/15/2037		354,897
	110,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		103,558
	235,000	El Paso Corp., GMTN, 8.050%, 10/15/2030		221,650
	130,000	El Paso Natural Gas Co., 8.375%, 6/15/2032		154,385

				3,017,458

		Refining — 0.4%
	150,000	Petroplus Finance Ltd., 144A, 6.750%, 5/01/2014		141,000
	745,000	Petroplus Finance Ltd., 144A, 7.000%, 5/01/2017		670,500

				811,500

		REITs — 0.3%
	240,000	ProLogis, 5.625%, 11/15/2016		221,171
	275,000	ProLogis, 5.750%, 4/01/2016		258,290
	80,000	ProLogis, 6.625%, 5/15/2018		75,870

				555,331

		Retailers — 2.3%
	250,000	Dillard’s, Inc., 6.625%, 1/15/2018		207,500
	105,000	Dillard’s, Inc., 7.130%, 8/01/2018		90,825
	545,000	J.C. Penney Corp., Inc., Senior Note, 6.375%, 10/15/2036		483,960
	510,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		430,950
	30,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		25,200
	210,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		184,800


Principal Amount (‡)			Description	Value (†)
			Retailers — continued
$	1,115,000		Toys R Us Property Co. I LLC, 144A, 10.750%, 7/15/2017	$	1,220,925
	1,600,000		Toys R Us, Inc., 7.375%, 10/15/2018		1,464,000
	20,000		Toys R Us, Inc., 7.875%, 4/15/2013		20,100

					4,128,260

			Sovereigns — 2.6%
	502,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		3,704,562
	350,000		New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010, (AUD)		321,649
	1,000,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		574,383
	4,525,924		Republic of Uruguay, 4.250%, 4/05/2027, (UYU)		205,226

					4,805,820

			Supermarkets — 1.0%
	300,000		American Stores Co., 8.000%, 6/01/2026		273,750
	750,000		New Albertson’s, Inc., 7.450%, 8/01/2029		643,125
	190,000		New Albertson’s, Inc., 7.750%, 6/15/2026		170,050
	130,000		New Albertson’s, Inc., 8.000%, 5/01/2031		117,975
	735,000		New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		559,519

					1,764,419

			Supranational — 0.8%
	17,499,000,000		European Investment Bank, EMTN, 144A, Zero Coupon, 4/24/2013, (IDR)		1,408,674
	13,400,000		International Bank for Reconstruction & Development, 9.500%, 5/27/2010, (ISK)		64,273

					1,472,947

			Technology — 5.6%
	1,090,000		Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		780,713
	1,930,000		Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,372,712
	290,000		Amkor Technology, Inc., 9.250%, 6/01/2016		308,125
	1,110,000		First Data Corp., 9.875%, 9/24/2015		1,035,075
	1,220,000		Jabil Circuit, Inc., 8.250%, 3/15/2018		1,305,400
	580,000		Motorola, Inc., 6.500%, 9/01/2025		503,911
	1,000,000		Motorola, Inc., 7.500%, 5/15/2025		956,851
	340,000		Nortel Networks Capital Corp., 7.875%, 6/15/2026(c)		227,800
	560,000		Nortel Networks Ltd., 6.875%, 9/01/2023(c)		252,000


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	1,805,000	Seagate Technology HDD Holdings, 6.800%, 10/01/2016	$	1,746,337
	390,000	Seagate Technology International, 144A, 10.000%, 5/01/2014		430,950
	820,000	SunGard Data Systems, Inc., 9.125%, 8/15/2013		840,500
	355,000	Xerox Capital Trust I, 8.000%, 2/01/2027		351,450

				10,111,824

		Textile — 0.2%
	375,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034		310,313

		Transportation Services — 0.4%
	275,000	APL Ltd., Senior Note, 8.000%, 1/15/2024(d)		211,673
	640,000	Overseas Shipholding Group, Senior Note, 7.500%, 2/15/2024		548,800

				760,473

		Treasuries — 1.9%
	3,360,000	Canadian Government, 4.500%, 6/01/2015, (CAD)		3,471,481

		Wireless — 3.7%
	130,000	Crown Castle International Corp., 9.000%, 1/15/2015		138,450
	1,443,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		1,403,318
	944,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		915,680
	1,080,000	Nextel Communications, Inc., Series F, 5.950%, 3/15/2014		1,008,450
	2,061,000	Sprint Capital Corp., 6.875%, 11/15/2028		1,713,206
	55,000	Sprint Capital Corp., 6.900%, 5/01/2019		50,600
	20,000	Sprint Capital Corp., 8.750%, 3/15/2032		18,850
	600,000	True Move Co. Ltd., 144A, 10.375%, 8/01/2014		564,000
	1,000,000	True Move Co. Ltd., 144A, 10.750%, 12/16/2013		965,000

				6,777,554

		Wirelines — 5.3%
	255,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		226,605
	65,000	Cincinnati Bell Telephone Co., 6.300%, 12/01/2028		50,700
	530,000	Cincinnati Bell, Inc., 7.000%, 2/15/2015		523,375
	460,000	Embarq Corp., 7.995%, 6/01/2036		494,821
	1,611,153	FairPoint Communications, Inc., 15.000%, 4/02/2018(c)		169,171
	95,000	Frontier Communications Corp., 7.000%, 11/01/2025		78,138
	30,000	Frontier Communications Corp., 7.125%, 3/15/2019		28,350


Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
$	1,245,000	Frontier Communications Corp., 7.875%, 1/15/2027	$	1,145,400
	605,000	Frontier Communications Corp., 9.000%, 8/15/2031		594,412
	80,000	Hawaiian Telcom Communications, Inc., Series B, 12.500%, 5/01/2015(c)		8
	770,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		702,625
	495,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		467,775
	2,860,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		2,431,000
	425,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		367,625
	1,445,000	Qwest Capital Funding, Inc., Guaranteed Note, 6.875%, 7/15/2028		1,170,450
	275,000	Qwest Capital Funding, Inc., Guaranteed Note, 7.625%, 8/03/2021		244,750
	10,000	Qwest Corp., 6.875%, 9/15/2033		8,800
	975,000	Windstream Corp., 144A, 7.875%, 11/01/2017		962,812

				9,666,817

		Total Non-Convertible Bonds (Identified Cost $125,521,844)		138,497,220


	Convertible Bonds — 15.1%
		Automotive — 1.2%
	1,720,000	Ford Motor Co., 4.250%, 11/15/2016		2,156,450

		Construction Machinery — 0.1%
	165,000	United Rentals North America, Inc., 1.875%, 10/15/2023		160,463

		Diversified Manufacturing — 0.3%
	600,000	Trinity Industries, Inc., 3.875%, 6/01/2036		448,500

		Electric — 0.4%
	555,000	CMS Energy Corp., 5.500%, 6/15/2029		678,488

		Healthcare — 1.7%
	660,000	Affymetrix, Inc., 3.500%, 1/15/2038		584,100
	1,520,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(e)		1,297,700
	40,000	Life Technologies Corp., 1.500%, 2/15/2024		46,200
	1,483,000	Omnicare, Inc., 3.250%, 12/15/2035		1,206,791

				3,134,791

		Independent Energy — 0.4%
	475,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		359,219


Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	435,000	Penn Virginia Corp., 4.500%, 11/15/2012	$	412,162

				771,381

		Industrial Other — 0.1%
	245,000	Incyte Corp., 3.500%, 2/15/2011		245,919

		Lodging — 0.9%
	105,000	Host Hotels & Resorts LP, 144A, 3.250%, 4/15/2024		105,000
	1,690,000	Host Hotels & Resorts, Inc., 144A, 2.625%, 4/15/2027		1,584,375

				1,689,375

		Metals & Mining — 0.3%
	215,000	Peabody Energy Corp., 4.750%, 12/15/2066		217,150
	245,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		310,231

				527,381

		Pharmaceuticals — 3.4%
	950,000	Human Genome Sciences, Inc., 2.250%, 10/15/2011		1,929,687
	840,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		1,531,950
	785,000	Kendle International, Inc., 3.375%, 7/15/2012		698,650
	1,576,000	Nektar Therapeutics, 3.250%, 9/28/2012		1,449,920
	505,000	Valeant Pharmaceuticals International, Subordinated Note, 4.000%, 11/15/2013		603,475

				6,213,682

		REITs — 0.2%
	195,000	ProLogis, 1.875%, 11/15/2037		172,575
	170,000	ProLogis, 2.250%, 4/01/2037		157,675

				330,250

		Technology — 3.2%
	1,130,000	Advanced Micro Devices, Inc., 5.750%, 8/15/2012		1,114,462
	50,000	Alcatel-Lucent USA, Inc., Series A, 2.875%, 6/15/2023		49,563
	1,580,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		1,346,950
	15,000	Ciena Corp., 0.250%, 5/01/2013		11,325
	970,000	Ciena Corp., 0.875%, 6/15/2017		561,388
	665,000	Intel Corp., 2.950%, 12/15/2035		641,725
	345,000	JDS Uniphase Corp., 1.000%, 5/15/2026		294,975
	1,330,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		1,162,087
	285,000	Kulicke & Soffa Industries, Inc., 1.000%, 6/30/2010		275,025


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	216,000	Maxtor Corp., Subordinated Note, 5.750%, 3/01/2012(d)	$	208,440
	280,000	Nortel Networks Corp., 2.125%, 4/15/2014(c)		190,050

				5,855,990

		Wireless — 0.8%
	80,000	NII Holdings, Inc., 2.750%, 8/15/2025		79,700
	1,435,000	NII Holdings, Inc., 3.125%, 6/15/2012		1,316,612

				1,396,312

		Wirelines — 2.1%
	2,235,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		1,955,625
	459,000	Level 3 Communications, Inc., 5.250%, 12/15/2011		435,476
	400,000	Level 3 Communications, Inc., 10.000%, 5/01/2011		404,000
	815,000	Level 3 Communications, Inc., 144A, 7.000%, 3/15/2015(d)		922,988

				3,718,089

		Total Convertible Bonds (Identified Cost $21,583,878)		27,327,071

		Total Bonds and Notes (Identified Cost $147,105,722)		165,824,291


	Bank Loans — 1.5%
		Chemicals — 0.1%
	138,863	Ashland Chemicals, Term Loan B, 7.650%, 5/13/2014(f)		140,569

		Diversified Manufacturing — 0.2%
	325,057	CommScope, Inc., Term Loan B, 2.747%, 12/26/2014(f)		314,492

		Food & Beverage — 0.0%
	1,306	Dole Food Co., Inc., Credit Link Deposit, 8.000%, 4/12/2013(f)		1,317
	836	Dole Food Co., Inc., Tranche B Term Loan, 8.000%, 4/12/2013(f)		844
	3,575	Dole Food Co., Inc., Tranche C Term Loan, 8.000%, 4/12/2013(f)		3,607

				5,768

		Media Non-Cable — 0.3%
	975,889	Idearc, Inc., Exit Term Loan, 11.000%, 12/31/2015(f)		504,213
	224,012	Tribune Co., Term Loan X, 5.000%, 6/04/2009(c)(f)(g)		125,377

				629,590

		Technology — 0.2%
	416,753	Nuance Communications, Inc., Term Loan, 2.240%, 3/31/2013(f)		394,094
	2,413	Sungard Data Systems, Inc., Tranche A, 1.985%, 2/28/2014(f)		2,283


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	66,873	Sungard Data Systems, Inc., Tranche B, 3.898%, 2/26/2016(f)	$	64,783

				461,160

		Wirelines — 0.7%
	763,371	Fairpoint Communications, Inc., Initial Term Loan B, 5.000%, 3/31/2015(c)(f)		593,796
	35,694	Hawaiian Telcom Communications, Inc., Tranche C Term Loan, 4.750%, 6/01/2014(f)(h)		25,744
	250,000	Level 3 Financing, Inc., Add on Term Loan, 11.500%, 3/13/2014(f)		266,250
	25,000	Level 3 Financing, Inc., Tranche A Term Loan, 2.530%, 3/13/2014(f)		22,625
	300,000	Transaction Network Services, Inc., New Term Loan, 6.000%, 11/18/2015(f)		299,499

				1,207,914

		Total Bank Loans (Identified Cost $2,592,366)		2,759,493


Shares
	Preferred Stocks — 1.5%
	Convertible Preferred Stocks — 1.4%
		Capital Markets — 0.5%
	26,890	Newell Financial Trust I, 5.250%		941,150

		Diversified Financial Services — 0.1%
	3,732	Sovereign Capital Trust IV, 4.375%		115,459

		Electric Utilities — 0.2%
	6,475	AES Trust III, 6.750%		300,278

		Machinery — 0.0%
	2,550	United Rentals Trust I, 6.500%		74,747

		Oil, Gas & Consumable Fuels — 0.2%
	9,500	El Paso Energy Capital Trust I, 4.750%		347,343

		Semiconductors & Semiconductor Equipment — 0.4%
	799	Lucent Technologies Capital Trust I, 7.750%		620,823

		Total Convertible Preferred Stocks (Identified Cost $2,174,065)		2,399,800


	Non-Convertible Preferred Stocks — 0.1%
		Banking — 0.1%
	274	GMAC, Inc., Series G, 144A, 7.000%		180,600


Shares	Description	Value (†)
	Thrifts & Mortgage Finance — 0.0%
300	Federal Home Loan Mortgage Corp., 5.000%(i)(j)	$	528
7,900	Federal Home Loan Mortgage Corp., 5.570%(i)(j)		7,426
2,850	Federal Home Loan Mortgage Corp., 5.660%(i)(j)		2,422
1,000	Federal Home Loan Mortgage Corp., 5.700%(i)(j)		1,550
1,800	Federal Home Loan Mortgage Corp., 5.790%(i)(j)		3,042
650	Federal Home Loan Mortgage Corp., 5.810%(i)(j)		1,125
1,400	Federal Home Loan Mortgage Corp., 5.900%(i)(j)		1,204
350	Federal Home Loan Mortgage Corp., 6.000%(i)(j)		588
600	Federal Home Loan Mortgage Corp., 6.420%(i)(j)		1,074
1,350	Federal Home Loan Mortgage Corp., 6.500%(i)(j)		1,309
7,400	Federal Home Loan Mortgage Corp., (fixed rate to 12/31/2012, variable rate thereafter), 8.375%(i)(j)		7,770
1,200	Federal National Mortgage Association, 4.750%(i)(j)		1,740
200	Federal National Mortgage Association, 5.125%(i)(j)		296
400	Federal National Mortgage Association, 5.375%(i)(j)		640
350	Federal National Mortgage Association, 5.810%(i)(j)		536
550	Federal National Mortgage Association, 6.750%(i)(j)		501
10,250	Federal National Mortgage Association, (fixed rate to 12/13/2010, variable rate thereafter), 8.250%(i)(j)		11,275

			43,026

	Total Non-Convertible Preferred Stocks (Identified Cost $634,132)		223,626

	Total Preferred Stocks (Identified Cost $2,808,197)		2,623,426


Common Stocks — 0.4%
	Biotechnology — 0.2%
8,147	Vertex Pharmaceuticals, Inc.(i)		349,099

	Chemicals — 0.0%
1,087	Ashland, Inc.		43,067

	Household Durables — 0.0%
1,775	KB Home		24,282

	Pharmaceuticals — 0.2%
6,875	Merck & Co., Inc.		251,212

	Thrifts & Mortgage Finance — 0.0%
5,500	Federal Home Loan Mortgage Corp.(i)(j)		8,086

	Total Common Stocks (Identified Cost $591,205)		675,746


Shares		Description	Value (†)
	Closed-End Investment Companies — 0.0%
	2,535	Morgan Stanley Emerging Markets Debt Fund, Inc.	$	25,553
	2,175	Western Asset High Income Opportunity Fund, Inc.		13,006

		Total Closed-End Investment Companies (Identified Cost $34,947)		38,559


Principal Amount (‡)
	Short-Term Investments — 4.0%
$	3,071	Repurchase Agreement with State Street Corporation, dated 12/31/2009 at 0.000% to be repurchased at $3,071 on 1/04/2010, collateralized by $5,000 U.S. Treasury Bill, due 2/25/2010 valued at $5,000 including accrued interest(k)		3,071
	7,275,797	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $7,275,797 on 1/04/2010, collateralized by $7,405,000 Federal Home Loan Mortgage Corp., 2.000% due 11/05/2012 valued at $7,423,513 including accrued interest(k)		7,275,797

		Total Short-Term Investments (Identified Cost $7,278,868)		7,278,868

		Total Investments — 98.9% (Identified Cost $160,411,305)(a)		179,200,383
		Other assets less liabilities—1.1%		2,080,088

		Net Assets — 100.0%	$	181,280,471

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

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day.

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

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At December 31, 2009, the net unrealized appreciation on investments based on a cost of $160,449,513 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	$	22,278,618
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,527,748	)

Net unrealized appreciation	$	18,750,870

At September 30, 2009, the Fund had a capital loss carryforward of approximately $26,859,746 of which $26,826,634 expires on September 30, 2010 and $33,112 expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $2,276,152. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of December 31, 2009 is disclosed.

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

(d)	Illiquid security. At December 31, 2009, the value of these securities amounted to $1,862,486 or 1.0% of net assets.

(e)	Step Bond: Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

(f)	Variable rate security. Rate shown represents the weighted average rate at December 31, 2009.

(g)	Issuer has filed for bankruptcy.

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

(i)	Non-income producing security.

(j)	Future dividend payments have been eliminated as the issuer has been placed in conservatorship.

(k)

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 December 31, 2009, the value of these securities amounted to $22,139,387 or 12.2% of net assets.

ABS	Asset-Backed Securities

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

REITs

Real Estate Investment Trusts

AUD	Australian Dollar

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2009, at value:

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2009:


Principal Amount (‡)	Description	Value (†)
Bonds and Notes — 92.4% of Net Assets
Non-Convertible Bonds — 92.3%
	Australia — 2.2%
200,000	Australia & New Zealand Banking Group Ltd., EMTN, 2.625%, 11/16/2012, (EUR)	$	286,661
200,000	National Australia Bank Ltd., EMTN, 3.500%, 1/23/2015, (EUR)		284,695
165,000	New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010, (AUD)		151,635

			722,991

	Austria — 0.6%
17,000,000	Oesterreichische Kontrollbank AG, 1.800%, 3/22/2010, (JPY)		182,846
	Belgium — 5.9%
100,000	Anheuser-Busch InBev NV, EMTN, 6.500%, 6/23/2017, (GBP)		174,566
400,000	Kingdom of Belgium, 5.500%, 9/28/2017, (EUR)		653,498
720,000	Kingdom of Belgium, Series 50, 4.000%, 3/28/2013, (EUR)		1,092,135

			1,920,199

	Brazil — 0.6%
186,554(†††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL)		103,889
100,000	NET Servicos de Comunicacao SA, 144A, 7.500%, 1/27/2020		102,000

			205,889

	Canada — 4.8%
225,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		199,945
330,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		316,139
820,000	Canadian Government, 4.500%, 6/01/2015, (CAD)(b)		847,206
150,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		212,861

			1,576,151

	Cayman Islands — 1.7%
60,000	DASA Finance Corp., 144A, 8.750%, 5/29/2018		62,250
100,000	Fibria Overseas Finance Ltd., 144A, 9.250%, 10/30/2019		112,250
200,000	Hutchison Whampoa Finance Ltd., 4.625%, 9/21/2016, (EUR)		285,841
100,000	Odebrecht Finance Ltd., 144A, 7.000%, 4/21/2020		101,125

			561,466

	France — 9.6%
100,000	Cie Financiere et Industrielle des Autoroutes, 5.250%, 4/30/2018, (EUR)		152,034
50,000	Credit Agricole SA, EMTN, 5.971%, 2/01/2018, (EUR)		79,332


Principal Amount (‡)	Description	Value (†)
	France — continued
250,000	Government of France, 4.000%, 4/25/2013, (EUR)	$	380,898
305,000	Government of France, 4.250%, 10/25/2017, (EUR)		465,982
970,000	Government of France, 5.000%, 10/25/2016, (EUR)		1,553,932
140,000	Lafarge SA, EMTN, 4.750%, 3/23/2020, (EUR)		189,532
50,000	Lafarge SA, EMTN, 5.375%, 6/26/2017, (EUR)		72,030
70,000	Veolia Environnement, EMTN, 6.125%, 11/25/2033, (EUR)		108,660
100,000	Wendel, 4.875%, 5/26/2016, (EUR)		121,135

			3,123,535

	Germany — 14.8%
100,000	Bertelsmann AG, EMTN, 3.625%, 10/06/2015, (EUR)		137,423
21,000,000	Kreditanstalt fuer Wiederaufbau, 1.350%, 1/20/2014, (JPY)		230,742
16,000,000	Kreditanstalt fuer Wiederaufbau, 1.750%, 3/23/2010, (JPY)		172,332
185,000	Kreditanstalt fuer Wiederaufbau, 2.500%, 10/11/2010, (EUR)		268,559
110,000	Landesbank Baden-Wuerttemberg, 3.750%, 2/12/2014, (EUR)		164,474
105,000	Muenchener Hypothekenbank eG, 5.000%, 1/16/2012, (EUR)		159,613
475,000	Republic of Germany, 1.250%, 9/16/2011, (EUR)		681,726
380,000	Republic of Germany, 3.750%, 7/04/2013, (EUR)		576,797
850,000	Republic of Germany, 3.750%, 1/04/2017, (EUR)		1,275,629
395,000	Republic of Germany, 4.000%, 4/13/2012, (EUR)		598,676
100,000	Republic of Germany, 4.500%, 1/04/2013, (EUR)		154,442
225,000	Republic of Germany, 6.500%, 7/04/2027, (EUR)		418,023

			4,838,436

	India — 0.6%
100,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		93,836
100,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 144A, 6.375%, 4/30/2022		89,771

			183,607

	Indonesia — 0.3%
100,000	Adaro Indonesia PT, 144A, 7.625%, 10/22/2019		98,875

	Ireland — 1.1%
30,000,000	Depfa ACS Bank, Series 686, EMTN, 1.650%, 12/20/2016, (JPY)		272,185
100,000	Elan Corp. PLC, 144A, 8.750%, 10/15/2016		95,500

			367,685

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


Principal Amount (‡)	Description	Value (†)
	Italy — 0.6%
150,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)	$	209,193

	Japan — 12.4%
18,000,000	Development Bank of Japan, 1.750%, 6/21/2010, (JPY)		194,508
83,000,000	Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY)		919,907
103,000,000	Japan Government, 0.700%, 6/20/2014, (JPY)		1,119,445
84,000,000	Japan Government, 1.300%, 3/20/2019, (JPY)		913,361
83,000,000	Japan Government, 1.400%, 6/20/2011, (JPY)		907,441

			4,054,662

	Jersey — 0.3%
50,000	WPP PLC, 6.000%, 4/04/2017, (GBP)		82,090

	Luxembourg — 0.9%
150,000	Enel Finance International SA, EMTN, 5.625%, 8/14/2024, (GBP)		237,103
25,000	Telecom Italia Finance SA, EMTN, 7.750%, 1/24/2033, (EUR)		41,250

			278,353

	Mexico — 2.0%
85,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		80,750
10,000(††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		77,786
41,000(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		325,816
10,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		73,796
100,000	Mexichem SAB de CV, 144A, 8.750%, 11/06/2019		107,500

			665,648

	Netherlands — 5.6%
825,000	Kingdom of Netherlands, 5.000%, 7/15/2011, (EUR)(b)		1,251,321
150,000	Koninklijke (Royal) KPN NV, GMTN, 4.750%, 1/17/2017, (EUR)		221,376
100,000	Majapahit Holding BV, 144A, 7.750%, 1/20/2020		104,750
150,000	RWE Finance BV, EMTN, 5.500%, 7/06/2022, (GBP)		243,671

			1,821,118

	Norway — 3.6%
275,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		48,280
2,125,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		389,088
2,075,000	Norwegian Government, 6.000%, 5/16/2011, (NOK)		375,470


Principal Amount (‡)	Description	Value (†)
	Norway — continued
1,835,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)	$	350,231

			1,163,069

	Singapore — 0.8%
365,000	Republic of Singapore, 2.250%, 7/01/2013, (SGD)		271,627

	South Africa — 0.4%
150,000	Edcon Proprietary Ltd., 144A, 3.964%, 6/15/2014, (EUR)(c)		136,116

	Spain — 0.4%
100,000	Santander Issurance SA, EMTN, (fixed rate to 5/29/14, variable rate thereafter), 4.750%, 5/29/2019, (EUR)		145,349

	Supranational — 4.9%
40,000,000	Asian Development Bank, EMTN, 2.350%, 6/21/2027, (JPY)		444,089
25,000,000	European Investment Bank, 1.250%, 9/20/2012, (JPY)		275,025
44,000,000	European Investment Bank, 1.400%, 6/20/2017, (JPY)		483,915
921,000,000	European Investment Bank, EMTN, 144A, Zero Coupon, 4/24/2013, (IDR)		74,141
30,000,000	Nordic Investment Bank, Series C, GMTN, 1.700%, 4/27/2017, (JPY)		337,343

			1,614,513

	Sweden — 2.0%
3,175,000	Sweden Government Bond, 5.500%, 10/08/2012, (SEK)		488,428
100,000	Telefonaktiebolaget LM Ericsson, EMTN, 5.375%, 6/27/2017, (EUR)		148,854

			637,282

	Switzerland — 0.5%
100,000	Credit Suisse London, EMTN, 5.125%, 9/18/2017, (EUR)		151,951

	United Arab Emirates — 0.2%
100,000	DP World Ltd., 144A, 6.850%, 7/02/2037		76,922

	United Kingdom — 7.0%
50,000	BAT International Finance PLC, EMTN, 5.375%, 6/29/2017, (EUR)		76,363
100,000	British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP)		159,877
50,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		83,275
20,000	Lloyds TSB Group PLC, 5.875%, 7/08/2014, (EUR)		28,124
25,000	National Grid PLC, EMTN, 4.375%, 3/10/2020, (EUR)		35,242
75,000	National Grid PLC, EMTN, 5.000%, 7/02/2018, (EUR)		112,090
100,000	Rexam PLC, EMTN, 4.375%, 3/15/2013, (EUR)		144,767

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


Principal Amount (‡)	Description	Value (†)
	United Kingdom — continued
50,000	Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR)	$	74,876
215,000	United Kingdom Treasury, 4.000%, 9/07/2016, (GBP)		358,711
200,000	United Kingdom Treasury, 4.750%, 3/07/2020, (GBP)		339,628
175,000	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)		299,922
245,000	United Kingdom Treasury, 5.250%, 6/07/2012, (GBP)		427,853
100,000	Vodafone Group PLC, EMTN, 5.375%, 6/06/2022, (EUR)		150,007

			2,290,735

	United States — 8.5%
80,000	Ahold Finance USA, Inc., EMTN, 6.500%, 3/14/2017, (GBP)		138,191
50,000	Alcoa, Inc., 6.750%, 1/15/2028		48,284
50,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		69,777
20,000	Chesapeake Energy Corp., 6.375%, 6/15/2015		19,600
55,000	Chesapeake Energy Corp., 7.500%, 6/15/2014		56,100
15,000,000	Citigroup, Inc., 2.400%, 10/31/2025, (JPY)		119,898
60,000	Frontier Communications Corp., 6.250%, 1/15/2013		60,150
100,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		164,638
55,000	HCA, Inc., 5.750%, 3/15/2014		51,700
45,000	HCA, Inc., 8.360%, 4/15/2024		42,750
200,000	HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR)		287,204
90,000	International Paper Co., 8.700%, 6/15/2038		109,539
70,000	IPALCO Enterprises, Inc., 144A, 7.250%, 4/01/2016		70,175
955,000,000	JPMorgan Chase Bank NA, EMTN, 144A, Zero Coupon, 10/17/2011, (IDR)		88,832
150,000	Kraft Foods, Inc., 6.250%, 3/20/2015, (EUR)		235,837
100,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		127,659
95,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		160,262
75,000	Motorola, Inc., 6.625%, 11/15/2037		65,250
95,000	New Albertson’s, Inc., 8.000%, 5/01/2031		86,213
5,000	New Albertson’s, Inc., 8.700%, 5/01/2030		4,850
50,000	Owens Brockway Glass Container, Inc., 6.750%, 12/01/2014, (EUR)		69,886
95,000	Qwest Corp., 6.875%, 9/15/2033		83,600


Principal Amount (‡)	Description	Value (†)
	United States — continued
$70,000	SLM Corp., Series A, MTN, 4.500%, 7/26/2010	$	69,749
84,000	Sprint Capital Corp., 8.375%, 3/15/2012		86,940
100,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		135,417
240,000	U.S. Treasury Note, 0.750%, 11/30/2011		238,434
50,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		70,081

			2,761,016

	Total Non-Convertible Bonds (Identified Cost $29,893,882)		30,141,324

Convertible Bonds — 0.1%
	United States — 0.1%
50,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(d) (Identified Cost $34,855)		42,688

	Total Bonds and Notes (Identified Cost $29,928,737)		30,184,012

Short-Term Investments — 1.7%
566,529	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $566,529 on 1/04/2010, collateralized by $580,000 Federal Home Loan Mortgage Corp., 2.000% due 12/28/2012 valued at $578,550 including accrued interest(e) (Identified Cost $566,529)		566,529

	Total Investments — 94.1% (Identified Cost $30,495,266)(a)		30,750,541
	Other assets less liabilities—5.9%		1,923,186

	Net Assets — 100.0%	$	32,673,727

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

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

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional size-trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

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

(†††)

Security held in units. One unit represents a principal amount of 1,000. Amount shown represents principal amount including inflation adjustments.

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

At December 31, 2009, the net unrealized appreciation on investments based on a cost of $30,569,142 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	$	774,996
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(593,597	)

Net unrealized appreciation	$	181,399

At September 30, 2009 post-October capital loss deferrals were $45,041. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	All or a portion of this security is held as collateral for open forward foreign currency contracts.

(c)	Variable rate security. Rate as of December 31, 2009 is disclosed.

(d)	Step Bond: Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

(e)

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 December 31, 2009, the value of these securities amounted to $1,320,207 or 4.0% of net assets.

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

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

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

EUR

Euro

GBP	British Pound

IDR	Indonesian Rupiah

JPY	Japanese Yen

MXN	Mexican Peso

NOK	Norwegian Krone

SEK	Swedish Krona

SGD	Singapore Dollar

Forward Foreign Currency Contracts

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

At December 31, 2009, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date	Currency	Units	Notional Value		Unrealized Depreciation
Buy¹	11/16/2010	Chinese Renminbi	1,800,000	$	265,512	$	(7,547	)
Buy²	3/17/2010	Euro	580,000		831,366		(41,476	)
Buy³	1/06/2010	Japanese Yen	17,238,111		185,088		(2,264	)
Buy⁴	3/17/2010	Japanese Yen	100,300,000		1,077,323		(61,079	)
Buy⁵	3/15/2010	South Korean Won	355,000,000		304,150		(1,318	)
Buy⁶	3/15/2010	South Korean Won	720,000,000		616,867		(1,849	)

Total						$	(115,533	)

¹	Counterparty is Morgan Stanley.

²	Counterparty is Credit Suisse.

³	Counterparty is State Street Bank and Trust.

⁴	Counterparty is JPMorgan Chase.

⁵	Counterparty is UBS.

⁶	Counterparty is Barclays Bank PLC.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2009, at value:

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2009:

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the fund.

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

Industry Summary at December 31, 2009 (Unaudited)


Treasuries	49.3	%
Banking	7.8
Supranational	4.9
Sovereigns	4.3
Government Agencies	2.8
Government Guaranteed	2.7
Electric	2.0
Other Investments, less than 2% each	18.6
Short-Term Investments	1.7

Total Investments	94.1
Other assets less liabilities (including open Forward Foreign Currency Contracts)	5.9

Net Assets	100.0	%

Currency Exposure at December 31, 2009 as a Percentage of Net Assets (Unaudited)


Euro	43.3	%
Japanese Yen	20.1
British Pound	9.2
United States Dollar	8.7
Canadian Dollar	4.2
Norwegian Krone	3.6
Other, less than 2% each	5.0

Total Investments	94.1
Other assets less liabilities (including open Forward Foreign Currency Contracts)	5.9

Net Assets	100.0	%


Principal Amount (‡)	Description	Value (†)
Bonds and Notes – 98.2% of Net Assets
Non-Convertible Bonds – 95.0%
	ABS Car Loan – 0.7%
$8,255,000	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.373%, 8/20/2013, 144A(b)	$	7,616,389
23,869,740	Capital One Auto Finance Trust, Series 2006-C, Class A4, 0.263%, 5/15/2013(b)		23,579,773
19,025,000	Chesapeake Funding LLC, Series 2009-2A, Class B, 1.983%, 9/15/2021, 144A(b)		16,840,068
17,100,000	Chesapeake Funding LLC, Series 2009-2A, Class C, 1.983%, 9/15/2021, 144A(b)		14,474,199
7,199,000	Merrill Auto Trust Securitization Asset, Series 2008-1, Class B, 6.750%, 4/15/2015		7,240,624

			69,751,053

	ABS Credit Card – 1.7%
9,995,000	American Express Issuance Trust, Series 2005-2, Class A, 0.303%, 8/15/2013(b)		9,818,180
24,955,000	Capital One Multi-Asset Execution Trust, Series 2005-A10, Class A, 0.313%, 9/15/2015(b)		24,474,462
2,550,000	Capital One Multi-Asset Execution Trust, Series 2006-C2, Class C, 0.533%, 6/16/2014(b)		2,414,126
29,215,000	Chase Issuance Trust, Series 2007-B1, Class B1, 0.483%, 4/15/2019(b)		25,261,504
4,000,000	Citibank Credit Card Issuance Trust, Series 2008-A1, Class A1, 5.350%, 2/07/2020		4,238,388
29,395,000	Citibank Credit Card Issuance Trust, Series 2008-C6, Class C6, 6.300%, 6/20/2014		30,347,859
19,600,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		19,321,029
10,000,000	MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 7/15/2014		10,258,762
14,780,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		14,073,531
19,060,000	MBNA Credit Card Master Note Trust, Series 2005-B2, Class B, 0.413%, 12/17/2012(b)		18,912,826

			159,120,667

	ABS Other – 2.5%
16,965,000	CIT Equipment Collateral, Series 2008-VT1, Class A3, 6.590%, 12/22/2014		17,411,604
1,700,000	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		1,522,129
74,834,465	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		74,351,565


Principal Amount (‡)	Description	Value (†)
	ABS Other – continued
$31,923,388	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A	$	31,872,448
70,000,000	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		70,000,000
46,013,837	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		44,500,980

			239,658,726

	Airlines – 2.9%
17,345,000	American Airlines, Inc., Pass Through Trust, Series 2009-1A, 10.375%, 7/02/2019		19,166,225
30,000,000	Continental Airlines, Inc., 9.000%, 7/08/2016		31,800,000
659,643	Continental Airlines, Inc., Series 1997-1, Class A, 7.461%, 10/01/2016		626,661
1,044,000	Continental Airlines, Inc., Series 1998-1, Class A, 6.648%, 3/15/2019		1,007,460
10,689,316	Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048%, 5/01/2022		10,502,253
1,853,823	Continental Airlines, Inc., Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,788,939
2,661,607	Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703%, 12/15/2022		2,480,058
49,881,000	Continental Airlines, Inc., Series 2007-1, Class A, 5.983%, 4/19/2022		48,135,165
12,208,000	Continental Airlines, Inc., Series 2007-1, Class B, 6.903%, 4/19/2022		10,620,960
1,268,346	Continental Airlines, Inc., Series 991A, Class B, 6.545%, 8/02/2020		1,242,979
22,105,000	Continental Airlines, Inc., Series A, 7.250%, 11/10/2019		22,491,838
4,300,000	Delta Air Lines, Inc., Series 2001-1, Class A-2, 7.111%, 3/18/2013		4,337,625
2,255,782	Delta Air Lines, Inc., Series 2007-1, Class A, 6.821%, 2/10/2024		2,154,272
17,945,178	Delta Air Lines, Inc., Series 2007-1, Class B, 8.021%, 2/10/2024		15,746,894
41,530,000	Delta Air Lines, Inc., Series A, 7.750%, 12/17/2019		42,360,600
5,000,000	Delta Air Lines, Inc., Series B, 9.750%, 12/17/2016		5,087,500
10,186,641	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 11/01/2017		8,490,871
8,115,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		8,186,315

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Airlines – continued
$	8,230,000	United Air Lines, Inc., 10.400%, 5/01/2018	$	8,672,363
	28,727,526	United Air Lines, Inc., Series 2007-1, Class A, 6.636%, 1/02/2024		24,418,397

				269,317,375

		Automotive – 0.5%
	33,885,000	Cummins, Inc., 5.650%, 3/01/2098		21,132,041
	5,389,000	Cummins, Inc., 6.750%, 2/15/2027		5,182,736
	665,000	Cummins, Inc., 7.125%, 3/01/2028		655,933
	1,990,000	Ford Motor Co., 6.375%, 2/01/2029		1,537,275
	130,000	Ford Motor Co., 6.500%, 8/01/2018		109,688
	260,000	Ford Motor Co., 6.625%, 2/15/2028		200,850
	5,185,000	Ford Motor Co., 6.625%, 10/01/2028		4,005,412
	8,730,000	Ford Motor Co., 7.450%, 7/16/2031		7,715,137
	245,000	Ford Motor Co., 7.500%, 8/01/2026		192,938
	345,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		344,480
	2,215,000	Ford Motor Credit Co. LLC, 7.250%, 10/25/2011		2,236,911
	4,640,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		4,646,167
	935,000	Ford Motor Credit Co. LLC, 8.625%, 11/01/2010		962,720
	2,135,000	Ford Motor Credit Co. LLC, 9.750%, 9/15/2010		2,202,998

				51,125,286

		Banking – 8.8%
	47,100,000	AgriBank FCB, 9.125%, 7/15/2019(c)		51,760,639
	7,450,000	American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017		7,720,107
	36,659,000	Associates Corp. of North America, 6.950%, 11/01/2018		37,066,025
	2,595,000	BAC Capital Trust VI, 5.625%, 3/08/2035		2,077,160
	3,690,000	Bank of America Corp., 5.420%, 3/15/2017		3,642,406
	10,020,000	Bank of America Corp., 6.000%, 9/01/2017		10,399,999
	22,000,000	Bank of America NA, 5.300%, 3/15/2017		21,561,980
	3,120,000,000	Barclays Financial LLC, 4.060%, 9/16/2010, (KRW), 144A		2,676,916
	180,000,000	Barclays Financial LLC, 4.160%, 2/22/2010, (THB), 144A		5,429,359
	3,500,000,000	Barclays Financial LLC, 4.460%, 9/23/2010, (KRW), 144A		3,011,029
	52,000,000	Barclays Financial LLC, EMTN, 4.100%, 3/22/2010, (THB), 144A		1,573,806
	2,220,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		2,138,517


Principal Amount (‡)		Description	Value (†)
		Banking – continued
$	975,000	Bear Stearns Cos., Inc. (The), 5.300%, 10/30/2015	$	1,031,218
	2,150,000	Bear Stearns Cos., Inc. (The), 6.400%, 10/02/2017		2,343,674
	12,745,000	Bear Stearns Cos., Inc. (The), 7.250%, 2/01/2018		14,629,387
	16,371,250,000	BNP Paribas SA, EMTN, Zero Coupon, 6/13/2011, (IDR), 144A		1,544,944
	19,200,000	Capital One Financial Corp., 6.150%, 9/01/2016		19,286,688
	9,860,000	Citibank NA, 15.000%, 7/02/2010, (BRL), 144A		5,827,651
	10,400,000	Citigroup, Inc., 5.000%, 9/15/2014		10,025,850
	1,325,000	Citigroup, Inc., 5.850%, 12/11/2034		1,169,005
	2,800,000	Citigroup, Inc., 5.875%, 2/22/2033		2,361,926
	5,670,000	Citigroup, Inc., 5.875%, 5/29/2037		4,996,319
	20,308,000	Citigroup, Inc., 6.125%, 5/15/2018		20,417,826
	2,225,000	Citigroup, Inc., 6.125%, 8/25/2036		1,908,147
	74,265,000	Citigroup, Inc., 6.375%, 8/12/2014		77,748,548
	2,450,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		3,021,470
	80,235,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		81,240,425
	6,790,000	Goldman Sachs Group, Inc. (The), 6.150%, 4/01/2018		7,268,688
	1,200,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		1,181,936
	99,020,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		101,781,371
	700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		628,399
	18,000,000	JPMorgan Chase & Co., Zero Coupon, 5/17/2010, (BRL), 144A		9,893,280
	17,920,000,000	JPMorgan Chase & Co., Zero Coupon, 3/28/2011, (IDR), 144A		1,739,356
	68,827,366,920	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, (IDR), 144A		6,022,669
	22,683,264,000	JPMorgan Chase & Co., EMTN, Zero Coupon, 3/28/2011, (IDR), 144A		2,201,689
	344,497,150,000	JPMorgan Chase Bank NA, EMTN, Zero Coupon, 10/17/2011, (IDR), 144A		32,044,285
	24,124,936,500	JPMorgan Chase London, EMTN, Zero Coupon, 10/21/2010, (IDR), 144A		2,427,387
	100,000	Keybank NA, 6.950%, 2/01/2028		84,843
	30,000,000	Kreditanstalt fuer Wiederaufbau, EMTN, 10.750%, 2/01/2010, (ISK)		143,100
	2,245,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		2,200,486
	70,800,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		65,272,078

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	Banking – continued
10,000,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)	$	5,456,634
3,200,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		4,085,099
11,895,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		12,816,125
41,000,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		36,803,650
2,710,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		2,851,944
51,525,000	Morgan Stanley, 4.750%, 4/01/2014		51,821,114
1,510,000	Morgan Stanley, EMTN, 5.450%, 1/09/2017		1,526,181
2,850,000	Morgan Stanley, GMTN, 5.125%, 11/30/2015, (GBP)		4,600,869
5,300,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		5,730,190
17,500,000	Morgan Stanley, Series F, MTN, 5.550%, 4/27/2017		17,577,473
4,400,000	Morgan Stanley, Series F, MTN, 5.625%, 9/23/2019		4,432,164
9,910,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		10,221,570
2,875,000	National City Bank of Indiana, 4.250%, 7/01/2018		2,624,717
1,325,000	National City Bank, MTN, 5.800%, 6/07/2017		1,324,850
9,826,000	National City Corp., 6.875%, 5/15/2019		10,400,831
3,400,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		3,515,974
18,250,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A		19,496,220

			824,786,193

	Brokerage – 0.6%
54,955,000	Jefferies Group, Inc., 8.500%, 7/15/2019		60,072,904

	Building Materials – 0.9%
4,335,000	Masco Corp., 0.554%, 3/12/2010(b)		4,317,326
6,785,000	Masco Corp., 4.800%, 6/15/2015		6,237,179
11,180,000	Masco Corp., 5.850%, 3/15/2017		10,402,520
6,760,000	Masco Corp., 6.125%, 10/03/2016		6,441,881
790,000	Masco Corp., 6.500%, 8/15/2032		672,285
1,505,000	Masco Corp., 7.750%, 8/01/2029		1,400,574
23,925,000	Owens Corning, Inc., 6.500%, 12/01/2016		24,500,947
27,323,000	Owens Corning, Inc., 7.000%, 12/01/2036		25,482,550
1,060,000	USG Corp., 6.300%, 11/15/2016		948,700

			80,403,962


Principal Amount (‡)		Description	Value (†)
		Chemicals – 1.8%
$	35,520,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A	$	41,805,157
	3,545,000	Cytec Industries, Inc., 6.000%, 10/01/2015		3,737,210
	17,625,000	Cytec Industries, Inc., 8.950%, 7/01/2017		20,905,295
	25,165,000	Lubrizol Corp., 6.500%, 10/01/2034		25,724,770
	2,400,000	Methanex Corp., 6.000%, 8/15/2015		2,047,147
	68,560,000	PPG Industries, Inc., 6.650%, 3/15/2018		74,630,851

				168,850,430

		Collateralized Mortgage Obligations – 0.0%
	1,514,795	CS First Boston Mortgage Securities Corp., Series 2005-7, Class 3A1, 5.000%, 8/25/2020		1,476,925
	119,083	Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12, Class 1A1, 6.022%, 9/25/2036(b)		93,070

				1,569,995

		Commercial Mortgage-Backed Securities – 2.6%
	2,990,764	Bank of America-First Union NB Commercial Mortgage, Series 2001-3, Class A2, 5.464%, 4/11/2037		3,105,036
	8,100,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		6,990,089
	62,975,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.723%, 6/15/2039(b)		50,369,767
	35,130,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.808%, 9/15/2039(b)		28,334,442
	5,110,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		4,076,917
	24,057,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		21,354,530
	15,360,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		13,571,247
	20,220,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class A4, 5.475%, 4/15/2043		19,456,026
	8,930,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A4, 5.874%, 4/15/2045(b)		8,605,302
	60,634,099	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.818%, 6/15/2049(b)		52,803,272

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Commercial Mortgage-Backed Securities – continued
$	21,993,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049	$	18,552,329
	3,200,000	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.882%, 6/15/2038(b)		3,029,242
	1,340,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,090,066
	12,700,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.280%, 1/11/2043(b)		12,697,699
	3,700,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		3,471,892

				247,507,856

		Construction Machinery – 0.3%
	25,000,000	Case New Holland, Inc., 7.750%, 9/01/2013, 144A		25,562,500
	6,935,000	Toro Co., 6.625%, 5/01/2037(c)		5,598,417

				31,160,917

		Consumer Cyclical Services – 0.9%
	15,350,000	Western Union Co. (The), 5.930%, 10/01/2016		16,558,398
	19,330,000	Western Union Co. (The), 6.200%, 11/17/2036		19,228,054
	40,000,000	Western Union Co. (The), 6.500%, 2/26/2014		44,470,200

				80,256,652

		Consumer Products – 0.4%
	7,620,000	Hasbro, Inc., 6.600%, 7/15/2028		6,946,217
	10,480,000	Koninklijke (Royal) Philips Electronics N.V., 6.875%, 3/11/2038		11,888,428
	12,010,000	Snap-on, Inc., 6.700%, 3/01/2019		12,750,584
	1,335,000	Whirlpool Corp., MTN, 8.000%, 5/01/2012		1,446,343
	800,000	Whirlpool Corp., MTN, 8.600%, 5/01/2014		905,809

				33,937,381

		Distributors – 0.9%
	10,000,000	EQT Corp., 8.125%, 6/01/2019		11,553,730
	61,345,000	Equitable Resources, Inc., 6.500%, 4/01/2018		62,935,737
	5,865,000	ONEOK, Inc., 6.000%, 6/15/2035		5,473,951

				79,963,418

		Diversified Manufacturing – 0.9%
	1,425,000	Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018		1,579,464
	2,875,000	Textron Financial Corp., 5.400%, 4/28/2013		2,873,637


Principal Amount (‡)		Description	Value (†)
		Diversified Manufacturing – continued
$	1,207,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014	$	1,141,285
	19,200,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		26,000,146
	22,055,000	Textron, Inc., 6.200%, 3/15/2015		22,955,440
	14,885,000	Textron, Inc., 7.250%, 10/01/2019		15,407,017
	10,975,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		15,478,182

				85,435,171

		Electric – 3.2%
	40,400,000	AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018		41,872,863
	500,000	Baltimore Gas & Electric Co., 5.200%, 6/15/2033		436,327
	12,021,175	Bruce Mansfield Unit, 6.850%, 6/01/2034(c)		11,311,204
	17,815,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		18,137,434
	26,290,000	Cleveland Electric Illuminating Co. (The), 5.950%, 12/15/2036		24,489,529
	895,000	Commonwealth Edison Co., 4.700%, 4/15/2015		926,934
	5,500,000	Empresa Nacional de Electricidad SA (Endesa-Chile), 7.875%, 2/01/2027		6,126,422
	1,000,000	Empresa Nacional de Electricidad SA (Endesa-Chile), 8.350%, 8/01/2013		1,157,627
	3,681,000	Exelon Corp., 4.900%, 6/15/2015		3,797,323
	47,570,000	Illinois Power Co., 6.250%, 4/01/2018		50,409,786
	1,905,000	ITC Holdings Corp., 5.875%, 9/30/2016, 144A		1,923,974
	2,830,000	ITC Holdings Corp., 6.375%, 9/30/2036, 144A		2,619,974
	9,305,213	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A		9,126,180
	1,500,000	MidAmerican Energy Holdings Co., 5.875%, 10/01/2012		1,633,638
	14,090,000	NiSource Finance Corp., 6.125%, 3/01/2022		14,379,535
	24,635,000	NiSource Finance Corp., 6.400%, 3/15/2018		25,604,732
	22,085,000	NiSource Finance Corp., 6.800%, 1/15/2019		23,618,737
	1,565,000	Ohio Edison Co., 6.875%, 7/15/2036		1,671,591
	34,000	Quezon Power Philippines Co., 8.860%, 6/15/2017		31,620
	51,115,000	Southwestern Electric Power Co., 6.450%, 1/15/2019		54,746,210
	500,000	SP Powerassets Ltd., EMTN, 3.730%, 10/22/2010, (SGD)		362,818
	7,265,000	Toledo Edison Co., 6.150%, 5/15/2037		7,178,089

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Electric – continued
$	1,075,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)	$	902,795
	1,600,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		1,103,163

				303,568,505

		Entertainment – 0.2%
	4,300,000	Time Warner, Inc., 6.625%, 5/15/2029		4,483,614
	755,000	Time Warner, Inc., 6.950%, 1/15/2028		812,422
	505,000	Time Warner, Inc., 7.625%, 4/15/2031		586,622
	330,000	Time Warner, Inc., 7.700%, 5/01/2032		387,531
	3,695,000	Viacom, Inc., 6.125%, 10/05/2017		3,985,275
	2,655,000	Viacom, Inc., 6.250%, 4/30/2016		2,893,637
	2,887,000	Viacom, Inc., Class B, 6.875%, 4/30/2036		3,121,730

				16,270,831

		Financial Other – 0.8%
	45,970,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(c)		44,988,770
	27,500,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		28,626,483

				73,615,253

		Food & Beverage – 0.6%
	24,287,000	Anheuser-Busch Cos., Inc., 5.375%, 11/15/2014, 144A		25,714,007
	6,845,000	Anheuser-Busch Cos., Inc., 5.950%, 1/15/2033		6,702,165
	2,500,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		3,488,870
	1,525,000	Cia Brasileira de Bebidas, 8.750%, 9/15/2013		1,769,000
	8,630,000	Corn Products International, Inc., 6.625%, 4/15/2037		8,098,142
	12,870,000	Kraft Foods, Inc., 6.500%, 11/01/2031		12,928,250

				58,700,434

		Government Owned - No Guarantee – 4.8%
	3,820,000	Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A		3,469,962
	37,780,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		38,516,937
	56,020,000	DP World Ltd., 6.850%, 7/02/2037, 144A		43,091,816
	101,460,000	Federal Home Loan Mortgage Corp., 2.125%, 9/21/2012		102,539,129
	135,280,000	Federal National Mortgage Association, 1.375%, 4/28/2011		136,274,849
	67,635,000	Federal National Mortgage Association, 1.750%, 8/10/2012		67,621,405
	42,085,000	Federal National Mortgage Association, 1.875%, 4/20/2012		42,523,273
	15,500,000	Korea Gas Corp., 6.000%, 7/15/2014, 144A		16,776,007


Principal Amount (‡)		Description	Value (†)
		Government Owned - No Guarantee – continued
$	1,000,000	Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A	$	1,177,741

				451,991,119

		Government Sponsored – 0.9%
	67,635,000	Federal Home Loan Bank, 1.625%, 9/26/2012		67,362,566
	24,230,000	Queensland Treasury Corp., 7.125%, 9/18/2017, (NZD), 144A		18,318,726

				85,681,292

		Health Insurance – 0.8%
	5,455,000	CIGNA Corp., 6.150%, 11/15/2036		4,873,077
	1,355,000	CIGNA Corp., 6.350%, 3/15/2018		1,364,104
	1,603,000	CIGNA Corp., 7.875%, 5/15/2027		1,638,077
	3,650,000	CIGNA Corp., 8.500%, 5/01/2019		4,147,422
	1,200,000	CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d)		1,264,863
	24,830,000	UnitedHealth Group, Inc., 5.800%, 3/15/2036		22,253,689
	565,000	UnitedHealth Group, Inc., 6.500%, 6/15/2037		557,145
	4,556,000	UnitedHealth Group, Inc., 6.625%, 11/15/2037		4,564,151
	2,567,000	UnitedHealth Group, Inc., 6.875%, 2/15/2038		2,634,538
	27,070,000	WellPoint, Inc., 6.375%, 6/15/2037		27,545,809

				70,842,875

		Healthcare – 1.6%
	7,860,000	Boston Scientific Corp., 6.000%, 1/15/2020		8,031,167
	7,535,000	Covidien International Finance SA, 6.000%, 10/15/2017		8,144,273
	17,795,000	Express Scripts, Inc., 6.250%, 6/15/2014		19,416,658
	10,730,000	Express Scripts, Inc., 7.250%, 6/15/2019		12,191,254
	9,480,000	HCA, Inc., 5.750%, 3/15/2014		8,911,200
	1,950,000	HCA, Inc., 6.250%, 2/15/2013		1,896,375
	3,930,000	HCA, Inc., 6.300%, 10/01/2012		3,930,000
	3,810,000	HCA, Inc., 6.375%, 1/15/2015		3,595,688
	4,015,000	HCA, Inc., 6.500%, 2/15/2016		3,814,250
	365,000	HCA, Inc., 6.750%, 7/15/2013		359,525
	3,000,000	HCA, Inc., 7.050%, 12/01/2027		2,572,500
	2,290,000	HCA, Inc., 7.190%, 11/15/2015		2,129,700
	2,155,000	HCA, Inc., 7.500%, 12/15/2023		1,969,118
	1,310,000	HCA, Inc., 7.500%, 11/06/2033		1,145,643

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	Healthcare – continued
$3,890,000	HCA, Inc., 7.690%, 6/15/2025	$	3,562,081
4,255,000	HCA, Inc., 8.360%, 4/15/2024		4,042,250
1,225,000	HCA, Inc., MTN, 7.580%, 9/15/2025		1,090,250
3,135,000	HCA, Inc., MTN, 7.750%, 7/15/2036		2,790,150
2,865,000	Hospira, Inc., 6.050%, 3/30/2017		2,998,552
50,540,000	Medco Health Solutions, Inc., 7.125%, 3/15/2018		56,813,985
2,305,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		2,108,333

			151,512,952

	Home Construction – 0.3%
3,685,000	D.R. Horton, Inc., 5.250%, 2/15/2015		3,463,900
2,050,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		1,947,500
2,605,000	Lennar Corp., Series B, 5.600%, 5/31/2015		2,386,831
1,870,000	Lennar Corp., Series B, 6.500%, 4/15/2016		1,720,400
2,601,000	Pulte Homes, Inc., 5.200%, 2/15/2015		2,425,433
9,400,000	Pulte Homes, Inc., 6.000%, 2/15/2035		7,426,000
3,645,000	Pulte Homes, Inc., 6.375%, 5/15/2033		2,943,337
3,605,000	Toll Brothers Finance Corp., 5.150%, 5/15/2015		3,449,473

			25,762,874

	Independent Energy – 0.9%
15,680,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		16,375,706
1,940,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		2,530,789
600,000	Questar Market Resources, Inc., 6.050%, 9/01/2016		611,291
48,640,000	Questar Market Resources, Inc., 6.800%, 4/01/2018		50,687,938
3,585,000	Talisman Energy, Inc., 5.850%, 2/01/2037		3,425,252
10,865,000	Talisman Energy, Inc., 6.250%, 2/01/2038		10,877,256

			84,508,232

	Integrated Energy – 0.3%
21,450,000	Marathon Oil Corp., 7.500%, 2/15/2019		24,755,810
1,242,691	PF Export Receivables Master Trust, Series A, 6.436%, 6/01/2015, 144A		1,261,331

			26,017,141

	Life Insurance – 0.1%
9,260,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		7,789,299
4,835,000	Unum Group, 7.125%, 9/30/2016		5,009,515

			12,798,814


Principal Amount (‡)	Description	Value (†)
	Local Authorities – 0.5%
220,000	Alberta Municipal Funding Corp., 5.700%, 9/01/2011, (CAD)	$	225,097
7,070,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		5,082,790
24,666	Province of Alberta, 5.930%, 9/16/2016, (CAD)		26,182
500,000	Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)		569,045
30,440,000	Quebec Province, Series QC, 6.750%, 11/09/2015, (NZD)		22,546,113
19,325,000	Queensland Treasury Corp., Series 11G, 6.000%, 6/14/2011, (AUD)		17,689,899

			46,139,126

	Media Cable – 1.8%
13,017,000	Comcast Corp., 5.650%, 6/15/2035		12,167,354
670,000	Comcast Corp., 6.450%, 3/15/2037		690,817
3,235,000	Comcast Corp., 6.500%, 11/15/2035		3,354,245
32,715,000	Comcast Corp., 6.950%, 8/15/2037		35,655,850
4,100,000	Cox Communications, Inc., Class A, 6.250%, 6/01/2018, 144A		4,363,983
3,750,000	Cox Communications, Inc., Class A, 6.750%, 3/15/2011		3,942,915
18,220,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		17,545,276
4,190,000	Time Warner Cable, Inc., 5.850%, 5/01/2017		4,402,324
79,880,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		87,753,212
73,560	Virgin Media Finance PLC, 9.750%, 4/15/2014, (GBP)		122,973

			169,998,949

	Media Non-Cable – 0.3%
4,580,000	News America Holdings, 8.150%, 10/17/2036		5,311,568
7,700,000	News America, Inc., 6.150%, 3/01/2037		7,660,638
4,095,000	News America, Inc., 6.200%, 12/15/2034		4,115,536
9,760,000	News America, Inc., 6.400%, 12/15/2035		10,021,949

			27,109,691

	Metals & Mining – 0.6%
5,170,000	Alcoa, Inc., 5.870%, 2/23/2022		4,800,790
5,930,000	Alcoa, Inc., 6.750%, 1/15/2028		5,726,459
3,250,000	Rio Tinto Alcan, Inc., 5.750%, 6/01/2035		3,148,642
1,500,000	Teck Cominco Ltd., 7.000%, 9/15/2012		1,584,375
1,985,000	United States Steel Corp., 6.050%, 6/01/2017		1,895,014
4,712,000	United States Steel Corp., 6.650%, 6/01/2037		3,790,719
31,890,000	United States Steel Corp., 7.000%, 2/01/2018		31,236,064

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	Metals & Mining – continued
$3,735,000	Vale Overseas Ltd., 6.875%, 11/21/2036	$	3,731,866

			55,913,929

	Mortgage Related – 0.0%
140,710	FHLMC, 5.000%, 12/01/2031		145,088
25,077	FNMA, 6.000%, 7/01/2029		26,879

			171,967

	Non-Captive Consumer – 1.7%
5,000,000	American General Finance Corp., Series I, MTN, 5.400%, 12/01/2015		3,437,560
88,895,000	American General Finance Corp., Series J, MTN, 6.900%, 12/15/2017		61,724,599
25,000,000	HSBC Finance Corp., 6.375%, 11/27/2012		27,040,500
63,775(†††)	SLM Corp., 6.000%, 12/15/2043		992,817
6,200,000	SLM Corp., EMTN, 4.750%, 3/17/2014, (EUR)		7,599,248
6,480,000	SLM Corp., MTN, 5.050%, 11/14/2014		5,844,824
355,000	SLM Corp., MTN, 5.125%, 8/27/2012		332,803
4,900,000	SLM Corp., Series A, MTN, 0.582%, 1/27/2014(b)		3,779,885
155,000	SLM Corp., Series A, MTN, 4.500%, 7/26/2010		154,445
3,450,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013		3,173,793
4,205,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		3,663,106
960,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		737,966
6,275,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		5,919,396
1,470,000	SLM Corp., Series A, MTN, 5.375%, 5/15/2014		1,355,884
300,000	SLM Corp., Series A, MTN, 5.400%, 10/25/2011		299,735
690,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		520,232
7,590,000	SLM Corp., Series A, MTN, 6.500%, 6/15/2010, (NZD)(c)		5,363,444
31,335,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		30,919,905

			162,860,142

	Non-Captive Diversified – 2.7%
4,602,472	CIT Group, Inc., 7.000%, 5/01/2013		4,291,805
6,903,711	CIT Group, Inc., 7.000%, 5/01/2014		6,411,822
6,903,710	CIT Group, Inc., 7.000%, 5/01/2015		6,178,820
11,506,193	CIT Group, Inc., 7.000%, 5/01/2016		10,125,450
16,108,672	CIT Group, Inc., 7.000%, 5/01/2017		13,974,273


Principal Amount (‡)	Description	Value (†)
	Non-Captive Diversified – continued
$36,465,000	GATX Corp., 4.750%, 10/01/2012	$	37,235,797
7,515,000	General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD)		6,987,265
7,730,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 5/15/2013, (AUD)		6,684,258
1,915,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD)		1,462,021
990,000	General Electric Capital Corp., 5.625%, 5/01/2018		1,014,494
4,775,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		4,421,091
14,535,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		10,245,732
6,200,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		4,372,601
13,400,000	General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD)		9,566,504
4,200,000	General Electric Capital Corp., Series A, GMTN, 6.625%, 2/04/2010, (NZD)		3,055,124
24,270,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		18,145,936
10,470,000	General Electric Capital Corp., Series A, MTN, 0.584%, 5/13/2024(b)		8,878,895
17,060,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		17,721,945
27,137,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		19,202,263
1,345,000	GMAC, Inc., 6.000%, 12/15/2011		1,317,000
1,310,000	GMAC, Inc., 6.625%, 5/15/2012		1,282,195
1,670,000	GMAC, Inc., 6.750%, 12/01/2014		1,586,244
1,500,000	GMAC, Inc., 6.875%, 9/15/2011		1,484,218
400,000	GMAC, Inc., 6.875%, 8/28/2012		391,424
1,210,000	GMAC, Inc., 7.000%, 2/01/2012		1,185,586
3,142,000	GMAC, Inc., 7.500%, 12/31/2013, 144A		3,032,030
5,664,000	GMAC, Inc., 8.000%, 12/31/2018, 144A		4,984,320
2,335,000	GMAC, Inc., 8.000%, 11/01/2031		2,100,853
5,045,000	GMAC, Inc., EMTN, 5.375%, 6/06/2011, (EUR)		6,852,566
380,000	GMAC, Inc., EMTN, 5.750%, 9/27/2010, (EUR)		531,130

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	Non-Captive Diversified – continued
$2,930,000	International Lease Finance Corp., 5.000%, 4/15/2010	$	2,886,018
2,285,000	International Lease Finance Corp., 5.000%, 9/15/2012		1,916,007
6,660,000	International Lease Finance Corp., 5.125%, 11/01/2010		6,394,060
16,400,000	International Lease Finance Corp., 6.375%, 3/25/2013		13,483,752
655,000	International Lease Finance Corp., Series R, MTN, 5.550%, 9/05/2012		545,413
2,755,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/15/2010		2,725,218
500,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		377,880
5,225,000	iStar Financial, Inc., 5.150%, 3/01/2012		3,187,250
1,000,000	iStar Financial, Inc., 5.375%, 4/15/2010		953,750
330,000	iStar Financial, Inc., 5.500%, 6/15/2012		198,000
3,700,000	iStar Financial, Inc., 5.650%, 9/15/2011		2,719,500
765,000	iStar Financial, Inc., 5.800%, 3/15/2011		573,750
385,000	iStar Financial, Inc., 5.850%, 3/15/2017		215,600
1,605,000	iStar Financial, Inc., 5.875%, 3/15/2016		902,812
745,000	iStar Financial, Inc., 6.050%, 4/15/2015		419,062
535,000	iStar Financial, Inc., 8.625%, 6/01/2013		342,400
335,000	iStar Financial, Inc., Series B, 5.125%, 4/01/2011		244,550
254,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		142,240
5,680,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		3,308,600

			256,259,524

	Oil Field Services – 1.7%
6,095,000	Nabors Industries, Inc., 6.150%, 2/15/2018		6,334,790
73,075,000	Nabors Industries, Inc., 9.250%, 1/15/2019		89,496,122
23,846,000	Rowan Cos., Inc., 7.875%, 8/01/2019		26,530,845
600,000	Transocean Ltd., 7.375%, 4/15/2018		683,012
5,905,000	Weatherford International Ltd., 6.500%, 8/01/2036		5,639,434
1,680,000	Weatherford International Ltd., 6.800%, 6/15/2037		1,665,465
5,405,000	Weatherford International Ltd., 7.000%, 3/15/2038		5,477,751
20,514,000	Weatherford International Ltd., 9.625%, 3/01/2019		25,574,865

			161,402,284


Principal Amount (‡)	Description	Value (†)
	Paper – 1.8%
$4,460,000	Celulosa Arauco y Constitucion SA, 7.250%, 7/29/2019	$	4,846,459
575,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		534,750
2,460,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		2,349,300
285,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		281,437
1,340,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		1,366,800
2,280,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		2,416,800
6,295,000	International Paper Co., 5.250%, 4/01/2016		6,360,216
92,495,000	International Paper Co., 7.950%, 6/15/2018		106,684,658
7,777,000	International Paper Co., 8.700%, 6/15/2038		9,465,356
4,210,000	International Paper Co., 9.375%, 5/15/2019		5,174,810
22,860,000	Weyerhaeuser Co., 6.875%, 12/15/2033		20,268,499
5,055,000	Weyerhaeuser Co., 7.375%, 3/15/2032		4,792,504

			164,541,589

	Pharmaceuticals – 1.1%
2,280,000	Elan Financial PLC, 8.875%, 12/01/2013		2,268,600
90,000,000	Roche Holdings, Inc., 5.000%, 3/01/2014, 144A		96,285,330
500,000	Schering-Plough Corp., 5.300%, 12/01/2013		549,528

			99,103,458

	Pipelines – 3.4%
5,350,000	CenterPoint Energy Resources Corp., 6.250%, 2/01/2037		5,048,528
2,010,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		1,902,015
2,470,000	El Paso Corp., 6.950%, 6/01/2028		2,118,487
1,000,000	El Paso Corp., 12.000%, 12/12/2013		1,172,500
540,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		560,098
1,605,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		1,601,790
9,455,000	Enterprise Products Operating LLP, 6.300%, 9/15/2017		10,178,525
3,400,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		3,979,479
4,390,000	Kinder Morgan Energy Partners LP, 5.800%, 3/15/2035		4,067,300
82,600,000	Kinder Morgan Energy Partners LP, 5.950%, 2/15/2018		87,491,159
310,000	Kinder Morgan Finance Co., 5.700%, 1/05/2016		297,600
32,448,172	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		35,512,577
9,080,000	NGPL PipeCo LLC, 6.514%, 12/15/2012, 144A		9,868,916
31,430,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		34,682,125

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	Pipelines – continued
$4,665,000	ONEOK Partners LP, 6.650%, 10/01/2036	$	4,757,941
10,115,000	Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017		10,695,328
48,630,000	Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018		53,698,121
1,435,000	Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019		1,657,960
2,130,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,237,273
16,025,000	Plains All American Pipeline LP, 6.500%, 5/01/2018		17,136,927
4,595,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		4,688,003
4,215,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		4,328,535
20,000,000	Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A		21,001,400

			318,682,587

	Property & Casualty Insurance – 1.0%
3,460,000	Marsh & McLennan Cos., Inc., 5.375%, 7/15/2014		3,538,597
12,652,000	Marsh & McLennan Cos., Inc., 5.750%, 9/15/2015		13,199,439
31,010,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		27,529,686
18,079,000	Marsh & McLennan Cos., Inc., 9.250%, 4/15/2019		21,935,648
965,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		414,950
2,950,000	White Mountains RE Group, 6.375%, 3/20/2017, 144A		2,768,490
4,830,000	Willis North America, Inc., 6.200%, 3/28/2017		4,788,095
13,815,000	Willis North America, Inc., 7.000%, 9/29/2019		14,067,207
2,260,000	XL Capital Ltd., 6.250%, 5/15/2027		2,055,136
1,495,000	XL Capital Ltd., 6.375%, 11/15/2024		1,397,611

			91,694,859

	Railroads – 0.4%
2,390,000	Canadian Pacific Railway Co., 5.750%, 3/15/2033		2,205,760
15,830,000	Canadian Pacific Railway Co., 5.950%, 5/15/2037		15,029,319
10,000,000	Canadian Pacific Railway Co., 7.250%, 5/15/2019		11,365,480
5,000,000	Canadian Pacific Railway Ltd., MTN, 4.900%, 6/15/2010, (CAD), 144A		4,860,735
6,869,000	CSX Corp., MTN, 6.000%, 10/01/2036		6,787,128
243,000	Missouri Pacific Railroad Co., 4.750%, 1/01/2030(c)		208,980
1,738,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		1,164,460
195,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		179,400

			41,801,262


Principal Amount (‡)	Description	Value (†)
	Refining – 0.0%
$3,740,000	Valero Energy Corp., 6.625%, 6/15/2037	$	3,509,362

	REITs – 2.6%
12,510,000	Camden Property Trust, 5.000%, 6/15/2015		12,073,514
16,850,000	Camden Property Trust, 5.700%, 5/15/2017		15,893,105
1,153,000	Colonial Realty LP, 4.800%, 4/01/2011		1,123,074
4,230,000	Duke Realty LP, 5.950%, 2/15/2017		3,936,857
20,000,000	Duke Realty LP, 6.500%, 1/15/2018		18,941,600
5,000,000	Equity One, Inc., 6.000%, 9/15/2017		4,490,550
1,010,000	ERP Operating LP, 5.125%, 3/15/2016		984,570
1,800,000	ERP Operating LP, 5.375%, 8/01/2016		1,769,693
2,420,000	ERP Operating LP, 5.750%, 6/15/2017		2,420,274
1,960,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		1,889,223
10,500,000	First Industrial LP, 5.950%, 5/15/2017		7,472,829
20,190,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		18,418,206
11,552,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		11,244,832
3,090,000	ProLogis, 5.500%, 3/01/2013		3,056,813
3,957,000	ProLogis, 5.625%, 11/15/2015		3,762,668
11,422,000	ProLogis, 5.625%, 11/15/2016		10,525,887
11,126,000	ProLogis, 5.750%, 4/01/2016		10,449,973
9,909,000	ProLogis, 6.625%, 5/15/2018		9,397,428
8,680,000	ProLogis, 7.375%, 10/30/2019		8,561,996
32,075,000	Realty Income Corp., 6.750%, 8/15/2019		31,408,321
2,480,000	Simon Property Group LP, 5.250%, 12/01/2016		2,411,862
2,040,000	Simon Property Group LP, 5.300%, 5/30/2013		2,104,882
12,475,000	Simon Property Group LP, 5.750%, 12/01/2015		12,721,406
1,930,000	Simon Property Group LP, 5.875%, 3/01/2017		1,932,706
4,155,000	Simon Property Group LP, 6.100%, 5/01/2016		4,240,348
36,980,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		39,707,016

			240,939,633

	Restaurants – 0.1%
10,545,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		9,574,607

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	Restaurants – continued
1,000,000	McDonald’s Corp., EMTN, 3.628%, 10/10/2010, (SGD)	$	724,302

			10,298,909

	Retailers – 1.0%
20,325,000	Home Depot, Inc. (The), 5.875%, 12/16/2036		19,618,849
8,170,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		8,057,662
16,260,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		14,438,880
12,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		11,895
7,385,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		7,329,612
8,845,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		7,960,500
17,730,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		14,981,850
10,695,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		8,983,800
2,750,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,420,000
8,240,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		8,373,933

			92,176,981

	Sovereigns – 2.1%
438,500(††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		3,296,728
4,200,900(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		31,000,985
380,000(††)	Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN)		3,076,426
29,165,000	New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010, (AUD)		26,802,592
31,140,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		28,538,175
18,320,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		15,912,019
24,705,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		14,190,121
6,285,000	Republic of Brazil, 12.500%, 1/05/2022, (BRL)		4,079,293
53,700,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		57,838,981
45,125,000	Republic of Iceland, Zero Coupon, 2/15/2010, (ISK)		212,923
234,380,000	Republic of Iceland, 7.000%, 3/17/2010, (ISK)		1,112,803
793,200,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		3,748,814
424,400,000	Republic of Iceland, 8.000%, 7/22/2011, (ISK)		2,034,210
1,255,237,000	Republic of Iceland, 13.750%, 12/10/2010, (ISK)		6,295,671

			198,139,741


Principal Amount (‡)	Description	Value (†)
	Supermarkets – 0.2%
$4,220,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028	$	3,439,300
3,340,000	Kroger Co., 6.400%, 8/15/2017		3,648,696
1,900,000	New Albertson’s, Inc., 7.450%, 8/01/2029		1,629,250
1,000,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		761,250
11,100,000	Safeway, Inc., 6.350%, 8/15/2017		12,148,517

			21,627,013

	Supranational – 1.2%
90,000,000	Eurofima, EMTN, 11.000%, 2/05/2010, (ISK)		429,866
196,541,400,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, (IDR), 144A		15,821,635
26,194,000	European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD)		19,890,815
336,380,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		26,051,100
418,960,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		31,367,372
13,265,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		9,448,629
15,400,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		10,563,928
429,100,000	International Bank for Reconstruction & Development, 9.500%, 5/27/2010, (ISK)		2,058,168

			115,631,513

	Technology – 3.3%
8,895,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		9,413,107
4,700,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		3,366,375
2,035,000	Arrow Electronics, Inc., 6.875%, 7/01/2013		2,219,489
1,050,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		1,099,992
9,000,000	Avnet, Inc., 5.875%, 3/15/2014		9,331,578
6,230,000	Avnet, Inc., 6.000%, 9/01/2015		6,325,630
1,540,000	Avnet, Inc., 6.625%, 9/15/2016		1,588,798
12,715,000	BMC Software, Inc., 7.250%, 6/01/2018(c)		13,847,233
13,750,000	Corning, Inc., 6.750%, 9/15/2013		14,944,737
1,480,000	Corning, Inc., 6.850%, 3/01/2029		1,478,252
58,825,000	Corning, Inc., 7.000%, 5/15/2024		61,425,241
7,650,000	Corning, Inc., 7.250%, 8/15/2036		7,794,776
56,440,000	Dun & Bradstreet Corp. (The), 6.000%, 4/01/2013		58,102,158

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	Technology – continued
$7,205,000	Equifax, Inc., 7.000%, 7/01/2037	$	7,084,165
330,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		265,650
7,965,000	Intuit, Inc., 5.750%, 3/15/2017		8,249,773
55,000,000	KLA-Tencor Corp., 6.900%, 5/01/2018		57,867,755
4,680,000	Motorola, Inc., 5.220%, 10/01/2097		2,418,179
1,730,000	Motorola, Inc., 6.500%, 9/01/2025		1,503,045
4,150,000	Motorola, Inc., 6.500%, 11/15/2028		3,569,793
7,615,000	Motorola, Inc., 6.625%, 11/15/2037		6,625,050
1,625,000	Motorola, Inc., 8.000%, 11/01/2011		1,737,918
2,628,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		2,746,959
5,725,000	Tyco Electronics Group SA, 6.550%, 10/01/2017		5,919,427
2,839,000	Xerox Capital Trust I, 8.000%, 2/01/2027		2,810,610
782,000	Xerox Corp., 5.500%, 5/15/2012		826,433
7,425,000	Xerox Corp., 6.350%, 5/15/2018		7,745,225
7,265,000	Xerox Corp., 6.750%, 2/01/2017		7,793,689

			308,101,037

	Textile – 0.2%
3,637,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023		3,350,314
15,228,000	VF Corp., 6.450%, 11/01/2037		16,020,145

			19,370,459

	Tobacco – 0.8%
46,086,000	Altria Group, Inc., 8.500%, 11/10/2013		53,258,364
4,086,000	Altria Group, Inc., 9.250%, 8/06/2019		4,979,314
2,175,000	Altria Group, Inc., 9.700%, 11/10/2018		2,688,663
8,305,000	Reynolds American, Inc., 6.750%, 6/15/2017		8,600,708
2,035,000	Reynolds American, Inc., 7.250%, 6/15/2037		2,049,404

			71,576,453

	Transportation Services – 0.7%
8,620,000	Erac USA Finance Co., 6.375%, 10/15/2017, 144A		8,706,778
2,885,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		2,549,734
52,626,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		51,510,750

			62,767,262

	Treasuries – 20.3%
154,833,000	Canadian Government, 1.000%, 9/01/2011, (CAD)		147,288,620


Principal Amount (‡)	Description	Value (†)
	Treasuries – continued
$1,265,000	Canadian Government, 1.250%, 12/01/2011, (CAD)	$	1,204,353
367,850,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		352,398,788
26,235,000	Canadian Government, 2.750%, 12/01/2010, (CAD)		25,560,719
39,109,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		38,879,772
229,170,000	Canadian Government, 3.750%, 6/01/2012, (CAD)		229,314,621
198,720,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		192,081,116
4,250,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		4,273,122
187,955,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		189,585,016
310,490,000	Canadian Government, 5.250%, 6/01/2012, (CAD)		321,153,863
9,600,000	Canadian Government, 5.500%, 6/01/2010, (CAD)		9,373,459
12,530,000	New Zealand Government, 6.000%, 12/15/2017, (NZD)		9,194,382
742,220,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		130,307,696
120,965,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		22,148,746
199,940,000	Norwegian Government, 6.000%, 5/16/2011, (NOK)		36,178,994
142,485,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		27,194,903
25,000,000	U.S. Treasury Bond, 4.375%, 11/15/2039		23,929,700
75,000,000	U.S. Treasury Note, 1.000%, 8/31/2011		75,038,100
80,000,000	U.S. Treasury Note, 3.125%, 5/15/2019		75,762,480

			1,910,868,450

	Wireless – 0.8%
32,100,000	Cellco Partnership/Verizon Wireless Capital LLC, 8.500%, 11/15/2018		39,816,262
8,650,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		8,412,125
1,220,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		1,183,400
15,710,000	Nextel Communications, Inc., Series F, 5.950%, 3/15/2014		14,669,212
6,512,000	Sprint Capital Corp., 6.875%, 11/15/2028		5,413,100
1,800,000	Sprint Capital Corp., 6.900%, 5/01/2019		1,656,000
625,000	Sprint Capital Corp., 8.750%, 3/15/2032		589,063
93,000	Sprint Nextel Corp., 6.000%, 12/01/2016		84,863
775,000	True Move Co. Ltd., 10.750%, 12/16/2013, 144A		747,875
1,654,000	Vodafone Group PLC, 5.000%, 9/15/2015		1,733,665

			74,305,565

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	Wirelines – 3.8%
$19,610,000	AT&T Corp., 6.500%, 3/15/2029	$	19,520,402
3,655,000	AT&T, Inc., 6.500%, 9/01/2037		3,788,408
415,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		422,496
3,250,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		2,888,098
1,915,000	BellSouth Corp., 6.000%, 11/15/2034		1,868,720
3,000,000	BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		2,568,975
6,810,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		6,675,210
134,165,000	Deutsche Telekom International Finance BV, 6.000%, 7/08/2019		143,244,080
3,350,000	GTE Corp., 6.940%, 4/15/2028		3,436,748
65,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		59,313
560,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		529,200
2,700,000	New England Telephone & Telegraph, 7.875%, 11/15/2029		2,953,814
1,735,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,500,775
2,815,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		2,280,150
4,465,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		3,973,850
970,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		824,500
340,000	Qwest Corp., 6.500%, 6/01/2017		334,050
10,720,000	Qwest Corp., 6.875%, 9/15/2033		9,433,600
890,000	Qwest Corp., 7.200%, 11/10/2026		805,450
1,265,000	Qwest Corp., 7.250%, 9/15/2025		1,170,125
4,295,000	Qwest Corp., 7.250%, 10/15/2035		3,779,600
1,600,000	Qwest Corp., 7.500%, 6/15/2023		1,512,000
17,170,000	Telecom Italia Capital SA, 4.875%, 10/01/2010		17,573,443
11,215,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		10,605,880
4,180,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		4,121,141
1,325,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		1,513,016
4,265,000	Telefonica Europe BV, 7.750%, 9/15/2010		4,461,651
14,445,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		14,003,439
55,855,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		52,047,663
6,366,000	Verizon Communications, Inc., 5.850%, 9/15/2035		6,207,690


Principal Amount (‡)	Description	Value (†)
	Wirelines – continued
$3,676,000	Verizon Communications, Inc., 6.100%, 4/15/2018	$	3,995,477
5,674,000	Verizon Maryland, Inc., 5.125%, 6/15/2033		4,489,104
14,540,000	Verizon New England, Inc., 6.500%, 9/15/2011		15,497,561
7,047,000	Verizon New York, Inc., Series B, 7.375%, 4/01/2032		7,591,050
5,375,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		4,794,720

			360,471,399

	Total Non-Convertible Bonds (Identified Cost $8,339,857,406)		8,929,651,452

Convertible Bonds – 2.7%
	Automotive – 0.4%
35,585,000	Ford Motor Co., 4.250%, 11/15/2016		44,614,694

	Media Non-Cable – 0.0%
534,721	Liberty Media LLC, 3.500%, 1/15/2031		323,506

	Non-Captive Diversified – 0.1%
9,920,000	iStar Financial, Inc., 0.790%, 10/01/2012(b)		5,468,896

	Oil Field Services – 0.1%
505,000	Transocean, Inc., Series B, 1.500%, 12/15/2037		487,325
7,050,000	Transocean, Inc., Series C, 1.500%, 12/15/2037		6,785,625

			7,272,950

	Pharmaceuticals – 0.1%
3,997,000	Vertex Pharmaceuticals, Inc., 4.750%, 2/15/2013		7,379,461

	REITs – 0.1%
1,400,000	ERP Operating LP, 3.850%, 8/15/2026		1,386,000
10,673,000	ProLogis, 1.875%, 11/15/2037		9,445,605
4,070,000	ProLogis, 2.250%, 4/01/2037		3,774,925

			14,606,530

	Technology – 1.7%
1,405,000	Intel Corp., 2.950%, 12/15/2035		1,355,825
140,000,000	Intel Corp., 3.250%, 8/01/2039, 144A		160,825,000

			162,180,825

	Wireless – 0.1%
5,200,000	NII Holdings, Inc., 3.125%, 6/15/2012		4,771,000

	Wirelines – 0.1%
2,735,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		2,393,125
230,000	Level 3 Communications, Inc., 5.250%, 12/15/2011		218,213
2,990,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		3,386,175

			5,997,513

	Total Convertible Bonds (Identified Cost $220,862,611)		252,615,375

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
Municipals – 0.5%
	California – 0.1%
$1,305,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), 3.750%, 8/01/2028, Series C	$	1,000,400
480,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area), 3.750%, 8/01/2028, Series C, (Registered), (MBIA insured)		403,992
1,620,000	State of California, 4.500%, 8/01/2027, (AMBAC insured)		1,433,749
4,515,000	State of California, 4.500%, 10/01/2029		3,885,790
1,315,000	State of California, 4.500%, 8/01/2030, (AMBAC insured)		1,122,484
1,135,000	State of California, 4.500%, 8/01/2030		975,748
840,000	State of California (Various Purpose), 3.250%, 12/01/2027		617,408
3,965,000	State of California (Various Purpose), 4.500%, 12/01/2033, (AMBAC insured)		3,288,571

			12,728,142

	District Of Columbia – 0.2%
15,000,000	Metropolitan Washington Airports Authority, 7.462%, 10/01/2046		15,099,450

	Illinois – 0.0%
540,000	Chicago O’Hare International Airport, 4.500%, 1/01/2038, Series A, (FSA insured)		512,012

	Michigan – 0.0%
2,615,000	Michigan Tobacco Settlement Finance Authority, 7.309%, 6/01/2034(c)		2,089,437

	Nebraska – 0.0%
1,795,000	Omaha Public Power District, 4.500%, 2/01/2034, Series AA, (FGIC insured)		1,799,793

	Ohio – 0.1%
6,570,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c)		4,939,260

	Virginia – 0.1%
14,550,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		10,496,079

	Total Municipals (Identified Cost $53,890,834)		47,664,173

	Total Bonds and Notes (Identified Cost $8,614,610,851)		9,229,931,000


Principal Amount (‡)	Description	Value (†)
Short-Term Investments – 0.5%
$45,036,477	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $45,036,477 on 1/04/2010 collateralized by $29,550,000 Federal Home Loan Mortgage Corp., 2.250% due 8/17/2012 valued at $29,845,500; $15,915,000 Federal Home Loan Mortgage Corp., 2.250% due 8/24/2012 valued at $16,094,044 including accrued interest(e) (Identified Cost $45,036,477)	$	45,036,477

	Total Investments - 98.7% (Identified Cost $8,659,647,328)(a)		9,274,967,477
	Other assets less liabilities — 1.3%		124,942,613

	Net Assets — 100.0%	$	9,399,910,090

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

(†)

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)

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

(†††)

Amount shown represents units. One unit represents a principal amount of 25.

(a)	Federal Tax Information (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 December 31, 2009, the net unrealized appreciation on investments based on a cost of $8,678,432,917 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	$	713,945,336
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(117,410,776	)

Net unrealized appreciation	$	596,534,560

At September 30, 2009, the Fund had a capital loss carryforward of approximately $1,891,321 which expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $3,774,568. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of December 31, 2009 is disclosed.

(c)	Illiquid security. At December 31, 2009, the value of these securities amounted to $194,960,366 or 2.1% of net assets.

(d)	Step Bond: Coupon is a fixed rate for an initial period then resets at a specified date and rate.

(e)

144A


ABS		Asset-Backed Securities
AMBAC		American Municipal Bond Assurance Corp.
EMTN		Euro Medium Term Note
FGIC		Financial Guaranty Insurance Company
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
FSA		Financial Security Assurance, Inc.


GMTN		Global Medium Term Note
MBIA		Municipal Bond Investor Assurance Corp.
MTN		Medium Term Note
REITs		Real Estate Investment Trusts

AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
EUR		Euro
GBP		British Pound
IDR		Indonesian Rupiah
ISK		Icelandic Krona
KRW		South Korean Won
MXN		Mexican Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
SGD		Singapore Dollar
THB		Thai Baht

Fair Value Measurements

•

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

•

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

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2009, at value:

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2009:

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)

Industry Summary at December 31, 2009 (Unaudited)


Treasuries	20.3	%
Banking	8.8
Technology	5.0
Government Owned - No Guarantee	4.8
Wirelines	3.9
Pipelines	3.4
Electric	3.2
Airlines	2.9
Non-Captive Diversified	2.8
REITs	2.7
Commercial Mortgage-Backed Securities	2.6
ABS Other	2.5
Sovereigns	2.1
Other Investments, less than 2% each	33.2
Short-Term Investments	0.5

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

Currency Exposure at December 31, 2009 as a Percentage of Net Assets (Unaudited)


United States Dollar	73.3	%
Canadian Dollar	17.1
Norwegian Krone	2.3
Other, less than 2% each	6.0

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND — PORTFOLIO OF INVESTMENTS


Principal Amount		Description	Value (†)
	Bonds and Notes — 98.2% of Net Assets
		ABS Car Loan — 1.3%
$	1,025,000	Honda Auto Receivables Owner Trust, Series 2009-2, Class A3, 2.790%, 1/15/2013	$	1,045,766
	785,000	Honda Auto Receivables Owner Trust, Series 2009-3, Class A3, 2.310%, 5/15/2013		795,164
	565,000	Merrill Auto Trust Securitization, Series 2008-1, Class 3A3, 5.500%, 3/15/2012		583,213
	429,000	USAA Auto Owner Trust, Series 2008-3, Class A3, 4.280%, 10/15/2012		440,337

				2,864,480

		ABS Credit Card — 1.7%
	985,000	American Express Credit Account Master, Series 2004-2 Class A, 0.403%, 12/15/2016(b)		957,332
	1,500,000	Citibank Credit Card Issuance Trust, Series 2006-A8, Class A8, 0.324%, 12/17/2018(b)		1,410,831
	1,400,000	Discover Card Master Trust I, Series 2007-3, Class A2, 0.283%, 10/16/2014(b)		1,373,362

				3,741,525

		ABS Home Equity — 0.9%
	893,366	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		670,415
	627,656	Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 5.700%, 1/25/2028		580,264
	660,000	Residential Funding Mortgage Securities II, Series 2005- HI3, Class A4, 5.490%, 9/25/2035		606,019

				1,856,698

		ABS Other — 0.3%
	700,000	John Deere Owner Trust, Series 2009-A, Class A3, 2.590%, 10/15/2013		711,474
		Collateralized Mortgage Obligations — 0.4%
	719,293	Federal Home Loan Mortgage Corp., Series 2901, Class UA 5.000%, 1/15/2030		753,106
	74,305	Federal Home Loan Mortgage Corp., Series 3145, Class KA, 5.000%, 8/15/2024		76,440

				829,546

		Commercial Mortgage-Backed Securities — 13.2%
	1,005,000	Banc of America Commercial Mortgage, Inc., Series 2007-2, Class A2, 5.634%, 4/10/2049		1,003,042


Principal Amount		Description	Value (†)
		Commercial Mortgage-Backed Securities — continued
$	1,500,000	Banc of America Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051	$	1,265,445
	2,000,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		1,725,948
	360,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		334,308
	1,400,000	Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.095%, 12/10/2049(b)		1,257,121
	1,025,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A4, 5.363%, 1/15/2046(b)		979,764
	790,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B, 5.205%, 12/11/2049		807,133
	1,400,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.767%, 6/10/2046(b)		1,372,824
	2,670,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, 5.826%, 6/15/2038(b)		2,294,501
	1,610,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.723%, 6/15/2039(b)		1,287,738
	2,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.808%, 9/15/2039(b)		1,613,119
	1,500,000	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.883%, 7/10/2038(b)		1,367,613
	425,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A2, 5.381%, 3/10/2039		430,546
	1,860,000	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A4, 5.553%, 4/10/2038		1,696,345
	1,140,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		998,120
	1,685,000	JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		1,467,915
	724,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		588,961
	1,720,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		1,449,331

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount		Description	Value (†)
		Commercial Mortgage-Backed Securities — continued
$	815,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A4, 5.418%, 1/15/2045	$	780,677
	1,410,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048		1,305,141
	4,675,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		4,386,783

				28,412,375

		Government Guaranteed — 12.8%
	7,000,000	Citigroup Funding, Inc., 0.334%, 7/12/2012 (FDIC insured)(b)		7,009,261
	3,000,000	Citigroup Funding, Inc., Series D, MTN, 0.611%, 4/30/2012 (FDIC insured)(b)		3,027,564
	9,240,000	General Electric Capital Corp., 0.253%, 12/21/2012 (FDIC insured)(b)		9,243,483
	4,175,000	GMAC, Inc., 1.750%, 10/30/2012 (FDIC insured)		4,147,821
	2,340,000	US Central Federal Credit Union, 1.900%, 10/19/2012		2,338,170
	1,800,000	West Corp. Federal Credit Union, 1.750%, 11/02/2012		1,791,918

				27,558,217

		Government Owned - No Guarantee — 11.1%
	7,600,000	Federal Home Loan Mortgage Corp., 1.125%, 12/15/2011		7,576,387
	6,000,000	Federal Home Loan Mortgage Corp., 2.125%, 3/23/2012		6,091,950
	1,600,000	Federal Home Loan Mortgage Corp., 4.125%, 10/18/2010		1,644,826
	5,000,000	Federal National Mortgage Association, 1.750%, 3/23/2011		5,061,100
	3,420,000	Federal National Mortgage Association, 2.000%, 1/09/2012		3,469,737

				23,844,000

		Government Sponsored — 7.7%
	6,800,000	Federal Home Loan Bank, 1.125%, 6/03/2011		6,822,250
	5,000,000	Federal Home Loan Bank, 1.625%, 7/27/2011		5,047,805
	3,000,000	Federal Home Loan Bank, 3.375%, 10/20/2010		3,066,840
	1,700,000	Federal Home Loan Bank, 3.625%, 9/16/2011		1,773,766

				16,710,661

		Hybrid ARMs — 1.6%
	2,077,263	FNMA, 6.012%, 2/01/2037(b)		2,204,652
	35,425	JPMorgan Mortgage Trust, Series 2006-A7, Class 1A3, 3.749%, 1/25/2037(b)		34,719


Principal Amount		Description	Value (†)
		Hybrid ARMs — continued
$	1,631,592	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.586%, 7/25/2035(b)	$	1,293,984

				3,533,355

		Mortgage Related — 25.3%
	702,203	FHLMC, 4.500%, 5/01/2034		704,690
	3,326,879	FHLMC, 5.500%, 10/01/2023		3,524,318
	4,396,430	FHLMC 6.000%, with various maturities from 2019 to 2021(c)		4,702,838
	6,442,009	FHLMC 6.500%, with various maturities from 2014 to 2034(c)		6,926,856
	162,362	FHLMC, 7.000%, 2/01/2016		175,600
	17,088	FHLMC 7.500%, with various maturities from 2012 to 2026(c)		18,326
	11,533	FHLMC, 8.000%, 9/01/2015		12,584
	4,373	FHLMC, 10.000%, 7/01/2019		4,909
	128,906	FHLMC 11.500%, with various maturities from 2015 to 2020(c)		139,291
	9,155,433	FNMA 4.000%, with various maturities from 2018 to 2019(c)		9,373,706
	812,384	FNMA, 4.500%, 9/01/2019		844,718
	1,555,602	FNMA 5.500%, with various maturities from 2017 to 2033(c)		1,641,454
	18,487,591	FNMA 6.000%, with various maturities from 2017 to 2022(c)		19,770,554
	4,922,719	FNMA 6.500%, with various maturities from 2017 to 2037(c)		5,289,705
	186,809	FNMA, 7.000%, 12/01/2022		203,828
	400,463	FNMA 7.500%, with various maturities from 2015 to 2032(c)		448,494
	56,126	FNMA 8.000%, with various maturities from 2015 to 2016(c)		61,329
	87,396	GNMA, 6.000%, 12/15/2031		93,363
	315,271	GNMA, 6.500%, 5/15/2031		340,849
	287,946	GNMA, 7.000%, 10/15/2028		320,373
	2,270	GNMA, 12.500%, 6/15/2014		2,572

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount		Description	Value (†)
		Mortgage Related — continued
$	38,188	GNMA 16.000%, with various maturities from 2011 to 2012(c)	$	42,801
	12,196	GNMA 17.000%, with various maturities in 2011(c)		13,427

				54,656,585

		Treasuries — 21.9%
	16,000,000	U.S. Treasury Note, 0.875%, 5/31/2011		16,019,376
	22,950,000	U.S. Treasury Note, 1.000%, 9/30/2011		22,943,735
	5,285,000	U.S. Treasury Note, 1.500%, 10/31/2010		5,331,656
	3,000,000	U.S. Treasury Note, 2.625%, 7/31/2014		3,015,000

				47,309,767

		Total Bonds and Notes (Identified Cost $206,791,686)		212,028,683

	Short-Term Investments — 2.7%
	5,690,758	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $5,690,758 on 1/04/2010, collateralized by $5,750,000 Federal Home Loan Mortgage Corp., 2.250% due 8/17/2012 valued at $5,807,500 including accrued interest(d) (Identified Cost $5,690,758)		5,690,758

		Total Investments — 100.9% (Identified Cost $212,482,444)(a)		217,719,441
		Other assets less liabilities — (0.9)%		(1,869,320	)

		Net Assets — 100.0%	$	215,850,121

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional size-trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND — PORTFOLIO OF INVESTMENTS (continued)

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At December 31, 2009, the net unrealized appreciation on investments based on a cost of $212,565,876 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	$	6,138,325
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(984,760	)

Net unrealized appreciation	$	5,153,565

At September 30, 2009, the Fund had a capital loss carryforward of approximately $5,862,894 of which $1,425,832 expires on September 30, 2014; $4,336,746 expires on September 30, 2015 and $100,316 expires on September 30, 2016. At September 30, 2009 post-October capital loss deferrals were $83,587. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of December 31, 2009 is disclosed.

(c)

The Fund’s investment in mortgage related securities of the Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.

(d)

ABS	Asset-Backed Securities

ARM	Adjustable Rate Mortgage

FDIC	Federal Deposit Insurance Corporation

FHLMC

Federal Home Loan Mortgage Corporation

FNMA	Federal National Mortgage Association

GNMA	Government National Mortgage Association

Fair Value Measurements

•

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

•

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

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND — PORTFOLIO OF INVESTMENTS (continued)

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2009, at value:

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2009


Shares	Description	Value (†)
Common Stocks – 104.7% of Net Assets
	Aerospace & Defense – 1.5%
10,868	Precision Castparts Corp.	$	1,199,284

	Biotechnology – 3.7%
25,155	Alexion Pharmaceuticals, Inc.(b)		1,228,067
26,929	Human Genome Sciences, Inc.(b)		824,028
20,479	Vertex Pharmaceuticals, Inc.(b)		877,525

			2,929,620

	Capital Markets – 3.1%
17,405	Affiliated Managers Group, Inc.(b)		1,172,227
23,853	T. Rowe Price Group, Inc.		1,270,172

			2,442,399

	Chemicals – 0.9%
25,007	Intrepid Potash, Inc.(b)		729,454

	Communications Equipment – 2.6%
37,753	F5 Networks, Inc.(b)		2,000,154

	Computers & Peripherals – 2.8%
63,983	NetApp, Inc.(b)		2,200,375

	Diversified Consumer Services – 1.1%
11,144	New Oriental Education & Technology Group, Inc., Sponsored ADR(b)		842,598

	Electric Utilities – 1.5%
42,416	DPL, Inc.		1,170,682

	Energy Equipment & Services – 3.9%
23,607	Dril-Quip, Inc.(b)		1,333,323
77,391	Nabors Industries Ltd.(b)		1,694,089

			3,027,412

	Food Products – 2.4%
23,092	Green Mountain Coffee Roasters, Inc.(b)		1,881,305

	Health Care Equipment & Supplies – 2.9%
37,570	CareFusion Corp.(b)		939,626
4,515	Intuitive Surgical, Inc.(b)		1,369,490

			2,309,116

	Health Care Providers & Services – 3.4%
35,029	Catalyst Health Solutions, Inc.(b)		1,277,508
29,180	HMS Holdings Corp.(b)		1,420,774

			2,698,282

	Health Care Technology – 1.5%
14,173	Cerner Corp.(b)		1,168,422

	Hotels, Restaurants & Leisure – 1.9%
20,845	Ctrip.com International Ltd., ADR(b)		1,497,922

	Household Durables – 1.7%
40,901	Gafisa SA, ADR		1,323,556

	Internet & Catalog Retail – 3.5%
12,561	Priceline.com, Inc.(b) (c)		2,744,578

	Internet Software & Services – 10.8%
47,211	Akamai Technologies, Inc.(b)		1,195,854
3,255	Baidu, Inc., Sponsored ADR(b)		1,338,554
40,852	GSI Commerce, Inc.(b)		1,037,232
22,833	MercadoLibre, Inc.(b)		1,184,348
67,238	Rackspace Hosting, Inc.(b)		1,401,912
25,910	Sina Corp.(b)		1,170,614
20,797	VistaPrint NV(b)		1,178,358

			8,506,872

	IT Services – 2.4%
42,121	Cognizant Technology Solutions Corp., Class A(b)		1,908,081


Shares	Description	Value (†)
	Life Sciences Tools & Services – 4.2%
34,705	Life Technologies Corp.(b)	$	1,812,642
14,378	Mettler-Toledo International, Inc.(b)		1,509,546

			3,322,188

	Machinery – 3.9%
32,341	Bucyrus International, Inc.		1,823,062
26,040	Cummins, Inc.		1,194,195

			3,017,257

	Media – 2.6%
39,982	Discovery Communications, Inc., Class A(b)		1,226,248
51,169	Focus Media Holding Ltd., ADR(b)		811,029

			2,037,277

	Metals & Mining – 9.2%
22,133	Freeport-McMoRan Copper & Gold, Inc.(b)		1,777,058
52,218	Teck Resources Ltd., Class B(b)		1,826,063
25,514	United States Steel Corp.		1,406,332
29,644	Walter Energy, Inc.		2,232,490

			7,241,943

	Oil, Gas & Consumable Fuels – 4.3%
38,938	Concho Resources, Inc.(b)		1,748,316
78,018	EXCO Resources, Inc.		1,656,322

			3,404,638

	Paper & Forest Products – 1.7%
50,206	International Paper Co.		1,344,517

	Personal Products – 3.6%
33,274	Mead Johnson Nutrition Co., Class A		1,454,074
31,277	NBTY, Inc.(b)		1,361,800

			2,815,874

	Professional Services – 1.4%
35,325	Verisk Analytics, Inc., Class A(b)		1,069,641

	Semiconductors & Semiconductor Equipment – 7.7%
29,724	Cree, Inc.(b)		1,675,542
38,376	Lam Research Corp.(b)		1,504,723
74,772	NVIDIA Corp.(b)		1,396,741
40,426	Varian Semiconductor Equipment Associates, Inc.(b)		1,450,485

			6,027,491

	Software – 5.1%
21,145	Concur Technologies, Inc.(b)		903,949
26,444	Salesforce.com, Inc.(b)		1,950,774
27,604	VMware, Inc., Class A(b)		1,169,857

			4,024,580

	Specialty Retail – 5.6%
36,566	Guess?, Inc.		1,546,742
28,152	J. Crew Group, Inc.(b)		1,259,520
45,919	Urban Outfitters, Inc.(b)		1,606,706

			4,412,968

	Textiles, Apparel & Luxury Goods – 1.7%
44,328	Lululemon Athletica, Inc.(b)		1,334,273

	Wireless Telecommunication Services – 2.1%
42,769	Crown Castle International Corp.(b)		1,669,702

	Total Common Stocks (Identified Cost $63,772,669)		82,302,461


Principal Amount		Description	Value (†)
	Short-Term Investments – 2.0%
$	1,534,816	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $1,534,816 on 1/04/2010 collateralized by $1,575,000 Federal Home Loan Bank, 1.550% due 6/15/2012 valued at $1,569,094, including accrued interest(d) (Identified Cost $1,534,816)	$	1,534,816

		Total Investments - 106.7% (Identified Cost $65,307,485)(a)		83,837,277
		Other assets less liabilities — (6.7)%		(5,229,684	)

		Net Assets — 100.0%	$	78,607,593


Contracts
	Call Options Written – (0.0%)
	38	Priceline.com, Inc. expiring January 16, 2010 at 230(e) (Premium Received $18,886)		(6,365	)

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Domestic exchange – traded single equity option contracts are valued at the mean of the National Best Bid and offer quotations. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At December 31, 2009, the net unrealized appreciation on investments based on a cost of $65,307,485 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	$	18,757,339
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(227,547	)

Net unrealized appreciation	$	18,529,792

At September 30, 2009, the Fund had a capital loss carryforward of approximately $119,940,921 of which, $65,130,772 expires on September 30, 2010; $21,142,388 expires on September 30, 2011 and $33,667,761 expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $32,805,392. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)	All or a portion of this security is held as collateral for outstanding call options.

(d)

(e)

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

When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value until the option expires or the Fund enters into a closing purchase transaction. When a written option expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.

Exchange-traded options have standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Fund are limited. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. The Fund is not party to any over-the-counter options at December 31, 2009.

The following is a summary of the Fund’s written option activity:


Contracts	Number of Contracts		Premiums
Outstanding at 9/30/2009	—		$	—
Options written	840			115,307
Options terminated in closing purchase transactions	(802	)		(96,421	)
Options expired	—			—
Options exercised	—			—

Outstanding at 12/31/2009	38		$	18,886

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.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2009, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	82,302,461	$	—	$	—	$	82,302,461
Short-Term Investments		—		1,534,816		—		1,534,816

Total	$	83,302,461	$	1,534,816	$	—	$	83,837,277

*	Major categories of the Fund’s investments are included above.

Liability Valuation Inputs


Description	Level 1		Level 2	Level 3	Total
Call Options Written	(6,365	)	—	—	(6,365	)

Derivatives

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes.

Industry Summary at December 31, 2009 (Unaudited)


Internet Software & Services	10.8	%
Metals & Mining	9.2
Semiconductors & Semiconductor Equipment	7.7
Specialty Retail	5.6
Software	5.1
Oil, Gas & Consumable Fuels	4.3
Life Sciences Tools & Services	4.2
Energy Equipment & Services	3.9
Machinery	3.9
Biotechnology	3.7
Personal Products	3.6
Internet & Catalog Retail	3.5
Health Care Providers & Services	3.4
Capital Markets	3.1
Health Care Equipment & Supplies	2.9
Computer & Peripherals	2.8
Media	2.6
Communications Equipment	2.6
IT Services	2.4
Food Products	2.4
Wireless Telecommunication Services	2.1
Other Investments, less than 2% each	14.9
Short-Term Investments	2.0

Total Investments	106.7
Other assets less liabilities (including call options written)	(6.7	)

Net Assets	100.0	%


Shares	Description	Value (†)
Common Stocks – 100.0% of Net Assets
	Aerospace & Defense – 5.4%
8,335	General Dynamics Corp.(b)	$	568,197
16,702	United Technologies Corp.(b)		1,159,286

			1,727,483

	Beverages – 3.2%
9,150	Brown-Forman Corp., Class B		490,165
8,991	PepsiCo, Inc.		546,653

			1,036,818

	Biotechnology – 1.6%
9,308	Amgen, Inc.(b)(c)		526,554

	Capital Markets – 6.2%
3,049	BlackRock, Inc.(b)		707,978
4,259	Goldman Sachs Group, Inc. (The)		719,089
24,304	Invesco Ltd.(b)		570,901

			1,997,968

	Communications Equipment – 8.0%
53,363	Cisco Systems, Inc.(b)(c)		1,277,510
9,512	F5 Networks, Inc.(c)		503,946
17,671	QUALCOMM, Inc.		817,460

			2,598,916

	Computers & Peripherals – 11.2%
6,233	Apple, Inc.(b)(c)		1,314,290
55,114	EMC Corp.(c)		962,842
25,979	Hewlett-Packard Co.		1,338,178

			3,615,310

	Containers & Packaging – 3.1%
16,446	Owens-Illinois, Inc.(c)		540,580
18,447	Pactiv Corp.(c)		445,311

			985,891

	Diversified Financial Services – 3.4%
32,465	Bank of America Corp.		488,923
14,708	JPMorgan Chase & Co.(b)		612,882

			1,101,805

	Diversified Telecommunication Services – 3.3%
37,767	AT&T, Inc.(b)		1,058,609

	Energy Equipment & Services – 5.2%
23,861	Pride International, Inc.(b)(c)		761,404
11,276	Transocean Ltd.(b)(c)		933,653

			1,695,057

	Food & Staples Retailing – 1.4%
8,464	Wal-Mart Stores, Inc.		452,401

	Health Care Equipment & Supplies – 1.0%
7,344	Medtronic, Inc.(b)		322,989

	Health Care Providers & Services – 5.0%
30,421	Aetna, Inc.(b)		964,346
24,529	AmerisourceBergen Corp.		639,471

			1,603,817

	Household Durables – 2.0%
8,114	Whirlpool Corp.		654,475

	Household Products – 2.3%
12,446	Procter & Gamble Co. (The)		754,601

	Independent Power Producers & Energy Traders – 2.5%
23,361	Constellation Energy Group, Inc.		821,606

	Industrial Conglomerates – 2.0%
4,072	3M Co.(b)		336,632


Shares	Description	Value (†)
	Industrial Conglomerates – continued
20,334	General Electric Co.	$	307,654

			644,286

	Internet & Catalog Retail – 2.1%
3,167	Priceline.com, Inc.(b)(c)		691,990

	Internet Software & Services – 3.3%
1,740	Google, Inc., Class A(b)(c)		1,078,765

	Media – 2.0%
20,554	Discovery Communications, Inc., Class A(c)		630,391

	Oil, Gas & Consumable Fuels – 6.1%
11,989	Chevron Corp.(b)		923,033
33,069	Marathon Oil Corp.		1,032,414

			1,955,447

	Pharmaceuticals – 7.8%
32,687	Merck & Co., Inc.		1,194,383
72,538	Pfizer, Inc.(b)		1,319,466

			2,513,849

	Road & Rail – 2.5%
16,844	CSX Corp.(b)		816,766

	Semiconductors & Semiconductor Equipment – 2.3%
35,155	Marvell Technology Group Ltd.(c)		729,466

	Software – 4.9%
64,150	Oracle Corp.		1,574,241

	Specialty Retail – 2.2%
37,352	Limited Brands, Inc.		718,653

	Total Common Stocks (Identified Cost $29,360,436)		32,308,154


Principal Amount
Short-Term Investments – 2.7%
$894,505	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $894,505 on 1/04/2010 collateralized by $915,000 Federal Home Loan Mortgage Corp., 2.000% due 11/05/2012 valued at $917,288 including accrued interest(e) (Identified Cost $894,505)		894,505

	Total Investments - 102.7% (Identified Cost $30,254,941)(a)		33,202,659
	Other assets less liabilities — (2.7)%		(887,789	)

	Net Assets — 100.0%	$	32,314,870


Contracts
Call Options Written – (0.3%)
13	3M Co. expiring February 20, 2010 at 85(d)		(2,080	)
85	Aetna, Inc. expiring January 16, 2010 at 36(d)		(850	)
92	Amgen, Inc. expiring February 20, 2010 at 62.50(d)		(5,934	)

LOOMIS SAYLES DISCIPLINED EQUITY FUND - PORTFOLIO OF INVESTMENTS (continued)


Contracts		Value (†)
Call Options Written – continued
31	Apple, Inc. expiring February 20, 2010 at 220(d)	$	(26,195	)
188	AT&T, Inc. expiring February 20, 2010 at 29(d)		(5,076	)
5	BlackRock, Inc. expiring January 16, 2010 at 250(d)		(225	)
15	BlackRock, Inc. expiring February 20, 2010 at 260(d)		(2,550	)
39	Chevron Corp. expiring January 16, 2010 at 80(d)		(839	)
39	Chevron Corp. expiring February 20, 2010 at 80(d)		(3,335	)
177	Cisco Systems, Inc. expiring January 16, 2010 at 25(d)		(2,035	)
60	CSX Corp. expiring February 20, 2010 at 50(d)		(9,000	)
106	CSX Corp. expiring February 20, 2010 at 55(d)		(3,710	)
42	General Dynamics Corp. expiring January 16, 2010 at 70(d)		(1,260	)
5	Google, Inc., Class A expiring February 20, 2010 at 640(d)		(7,550	)
80	Invesco Ltd. expiring January 16, 2010 at 25(d)		(1,200	)
65	JPMorgan Chase & Co. expiring February 20, 2010 at 44(d)		(6,143	)
65	JPMorgan Chase & Co. expiring February 20, 2010 at 45(d)		(4,323	)
27	Medtronic, Inc. expiring January 16, 2010 at 45(d)		(1,147	)
45	Medtronic, Inc. expiring February 20, 2010 at 48(d)		(1,800	)
180	Pfizer, Inc. expiring January 16, 2010 at 19(d)		(2,070	)
362	Pfizer, Inc. expiring February 20, 2010 at 20(d)		(5,430	)
10	Priceline.com, Inc. expiring January 16, 2010 at 240(d)		(575	)
235	Pride International, Inc. expiring January 16, 2010 at 35(d)		(2,350	)
37	Transocean Ltd. expiring February 20, 2010 at 90(d)		(4,440	)
105	United Technologies Corp. expiring February 20, 2010 at 75(d)		(4,987	)

	Total Call Options Written (Premiums Received $137,537)	$	(105,104	)

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Domestic exchange–traded single equity option contracts are valued at the mean of the National Best Bid and offer quotations. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

LOOMIS SAYLES DISCIPLINED EQUITY FUND - PORTFOLIO OF INVESTMENTS (continued)

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

At December 31, 2009, the net unrealized appreciation on investments based on a cost of $30,254,941 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	$	3,128,479
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(180,761	)

Net unrealized appreciation	$	2,947,718

At September 30, 2009, the Fund had a capital loss carryforward of approximately $2,229,424 which expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $4,813,445. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	All or a portion of this security is held as collateral for outstanding call options.

(c)	Non-income producing security.

(d)

The following is a summary of the Fund’s written option activity:


Contracts	Number of Contracts			Premiums
Outstanding at 9/30/2009	$	—		$	—
Options written		7,343			547,611
Options terminated in closing purchase transactions		(4,945	)		(390,399	)
Options expired		(290	)		(19,675	)

Outstanding at 12/31/2009	$	2,108		$	137,537

(e)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2009, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	32,308,154	$	—	$	—	$	32,308,154
Short-Term Investments		—		894,505		—		894,505

Total	$	32,308,154	$	894,505	$	—	$	33,202,659

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Call Options Written	$	(105,104	)	$	—	$	—	$	(105,104	)

*	Major categories of the Fund’s investments are included above.

LOOMIS SAYLES DISCIPLINED EQUITY FUND - PORTFOLIO OF INVESTMENTS (continued)

Industry Summary at December 31, 2009 (Unaudited)


Computers & Peripherals	11.2	%
Communications Equipment	8.0
Pharmaceuticals	7.8
Capital Markets	6.2
Oil, Gas & Consumable Fuels	6.1
Aerospace & Defense	5.4
Energy Equipment & Services	5.2
Health Care Providers & Services	5.0
Software	4.9
Diversified Financial Services	3.4
Internet Software & Services	3.3
Diversified Telecommunication Services	3.3
Beverages	3.2
Containers & Packaging	3.1
Independent Power Producers & Energy Traders	2.5
Road & Rail	2.5
Household Products	2.3
Semiconductors & Semiconductor Equipment	2.3
Specialty Retail	2.2
Internet & Catalog Retail	2.1
Household Durables	2.0
Industrial Conglomerates	2.0
Media	2.0
Other Investments, Less than 2% each	4.0
Short-Term Investments	2.7

Total Investments	102.7
Other assets less liabilities (including call options written)	(2.7	)

Net Assets	100.0	%

At September 30, 2009, the Fund had a capital loss carryforward of approximately $212,593,355 of which $138,314,515 expires on September 30, 2010; $59,283,040 expires on September 30, 2011 and $14,995,800 expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $26,616,006. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2009, at value:


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 91.2% of Net Assets
	Non-Convertible Bonds — 82.6%
		ABS Car Loan — 0.1%
$	11,305,000	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 144A, 0.373%, 8/20/2013(b)	$	10,430,440

		ABS Credit Card — 0.6%
	80,700,000	Citibank Credit Card Issuance Trust, Series 2008-C6, Class C6, 6.300%, 6/20/2014		83,315,947

		Aerospace & Defense — 0.1%
	1,380,000	Bombardier, Inc., 144A, 6.300%, 5/01/2014		1,366,200
	2,795,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)		2,449,103
	11,800,000	Bombardier, Inc., 144A, 7.450%, 5/01/2034		10,207,000

				14,022,303

		Airlines — 1.9%
	3,245,000	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 7/02/2019		3,585,725
	432,651	American Airlines Pass Through Trust, Series 93A6, 8.040%, 9/16/2011		399,121
	20,000,000	Continental Airlines, Inc., 9.000%, 7/08/2016		21,200,000
	152,442	Continental Airlines, Inc., Series 1996-1, Class A, 6.940%, 4/15/2015		149,393
	4,470,543	Continental Airlines, Inc., Series 1997-4, Class 4B, 6.900%, 7/02/2018		4,179,958
	4,100,843	Continental Airlines, Inc., Series 1998-1, Class 1B, 6.748%, 9/15/2018		3,649,750
	6,639,043	Continental Airlines, Inc., Series 1999-1, Class B, 6.795%, 2/02/2020		5,975,139
	5,673,545	Continental Airlines, Inc., Series 1999-2, Class B, 7.566%, 9/15/2021		5,162,926
	1,542,353	Continental Airlines, Inc., Series 2000-1, Class A-1, 8.048%, 5/01/2022		1,515,362
	1,535,749	Continental Airlines, Inc., Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,481,998
	7,707,691	Continental Airlines, Inc., Series 2000-2, Class B, 8.307%, 10/02/2019		7,052,538
	2,067,163	Continental Airlines, Inc., Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,926,162
	2,760,159	Continental Airlines, Inc., Series 2001-1, Class B, 7.373%, 6/15/2017		2,442,740
	11,915,000	Continental Airlines, Inc., Series 2007-1, Class A, 5.983%, 4/19/2022		11,497,975


Principal Amount (‡)		Description	Value (†)
		Airlines — continued
$	19,647,000	Continental Airlines, Inc., Series 2007-1, Class B, 6.903%, 4/19/2022	$	17,092,890
	7,169,663	Continental Airlines, Inc., Series 971A, 7.461%, 10/01/2016		6,811,180
	17,425,000	Continental Airlines, Inc., Series A, 7.250%, 11/10/2019		17,729,937
	3,145,000	Delta Air Lines, Inc., 144A, 9.500%, 9/15/2014		3,266,869
	2,450,000	Delta Air Lines, Inc., Series 2001-1, Class A-2, 7.111%, 3/18/2013		2,471,437
	1,586,138	Delta Air Lines, Inc., Series 2007-1, Class A, 6.821%, 2/10/2024		1,514,762
	8,785,889	Delta Air Lines, Inc., Series 2007-1, Class B, 8.021%, 2/10/2024		7,709,618
	29,025,486	Delta Air Lines, Inc., Series 2007-1, Class C, 8.954%, 8/10/2014		25,893,926
	7,500,000	Delta Air Lines, Inc., Series B, 9.750%, 12/17/2016		7,631,250
	24,085,629	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 11/01/2017		20,076,094
	1,500,000	Qantas Airways Ltd., 144A, 5.125%, 6/20/2013		1,524,559
	32,710,000	Qantas Airways Ltd., 144A, 6.050%, 4/15/2016		32,997,455
	11,325,000	United Air Lines, Inc., 10.400%, 5/01/2018		11,933,719
	18,286,946	United Air Lines, Inc., Series 2007-1, Class A, 6.636%, 1/02/2024		15,543,904

				242,416,387

		Automotive — 3.0%
	1,853,000	Cummins, Inc., 6.750%, 2/15/2027		1,782,076
	2,145,000	Cummins, Inc., 7.125%, 3/01/2028		2,115,753
	3,100,000	FCE Bank PLC, EMTN, 4.625%, 10/25/2010, (NOK)		497,945
	6,500,000	FCE Bank PLC, EMTN, 7.125%, 1/16/2012, (EUR)		9,131,713
	4,500,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		6,257,446
	5,700,000	FCE Bank PLC, EMTN, 7.875%, 2/15/2011, (GBP)		9,160,612
	17,816,000	Ford Motor Co., 6.375%, 2/01/2029		13,762,860
	1,705,000	Ford Motor Co., 6.500%, 8/01/2018		1,438,594
	500,000	Ford Motor Co., 6.625%, 2/15/2028		386,250
	73,114,000	Ford Motor Co., 6.625%, 10/01/2028		56,480,565
	1,940,000	Ford Motor Co., 7.125%, 11/15/2025		1,513,200
	86,090,000	Ford Motor Co., 7.450%, 7/16/2031		76,082,037

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


Principal Amount (‡)		Description	Value (†)
		Automotive — continued
$	800,000	Ford Motor Co., 7.500%, 8/01/2026	$	630,000
	10,685,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		10,668,908
	24,235,000	Ford Motor Credit Co. LLC, 7.250%, 10/25/2011		24,474,733
	5,940,000	Ford Motor Credit Co. LLC, 7.500%, 8/01/2012		5,990,241
	1,030,000	Ford Motor Credit Co. LLC, 7.875%, 6/15/2010		1,045,560
	47,810,000	Ford Motor Credit Co. LLC, 8.000%, 6/01/2014		49,090,734
	14,595,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		14,614,397
	10,625,000	Ford Motor Credit Co. LLC, 8.625%, 11/01/2010		10,939,999
	50,000,000	Ford Motor Credit Co. LLC, 8.700%, 10/01/2014		52,274,600
	1,645,000	Ford Motor Credit Co. LLC, 9.750%, 9/15/2010		1,697,392
	7,640,000	Ford Motor Credit Co. LLC, EMTN, 4.875%, 1/15/2010, (EUR)		10,897,560
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		4,305,105
	9,635,000	Goodyear Tire & Rubber Co. (The), 10.500%, 5/15/2016		10,646,675
	1,300,000	TRW Automotive, Inc., 144A, 7.000%, 3/15/2014		1,274,000
	3,100,000	TRW Automotive, Inc., 144A, 7.250%, 3/15/2017		3,007,000
	5,300,000	TRW Automotive, Inc., 144A, 8.875%, 12/01/2017		5,512,000

				385,677,955

		Banking — 6.7%
	67,925,000	AgriBank FCB, 9.125%, 7/15/2019(c)		74,646,315
	20,565,000	Associates Corp. of North America, 6.950%, 11/01/2018		20,793,333
	22,125,000	BAC Capital Trust VI, 5.625%, 3/08/2035		17,709,890
	1,675,000	Bank of America Corp., 5.420%, 3/15/2017		1,653,396
	4,560,000	Bank of America Corp., 6.000%, 9/01/2017		4,732,933
	10,010,000	Bank of America NA, 5.300%, 3/15/2017		9,810,701
	1,006,000,000	Barclays Financial LLC, 144A, 4.160%, 2/22/2010, (THB)		30,344,086
	56,650,000,000	Barclays Financial LLC, 144A, 4.470%, 12/04/2011, (KRW)		49,117,359
	17,310,000,000	Barclays Financial LLC, EMTN, 144A, 4.060%, 9/16/2010, (KRW)		14,851,734
	135,000,000	Barclays Financial LLC, EMTN, 144A, 4.100%, 3/22/2010, (THB)		4,085,843
	21,340,000,000	Barclays Financial LLC, EMTN, 144A, 4.460%, 9/23/2010, (KRW)		18,358,677
	224,520,000,000	BNP Paribas SA, EMTN, 144A, Zero Coupon, 6/13/2011, (IDR)		21,187,805
	2,165,000	Capital One Financial Corp., 6.150%, 9/01/2016		2,174,775


Principal Amount (‡)	Description	Value (†)
	Banking — continued
18,650,000	Citibank NA, 144A, 15.000%, 7/02/2010, (BRL)	$	11,022,889
47,120,000	Citigroup, Inc., 5.000%, 9/15/2014		45,424,811
985,000	Citigroup, Inc., 5.850%, 12/11/2034		869,034
22,790,000	Citigroup, Inc., 5.875%, 2/22/2033		19,224,391
4,210,000	Citigroup, Inc., 5.875%, 5/29/2037		3,709,789
10,819,000	Citigroup, Inc., 6.000%, 10/31/2033		9,308,916
1,850,000	Citigroup, Inc., 6.125%, 8/25/2036		1,586,549
45,862,000	Citigroup, Inc., 6.375%, 8/12/2014		48,013,249
3,350,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		4,131,397
64,000,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		64,801,984
1,285,000	Goldman Sachs Group, Inc. (The), 6.150%, 4/01/2018		1,375,591
400,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		393,979
30,375,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		31,222,068
119,806,078	HSBC Bank USA, 144A, Zero Coupon, 11/28/2011		100,649,086
9,090,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 144A, 6.375%, 4/30/2022		8,160,211
109,312,000,000	JPMorgan Chase & Co., 144A, Zero Coupon, 3/28/2011, (IDR)		10,610,071
229,157,783,660	JPMorgan Chase & Co., 144A, Zero Coupon, 4/12/2012, (IDR)		20,052,221
599,726,100,000	JPMorgan Chase & Co., EMTN, 144A, Zero Coupon, 3/28/2011, (IDR)		58,210,775
92,000,000	JPMorgan Chase Bank, 144A, Zero Coupon, 5/17/2010, (BRL)		50,565,652
76,496,404,750	JPMorgan Chase Bank, EMTN, 144A, Zero Coupon, 10/21/2010, (IDR)		7,696,865
60,000,000	Kreditanstalt fuer Wiederaufbau, EMTN, 10.750%, 2/01/2010, (ISK)		286,200
1,020,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		999,775
1,400,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		1,290,691
51,500,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		28,101,666
3,450,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		4,404,247
5,410,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		5,828,940
800,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		718,120
1,235,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		1,299,687

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


Principal Amount (‡)		Description	Value (†)
		Banking — continued
$	26,665,000	Morgan Stanley, 4.750%, 4/01/2014	$	26,818,244
	5,050,000	Morgan Stanley, 5.125%, 11/30/2015, (GBP)		8,152,417
	7,900,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		8,541,227
	2,900,000	Morgan Stanley, Series F, MTN, 5.550%, 4/27/2017		2,912,838
	6,600,000	Morgan Stanley, Series F, MTN, 5.625%, 9/23/2019		6,648,246
	5,210,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		5,373,802

				867,872,475

		Brokerage — 0.0%
	4,000,000	Jefferies Group, Inc., 8.500%, 7/15/2019		4,372,516

		Building Materials — 1.0%
	6,345,000	Masco Corp., 0.554%, 3/12/2010(b)		6,319,132
	3,255,000	Masco Corp., 4.800%, 6/15/2015		2,992,191
	2,220,000	Masco Corp., 5.850%, 3/15/2017		2,065,617
	13,440,000	Masco Corp., 6.125%, 10/03/2016		12,807,527
	2,045,000	Masco Corp., 6.500%, 8/15/2032		1,740,281
	18,935,000	Owens Corning, Inc., 6.500%, 12/01/2016		19,390,822
	35,980,000	Owens Corning, Inc., 7.000%, 12/01/2036		33,556,423
	44,212,000	USG Corp., 6.300%, 11/15/2016		39,569,740
	14,155,000	USG Corp., 9.500%, 1/15/2018		14,579,650

				133,021,383

		Chemicals — 0.8%
	23,584,000	Borden, Inc., 7.875%, 2/15/2023		15,683,360
	6,920,000	Borden, Inc., 8.375%, 4/15/2016		5,190,000
	8,757,000	Borden, Inc., 9.200%, 3/15/2021		6,480,180
	38,140,000	Chevron Phillips Chemical Co. LLC, 144A, 8.250%, 6/15/2019		44,888,759
	14,550,000	Hercules, Inc., Subordinated Note, 6.500%, 6/30/2029		9,894,000
	13,201,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.750%, 11/15/2014		12,936,980
	5,350,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		4,563,432
	6,465,000	Mosaic Global Holdings, Inc., 7.300%, 1/15/2028		6,803,973
	2,730,000	Mosaic Global Holdings, Inc., 7.375%, 8/01/2018		2,999,003

				109,439,687


Principal Amount (‡)		Description	Value (†)
		Construction Machinery — 1.0%
$	50,000,000	Case New Holland, Inc., 144A, 7.750%, 9/01/2013	$	51,125,000
	1,425,000	Joy Global, Inc., 6.625%, 11/15/2036		1,268,146
	1,645,000	RSC Equipment Rental, Inc., 9.500%, 12/01/2014		1,647,056
	10,790,000	Terex Corp., 8.000%, 11/15/2017		10,385,375
	18,243,000	United Rentals North America, Inc., 7.000%, 2/15/2014		16,509,915
	14,630,000	United Rentals North America, Inc., 7.750%, 11/15/2013		13,752,200
	26,935,000	United Rentals North America, Inc., 10.875%, 6/15/2016		29,291,813

				123,979,505

		Consumer Cyclical Services — 0.8%
	1,390,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		997,325
	101,985,000	Western Union Co. (The), 6.200%, 11/17/2036		101,447,131

				102,444,456

		Consumer Products — 0.1%
	9,860,000	Whirlpool Corp., 8.000%, 5/01/2012		10,682,353
	5,915,000	Whirlpool Corp., MTN, 8.600%, 5/01/2014		6,697,324

				17,379,677

		Distributors — 0.0%
	1,500,000	EQT Corp., 8.125%, 6/01/2019		1,733,059

		Diversified Manufacturing — 0.7%
	1,441,000	Textron Financial Corp., 5.400%, 4/28/2013		1,440,317
	550,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		520,055
	9,950,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		13,474,034
	5,020,000	Textron, Inc., 5.600%, 12/01/2017		4,838,381
	30,350,000	Textron, Inc., 6.200%, 3/15/2015		31,589,100
	20,485,000	Textron, Inc., 7.250%, 10/01/2019		21,203,409
	15,630,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		22,043,188

				95,108,484

		Electric — 3.3%
	4,020,000	AES Corp. (The), 7.750%, 3/01/2014		4,080,300
	5,565,000	AES Corp. (The), 8.375%, 3/01/2011, (GBP)(c)		9,033,536
	8,669,135	AES Ironwood LLC, 8.857%, 11/30/2025		8,582,444
	1,085,362	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		1,082,648
	70,811,970	Bruce Mansfield Unit, 6.850%, 6/01/2034(c)		66,629,816

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


Principal Amount (‡)		Description	Value (†)
		Electric — continued
$	3,363,840	CE Generation LLC, 7.416%, 12/15/2018	$	3,235,113
	32,125,000	Cleveland Electric Illuminating Co., 5.950%, 12/15/2036		29,924,919
	11,275,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		9,189,125
	1,000,000	Dynegy Holdings, Inc., 7.500%, 6/01/2015		935,000
	10,185,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		7,027,650
	500,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		433,750
	7,455,000	Dynegy Holdings, Inc., 8.375%, 5/01/2016		7,082,250
	1,132,099	Dynegy Roseton/Danskammer Pass Through Trust, Series A, 7.270%, 11/08/2010		1,133,514
	95,200,000	Edison Mission Energy, 7.625%, 5/15/2027		64,498,000
	250,000	Empresa Nacional de Electricidad SA, (Endesa-Chile), 8.350%, 8/01/2013		289,407
	4,875,000	Empresa-Chile Overseas Co., 7.875%, 2/01/2027		5,430,238
	555,000	Enersis SA, Cayman Islands, 7.400%, 12/01/2016		619,130
	5,310,000	ITC Holdings Corp., 144A, 6.375%, 9/30/2036		4,915,924
	31,735,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027		16,660,875
	955,000	NiSource Finance Corp., 5.400%, 7/15/2014		980,597
	43,450,000	NiSource Finance Corp., 6.400%, 3/15/2018		45,160,366
	2,500,000	NRG Energy, Inc., 7.250%, 2/01/2014		2,531,250
	5,000,000	NRG Energy, Inc., 7.375%, 2/01/2016		5,006,250
	1,411,000	Quezon Power (Philippines) Ltd., Senior Secured Note, 8.860%, 6/15/2017		1,312,230
	25,230,000	RRI Energy, Inc., 7.875%, 6/15/2017		24,788,475
	1,050,000	SP PowerAssets Ltd., EMTN, 3.730%, 10/22/2010, (SGD)		761,917
	655,000	Texas Competitive Electric Holdings Co. LLC, Series A, 10.250%, 11/01/2015		530,550
	7,265,000	Toledo Edison Co., 6.150%, 5/15/2037		7,178,089
	46,215,000	TXU Corp., Series P, 5.550%, 11/15/2014		32,775,586
	101,030,000	TXU Corp., Series Q, 6.500%, 11/15/2024		47,455,407
	6,245,000	TXU Corp., Series R, 6.550%, 11/15/2034		2,895,313
	7,300,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		6,130,606
	10,935,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		7,539,431


Principal Amount (‡)		Description	Value (†)
		Electric — continued
$	4,000,000	White Pine Hydro LLC, 7.260%, 7/20/2015(c)	$	3,457,700

				429,287,406

		Entertainment — 0.2%
	21,938,000	Viacom, Inc., Class B, 6.875%, 4/30/2036		23,721,691

		Financial Other — 0.2%
	20,000,000	National Life Insurance Co., 144A, 10.500%, 9/15/2039		20,819,260

		Food & Beverage — 0.3%
	2,085,000	Aramark Services, Inc., 5.000%, 6/01/2012		2,001,600
	23,710,000	Corn Products International, Inc., 6.625%, 4/15/2037		22,248,776
	14,120,000	Sara Lee Corp., 6.125%, 11/01/2032		13,590,359
	965,000	Smithfield Foods, Inc., 7.750%, 7/01/2017		890,213

				38,730,948

		Government Owned - No Guarantee — 0.3%
	26,435,000	Abu Dhabi National Energy Co., 144A, 7.250%, 8/01/2018		26,950,641
	13,600,000	DP World Ltd., 144A, 6.850%, 7/02/2037		10,461,419

				37,412,060

		Government Sponsored — 0.4%
	66,595,000	Queensland Treasury Corp., 144A, 7.125%, 9/18/2017, (NZD)		50,348,146

		Health Insurance — 0.5%
	15,325,000	CIGNA Corp., 6.150%, 11/15/2036		13,690,175
	2,000,000	CIGNA Corp., 6.350%, 3/15/2018		2,013,438
	50,000,000	WellPoint, Inc., 6.375%, 6/15/2037		50,878,850

				66,582,463

		Healthcare — 3.8%
	2,765,000	Boston Scientific Corp., 5.450%, 6/15/2014		2,903,250
	10,230,000	Boston Scientific Corp., 6.000%, 1/15/2020		10,452,779
	8,230,000	Boston Scientific Corp., 6.400%, 6/15/2016		8,847,250
	16,510,000	Boston Scientific Corp., 7.000%, 11/15/2035		16,200,438
	17,785,000	HCA, Inc., 5.750%, 3/15/2014		16,717,900
	3,800,000	HCA, Inc., 6.250%, 2/15/2013		3,695,500
	17,035,000	HCA, Inc., 6.375%, 1/15/2015		16,076,781
	49,350,000	HCA, Inc., 6.500%, 2/15/2016		46,882,500
	2,074,000	HCA, Inc., 6.750%, 7/15/2013		2,042,890
	14,620,000	HCA, Inc., 7.050%, 12/01/2027		12,536,650

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


Principal Amount (‡)		Description	Value (†)
		Healthcare — continued
$	10,944,000	HCA, Inc., 7.190%, 11/15/2015	$	10,177,920
	20,077,000	HCA, Inc., 7.500%, 12/15/2023		18,345,238
	18,780,000	HCA, Inc., 7.500%, 11/06/2033		16,423,805
	44,183,000	HCA, Inc., 7.690%, 6/15/2025		40,458,461
	31,390,000	HCA, Inc., 8.360%, 4/15/2024		29,820,500
	13,850,000	HCA, Inc., MTN, 7.580%, 9/15/2025		12,326,500
	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036		8,447,880
	11,370,000	Hospira, Inc., 6.050%, 3/30/2017		11,900,013
	155,570,000	Medco Health Solutions, Inc., 7.125%, 3/15/2018		174,882,304
	3,260,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		2,981,850
	31,009,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		24,807,200
	1,570,000	Tenet Healthcare Corp., 7.375%, 2/01/2013		1,573,925
	4,765,000	Tenet Healthcare Corp., 9.250%, 2/01/2015		5,074,725

				493,576,259

		Home Construction — 1.4%
	4,335,000	D.R. Horton, Inc., 5.625%, 9/15/2014		4,194,113
	1,625,000	D.R. Horton, Inc., 6.500%, 4/15/2016		1,584,375
	16,160,000	D.R. Horton, Inc., Guaranteed Note, 5.625%, 1/15/2016		15,109,600
	11,265,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		10,701,750
	6,290,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		4,497,350
	1,935,000	K. Hovnanian Enterprises, Inc., 7.750%, 5/15/2013		1,454,772
	1,235,000	K. Hovnanian Enterprises, Inc., 8.875%, 4/01/2012		1,037,400
	4,830,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.250%, 1/15/2015		3,453,450
	16,075,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.250%, 1/15/2016		11,332,875
	6,040,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.375%, 12/15/2014		4,379,000
	2,490,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.500%, 1/15/2014		1,817,700
	1,685,000	KB Home, 5.750%, 2/01/2014		1,583,900
	8,340,000	KB Home, Guaranteed Note, 5.875%, 1/15/2015		7,714,500
	5,805,000	KB Home, Guaranteed Note, 6.250%, 6/15/2015		5,413,162


Principal Amount (‡)		Description	Value (†)
		Home Construction — continued
$	11,315,000	KB Home, Guaranteed Note, 7.250%, 6/15/2018	$	10,749,250
	2,720,000	Lennar Corp., Series B, 5.125%, 10/01/2010		2,733,600
	16,755,000	Lennar Corp., Series B, 5.500%, 9/01/2014		15,582,150
	5,970,000	Lennar Corp., Series B, 5.600%, 5/31/2015		5,470,012
	23,885,000	Lennar Corp., Series B, 6.500%, 4/15/2016		21,974,200
	3,745,000	Pulte Homes, Inc., 5.200%, 2/15/2015		3,492,213
	46,260,000	Pulte Homes, Inc., 6.000%, 2/15/2035		36,545,400
	13,190,000	Pulte Homes, Inc., 6.375%, 5/15/2033		10,650,925
	4,245,000	Toll Brothers Financial Corp., 5.150%, 5/15/2015		4,061,862

				185,533,559

		Independent Energy — 1.3%
	48,410,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		50,557,903
	4,185,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		5,459,460
	14,650,000	Chesapeake Energy Corp., 6.500%, 8/15/2017		14,357,000
	22,690,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		21,895,850
	15,054,000	Connacher Oil and Gas Ltd., 144A, 10.250%, 12/15/2015		13,774,410
	3,000,000	Connacher Oil and Gas Ltd., 144A, 11.750%, 7/15/2014		3,315,000
	6,495,000	Hilcorp Energy I LP, 144A, 7.750%, 11/01/2015		6,365,100
	1,805,000	Penn Virginia Corp., 10.375%, 6/15/2016		1,967,450
	7,175,000	Pioneer Natural Resources Co., 5.875%, 7/15/2016		6,868,606
	1,760,000	Pioneer Natural Resources Co., 6.875%, 5/01/2018		1,741,379
	4,798,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		4,333,122
	2,499,000	Swift Energy Co., 7.125%, 6/01/2017		2,361,555
	9,170,000	Talisman Energy, Inc., 5.850%, 2/01/2037		8,761,385
	24,260,000	Talisman Energy, Inc., 6.250%, 2/01/2038		24,287,365

				166,045,585

		Industrial Other — 0.2%
	2,590,000	Great Lakes Dredge & Dock Corp., Senior Subordinated Note, 7.750%, 12/15/2013		2,577,050
	20,000,000	Ranhill Labuan Ltd., 144A, 12.500%, 10/26/2011		17,000,000

				19,577,050

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


Principal Amount (‡)		Description	Value (†)
		Life Insurance — 0.3%
$	2,455,000	American International Group, Inc., MTN, 5.450%, 5/18/2017	$	1,986,846
	2,185,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		1,808,166
	13,750,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		11,282,274
	1,500,000	MetLife, Inc., 6.400%, 12/15/2066		1,312,500
	9,620,000	MetLife, Inc., 10.750%, 8/01/2069		11,846,318
	6,700,000	Unum Group, 7.125%, 9/30/2016		6,941,830

				35,177,934

		Media Cable — 2.1%
	37,680,000	Comcast Corp., 5.650%, 6/15/2035		35,220,551
	8,810,000	Comcast Corp., 6.500%, 11/15/2035		9,134,745
	161,264,000	Comcast Corp., 6.950%, 8/15/2037		175,760,505
	400,000	CSC Holdings LLC, 7.875%, 2/15/2018		414,000
	2,540,000	CSC Holdings LLC, 144A, 8.500%, 4/15/2014		2,705,100
	25,270,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		24,334,199
	17,959,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		19,729,093
	2,720,000	Virgin Media Finance PLC, 9.125%, 8/15/2016		2,866,200
	1,065,573	Virgin Media Finance PLC, 9.750%, 4/15/2014, (GBP)		1,781,353

				271,945,746

		Media Non-Cable — 0.6%
	225,000	Intelsat Corp., 6.875%, 1/15/2028		192,375
	46,000,000	News America, Inc., 6.150%, 3/01/2037		45,764,848
	11,140,000	News America, Inc., 6.200%, 12/15/2034		11,195,867
	14,360,000	News America, Inc., 6.400%, 12/15/2035		14,745,408
	4,335,000	R.H. Donnelley Corp., Series A-1, 6.875%, 1/15/2013(d)		406,406
	1,910,000	R.H. Donnelley Corp., Series A-2, 6.875%, 1/15/2013(d)		179,062
	470,000	R.H. Donnelley Corp., Series A-3, 8.875%, 1/15/2016(d)		44,063
	4,845,000	R.H. Donnelley Corp., Series A-4, 8.875%, 10/15/2017(d)		454,219

				72,982,248

		Metals & Mining — 0.5%
	400,000	Alcoa, Inc., 5.550%, 2/01/2017		397,723
	10,000,000	Alcoa, Inc., 5.720%, 2/23/2019		9,668,300


Principal Amount (‡)			Description	Value (†)
			Metals & Mining — continued
$	3,949,000		Alcoa, Inc., 5.870%, 2/23/2022	$	3,666,986
	4,330,000		Alcoa, Inc., 6.750%, 1/15/2028		4,181,377
	9,785,000		Algoma Acquistion Corp., 144A, 9.875%, 6/15/2015		8,329,481
	1,840,000		Rio Tinto Alcan, Inc., 5.750%, 6/01/2035		1,782,616
	1,730,000		Teck Resources Ltd., 10.250%, 5/15/2016		2,015,450
	1,000,000		Teck Resources Ltd., 10.750%, 5/15/2019		1,195,000
	7,000,000		United States Steel Corp., 6.050%, 6/01/2017		6,682,669
	6,779,000		United States Steel Corp., 6.650%, 6/01/2037		5,453,584
	16,435,000		United States Steel Corp., 7.000%, 2/01/2018		16,097,984

					59,471,170

			Non-Captive Consumer — 3.5%
	4,900,000		American General Finance Corp., MTN, 5.750%, 9/15/2016		3,308,171
	229,690,000		American General Finance Corp., Series J, MTN, 6.900%, 12/15/2017		159,486,170
	109,950	(†††)	SLM Corp., 6.000%, 12/15/2043		1,711,647
	20,590,000		SLM Corp., MTN, 5.050%, 11/14/2014		18,571,748
	3,695,000		SLM Corp., MTN, 5.125%, 8/27/2012		3,463,966
	4,700,000		SLM Corp., Series 7, EMTN, 4.750%, 3/17/2014, (EUR)		5,760,720
	5,625,000		SLM Corp., Series A, MTN, 4.500%, 7/26/2010		5,604,851
	52,268,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		48,083,424
	37,670,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		32,815,505
	14,075,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		10,819,664
	19,605,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		18,493,985
	23,420,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		21,601,905
	1,390,000		SLM Corp., Series A, MTN, 5.400%, 10/25/2011		1,388,773
	28,150,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		21,223,946
	6,100,000		SLM Corp., Series A, MTN, 6.500%, 6/15/2010, (NZD)(c)		4,310,541
	95,060,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		93,800,740

					450,445,756

			Non-Captive Diversified — 6.8%
	18,096,402		CIT Group, Inc., 7.000%, 5/01/2013		16,874,895
	27,144,615		CIT Group, Inc., 7.000%, 5/01/2014		25,210,561

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


Principal Amount (‡)		Description	Value (†)
		Non-Captive Diversified — continued
$	27,144,615	CIT Group, Inc., 7.000%, 5/01/2015	$	24,294,430
	45,241,037	CIT Group, Inc., 7.000%, 5/01/2016		39,812,113
	63,337,457	CIT Group, Inc., 7.000%, 5/01/2017		54,945,244
	6,030,000	GATX Corp., 8.750%, 5/15/2014		6,780,838
	3,100,000	General Electric Capital Corp., EMTN, 6.125%, 5/17/2012, (GBP)		5,295,989
	79,035,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		55,711,826
	65,300,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		46,053,361
	30,350,000	General Electric Capital Corp., Series A, GMTN, 6.625%, 2/04/2010, (NZD)		22,076,906
	2,000,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		1,495,339
	15,305,000	General Electric Capital Corp., Series A, MTN, 0.584%, 5/13/2024(b)		12,979,130
	115,000,000	General Electric Capital Corp., Series A, MTN, 3.485%, 3/08/2012, (SGD)		82,100,594
	243,057,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		171,988,227
	4,950,000	General Motors Acceptance Corp. of Canada Ltd., EMTN, 7.125%, 9/13/2011, (AUD)		3,980,227
	43,074,000	GMAC, Inc., 144A, 5.375%, 6/06/2011		41,458,725
	3,390,000	GMAC, Inc., 144A, 5.750%, 9/27/2010		3,356,100
	905,000	GMAC, Inc., 144A, 6.000%, 4/01/2011		886,900
	36,075,000	GMAC, Inc., 144A, 6.000%, 12/15/2011		35,353,500
	311,000	GMAC, Inc., 144A, 6.625%, 12/17/2010		307,113
	15,426,000	GMAC, Inc., 144A, 6.625%, 5/15/2012		15,117,480
	22,211,000	GMAC, Inc., 144A, 6.750%, 12/01/2014		21,100,450
	6,829,000	GMAC, Inc., 144A, 6.875%, 9/15/2011		6,726,565
	2,947,000	GMAC, Inc., 144A, 6.875%, 8/28/2012		2,888,060
	7,702,000	GMAC, Inc., 144A, 7.000%, 2/01/2012		7,586,470
	17,038,000	GMAC, Inc., 144A, 7.500%, 12/31/2013		16,441,670
	32,711,000	GMAC, Inc., 144A, 8.000%, 12/31/2018		28,785,680
	25,955,000	GMAC, Inc., 144A, 8.000%, 11/01/2031		23,359,500


Principal Amount (‡)		Description	Value (†)
		Non-Captive Diversified — continued
$	10,285,000	International Lease Finance Corp., 6.375%, 3/25/2013	$	8,456,121
	500,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		377,880
	34,782,000	iStar Financial, Inc., 5.150%, 3/01/2012		21,217,020
	5,255,000	iStar Financial, Inc., 5.375%, 4/15/2010		5,011,956
	3,010,000	iStar Financial, Inc., 5.500%, 6/15/2012		1,806,000
	19,110,000	iStar Financial, Inc., 5.650%, 9/15/2011		14,045,850
	1,530,000	iStar Financial, Inc., 5.700%, 3/01/2014		856,800
	4,040,000	iStar Financial, Inc., 5.800%, 3/15/2011		3,030,000
	4,815,000	iStar Financial, Inc., 5.850%, 3/15/2017		2,696,400
	8,815,000	iStar Financial, Inc., 5.875%, 3/15/2016		4,958,437
	4,300,000	iStar Financial, Inc., 6.050%, 4/15/2015		2,418,750
	35,130,000	iStar Financial, Inc., 8.625%, 6/01/2013		22,483,200
	1,780,000	iStar Financial, Inc., Series B, 5.125%, 4/01/2011		1,299,400
	44,610,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		25,985,325

				887,611,032

		Oil Field Services — 2.2%
	1,370,000	Allis-Chalmers Energy, Inc., 8.500%, 3/01/2017		1,185,050
	3,540,000	Allis-Chalmers Energy, Inc., 9.000%, 1/15/2014		3,380,700
	10,860,000	Nabors Industries, Inc., 6.150%, 2/15/2018		11,287,254
	127,565,000	Nabors Industries, Inc., 9.250%, 1/15/2019		156,230,896
	23,680,000	North American Energy Partners, Inc., 8.750%, 12/01/2011		23,680,000
	16,035,000	Rowan Cos., Inc., 7.875%, 8/01/2019		17,840,397
	15,520,000	Weatherford International Ltd., 6.500%, 8/01/2036		14,822,019
	2,975,000	Weatherford International Ltd., 6.800%, 6/15/2037		2,949,260
	9,580,000	Weatherford International Ltd., 7.000%, 3/15/2038		9,708,947
	36,385,000	Weatherford International Ltd., 9.625%, 3/01/2019		45,361,289

				286,445,812

		Packaging — 0.3%
	2,450,000	OI European Group BV, 144A, 6.875%, 3/31/2017, (EUR)		3,371,709
	1,750,000	Owens Brockway Glass Container, Inc., 6.750%, 12/01/2014, (EUR)		2,445,995

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


Principal Amount (‡)		Description	Value (†)
		Packaging — continued
$	33,261,000	Owens-Illinois, Inc., Senior Note, 7.800%, 5/15/2018	$	33,510,458

				39,328,162

		Packaging & Containers — 0.0%
	4,445,000	XL Capital Ltd., 6.250%, 5/15/2027		4,042,070
	1,425,000	XL Capital Ltd., 6.375%, 11/15/2024		1,332,171

				5,374,241

		Paper — 2.7%
	7,955,000	Domtar Corp., 5.375%, 12/01/2013		7,676,575
	22,285,000	Fibria Overseas Finance Ltd., 144A, 9.250%, 10/30/2019		25,014,913
	12,430,000	Georgia-Pacific Corp., 7.250%, 6/01/2028		11,559,900
	11,605,000	Georgia-Pacific Corp., 7.375%, 12/01/2025		11,082,775
	120,000	Georgia-Pacific Corp., 7.700%, 6/15/2015		126,000
	42,425,000	Georgia-Pacific Corp., 7.750%, 11/15/2029		41,894,687
	16,475,000	Georgia-Pacific Corp., 8.000%, 1/15/2024		16,804,500
	18,378,000	Georgia-Pacific Corp., 8.875%, 5/15/2031		19,480,680
	154,533,000	International Paper Co., 7.950%, 6/15/2018		178,239,908
	3,100,000	International Paper Co., 9.375%, 5/15/2019		3,810,430
	3,995,000	Jefferson Smurfit Corp., 7.500%, 6/01/2013(d)		3,515,600
	100,000	Smurfit-Stone Container Enterprises, Inc., 8.000%, 3/15/2017(d)		88,125
	14,520,000	Westvaco Corp., 7.950%, 2/15/2031		14,168,921
	17,355,000	Westvaco Corp., 8.200%, 1/15/2030		17,854,581

				351,317,595

		Pharmaceuticals — 0.3%
	41,300,000	Elan Finance PLC, 8.875%, 12/01/2013		41,093,500

		Pipelines — 2.2%
	19,745,000	DCP Midstream LP, 144A, 6.450%, 11/03/2036		18,684,220
	15,685,000	El Paso Corp., 6.950%, 6/01/2028		13,452,821
	1,500,000	El Paso Corp., 7.420%, 2/15/2037		1,314,435
	750,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		706,075
	1,000,000	El Paso Energy Corp., GMTN, 7.750%, 1/15/2032		945,613
	5,255,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		5,450,586
	9,115,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		9,096,770


Principal Amount (‡)		Description	Value (†)
		Pipelines — continued
$	13,175,000	Enterprise Products Operating LLP, 6.300%, 9/15/2017	$	14,183,191
	5,100,000	Florida Gas Transmission Co., 144A, 7.900%, 5/15/2019		5,969,218
	500,000	Kinder Morgan Energy Partners LP, 5.800%, 3/15/2035		463,246
	46,406,379	Maritimes & Northeast Pipeline LLC, 144A, 7.500%, 5/31/2014(c)		50,788,997
	81,710,000	NGPL Pipeco LLC, 144A, 7.119%, 12/15/2017		90,164,697
	3,425,000	ONEOK Partners LP, 6.650%, 10/01/2036		3,493,236
	20,770,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		21,816,040
	44,730,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		45,635,335
	4,168,000	Transportadora de Gas del Sur SA, 144A, 7.875%, 5/14/2017		3,688,680
	600,000	Williams Cos., Inc., 7.875%, 9/01/2021		688,212
	965,000	Williams Cos., Inc., Senior Note, 7.750%, 6/15/2031		1,058,234
	4,030,000	Williams Cos., Inc., Series A, 7.500%, 1/15/2031		4,347,294

				291,946,900

		Property & Casualty Insurance — 0.3%
	2,660,000	Marsh & McLennan Cos., Inc., 5.375%, 7/15/2014		2,720,424
	11,710,000	Marsh & McLennan Cos., Inc., 5.750%, 9/15/2015		12,216,680
	11,075,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		9,832,031
	300,000	Marsh & McLennan Cos., Inc., 9.250%, 4/15/2019		363,997
	6,080,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 144A, 14.000%, 1/15/2033		2,614,400
	11,205,000	Willis North America, Inc., 6.200%, 3/28/2017		11,107,785

				38,855,317

		Railroads — 0.3%
	2,700,000	Canadian Pacific Railway Co., 5.750%, 3/15/2033		2,491,862
	16,410,000	Canadian Pacific Railway Co., 5.950%, 5/15/2037		15,579,982
	22,355,000	CSX Corp., MTN, 6.000%, 10/01/2036		22,088,551
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		772,510

				40,932,905

		Refining — 0.0%
	1,335,000	Valero Energy Corp., 6.625%, 6/15/2037		1,252,673

		REITs — 1.2%
	2,025,000	Camden Property Trust, 5.000%, 6/15/2015		1,954,346

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


Principal Amount (‡)		Description	Value (†)
		REITs — continued
$	27,950,000	Camden Property Trust, 5.700%, 5/15/2017	$	26,362,747
	4,030,000	Duke Realty LP, 5.950%, 2/15/2017		3,750,717
	3,300,000	ERP Operating LP, 5.125%, 3/15/2016		3,216,913
	47,305,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		43,153,702
	4,180,000	ProLogis, 5.625%, 11/15/2015		3,974,716
	3,915,000	ProLogis, 5.625%, 11/15/2016		3,607,849
	4,635,000	ProLogis, 5.750%, 4/01/2016		4,353,373
	1,002,000	ProLogis, 6.625%, 5/15/2018		950,270
	2,080,000	ProLogis, 7.375%, 10/30/2019		2,051,722
	1,500,000	Simon Property Group LP, 5.250%, 12/01/2016		1,458,787
	4,900,000	Simon Property Group LP, 5.750%, 12/01/2015		4,996,785
	550,000	Simon Property Group LP, 5.875%, 3/01/2017		550,771
	1,890,000	Simon Property Group LP, 6.100%, 5/01/2016		1,928,822
	450,000	Simon Property Group LP, 6.125%, 5/30/2018		457,195
	46,015,000	WEA Finance LLC/WT Finance Australia Property Ltd., 144A, 6.750%, 9/02/2019		49,408,284

				152,176,999

		Restaurants — 0.0%
	1,250,000	McDonald’s Corp., EMTN, 3.628%, 10/10/2010, (SGD)		905,378

		Retailers — 2.3%
	8,758,000	Dillard’s, Inc., 6.625%, 1/15/2018		7,269,140
	4,187,000	Dillard’s, Inc., 7.130%, 8/01/2018		3,621,755
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,140,000
	425,000	Dillard’s, Inc., 7.875%, 1/01/2023		333,625
	3,325,000	Dillard’s, Inc., Class A, 7.000%, 12/01/2028		2,443,875
	123,940,000	Home Depot, Inc., 5.875%, 12/16/2036		119,633,952
	3,685,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		3,634,331
	635,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		629,444
	3,330,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		3,305,025
	3,985,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,586,500
	72,470,000	J.C. Penney Corp., Inc., Senior Note, 6.375%, 10/15/2036		64,353,360
	20,564,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		17,376,580


Principal Amount (‡)			Description	Value (†)
			Retailers — continued
$	12,275,000		Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027	$	10,311,000
	2,365,000		Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,081,200
	6,365,000		Marks & Spencer PLC, 144A, 7.125%, 12/01/2037		6,468,457
	32,675,000		Toys R Us, Inc., 7.375%, 10/15/2018		29,897,625
	8,355,000		Toys R Us, Inc., 7.875%, 4/15/2013		8,396,775
	10,270,000		Woolworth Corp., 8.500%, 1/15/2022		9,705,150

					294,187,794

			Sovereigns — 4.8%
	104,626,000,000		Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		10,988,470
	10,000,000,000		Indonesia Treasury Bond, Series FR47, 10.000%, 2/15/2028, (IDR)		1,002,064
	272,460,000,000		Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		23,008,036
	2,350,305	(††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		17,670,046
	2,037,000	(††)	Mexican Fixed Rate Bonds, Series M-10, 9.000%, 12/20/2012, (MXN)		16,491,260
	18,686,981	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		137,902,549
	79,755,000		New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010, (AUD)		73,294,727
	10,530,000		New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		9,650,192
	66,305,000		New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		57,589,871
	56,700,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		32,567,490
	140,235,000		Republic of Brazil, 12.500%, 1/05/2016, (BRL)		91,019,845
	107,840,000		Republic of Brazil, 12.500%, 1/05/2022, (BRL)		69,993,797
	18,400,000		Republic of Croatia, 144A, 6.750%, 11/05/2019		19,818,198
	180,500,000		Republic of Iceland, Zero Coupon, 2/15/2010, (ISK)		851,694
	2,981,242,000		Republic of Iceland, 7.000%, 3/17/2010, (ISK)		14,154,511
	3,178,700,000		Republic of Iceland, 7.250%, 5/17/2013, (ISK)		15,023,142
	1,700,700,000		Republic of Iceland, 8.000%, 7/22/2011, (ISK)		8,151,698
	4,114,550,000		Republic of Iceland, 13.750%, 12/10/2010, (ISK)		20,636,623
	4,020,000		Republic of Venezuela, 7.000%, 3/16/2015, (EUR)		4,552,668

					624,366,881

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


Principal Amount (‡)		Description	Value (†)
		Supermarkets — 0.7%
$	2,000,000	American Stores Co., 7.900%, 5/01/2017	$	1,891,360
	72,681,000	New Albertson’s, Inc., 7.450%, 8/01/2029		62,323,957
	19,060,000	New Albertson’s, Inc., 7.750%, 6/15/2026		17,058,700
	4,895,000	New Albertson’s, Inc., 8.000%, 5/01/2031		4,442,213
	1,510,000	New Albertson’s, Inc., 8.700%, 5/01/2030		1,464,700
	13,242,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		10,080,472

				97,261,402

		Supranational — 1.2%
	175,000,000	Eurofima, EMTN, 11.000%, 2/05/2010, (ISK)		835,850
	128,250,000	European Investment Bank, Zero Coupon, 3/10/2021, (AUD)		52,009,359
	16,375,000	European Investment Bank, 11.250%, 2/14/2013, (BRL)		9,775,151
	460,500,000,000	European Investment Bank, EMTN, 144A, Zero Coupon, 4/24/2013, (IDR)		37,070,373
	11,330,000	European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD)		8,603,609
	244,840,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		18,961,744
	24,450,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		17,415,678
	8,300,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		5,693,545
	1,385,900,000	International Bank for Reconstruction & Development, 9.500%, 5/27/2010, (ISK)		6,647,436

				157,012,745

		Technology — 2.3%
	41,705,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		44,134,191
	41,104,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		29,440,740
	5,040,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,584,700
	832,000	Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR)		1,112,205
	10,725,000	Amkor Technology, Inc., 7.750%, 5/15/2013		10,899,281
	1,225,000	Amkor Technology, Inc., 9.250%, 6/01/2016		1,301,563
	2,435,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		2,550,933
	30,125,000	Avnet, Inc., 5.875%, 3/15/2014		31,234,865
	35,630,000	Avnet, Inc., 6.000%, 9/01/2015		36,176,920
	11,345,000	Avnet, Inc., 6.625%, 9/15/2016		11,704,489


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	6,225,000	Corning, Inc., 5.900%, 3/15/2014	$	6,573,544
	6,220,000	Corning, Inc., 6.200%, 3/15/2016		6,601,292
	6,150,000	Corning, Inc., 6.850%, 3/01/2029		6,142,737
	4,725,000	Corning, Inc., 7.250%, 8/15/2036		4,814,421
	3,640,000	Eastman Kodak Co., 7.250%, 11/15/2013		3,003,000
	11,626,000	Equifax, Inc., 7.000%, 7/01/2037		11,431,020
	6,290,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		5,063,450
	9,739,000	Motorola, Inc., 5.220%, 10/01/2097		5,032,190
	475,000	Motorola, Inc., 6.000%, 11/15/2017		459,584
	9,345,000	Motorola, Inc., 6.500%, 9/01/2025		8,119,048
	21,299,000	Motorola, Inc., 6.500%, 11/15/2028		18,321,208
	19,360,000	Motorola, Inc., 6.625%, 11/15/2037		16,843,200
	250,000	Motorola, Inc., 7.500%, 5/15/2025		239,213
	9,350,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		6,264,500
	11,770,000	Nortel Networks Ltd., 6.875%, 9/01/2023(d)		5,296,500
	270,000	Samsung Electronics Co. Ltd., 144A, 7.700%, 10/01/2027		282,222
	21,822,000	Xerox Capital Trust I, 8.000%, 2/01/2027		21,603,780
	4,795,000	Xerox Corp., 5.500%, 5/15/2012		5,067,452
	1,730,000	Xerox Corp., MTN, 7.200%, 4/01/2016		1,860,349

				305,158,597

		Tobacco — 1.0%
	29,189,000	Altria Group, Inc., 8.500%, 11/10/2013		33,731,684
	16,580,000	Altria Group, Inc., 9.250%, 8/06/2019		20,204,852
	1,375,000	Altria Group, Inc., 9.700%, 11/10/2018		1,699,730
	52,930,000	Reynolds American, Inc., 6.750%, 6/15/2017		54,814,626
	13,400,000	Reynolds American, Inc., 7.250%, 6/15/2037		13,494,845

				123,945,737

		Transportation Services — 0.4%
	10,503,000	APL Ltd., Senior Note, 8.000%, 1/15/2024(c)		8,084,369
	15,781,538	Atlas Air, Inc., Series 1998-1, Class 1B, 7.680%, 1/02/2014		13,414,307
	8,432,129	Atlas Air, Inc., Series 1999-1, Class A1, 7.200%, 7/02/2020		6,745,704
	248,342	Atlas Air, Inc., Series 1999-1, Class A2, 6.880%, 1/02/2011		228,474

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


Principal Amount (‡)		Description	Value (†)
		Transportation Services — continued
$	11,412,429	Atlas Air, Inc., Series 1999-1, Class B, 7.630%, 7/02/2016	$	8,901,694
	4,744,556	Atlas Air, Inc., Series 1999-1, Class C, 8.770%, 7/02/2012(e)		3,368,635
	4,917,945	Atlas Air, Inc., Series 2000-1, Class B, 9.057%, 7/02/2017(e)		4,475,330
	6,862,758	Atlas Air, Inc., Series C, 8.010%, 1/02/2010(e)		4,735,303
	3,970,000	Erac USA Finance Co., 144A, 7.000%, 10/15/2037		3,885,868

				53,839,684

		Treasuries — 13.0%
	393,245,000	Canadian Government, 1.000%, 9/01/2011, (CAD)		374,083,777
	11,035,000	Canadian Government, 1.250%, 12/01/2011, (CAD)		10,505,962
	320,680,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		307,210,122
	130,000,000	Canadian Government, 2.750%, 12/01/2010, (CAD)		126,658,794
	130,216,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		129,452,770
	101,755,000	Canadian Government, 3.750%, 6/01/2012, (CAD)		101,819,214
	171,980,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		166,234,452
	25,445,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		25,665,669
	75,385,000	Canadian Government, 5.250%, 6/01/2012, (CAD)		77,974,118
	22,670,000	New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		16,635,008
	457,420,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		80,306,845
	221,050,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		40,474,355
	366,200,000	Norwegian Government, 6.000%, 5/16/2011, (NOK)		66,263,617
	262,545,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		50,109,736
	102,640,000	U.S. Treasury Bond, 4.375%, 11/15/2039		98,245,776
	25,000,000	U.S. Treasury Note, 3.125%, 5/15/2019		23,675,775

				1,695,315,990

		Wireless — 1.3%
	29,635,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		28,820,037
	15,931,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		15,453,070
	42,310,000	Nextel Communications, Inc., Series F, 5.950%, 3/15/2014		39,506,962
	2,525,000	Rogers Wireless, Inc., Senior Secured Note, 6.375%, 3/01/2014		2,795,665
	21,186,000	Sprint Capital Corp., 6.875%, 11/15/2028		17,610,863
	18,070,000	Sprint Capital Corp., 6.900%, 5/01/2019		16,624,400


Principal Amount (‡)		Description	Value (†)
		Wireless — continued
$	6,260,000	Sprint Capital Corp., 8.750%, 3/15/2032	$	5,900,050
	11,309,000	Sprint Nextel Corp., 6.000%, 12/01/2016		10,319,463
	800,000	True Move Co. Ltd., 144A, 10.375%, 8/01/2014		752,000
	31,785,000	True Move Co. Ltd., 144A, 10.750%, 12/16/2013		30,672,525

				168,455,035

		Wirelines — 3.6%
	10,245,000	AT&T Corp., 6.500%, 3/15/2029		10,198,191
	30,880,000	AT&T, Inc., 6.500%, 9/01/2037		32,007,120
	5,650,000	Axtel SAB de CV, 144A, 9.000%, 9/22/2019		5,791,250
	4,370,000	Bell Canada, MTN, 144A, 6.550%, 5/01/2029, (CAD)		4,096,314
	8,445,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		8,597,532
	33,640,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		29,894,038
	2,715,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		2,661,262
	155,000	Cincinnati Bell, Inc., 7.000%, 2/15/2015		153,062
	270,000	Cincinnati Bell, Inc., 8.375%, 1/15/2014		274,725
	5,330,000	Embarq Corp., 7.995%, 6/01/2036		5,733,470
	35,260,000	Frontier Communications Corp., 7.875%, 1/15/2027		32,439,200
	10,555,000	GTE Corp., 6.940%, 4/15/2028		10,828,322
	525,000	Hawaiian Telcom Communications, Inc., Series B, 12.500%, 5/01/2015(d)		52
	1,120,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		1,888,116
	1,800,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		2,618,864
	32,435,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		29,596,937
	13,010,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		12,294,450
	3,346,000	New England Telephone & Telegraph Co., 7.875%, 11/15/2029		3,660,541
	16,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		14,129,775
	32,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		27,535,750
	42,460,000	Qwest Capital Funding, Inc., Guaranteed Note, 6.875%, 7/15/2028		34,392,600
	12,463,000	Qwest Capital Funding, Inc., Guaranteed Note, 7.625%, 8/03/2021		11,092,070
	33,130,000	Qwest Corp., 6.875%, 9/15/2033		29,154,400

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


Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
$	3,075,000	Qwest Corp., 7.200%, 11/10/2026	$	2,782,875
	3,999,000	Qwest Corp., 7.250%, 9/15/2025		3,699,075
	2,288,000	Qwest Corp., 7.500%, 6/15/2023		2,162,160
	5,470,000	SK Broadband Co. Ltd., 144A, 7.000%, 2/01/2012		5,743,500
	23,000,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		21,750,801
	19,635,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		19,358,520
	5,286,000	Telefonica Emisiones SAU, Guaranteed Note, 7.045%, 6/20/2036		6,036,078
	31,690,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		30,721,286
	18,600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		17,332,137
	28,201,000	Verizon Global Funding Corp., Senior Note, 5.850%, 9/15/2035		27,499,698
	6,230,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		4,928,995
	6,835,000	Verizon New York, Inc., Series A, 7.375%, 4/01/2032		7,362,683
	5,215,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		4,651,994

				463,067,843

		Total Non-Convertible Bonds (Identified Cost $10,460,905,004)		10,732,723,777

	Convertible Bonds — 7.5%
		Airlines — 0.1%
	7,730,000	AMR Corp., 6.250%, 10/15/2014		8,010,213

		Automotive — 1.2%
	121,370,000	Ford Motor Co., 4.250%, 11/15/2016		152,167,637
	8,460,000	Navistar International Corp., 3.000%, 10/15/2014		8,745,525

				160,913,162

		Diversified Manufacturing — 0.1%
	13,690,000	Trinity Industries, Inc., 3.875%, 6/01/2036		10,233,275

		Electric — 0.0%
	1,800,000	CMS Energy Corp., 5.500%, 6/15/2029		2,200,500

		Healthcare — 0.4%
	26,280,000	Affymetrix, Inc., 3.500%, 1/15/2038		23,257,800
	3,200,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(f)		2,732,000
	12,005,000	Life Technologies Corp., 1.500%, 2/15/2024		13,865,775
	190,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		175,037
	2,380,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,216,375


Principal Amount (‡)		Description	Value (†)
		Healthcare — continued
$	5,445,000	Omnicare, Inc., 3.250%, 12/15/2035	$	4,430,869

				46,677,856

		Independent Energy — 0.0%
	860,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		650,375
	3,795,000	Penn Virginia Corp., 4.500%, 11/15/2012		3,595,763

				4,246,138

		Industrial Other — 0.2%
	30,860,000	Incyte Corp., 3.500%, 2/15/2011		30,975,725

		Lodging — 0.2%
	30,418,000	Host Hotels & Resorts, Inc., 144A, 2.625%, 4/15/2027		28,516,875

		Media Non-Cable — 0.0%
	7,761,687	Liberty Media LLC, 3.500%, 1/15/2031		4,695,821

		Metals & Mining — 0.2%
	1,000,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,266,250
	11,270,000	United States Steel Corp., 4.000%, 5/15/2014		21,117,162

				22,383,412

		Non-Captive Diversified — 0.2%
	44,035,000	iStar Financial, Inc., 0.790%, 10/01/2012(b)		24,276,495

		Oil Field Services — 0.0%
	1,300,000	Transocean, Inc., Series B, 1.500%, 12/15/2037		1,254,500
	535,000	Transocean, Inc., Series C, 1.500%, 12/15/2037		514,938

				1,769,438

		Pharmaceuticals — 1.1%
	635,000	Human Genome Sciences, Inc., 2.250%, 10/15/2011		1,289,844
	41,680,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		76,013,900
	1,600,000	Kendle International, Inc., 3.375%, 7/15/2012		1,424,000
	24,461,000	Nektar Therapeutics, 3.250%, 9/28/2012		22,504,120
	28,222,000	Valeant Pharmaceuticals International, Subordinated Note, 4.000%, 11/15/2013		33,725,290

				134,957,154

		REITs — 0.1%
	6,469,000	ProLogis, 1.875%, 11/15/2037		5,725,065
	5,920,000	ProLogis, 2.250%, 4/01/2037		5,490,800

				11,215,865

		Technology — 2.5%
	6,512,000	Advanced Micro Devices, Inc., 5.750%, 8/15/2012		6,422,460

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


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	2,255,000	Advanced Micro Devices, Inc., 6.000%, 5/01/2015	$	2,029,500
	2,560,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		2,182,400
	220,000	Ciena Corp., 0.250%, 5/01/2013		166,100
	30,160,000	Ciena Corp., 0.875%, 6/15/2017		17,455,100
	2,050,000	Intel Corp., 2.950%, 12/15/2035		1,978,250
	220,000,000	Intel Corp., 144A, 3.250%, 8/01/2039		252,725,000
	9,197,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		8,035,879
	3,880,000	Kulicke & Soffa Industries, Inc., 1.000%, 6/30/2010		3,744,200
	3,730,000	Maxtor Corp., Subordinated Note, 5.750%, 3/01/2012(c)		3,599,450
	745,000	Nortel Networks Corp., 1.750%, 4/15/2012(d)		505,669
	30,767,000	Nortel Networks Corp., 2.125%, 4/15/2014(d)		20,883,101
	311,000	Richardson Electronics Ltd., 7.750%, 12/15/2011		298,560

				320,025,669

		Textile — 0.0%
	103,000	Dixie Group, Inc., Subordinated Note, 7.000%, 5/15/2012		88,580

		Wireless — 0.1%
	16,157,000	NII Holdings, Inc., 3.125%, 6/15/2012		14,824,047

		Wirelines — 1.1%
	34,645,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		30,314,375
	13,484,000	Level 3 Communications, Inc., 5.250%, 12/15/2011		12,792,945
	32,895,000	Level 3 Communications, Inc., 7.000%, 3/15/2015(c)		37,253,588
	54,075,000	Level 3 Communications, Inc., 144A, 7.000%, 3/15/2015(c)		61,239,937
	2,470,000	Level 3 Communications, Inc., 10.000%, 5/01/2011		2,494,700
	1,000,000	Qwest Communications International, Inc., 3.500%, 11/15/2025		1,037,500

				145,133,045

		Total Convertible Bonds (Identified Cost $850,997,494)		971,143,270

	Municipals — 1.1%
		California — 0.3%
	4,170,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, 3.750%, 8/01/2028		3,196,680
	1,530,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028		1,287,724


Principal Amount (‡)		Description	Value (†)
		California — continued
$	5,175,000	State of California, (AMBAC insured), 4.500%, 8/01/2027	$	4,580,030
	14,415,000	State of California, 4.500%, 10/01/2029		12,406,126
	4,190,000	State of California, (AMBAC insured), 4.500%, 8/01/2030		3,576,584
	3,620,000	State of California, 4.500%, 8/01/2030		3,112,078
	2,680,000	State of California (Various Purpose), (MBIA insured), 3.250%, 12/01/2027		1,969,827
	12,645,000	State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033		10,487,763

				40,616,812

		Illinois — 0.0%
	1,725,000	Chicago O’Hare International Airport, Series A, (FSA insured), 4.500%, 1/01/2038		1,635,593

		Michigan — 0.1%
	12,850,000	Michigan Tobacco Settlement Finance Authority, Taxable Turbo Series A, 7.309%, 6/01/2034(c)		10,267,407

		Nebraska — 0.0%
	5,740,000	Omaha Public Power District, Series AA, (FGIC insured), 4.500%, 2/01/2034		5,755,326

		Virginia — 0.7%
	128,820,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		92,928,172

		Total Municipals (Identified Cost $191,323,896)		151,203,310

		Total Bonds and Notes (Identified Cost $11,503,226,394)		11,855,070,357

	Bank Loans — 0.7%
		Airlines — 0.1%
	5,630,888	Delta Air Lines, Inc., Secured Term Loan, 8.750%, 9/27/2013(g)		5,615,628

		Chemicals — 0.0%
	645,774	Hexion Specialty Chemicals, Inc., Term Loan C1, 5/05/2013(h)		564,407
	4,098,955	Hexion Specialty Chemicals, Inc., Term Loan C1, 2.563%, 5/05/2013(g)		3,582,487
	142,581	Hexion Specialty Chemicals, Inc., Term Loan C2, 5/05/2013(h)		124,616
	888,109	Hexion Specialty Chemicals, Inc., Term Loan C2, 2.563%, 5/05/2013(g)		776,207

				5,047,717

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


Principal Amount (‡)		Description	Value (†)
		Energy — 0.1%
$	12,807,125	ATP Oil & Gas Corp., Tranche B-1 Term Loan, 11.250%, 7/15/2014(g)	$	12,434,950
	1,911,840	ATP Oil & Gas Corp., Tranche B2 Term Loan, 11.750%, 1/15/2011(g)		1,856,281

				14,291,231

		Media Non-Cable — 0.1%
	30,120,849	Idearc, Inc., Exit Term Loan, 11.000%, 12/31/2015(g)		15,562,539
	2,797,946	Tribune Co., Term Loan X, 5.000%, 6/04/2009(d)(g)(i)		1,565,982

				17,128,521

		Oil Field Services — 0.0%
	2,485,000	Dresser, Inc., Second Lien Term Loan, 6.001%, 5/04/2015(g)		2,297,085
	1,230,373	Dresser, Inc., Term Loan, 2.521%, 5/04/2014(g)		1,146,166

				3,443,251

		Retailers — 0.0%
	1,520,647	Harbor Freight Tools USA, Inc., Tranche C Term Loan, 9.750%, 2/12/2013(g)		1,520,647

		Technology — 0.2%
	6,784,184	Nuance Communications, Inc., Incremental Term Loan, 2.240%, 3/29/2013(g)		6,415,328
	511,420	Nuance Communications, Inc., Term Loan, 2.240%, 3/31/2013(g)		483,614
	11,970,193	Sungard Data Systems, Inc., Tranche B, 3.898%, 2/26/2016(g)		11,596,124

				18,495,066

		Wirelines — 0.2%
	3,975,879	Fairpoint Communications, Inc., Initial Term Loan A, 4.750%, 3/31/2014(d)(g)		3,096,931
	12,057,742	Fairpoint Communications, Inc., Initial Term Loan B, 5.000%, 3/31/2015(d)(g)		9,379,235
	17,053,694	Hawaiian Telcom Communications, Inc., Tranche C Term Loan, 4.750%, 6/01/2014(g)(j)		12,299,977
	5,395,000	Level 3 Financing, Inc., Tranche A Term Loan, 2.530%, 3/13/2014(g)		4,882,475

				29,658,618

		Total Bank Loans (Identified Cost $101,506,358)		95,200,679

Shares
	Common Stocks — 2.9%
		Biotechnology — 0.3%
	867,059	Vertex Pharmaceuticals, Inc.(e)		37,153,478


Shares	Description	Value (†)
	Containers & Packaging — 0.1%
460,656	Owens-Illinois, Inc.(e)	$	15,141,763

	Electric Utilities — 0.0%
282,500	Duke Energy Corp.		4,861,825

	Electronic Equipment, Instruments & Components — 0.0%
41,343	Corning, Inc.		798,333

	Food Products — 0.4%
2,309,175	ConAgra Foods, Inc.		53,226,484

	Household Durables — 0.1%
477,725	KB Home		6,535,278
549,450	Lennar Corp., Class A		7,016,476

			13,551,754

	Oil, Gas & Consumable Fuels — 0.2%
846,398	Chesapeake Energy Corp.		21,904,780
141,249	Spectra Energy Corp.		2,897,017

			24,801,797

	Pharmaceuticals — 1.4%
7,238,800	Bristol-Myers Squibb Co.		182,779,700
2,288	Teva Pharmaceutical Industries Ltd., Sponsored ADR		128,540

			182,908,240

	REITs — 0.3%
290,904	Apartment Investment & Management Co., Class A		4,631,192
889,730	Associated Estates Realty Corp.		10,027,257
201,557	Developers Diversified Realty Corp.		1,866,418
460,000	Equity Residential		15,538,800
123,159	Simon Property Group, Inc.		9,828,088

			41,891,755

	Thrifts & Mortgage Finance — 0.1%
4,794,025	Federal Home Loan Mortgage Corp.(e)(k)		7,047,217

	Total Common Stocks (Identified Cost $445,623,297)		381,382,646

Preferred Stocks — 1.6%
Convertible Preferred Stocks — 1.2%
	Automotive — 0.4%
1,458,359	Ford Motor Co. Capital Trust II, 6.500%		58,159,357

	Capital Markets — 0.1%
183,851	Newell Financial Trust I, 5.250%		6,434,785

	Commercial Banks — 0.0%
5,933	Wells Fargo & Co., Series L, Class A, 7.500%	$	5,446,494

	Diversified Consumer Services — 0.0%
6	Six Flags, Inc., 7.250%(e)		3

	Diversified Financial Services — 0.2%
16,622	Bank of America Corp., Series L, 7.250%		14,627,360

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


Shares	Description	Value (†)
	Diversified Financial Services — continued
203,258	Sovereign Capital Trust IV, 4.375%	$	6,288,294

			20,915,654

	Electric Utilities — 0.2%
380,577	AES Trust III, 6.750%		17,649,258
107,725	CMS Energy Trust I, 7.750%(c)(l)		3,770,375

			21,419,633

	Machinery — 0.0%
171,240	United Rentals Trust I, 6.500%		5,019,473

	Oil, Gas & Consumable Fuels — 0.1%
52,020	Chesapeake Energy Corp., 4.500%		4,382,685
158,777	El Paso Energy Capital Trust I, 4.750%		5,805,284

			10,187,969

	REITs — 0.0%
42,700	FelCor Lodging Trust, Inc., Series A, 7.800%(e)		464,363

	Semiconductors & Semiconductor Equipment — 0.2%
32,320	Lucent Technologies Capital Trust I, 7.750%		25,112,640

	Total Convertible Preferred Stocks (Identified Cost $151,098,042)		153,160,371

Non-Convertible Preferred Stocks — 0.4%
	Banking — 0.2%
36,916	GMAC, Inc., Series G, 144A, 7.000%		24,332,259

	Diversified Financial Services — 0.0%
35,000	Bank of America Corp., 6.375%		666,750
250,146	CIT Group, Inc., Series A, 6.350%		—

			666,750

	Electric Utilities — 0.0%
393	Entergy New Orleans, Inc., 4.750%		26,761

	Thrifts & Mortgage Finance — 0.2%
389,800	Countrywide Capital IV, 6.750%		8,330,026
75,100	Federal Home Loan Mortgage Corp., 5.000%(e)(k)		132,176
1,741,500	Federal Home Loan Mortgage Corp., 5.570%(e)(k)		1,637,010
444,350	Federal Home Loan Mortgage Corp., 5.660%(e)(k)		377,697
120,695	Federal Home Loan Mortgage Corp., 5.700%(e)(k)		187,077
283,000	Federal Home Loan Mortgage Corp., 5.790%(e)(k)		478,270


Shares	Description	Value (†)
	Thrifts & Mortgage Finance — continued
81,450	Federal Home Loan Mortgage Corp., 5.810%(e)(k)	$	140,909
219,750	Federal Home Loan Mortgage Corp., 5.900%(e)(k)		188,985
96,600	Federal Home Loan Mortgage Corp., 6.000%(e)(k)		162,288
89,300	Federal Home Loan Mortgage Corp., 6.420%(e)(k)		159,847
392,116	Federal Home Loan Mortgage Corp., 6.550%(e)(k)		380,353
3,856,103	Federal Home Loan Mortgage Corp., (fixed rate to 12/31/2012, variable rate thereafter), 8.375%(e)(k)		4,048,908
192,100	Federal National Mortgage Association, 4.750%(e)(k)		278,545
144,900	Federal National Mortgage Association, 5.125%(e)(k)		214,452
104,850	Federal National Mortgage Association, 5.375%(e)(k)		167,760
56,600	Federal National Mortgage Association, 5.810%(e)(k)		86,598
87,300	Federal National Mortgage Association, 6.750%(e)(k)		79,443
250,000	Federal National Mortgage Association, 8.250%(e)(k)		247,500
6,747,525	Federal National Mortgage Association, (fixed rate to 12/13/2010, variable rate thereafter), 8.250%(e)(k)		7,422,277

			24,720,121

	Total Non-Convertible Preferred Stocks (Identified Cost $304,384,624)		49,745,891

	Total Preferred Stocks (Identified Cost $455,482,666)		202,906,262

Closed-End Investment Companies — 0.3%
191,930	BlackRock Senior High Income Fund, Inc.		671,755
1,033,275	Dreyfus High Yield Strategies		3,874,781
88,955	DWS High Income Trust		753,449
860,000	Highland Credit Strategies Fund		5,435,200
110,211	Morgan Stanley Emerging Markets Debt Fund, Inc.		1,110,927
28,322	Van Kampen High Income Trust II		410,102
2,055,800	Western Asset High Income Opportunity Fund, Inc.		12,293,684
1,217,820	Western Asset Managed High Income Fund, Inc.		7,051,178

	Total Closed-End Investment Companies (Identified Cost $40,372,606)		31,601,076

Warrants — 0.0%
	Pharmaceuticals — 0.0%
574,624	Valeant Pharmaceuticals International(c)(e)(l) (Identified Cost $0)		103,432

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


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 2.0%
$	20,638	Repurchase Agreement with State Street Corporation, dated 12/31/2009 at 0.000% to be repurchased at $20,638 on 1/04/2010, collateralized by $25,000 U.S. Treasury Bill, due 2/25/2010 valued at $24,998 including accrued interest(m)	$	20,638
	260,480,113	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $260,480,113 on 1/04/2010, collateralized by $53,160,000 Federal Home Loan Mortgage Corp., 2.250% due 8/17/2012 valued at $53,691,600; $77,800,000 Federal Home Loan Mortgage Corp., 2.075% due 6/18/2012 valued at $78,189,000; $134,145,000 Federal Home Loan Bank, 1.550% due 6/15/2012 valued at $133,641,956; $170,000 Federal National Mortgage Association, 2.750% due 3/13/2014 valued at $172,975 including accrued interest(m)		260,480,113

		Total Short-Term Investments (Identified Cost $260,500,751)		260,500,751

		Total Investments — 98.7% (Identified Cost $12,806,712,072)(a)		12,826,765,203
		Other assets less liabilities—1.3%		166,401,746

		Net Assets — 100.0%	$	12,993,166,949

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

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day.

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

(†††)

Amount shown represents units. One unit represents a principal amount of 25.

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

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At December 31, 2009, the net unrealized appreciation on investments based on a cost of $12,820,809,294 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	$	937,629,476
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(931,673,567	)

Net unrealized appreciation	$	5,955,909

At September 30, 2009, the Fund had a capital loss carryforward of approximately $45,672,245 which expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $552,853,501. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of December 31, 2009 is disclosed.

(c)	Illiquid security. At December 31, 2009, the value of these securities amounted to $443,538,032 or 3.4% of net assets.

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

(e)	Non-income producing security.

(f)	Step Bond: Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

(g)	Variable rate security. Rate shown represents the weighted average rate at December 31, 2009.

(h)	All or a portion of this security has not settled. Contract rates are not determined and do not take effect until settlement date.

(i)	Issuer has filed for bankruptcy.

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

(k)	Future dividend payments have been eliminated as the issuer has been placed in conservatorship.

(l)	Fair valued security by the Fund’s investment adviser. At December 31, 2009 the value of these securities amounted to $3,873,807 or 0.0% of net assets.

(m)

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 December 31, 2009, the value of these securities amounted to $1,669,965,146 or 12.9% of net assets.


ADR		An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs are significantly influenced by trading on exchanges not located in the United States.
ABS		Asset-Backed Securities
AMBAC		American Municipal Bond Assurance Corp.
EMTN		Euro Medium Term Note
FGIC		Financial Guaranty Insurance Company
FSA		Financial Security Assurance, Inc.
GMTN		Global Medium Term Note
MBIA		Municipal Bond Investors Assurance Corp.
MTN		Medium Term Note
REITs		Real Estate Investment Trusts

AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
EUR		Euro
GBP		British Pound
IDR		Indonesian Rupiah
ISK		Icelandic Krona
KRW		South Korean Won
MXN		Mexican Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
SGD		Singapore Dollar
THB		Thai Baht

Fair Value Measurements

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2009, at value:

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2009:

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

Industry Summary at December 31, 2009 (Unaudited)


Treasuries	13.0	%
Non-Captive Diversified	7.0
Banking	6.9
Technology	5.0
Wirelines	4.9
Sovereigns	4.8
Automotive	4.6
Healthcare	4.2
Non-Captive Consumer	3.5
Electric	3.3
Pharmaceuticals	2.7
Paper	2.7
Retailers	2.3
Pipelines	2.2
Oil Field Services	2.2
Media Cable	2.1
Airlines	2.1
Other Investments, less than 2% each	23.2
Short-Term Investments	2.0

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

Currency Exposure at December 31, 2009 as a Percentage of Net Assets (Unaudited)


United States Dollar	73.0	%
Canadian Dollar	11.1
New Zealand Dollar	2.7
Brazilian Real	2.3
Other, less than 2% each	9.6

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%


Shares	Description	Value (†)
Common Stocks – 94.7% of Net Assets
	Aerospace & Defense – 2.8%
234,892	Honeywell International, Inc.	$	9,207,766
268,115	Northrop Grumman Corp.		14,974,223

			24,181,989

	Auto Components – 1.0%
586,560	Goodyear Tire & Rubber Co. (The)(b)		8,270,496

	Beverages – 2.5%
133,548	Dr Pepper Snapple Group, Inc.		3,779,408
145,106	Molson Coors Brewing Co., Class B		6,552,987
184,323	PepsiCo, Inc.		11,206,839

			21,539,234

	Biotechnology – 1.1%
173,863	Amgen, Inc.(b)		9,835,430

	Capital Markets – 6.1%
407,374	Ameriprise Financial, Inc.		15,814,259
439,315	Bank of New York Mellon Corp.		12,287,641
328,097	Legg Mason, Inc.		9,895,405
338,376	State Street Corp.		14,732,891

			52,730,196

	Chemicals – 0.7%
76,870	Praxair, Inc.		6,173,430

	Commercial Banks – 5.4%
631,916	Fifth Third Bancorp		6,161,181
267,699	PNC Financial Services Group, Inc.		14,131,830
426,949	U.S. Bancorp		9,610,622
622,084	Wells Fargo & Co.		16,790,047

			46,693,680

	Communications Equipment – 1.0%
372,265	Cisco Systems, Inc.(b)		8,912,024

	Computers & Peripherals – 3.2%
365,188	Hewlett-Packard Co.		18,810,834
70,130	International Business Machines Corp.		9,180,017

			27,990,851

	Construction & Engineering – 1.2%
353,470	Foster Wheeler AG(b)		10,406,157

	Consumer Finance – 1.1%
618,193	Discover Financial Services		9,093,619

	Containers & Packaging – 1.5%
390,220	Owens-Illinois, Inc.(b)		12,826,531

	Diversified Consumer Services – 1.1%
417,919	H&R Block, Inc.		9,453,328

	Diversified Financial Services – 4.9%
1,139,612	Bank of America Corp.		17,162,556
611,734	JPMorgan Chase & Co.		25,490,956

			42,653,512

	Diversified Telecommunication Services – 2.4%
398,494	AT&T, Inc.		11,169,787
270,662	CenturyTel, Inc.		9,800,671

			20,970,458

	Electric Utilities – 2.4%
435,467	Allegheny Energy, Inc.		10,224,765
304,440	American Electric Power Co., Inc.		10,591,468

			20,816,233

	Electrical Equipment – 1.0%
458,124	ABB Ltd., Sponsored ADR(b)		8,750,168

	Energy Equipment & Services – 2.4%
423,069	Smith International, Inc.		11,494,785


Shares	Description	Value (†)
	Energy Equipment & Services – continued
192,319	Tidewater, Inc.	$	9,221,696

			20,716,481

	Food & Staples Retailing – 2.2%
297,112	CVS Caremark Corp.		9,569,978
167,456	Wal-Mart Stores, Inc.		8,950,523

			18,520,501

	Food Products – 1.4%
531,260	ConAgra Foods, Inc.		12,245,543

	Gas Utilities – 1.5%
286,108	EQT Corp.		12,565,863

	Health Care Equipment & Supplies – 3.9%
1,083,615	Boston Scientific Corp.(b)		9,752,535
252,558	Covidien PLC		12,095,003
271,783	Medtronic, Inc.		11,953,016

			33,800,554

	Health Care Providers & Services – 1.5%
413,778	UnitedHealth Group, Inc.		12,611,953

	Household Durables – 1.0%
189,213	Harman International Industries, Inc.		6,675,435
224,753	Pulte Homes, Inc.(b)		2,247,530

			8,922,965

	Industrial Conglomerates – 2.9%
944,070	General Electric Co.		14,283,779
119,740	Siemens AG, Sponsored ADR		10,980,158

			25,263,937

	Insurance – 2.9%
3,433	Berkshire Hathaway, Inc., Class B(b)		11,280,838
281,851	Travelers Cos., Inc. (The)		14,053,091

			25,333,929

	Internet Software & Services – 1.4%
165,230	AOL, Inc.(b)		3,846,554
340,305	eBay, Inc.(b)		8,010,780

			11,857,334

	Media – 4.6%
861,925	Comcast Corp., Class A		14,532,055
499,281	DIRECTV, Class A(b)		16,651,021
286,577	Time Warner, Inc.		8,350,854

			39,533,930

	Metals & Mining – 1.1%
209,641	ArcelorMittal, (NY Registered)		9,591,076

	Multi-Utilities & Unregulated Power – 1.3%
330,915	Public Service Enterprise Group, Inc.		11,002,924

	Oil, Gas & Consumable Fuels – 12.3%
151,599	Anadarko Petroleum Corp.		9,462,810
207,336	CONSOL Energy, Inc.		10,325,333
126,679	EOG Resources, Inc.		12,325,867
240,424	ExxonMobil Corp.		16,394,512
282,039	Hess Corp.		17,063,359
331,666	Total SA, Sponsored ADR		21,239,891
594,259	Valero Energy Corp.		9,953,838
190,488	XTO Energy, Inc.		8,863,407

			105,629,017

	Paper & Forest Products – 1.2%
230,450	Weyerhaeuser Co.		9,941,613

	Personal Products – 1.0%
178,833	Estee Lauder Cos., Inc. (The), Class A		8,648,364

	Pharmaceuticals – 6.2%
306,853	Bristol-Myers Squibb Co.		7,748,038


Shares		Description	Value (†)
		Pharmaceuticals – continued
	169,087	Johnson & Johnson	$	10,890,894
	443,728	Merck & Co., Inc.		16,213,821
	1,007,735	Pfizer, Inc.		18,330,700

				53,183,453

		Semiconductors & Semiconductor Equipment – 1.0%
	616,686	Applied Materials, Inc.		8,596,603

		Software – 2.1%
	238,803	Microsoft Corp.		7,281,103
	456,892	Oracle Corp.		11,212,130

				18,493,233

		Specialty Retail – 1.0%
	419,174	Gap, Inc. (The)		8,781,695

		Textiles, Apparel & Luxury Goods – 1.0%
	134,887	Nike, Inc., Class B		8,911,984

		Wireless Telecommunication Services – 1.4%
	509,180	Vodafone Group PLC, Sponsored ADR		11,756,966

		Total Common Stocks (Identified Cost $761,588,920)		817,207,254


Principal Amount
	Short-Term Investments – 14.0%
$	120,402,199	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2009 at 0.000% to be repurchased at $120,402,199 on 1/4/2010 collateralized by $122,200,000 Federal Home Loan Bank, 2.075% due 6/18/2012 with a value of $122,811,000 including accrued interest(c) (Identified Cost $120,402,199)		120,402,199

		Total Investments - 108.7% (Identified Cost $881,991,119)(a)		937,609,453
		Other assets less liabilities — (8.7)%		(75,045,127	)

		Net Assets — 100.0%	$	862,564,326

(†)

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At December 31, 2009, the net unrealized appreciation on investments based on a cost of $881,991,119 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	$	69,133,268
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,514,934	)

Net unrealized appreciation	$	55,618,334

At September 30, 2009, the Fund had a capital loss carryforward of approximately $26,840,015 which expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $66,497,637. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

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.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2009, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	817,207,254	$	—	$	—	$	817,207,254
Short-Term Investments		—		120,402,199		—		120,402,199

Total	$	817,207,254	$	120,402,199	$	—	$	937,609,453

*	Major categories of the Fund’s investments are included above.

Industry Summary at December 31, 2009 (Unaudited)


Oil, Gas & Consumable Fuels	12.3	%
Pharmaceuticals	6.2
Capital Markets	6.1
Commercial Banks	5.4
Diversified Financial Services	4.9
Media	4.6
Health Care Equipment & Supplies	3.9
Computers & Peripherals	3.2
Insurance	2.9
Industrial Conglomerates	2.9
Aerospace & Defense	2.8
Beverages	2.5
Diversified Telecommunication Services	2.4
Electric Utilities	2.4
Energy Equipment & Services	2.4
Food & Staples Retailing	2.2
Software	2.1
Other Investments, less than 2% each	25.5
Short-Term Investments	14.0

Total Investments	108.7
Other assets less liabilities	(8.7	)

Net Assets	100.0	%

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 have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

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.

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.


Investments in Securities	Balance as of September 30, 2009		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Net Purchases (Sales)		Net Transfers into/(out of) Level 3			Balance as of December 31, 2009
Bonds and Notes
Non-Convertible Bonds
United States	$	859,552	$	1,350	$	—	$	103,531	$	—	$	(758,283	)	$	206,150
Convertible Bonds
United States		227,900		160		—		15,428		—		(243,488	)		—
Warrants
United States		—		—		—		2,249		—		—			2,249

Total	$	1,087,452	$	1,510	$	—	$	121,208	$	—	$	(1,001,771	)	$	208,399


Technology	9.0	%
Wirelines	8.1
Independent Energy	6.6
Healthcare	6.2
Pharmaceuticals	4.9
Wireless	4.5
Lodging	4.4
Automotive	3.7
Home Construction	3.6
Paper	3.0
Sovereigns	2.6
Non-Captive Consumer	2.6
Non-Captive Diversified	2.6
Electric	2.5
Aerospace & Defense	2.3
Retailers	2.3
Other Investments, less than 2% each	26.0
Short-Term Investments	4.0

Total Investments	98.9
Other assets less liabilities	1.1

Net Assets	100.0	%


Mortgage Related	25.3	%
Treasuries	21.9
Commercial Mortgage-Backed Securities	13.2
Government Guaranteed	12.8
Government Owned - No Guarantee	11.1
Government Sponsored	7.7
Other Investments, less than 2% each	6.2
Short-Term Investments	2.7

Total Investments	100.9
Other assets less liabilities	(0.9	)

Net Assets	100.0	%


	Shares	Value(†)
COMMON STOCKS – 96.9% of Net Assets
Aerospace & Defense – 1.0%
Hexcel Corp.(b)	103,258	$	1,340,289

Air Freight & Logistics – 1.1%
Atlas Air Worldwide Holdings, Inc.(b)	37,336		1,390,766

Biotechnology – 4.3%
Alexion Pharmaceuticals, Inc.(b)	23,918		1,167,677
Cepheid, Inc.(b)	73,462		916,806
Clinical Data, Inc.(b)	35,688		651,663
Incyte Corp. Ltd.(b)	98,445		896,834
Regeneron Pharmaceuticals, Inc.(b)	47,181		1,140,836
Theravance, Inc.(b)	53,583		700,330

			5,474,146

Building Products – 0.9%
Trex Company, Inc.(b)	57,915		1,135,134

Capital Markets – 3.4%
Evercore Partners, Inc., Class A	31,852		968,301
Greenhill & Co., Inc.	14,832		1,190,120
Harris & Harris Group, Inc.(b)	154,857		707,696
Stifel Financial Corp.(b)	24,385		1,444,567

			4,310,684

Commercial Banks – 0.9%
Signature Bank(b)	38,269		1,220,781

Commercial Services & Supplies – 2.7%
EnerNOC, Inc.(b)	37,686		1,145,278
Tetra Tech, Inc.(b)	33,296		904,652
Waste Connections, Inc.(b)	40,836		1,361,472

			3,411,402

Communications Equipment – 3.4%
Brocade Communications Systems, Inc.(b)	134,133		1,023,435
Ciena Corp.(b)	75,066		813,715
DG FastChannel, Inc.(b)	44,628		1,246,460
F5 Networks, Inc.(b)	25,202		1,335,202

			4,418,812

Computers & Peripherals – 0.6%
Netezza Corp.(b)	79,485		771,004

Construction & Engineering – 1.7%
MasTec, Inc.(b)	86,792		1,084,900
Orion Marine Group, Inc.(b)	52,927		1,114,643

			2,199,543

Diversified Consumer Services – 1.7%
Grand Canyon Education, Inc.(b)	58,017		1,102,903
Lincoln Educational Services Corp.(b)	46,976		1,017,970

			2,120,873


	Shares	Value(†)
COMMON STOCKS – continued
Diversified Financial Services – 1.1%
MSCI, Inc.(b)	42,718	$	1,358,432

Diversified Telecommunication Services – 0.7%
Neutral Tandem, Inc.(b)	38,401		873,623

Electronic Equipment Instruments & Components – 1.8%
Cogent, Inc.(b)	92,640		962,530
IPG Photonics Corp.(b)	83,058		1,390,391

			2,352,921

Energy Equipment & Services – 2.2%
Oceaneering International, Inc.(b)	22,110		1,293,877
Tesco Corp.(b)	115,421		1,490,085

			2,783,962

Food Products – 1.1%
Diamond Foods, Inc.	40,472		1,438,375

Health Care Equipment & Supplies – 8.0%
AGA Medical Holdings, Inc.(b)	63,486		937,688
Align Technology, Inc.(b)	55,202		983,700
DexCom, Inc.(b)	122,276		987,990
Electro-Optical Sciences, Inc.(b)	81,060		839,782
ev3, Inc.(b)	114,910		1,532,899
Insulet Corp.(b)	86,952		1,241,675
Masimo Corp.(b)	33,427		1,016,849
ResMed, Inc.(b)	26,835		1,402,665
Volcano Corp.(b)	79,879		1,388,297

			10,331,545

Health Care Providers & Services – 4.2%
Bio-Reference Labs, Inc.(b)	37,249		1,459,788
Catalyst Health Solutions, Inc.(b)	38,372		1,399,427
Genoptix, Inc.(b)	30,306		1,076,772
IPC The Hospitalist Co.(b)	45,795		1,522,684

			5,458,671

Health Care Technology – 3.4%
athenahealth, Inc.(b)	27,754		1,255,591
MedAssets, Inc.(b)	74,643		1,583,178
SXC Health Solutions Corp.(b)	28,848		1,556,350

			4,395,119

Hotels, Restaurants & Leisure – 2.8%
Bally Technologies, Inc.(b)	26,427		1,091,171
Buffalo Wild Wings, Inc.(b)	26,325		1,060,108
Panera Bread Co., Class A(b)	21,118		1,414,272

			3,565,551


	Principal Amount		Value(†)
SHORT-TERM INVESTMENTS – 3.1%
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/09 at 0.000% to be repurchased at $3,942,881 on 1/04/10 collateralized by $4,015,000 Federal Home Loan Mortgage Corp., 2.000% due 11/05/12 valued at $4,025,038 including accrued interest(c) (Identified Cost $3,942,881)	$	3,942,881	$	3,942,881

TOTAL INVESTMENTS – 100.0% (Identified Cost $99,925,232)(a)				128,567,639
Other assets less liabilities—0.0%				(37,951	)

NET ASSETS – 100.0%			$	128,529,688


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	29,883,122
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,240,242	)

Net unrealized appreciation	$	28,642,880


Software	11.2	%
Semiconductors & Semiconductor Equipment	8.1
Health Care Equipment & Supplies	8.0
Specialty Retail	6.0
Internet Software & Services	4.5
Biotechnology	4.3
Health Care Providers & Services	4.2
Oil, Gas & Consumable Fuels	3.9
Professional Services	3.8
Communications Equipment	3.4
Textiles, Apparel & Luxury Goods	3.4
Health Care Technology	3.4
Capital Markets	3.4
Hotels, Restaurants & Leisure	2.8
Pharmaceuticals	2.7
Commercial Services & Supplies	2.7
Energy Equipment & Services	2.2
Other Investments, less than 2% each	18.9
Short-Term Investments	3.1

Total Investments	100.0
Other assets less liabilities	0.0

Net Assets	100.0	%


Investments in Securities	Balance as of September 30, 2009		Accrued Discounts (Premiums)			Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Net Purchases (Sales)			Net Transfers into/(out of) Level 3			Balance as of December 31, 2009
Bonds and Notes
Non-Convertible Bonds
Airlines	$	6,940,852	$	—		$	—	$	768,765		$	—		$	(7,709,617	)	$	—
Automotive		2,526,146		9,138			—		78,414			—			(2,613,698	)		—
Chemicals		23,203,580		45,849			—		4,104,111			—			(11,670,180	)		15,683,360
Diversified Manufacturing		20,732,656		86,258			—		1,224,274			—			(22,043,188	)		—
Electric		4,708,532		(18,343	)		100,503		(45,164	)		(3,612,014	)		(1,133,514	)		—
Non-Captive Consumer		4,129,285		1,147			—		180,109			—			(4,310,541	)		—
Non-Captive Diversified		4,017,538		43,739			—		(81,050	)		—			(3,980,227	)		—
Supranational		30,455,245		—			—		2,775,651			3,839,477			—			37,070,373
Technology		225,000		394			—		13,819			—			(239,213	)		—
Convertible Bonds
Technology		3,394,300		18,317			—		186,833			—			(3,599,450	)		—
Wirelines		57,319,500		40,056			—		3,880,382			—			(61,239,938	)		—
Preferred Stocks
Convertible Preferred Stocks
Electric Utilities		3,770,375		—			—		—			—			—			3,770,375
REITs		491,050		—			—		(26,687	)		—			(464,363	)		—
Warrants
Pharmaceuticals		—		—			—		103,432			—			—			103,432

Total	$	161,914,059	$	226,555		$	100,503	$	13,162,889		$	227,463		$	(119,003,929	)	$	56,627,540


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

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


Loomis Sayles Funds II

By:		/s/ ROBERT J. BLANDING
Name:		Robert J. Blanding
Title:		Chief Executive Officer

Date:		February 22, 2010