UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06241

Loomis Sayles Funds II

(Exact name of registrant as specified in charter)

399 Boylston Street,

Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: September 30

      Date of reporting period: December 31, 2011

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of December 31, 2011 (Unaudited)

Loomis Sayles Global Equity and Income Fund

Shares		Description	Value (†)
	Common Stocks – 62.6% of Net Assets
		Belgium – 1.5%
	137,302	Anheuser-Busch InBev NV	$	8,379,987
		Brazil – 4.1%
	370,400	Cia Hering		6,445,884
	239,415	Embraer S.A., ADR		6,038,046
	363,200	Mills Estruturas e Servicos de Engenharia S.A.		3,446,530
	312,400	Natura Cosmeticos S.A.		6,072,979
				22,003,439
		British Virgin Islands – 0.5%
	103,414	Mail.ru Group Ltd., GDR, 144A(b)		2,688,764
		Canada – 0.1%
	9,996	Valeant Pharmaceuticals International, Inc.(b)		466,713
		Cayman Islands – 1.8%
	81,448	Baidu, Inc., Sponsored ADR(b)		9,486,249
		Chile – 2.1%
	89,561	Banco Santander Chile, ADR		6,779,768
	570,938	S.A.C.I. Falabella		4,440,018
				11,219,786
		Curacao – 1.4%
	115,020	Schlumberger Ltd.		7,857,016
		Denmark – 2.4%
	114,011	Novo Nordisk A/S, Class B		13,097,947
		France – 1.6%
	117,518	Sanofi		8,590,295
		Germany – 0.9%
	50,731	Siemens AG, (Registered)		4,853,730
		Hong Kong – 0.4%
	846,000	Hang Lung Properties Ltd.		2,401,442
		Japan – 2.3%
	46,000	FANUC Corp.		7,016,484
	554,000	Mitsubishi Electric Corp.		5,309,445
				12,325,929
		Korea – 0.7%
	13,503	LG Chem Ltd.		3,723,532
		Mexico – 1.1%
	3,026,100	Genomma Lab Internacional S.A. de CV, Class B(b)		5,835,479
		Sweden – 1.1%
	273,138	Atlas Copco AB, Class A		5,852,394

Shares		Description	Value (†)
	Common Stocks – continued
		Switzerland – 1.3%
	99,203	ACE Ltd.	$	6,956,114
		United Kingdom – 9.1%
	249,156	Antofagasta PLC		4,712,176
	172,199	British American Tobacco PLC		8,169,187
	176,431	Burberry Group PLC		3,244,144
	392,998	Diageo PLC		8,587,041
	102,010	Royal Dutch Shell PLC, ADR		7,455,911
	406,315	Standard Chartered PLC		8,887,130
	2,943,916	Vodafone Group PLC		8,207,944
				49,263,533
		United States – 29.2%
	156,342	American Express Co.		7,374,652
	41,153	Apple, Inc.(b)		16,666,965
	170,924	AT&T, Inc.		5,168,742
	463,764	Calpine Corp.(b)		7,573,266
	82,500	Caterpillar, Inc.		7,474,500
	170,823	CenturyLink, Inc.		6,354,616
	256,448	Coca-Cola Enterprises, Inc.		6,611,229
	128,494	CVS Caremark Corp.		5,239,985
	1,679	Dex One Corp.(b)		2,787
	164,728	FMC Technologies, Inc.(b)		8,603,743
	15,518	Google, Inc., Class A(b)		10,023,076
	955	Hawaiian Telcom Holdco, Inc.(b)		14,707
	73,123	Jones Lang LaSalle, Inc.		4,479,515
	227,220	Microsoft Corp.		5,898,631
	119,252	National Oilwell Varco, Inc.		8,107,944
	235,655	Oracle Corp.		6,044,551
	135,537	PepsiCo, Inc.		8,992,880
	133,724	PNC Financial Services Group, Inc.		7,711,863
	77,167	Praxair, Inc.		8,249,152
	36,703	Precision Castparts Corp.		6,048,287
	17,086	Priceline.com, Inc.(b)		7,991,293
	105,458	QUALCOMM, Inc.		5,768,553
	299	SuperMedia, Inc.(b)		789
	111,135	Texas Instruments, Inc.		3,235,140
	26,818	Vertex Pharmaceuticals, Inc.(b)		890,626
	43,413	VMware, Inc., Class A(b)		3,611,528
				158,139,020
		Virgin Islands – 1.0%
	269,026	Arcos Dorados Holdings, Inc., Class A		5,523,104
		Total Common Stocks (Identified Cost $327,223,220)		338,664,473

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – 28.1%
	Non-Convertible Bonds – 26.8%
			Argentina – 0.2%
	$626,891		Argentina Government International Bond, 8.280%, 12/31/2033(h)	$	457,630
	190,000		Pan American Energy LLC, 7.875%, 5/07/2021, 144A		190,950
	515,000		Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		463,500
					1,112,080
			Australia – 0.2%
	500,000		Macquarie Bank Ltd., 6.625%, 4/07/2021, 144A		460,978
	250,000		New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		257,257
	155,000		Sydney Airport Finance Co., 5.125%, 2/22/2021, 144A		157,272
					875,507
			Barbados – 0.0%
	200,000		Centrais Eletricas Brasileiras S.A., 5.750%, 10/27/2021, 144A		207,800
			Bermuda – 0.0%
	100,000		Noble Group Ltd., 6.750%, 1/29/2020, 144A		86,000
			Brazil – 0.6%
	400,000		Banco Santander Brasil S.A., 4.500%, 4/06/2015, 144A		388,000
	513,296		Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		269,883
	300,000		Brasil Telecom S.A., 9.750%, 9/15/2016, 144A, (BRL)		157,620
	630,940	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 8/15/2014, (BRL)		345,166
	504,752	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL)		277,011
	1,115	(†††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)		556,932
	250,000		Hypermarcas S.A., 6.500%, 4/20/2021, 144A		221,875
	300,000		Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A		308,908
	200,000		OGX Petroleo e Gas Participacoes S.A., 8.500%, 6/01/2018, 144A		196,000
	129,000		Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A		127,065
	400,000		Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A		387,000
					3,235,460
			Canada – 0.7%
	2,265,000		Canadian Government, 3.000%, 12/01/2015, (CAD)(c)		2,377,744
	650,000		Canadian Government, 3.500%, 6/01/2013, (CAD)		660,642

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Canada – continued
	180,000	Corus Entertainment, Inc., 7.250%, 2/10/2017, 144A, (CAD)	$	183,755
	465,000	Pacific Rubiales Energy Corp., 7.250%, 12/12/2021, 144A		467,325
	100,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		107,544
				3,797,010
		Cayman Islands – 0.8%
	200,000	Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		198,500
	300,000	Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A		273,750
	119,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		116,323
	100,000	Hutchison Whampoa International Ltd., 7.625%, 4/09/2019, 144A		123,194
	100,000	LPG International, Inc., 7.250%, 12/20/2015		109,500
	700,000	Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A		518,000
	170,000	Marfrig Overseas Ltd., 9.625%, 11/16/2016, 144A		148,750
	200,000	MBPS Finance Co., 11.250%, 11/15/2015, 144A		134,000
	196,000	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A		201,880
	500,000	Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A		501,250
	320,000	Petrobras International Finance Co., 5.875%, 3/01/2018		350,198
	300,000	Petrobras International Finance Co., 6.875%, 1/20/2040		347,455
	400,000	Tencent Holdings Ltd., 4.625%, 12/12/2016, 144A		390,278
	536,000	Vale Overseas Ltd., 6.875%, 11/21/2036		610,263
	200,000	Voto-Votorantim Ltd., 6.750%, 4/05/2021, 144A		211,500
				4,234,841
		Chile – 0.2%
	250,000,000	Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)		472,810
	185,000	Celulosa Arauco y Constitucion S.A., 5.000%, 1/21/2021		192,185
	250,000	E.CL S.A., 5.625%, 1/15/2021, 144A		264,159
				929,154
		Colombia – 0.2%
	450,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		249,131
	1,430,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		774,051

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Colombia – continued
	200,000,000	Republic of Colombia, 7.750%, 4/14/2021, (COP)	$	123,343
	40,000	Republic of Colombia, 8.125%, 5/21/2024		55,600
				1,202,125
		France – 0.1%
	150,000	Lafarge S.A., EMTN, 5.375%, 6/26/2017, (EUR)		169,870
	240,000	Veolia Environnement S.A., EMTN, 4.000%, 2/12/2016, (EUR)		322,430
	25,000	Veolia Environnement S.A., EMTN, 5.125%, 5/24/2022, (EUR)		33,694
	200,000	Vivendi S.A., EMTN, 4.250%, 12/01/2016, (EUR)		269,200
				795,194
		Germany – 0.1%
	240,000	Bundesrepublik Deutschland, 3.000%, 7/04/2020, (EUR)		344,291
		Hungary – 0.0%
	200,000	Hungary Government International Bond, 6.375%, 3/29/2021		179,000
		India – 0.1%
	200,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		188,614
	100,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		87,000
				275,614
		Indonesia – 0.1%
	200,000	Adaro Indonesia PT, 7.625%, 10/22/2019, 144A		217,260
	3,500,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		478,998
	781,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		115,119
				811,377
		Italy – 0.4%
	250,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		211,256
	1,535,000	Italy Buoni Poliennali Del Tesoro, 4.750%, 9/15/2016, (EUR)		1,891,016
	100,000	Telecom Italia SpA, EMTN, 5.375%, 1/29/2019, (EUR)		113,947
				2,216,219
		Jersey – 0.0%
	100,000	WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP)		171,978

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Korea – 0.5%
	8,000,000		Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)	$	177,913
	400,000		Hana Bank, 4.000%, 11/03/2016, 144A		397,587
	600,000		Hyundai Steel Co., 4.625%, 4/21/2016, 144A		598,060
	400,000		Kia Motors Corp., 3.625%, 6/14/2016, 144A		396,542
	400,000,000		Korea Treasury Bond, 5.000%, 9/10/2014, (KRW)		361,259
	260,000		SK Broadband Co. Ltd., 7.000%, 2/01/2012, 144A		260,083
	140,000		SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A		165,822
	200,000		Woori Bank, 5.875%, 4/13/2021, 144A		200,007
					2,557,273
			Luxembourg – 0.1%
	400,000		ArcelorMittal, 6.750%, 3/01/2041		359,692
	100,000		CSN Resources S.A., 6.500%, 7/21/2020, 144A		104,500
	200,000		Gazprom OAO Via Gaz Capital S.A., 4.950%, 5/23/2016, 144A		200,250
	125,000		Telecom Italia Capital S.A., 6.000%, 9/30/2034		92,622
	10,000		Telecom Italia Capital S.A., 6.375%, 11/15/2033		7,573
					764,637
			Malaysia – 0.2%
	1,750,000		Malaysia Government Bond, 3.434%, 8/15/2014, (MYR)		557,517
	1,000,000		Malaysia Government Bond, 4.262%, 9/15/2016, (MYR)		328,306
					885,823
			Mexico – 0.7%
	195,000		Axtel SAB de CV, 7.625%, 2/01/2017, 144A		138,450
	145,000		Axtel SAB de CV, 9.000%, 9/22/2019, 144A		108,025
	200,000		BBVA Bancomer S.A., 6.500%, 3/10/2021, 144A		192,750
	200,000		Corporacion GEO SAB de CV, 9.250%, 6/30/2020, 144A		195,500
	295,000		Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		287,625
	40,000	(††††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		286,226
	74,000	(††††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		578,983
	41,000	(††††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		336,804

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Mexico – continued
	65,000	(††††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)	$	599,156
	80,000	(††††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		618,746
	100,000		Mexichem SAB de CV, 8.750%, 11/06/2019, 144A		116,000
	330,000		Petroleos Mexicanos, 8.000%, 5/03/2019		411,675
	200,000		Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A		202,000
					4,071,940
			Netherlands – 0.2%
	50,000		British American Tobacco Holdings BV, 4.000%, 7/07/2020, (EUR)		66,756
	200,000		EADS Finance BV, EMTN, 4.625%, 8/12/2016, (EUR)		281,395
	200,000		Indosat Palapa Co. BV, 7.375%, 7/29/2020, 144A		220,500
	200,000		Listrindo Capital BV, 9.250%, 1/29/2015, 144A		217,598
	300,000		Marfrig Holding Europe BV, 8.375%, 5/09/2018, 144A		220,500
	100,000		Myriad International Holding BV, 6.375%, 7/28/2017, 144A		106,500
	50,000		OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR)		65,036
					1,178,285
			New Zealand – 0.2%
	1,000,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		911,607
			Norway – 0.4%
	125,000		Eksportfinans ASA, 2.000%, 9/15/2015		103,548
	3,335,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		622,017
	6,360,000		Norwegian Government, 4.500%, 5/22/2019, (NOK)		1,222,159
					1,947,724
			Philippines – 0.1%
	30,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		694,334
			Poland – 0.0%
	95,000		Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		102,333
			Qatar – 0.1%
	100,000		Qatar Government International Bond, 4.000%, 1/20/2015, 144A		104,650

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Qatar – continued
	$250,000	Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.500%, 9/30/2014, 144A	$	267,500
				372,150
		Republic of Korea – 0.1%
	400,000	Korea Finance Corp., 4.625%, 11/16/2021		396,916
		Singapore – 0.7%
	3,355,000	Singapore Government Bond, 1.625%, 4/01/2013, (SGD)		2,627,634
	345,000	Singapore Government Bond, 2.250%, 7/01/2013, (SGD)		273,579
	605,000	Singapore Government Bond, 2.250%, 6/01/2021, (SGD)		492,232
	150,000	STATS ChipPAC Ltd., 7.500%, 8/12/2015, 144A		156,750
				3,550,195
		South Africa – 0.2%
	450,000	Edcon Proprietary Ltd., 4.676%, 6/15/2014, (EUR)(d)		429,530
	130,000	Edcon Proprietary Ltd., 4.676%, 6/15/2014, 144A, (EUR)(d)		124,086
	285,000	Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR)		379,005
	400,000	Transnet Ltd., 4.500%, 2/10/2016, 144A		405,080
				1,337,701
		Spain – 0.2%
	270,000	Spain Government Bond, 4.100%, 7/30/2018, (EUR)		338,755
	465,000	Spain Government Bond, 5.500%, 4/30/2021, (EUR)		614,946
				953,701
		Supranationals – 0.1%
	305,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)		348,246
	400,000,000	International Bank for Reconstruction & Development, GMTN, 2.300%, 2/26/2013, (KRW)		346,181
				694,427
		Sweden – 0.1%
	3,020,000	Sweden Government Bond, 5.500%, 10/08/2012, (SEK)		453,523
		Trinidad – 0.0%
	200,000	Export Credit Bank of Turkey, 5.375%, 11/04/2016, 144A		197,000

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Turkey – 0.1%
	$100,000	Akbank TAS, 5.125%, 7/22/2015, 144A	$	97,000
	665,820	Republic of Turkey, 4.000%, 4/29/2015, (TRY)		358,208
				455,208
		United Arab Emirates – 0.4%
	400,000	Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A		393,000
	400,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		458,000
	500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		452,500
	300,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A		306,750
	200,000	Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A		216,000
	250,000	Mubadala Development Co., GMTN, 7.625%, 5/06/2019, 144A		299,251
				2,125,501
		United Kingdom – 0.7%
	410,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		358,309
	100,000	BAT International Finance PLC, EMTN, 5.375%, 6/29/2017, (EUR)		145,568
	150,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		249,056
	60,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		105,964
	150,000	Imperial Tobacco Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP)		266,360
	100,000	Rexam PLC, EMTN, 4.375%, 3/15/2013, (EUR)		132,446
	250,000	Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR)		318,282
	260,000	United Kingdom Treasury, 4.000%, 9/07/2016, (GBP)		461,722
	400,000	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)		762,274
	300,000	United Kingdom Treasury, 5.250%, 6/07/2012, (GBP)		475,749
	350,000	Vedanta Resources PLC, 6.750%, 6/07/2016, 144A		297,500
	200,000	Vedanta Resources PLC, 8.250%, 6/07/2021, 144A		155,000
				3,728,230
		United States – 17.8%
	310,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		222,425
	15,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		10,763
	975,000	Alcoa, Inc., 5.900%, 2/01/2027		964,028

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
	$257,000	Ally Financial, Inc., 6.750%, 12/01/2014	$	258,285
	60,000	Ally Financial, Inc., 6.875%, 8/28/2012		60,750
	63,000	Ally Financial, Inc., 7.000%, 2/01/2012		63,158
	55,000	Ally Financial, Inc., 7.500%, 12/31/2013		56,513
	129,000	Ally Financial, Inc., 8.000%, 12/31/2018		126,743
	1,946,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,877,890
	720,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		640,800
	60,000	Arrow Electronics, Inc., 6.875%, 7/01/2013		64,507
	23,798	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		22,370
	615,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		579,441
	145,000	Avnet, Inc., 6.000%, 9/01/2015		156,367
	200,000	Bank of America Corp., 5.490%, 3/15/2019		172,382
	300,000	Bank of America Corp., 6.500%, 9/15/2037		245,684
	450,000	Bank of America Corp., (fixed rate to 5/06/2014, variable rate thereafter), 4.750%, 5/06/2019, (EUR)		417,590
	115,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		104,746
	15,000	Boston Scientific Corp., 5.125%, 1/12/2017		16,158
	5,000	Boston Scientific Corp., 5.450%, 6/15/2014		5,343
	15,000	Boston Scientific Corp., 6.400%, 6/15/2016		16,817
	60,000	Boston Scientific Corp., 7.000%, 11/15/2035		69,116
	1,520,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		1,447,870
	1,995,000	CenturyLink, Inc., 6.450%, 6/15/2021		1,998,675
	55,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		51,271
	605,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		593,665
	75,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		80,250
	2,300,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021, 144A		2,093,000
	119,429	CIT Group, Inc., 7.000%, 5/01/2015		119,668
	199,049	CIT Group, Inc., 7.000%, 5/01/2016		199,049

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
	$278,673	CIT Group, Inc., 7.000%, 5/01/2017	$	278,673
	300,000	Comcast Corp., 5.650%, 6/15/2035		331,418
	772,108	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		738,290
	190,000	CSX Corp., 6.250%, 3/15/2018		226,177
	265,000	Cummins, Inc., 5.650%, 3/01/2098		259,775
	272,477	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		267,354
	266,589	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		265,922
	42,000	Dillard’s, Inc., 6.625%, 1/15/2018		41,370
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		46,000
	8,000	Dillard’s, Inc., 7.750%, 7/15/2026		7,520
	40,000	Eastman Kodak Co., 7.250%, 11/15/2013		13,200
	200,000	Eastman Kodak Co., 9.750%, 3/01/2018, 144A		152,000
	310,000	Eastman Kodak Co., 10.625%, 3/15/2019, 144A		238,700
	250,000	Exelon Corp., 4.900%, 6/15/2015		269,370
	150,000	Foot Locker, Inc., 8.500%, 1/15/2022		154,875
	25,000	Ford Motor Co., 6.375%, 2/01/2029		25,684
	50,000	Ford Motor Co., 6.625%, 2/15/2028		52,591
	2,105,000	Ford Motor Co., 6.625%, 10/01/2028		2,216,481
	40,000	Ford Motor Co., 7.125%, 11/15/2025		41,400
	835,000	Ford Motor Co., 7.450%, 7/16/2031		1,002,000
	5,000	Ford Motor Co., 7.500%, 8/01/2026		5,313
	2,250,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		2,385,747
	845,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		908,375
	905,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		1,026,821
	905,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		915,097
	80,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		84,200
	45,000	General Electric Capital Corp., 5.625%, 5/01/2018		50,400

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
	$205,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038	$	217,215
	900,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		764,798
	750,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		813,708
	3,435,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		4,144,224
	105,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		129,498
	180,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		226,540
	405,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		556,698
	200,000	Gerdau Holdings, Inc., 7.000%, 1/20/2020, 144A		211,000
	510,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		474,562
	50,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		62,042
	165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		160,050
	410,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		441,684
	20,000	HCA, Inc., 5.750%, 3/15/2014		20,400
	90,000	HCA, Inc., 6.375%, 1/15/2015		91,688
	225,000	HCA, Inc., 7.050%, 12/01/2027		188,719
	245,000	HCA, Inc., 7.190%, 11/15/2015		245,000
	90,000	HCA, Inc., 7.500%, 12/15/2023		80,550
	250,000	HCA, Inc., 7.500%, 11/06/2033		216,250
	1,500,000	HCA, Inc., 7.690%, 6/15/2025		1,327,500
	395,000	HCA, Inc., 8.360%, 4/15/2024		373,275
	195,000	HCA, Inc., MTN, 7.580%, 9/15/2025		172,575
	75,000	HCA, Inc., MTN, 7.750%, 7/15/2036		65,344
	585,000	Hercules, Inc., 6.500%, 6/30/2029		448,987
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		497,115
	110,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		120,189
	1,700,000	International Lease Finance Corp., 6.250%, 5/15/2019		1,570,443
	1,670,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		1,632,425

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
	$250,000	iStar Financial, Inc., 5.150%, 3/01/2012	$	248,750
	95,000	iStar Financial, Inc., 5.500%, 6/15/2012		92,863
	70,000	iStar Financial, Inc., 5.850%, 3/15/2017		55,475
	405,000	iStar Financial, Inc., 5.875%, 3/15/2016		328,050
	145,000	iStar Financial, Inc., 6.050%, 4/15/2015		118,538
	985,000	iStar Financial, Inc., 8.625%, 6/01/2013		911,125
	35,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		29,138
	950,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		814,625
	5,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		5,025
	64,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		53,520
	15,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		15,000
	5,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		4,475
	370,000	Jefferies Group, Inc., 3.875%, 11/09/2015		327,450
	585,000	Jefferies Group, Inc., 5.125%, 4/13/2018		514,800
	600,000	Jefferies Group, Inc., 6.250%, 1/15/2036		490,618
	620,000	Jefferies Group, Inc., 6.450%, 6/08/2027		516,150
	65,000	Jefferies Group, Inc., 6.875%, 4/15/2021		58,500
	405,000	Jefferies Group, Inc., 8.500%, 7/15/2019		411,075
	15,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A		8,325
	260,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		101,400
	375,000	Kindred Healthcare, Inc., 8.250%, 6/01/2019		315,000
	15,000	Lennar Corp., Series B, 5.500%, 9/01/2014		15,000
	1,090,000	Lennar Corp., Series B, 5.600%, 5/31/2015		1,073,650
	55,000	Lennar Corp., Series B, 6.500%, 4/15/2016		54,450
	235,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		239,112
	6,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		6,135
	30,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		31,313

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
	$110,000	Masco Corp., 6.500%, 8/15/2032	$	98,389
	765,000	Masco Corp., 7.125%, 3/15/2020		772,056
	100,000	Masco Corp., 7.750%, 8/01/2029		97,067
	600,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		565,535
	1,900,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		1,464,776
	800,000	Merrill Lynch & Co., Inc., 6.220%, 9/15/2026		659,893
	310,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023		232,500
	410,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016		295,200
	230,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		354,008
	2,500,000	Morgan Stanley, 5.750%, 1/25/2021		2,332,015
	500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		496,745
	1,382,000	New Albertson’s, Inc., 7.450%, 8/01/2029		1,077,960
	100,000	New Albertson’s, Inc., 7.750%, 6/15/2026		82,250
	3,450,000	New Albertson’s, Inc., 8.000%, 5/01/2031		2,751,375
	1,965,000	New Albertson’s, Inc., 8.700%, 5/01/2030		1,714,462
	155,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		110,438
	15,000	News America, Inc., 6.400%, 12/15/2035		16,437
	935,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		855,525
	30,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		29,850
	250,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(b)(e)		57,500
	35,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(f)		37,100
	50,000	Ohio Edison Co., 6.875%, 7/15/2036		60,629
	565,000	Owens Corning, Inc., 6.500%, 12/01/2016		616,631
	535,000	Owens Corning, Inc., 7.000%, 12/01/2036		546,805
	40,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		44,200
	47,000	Pulte Group, Inc., 5.200%, 2/15/2015		43,945
	540,000	Pulte Group, Inc., 6.000%, 2/15/2035		358,425

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			United States – continued
	$695,000		Pulte Group, Inc., 6.375%, 5/15/2033	$	481,287
	1,335,000		Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,317,696
	650,000		Qwest Capital Funding, Inc., 6.875%, 7/15/2028		610,330
	400,000		Qwest Capital Funding, Inc., 7.625%, 8/03/2021		412,000
	60,000		Qwest Capital Funding, Inc., 7.750%, 2/15/2031		59,603
	560,000		Qwest Corp., 6.875%, 9/15/2033		556,242
	115,000		Qwest Corp., 7.250%, 9/15/2025		125,877
	600,000		Residential Capital LLC, 9.625%, 5/15/2015		420,000
	80,000		Reynolds American, Inc., 6.750%, 6/15/2017		90,930
	20,000		Reynolds American, Inc., 7.250%, 6/15/2037		23,199
	1,600	(†††††)	SLM Corp., 6.000%, 12/15/2043		30,364
	120,000		SLM Corp., MTN, 5.050%, 11/14/2014		118,356
	35,000		SLM Corp., MTN, 5.125%, 8/27/2012		35,179
	228,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		228,000
	10,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		8,669
	115,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		115,793
	75,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		75,053
	265,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		197,669
	625,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		643,750
	400,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		282,000
	100,000		Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		94,500
	300,000		Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012		288,000
	300,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		218,250
	330,000		Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		290,400
	200,000		Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		191,250
	400,000		Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		288,000
	294,000		Sprint Capital Corp., 6.875%, 11/15/2028		209,842

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
	$420,000	Sprint Capital Corp., 6.900%, 5/01/2019	$	345,450
	110,000	Sprint Capital Corp., 8.750%, 3/15/2032		88,963
	26,000	Sprint Nextel Corp., 6.000%, 12/01/2016		21,580
	265,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		217,300
	250,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		324,085
	820,000	Textron, Inc., 5.950%, 9/21/2021		864,891
	1,431,000	Toys R Us, Inc., 7.375%, 10/15/2018		1,284,322
	3,150,000	TXU Corp., Series P, 5.550%, 11/15/2014		2,236,500
	2,570,000	TXU Corp., Series Q, 6.500%, 11/15/2024		1,143,650
	30,000	TXU Corp., Series R, 6.550%, 11/15/2034		12,750
	9,200,000	U.S. Treasury Note, 0.375%, 6/30/2013		9,221,924
	1,100,000	U.S. Treasury Note, 0.750%, 3/31/2013		1,107,648
	7,250,000	U.S. Treasury Note, 0.875%, 1/31/2012		7,254,531
	376,250	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		416,207
	770,000	United States Steel Corp., 6.650%, 6/01/2037		600,600
	50,000	USG Corp., 6.300%, 11/15/2016		39,000
	230,000	USG Corp., 9.750%, 1/15/2018		194,350
	5,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		5,227
	110,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		117,707
	85,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		125,756
	100,000	Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP)		129,923
	60,000	Weyerhaeuser Co., 6.950%, 10/01/2027		59,347
	315,000	Weyerhaeuser Co., 7.375%, 3/15/2032		330,634
	125,000	Xerox Corp., 6.750%, 2/01/2017		143,185
	20,000	Xerox Corp., MTN, 7.200%, 4/01/2016		22,691
	250,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		306,314
				96,630,608

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Uruguay – 0.1%
	3,988,834	Uruguay Government International Bond, 3.700%, 6/26/2037, (UYU)	$	174,223
	5,064,268	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)		253,161
				427,384
		Venezuela – 0.1%
	800,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027		394,000
		Total Non-Convertible Bonds (Identified Cost $143,851,869)		145,304,150
	Convertible Bonds – 1.2%
		United States – 1.2%
	125,000	Ford Motor Co., 4.250%, 11/15/2016		179,219
	745,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(g)		710,544
	620,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		553,350
	1,125,000	Intel Corp., 3.250%, 8/01/2039		1,409,063
	430,000	iStar Financial, Inc., 0.872%, 10/01/2012(d)		387,000
	365,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		363,631
	215,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(e)		233,006
	1,860,000	Old Republic International Corp., 3.750%, 3/15/2018		1,634,475
	375,000	Omnicare, Inc., 3.750%, 12/15/2025		521,250
	610,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		567,300
	90,000	Trinity Industries, Inc., 3.875%, 6/01/2036		87,975
		Total Convertible Bonds (Identified Cost $6,453,907)		6,646,813
	Municipals – 0.1%
		United States – 0.1%
	415,000	State of Illinois, 5.100%, 6/01/2033		376,670
	135,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(e)		84,702
		Total Municipals (Identified Cost $448,971)		461,372
		Total Bonds and Notes (Identified Cost $150,754,747)		152,412,335

Principal Amount (‡)		Description	Value (†)
	Senior Loans – 0.0%
		United States – 0.0%
	$28,697	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(d)(h)	$	28,912
	2,676	Sungard Data Systems, Inc., Tranche A, 2.029%, 2/28/2014(i)		2,605
	51,722	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(d)		23,857
		Total Senior Loans (Identified Cost $103,466)		55,374
Shares
	Preferred Stocks – 0.6%
	Convertible Preferred Stocks – 0.5%
		United States – 0.5%
	70,730	General Motors Co., Series B, 4.750%		2,422,503
	820	Lucent Technologies Capital Trust I, 7.750%		503,480
		Total Convertible Preferred Stocks (Identified Cost $3,929,138)		2,925,983
	Non-Convertible Preferred Stock – 0.1%
		United States – 0.1%
	682	Ally Financial, Inc., Series G, 7.000% 144A (Identified Cost $145,366)		488,887
		Total Preferred Stocks (Identified Cost $4,074,504)		3,414,870
Principal Amount
	Short-Term Investments – 5.7%
	$3,246	Repurchase Agreement with State Street Bank and Trust Company, dated 12/30/2011 at 0.000%, to be repurchased at $3,246 on 1/03/2012 collateralized by $5,000 U.S. Treasury Bill, due 3/08/2012 valued at $5,000 including accrued interest(j)		3,246
	30,618,854	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $30,618,854 on 1/03/2012 collateralized by $30,925,000 U.S. Treasury Note, 0.625% due 7/15/2014 valued at $31,231,317 including accrued interest(j)		30,618,854
		Total Short-Term Investments (Identified Cost $30,622,100)		30,622,100
		Total Investments – 97.0% (Identified Cost $512,778,037)(a)		525,169,152
		Other assets less liabilities – 3.0%		16,203,533
		Net Assets – 100.0%	$	541,372,685

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

        (†) Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by 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) and unlisted equity securities 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.

Senior loans are priced at bid prices supplied by a pricing service, if available.

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

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

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

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

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

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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, 2011, 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 values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

      (††) 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 1,000.

  (††††) 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, 2011, the net unrealized appreciation on investments based on a cost of $513,045,100 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	$	36,417,642
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(24,293,590	)
Net unrealized appreciation	$	12,124,052

At September 30, 2011, the Fund had a capital loss carryforward of $51,909,722 of which $13,460,729 expires on September 30, 2017 and $38,448,993 expires on September 30, 2018. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.

        (b) Non-income producing security.

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

        (d) Variable rate security. Rate as of December 31, 2011 is disclosed.

        (e) Illiquid security. At December 31, 2011, the value of these securities amounted to $375,208 or 0.1% of net assets.

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

        (g) Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

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

(i) Variable rate security. Rate shown represents the weighted average rate at December 31, 2011.

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

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $27,113,036 or 5.0% of net assets.

  ADR/ An American Depositary Receipt or Global Depositary Receipt is a certificate issued by a custodian bank representing the

    GDR right to receive securities of the foreign issuer described. The values of ADRs and GDRs may be significantly influenced by trading on exchanges not located in the United States.

EMTN Euro Medium Term Note

GMTN Global Medium Term Note

   MTN Medium Term Note

   AUD Australian Dollar

    BRL Brazilian Real

   CAD Canadian Dollar

    CHF Swiss Franc

    CLP Chilean Peso

    COP Colombian Peso

    EUR Euro

    GBP British Pound

     IDR Indonesian Rupiah

   KRW South Korean Won

   MXN Mexican Peso

   MYR Malaysian Ringgit

   NOK Norwegian Krone

   NZD New Zealand Dollar

    PHP Philippine Peso

    SEK Swedish Krona

   SGD Singapore Dollar

   TRY Turkish Lira

   UYU Uruguayan Peso

Forward Foreign Currency Contracts

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

At December 31, 2011, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell1		03/21/2012	Australian Dollar		500,000	$	507,046	$	198
Sell1		03/02/2012	Brazilian Real		250,000		132,324		267
Buy2		08/22/2012	Chinese Renminbi		11,630,000		1,842,376		(5,122	)
Buy4		02/21/2012	Malaysian Ringgit		1,250,000		393,168		(2,151	)
Buy3		03/12/2012	South Korean Won		780,000,000		674,009		(12,279	)
Buy1		03/12/2012	South Korean Won		1,488,000,000		1,285,801		(23,539	)
Total								$	(42,626	)

At December 31, 2011, the Fund had the following open forward cross currency contracts:

Settlement Date	Deliver/Units of Currency			Receive5/Units of  Currency			Net Unrealized Appreciation (Depreciation)
01/31/2012		Singapore Dollar	887,000		Japanese Yen	53,978,385	$	17,753
1Counterparty is Credit Suisse. 2Counterparty is Morgan Stanley. 3Counterparty is Barclays. 4Counterparty is JPMorgan Chase. 5Counterparty is Deutsche Bank AG.

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Common Stocks
Belgium	$	—	$	8,379,987	$	—	$	8,379,987
British Virgin Islands		—		2,688,764		—		2,688,764
Denmark		—		13,097,947		—		13,097,947
France		—		8,590,295		—		8,590,295
Germany		—		4,853,730		—		4,853,730
Hong Kong		—		2,401,442		—		2,401,442
Japan		—		12,325,929		—		12,325,929
Korea		—		3,723,532		—		3,723,532
Sweden		—		5,852,394		—		5,852,394
United Kingdom		7,455,911		41,807,622		—		49,263,533
All Other Common Stocks*		227,486,920		—		—		227,486,920
Total Common Stocks		234,942,831		103,721,642		—		338,664,473
Bonds and Notes
Non-Convertible Bonds
Korea		—		2,196,014		361,259		2,557,273
United States		30,364		96,600,244		—		96,630,608
All Other Non-Convertible Bonds*		—		46,116,269		—		46,116,269
Total Non-Convertible Bonds		30,364		144,912,527		361,259		145,304,150
Convertible Bonds*		—		6,646,813		—		6,646,813
Municipals*		—		461,372		—		461,372
Total Bonds and Notes		30,364		152,020,712		361,259		152,412,335
Senior Loans*		—		55,374		—		55,374
Preferred Stocks
Convertible Preferred Stocks*		2,925,983		—		—		2,925,983
Non-Convertible Preferred Stock*		—		488,887		—		488,887
Total Preferred Stocks		2,925,983		488,887		—		3,414,870
Short-Term Investments		—		30,622,100		—		30,622,100
Total Investments		237,899,178		286,908,715		361,259		525,169,152

Forward Foreign Currency Contracts (unrealized appreciation)		—		18,218		—		18,218
Total	$	237,899,178	$	286,926,933	$	361,259	$	525,187,370

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(43,091	)	$	—	$	(43,091	)

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2011:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011
Bonds and Notes
Non-Convertible Bonds
Korea	$	351,758	$	(171	)	$	—		$	9,672	$	—	$	—		$	—	$	—		$	361,259	$	9,672
Supranationals		983,784		229			(168,909	)		60,153		—		(875,257	)		—		—			—		—
United States		10,000		—			—			—		—		—			—		(10,000	)		—		—
Preferred Stocks
Non-Convertible Preferred Stocks
United States		409,200		—			—			—		—		—			—		(409,200	)		—		—
Total	$	1,754,742	$	58		$	(168,909	)	$	69,825	$	—	$	(875,257	)	$	—	$	(419,200	)	$	361,259	$	9,672

A debt security valued at $10,000 was transferred from Level 3 to Level 2 during the period ended December 31, 2011. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at December 31, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

A preferred stock valued at $409,200 was transferred from Level 3 to Level 2 during the period ended December 31, 2011. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at December 31, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

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

Derivatives

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

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. During the period ended December 31, 2011, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of December 31, 2011, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

Counterparty	Derivatives			Collateral Pledged
Barclays	$	(12,279	)	$	—
Credit Suisse		(23,074	)		—
JPMorgan Chase		(2,151	)		—
Morgan Stanley		(5,122	)		—

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $18,218 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $17,753.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for the Fund, as of December 31, 2011:

Asset Derivatives	Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	18,218
Liability Derivatives	Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	(43,091	)

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

Industry Summary at December 31, 2011 (Unaudited)

Treasuries	7.0	%
Beverages	6.0
Pharmaceuticals	5.3
Energy Equipment & Services	4.5
Commercial Banks	4.3
Internet Software & Services	4.1
Machinery	3.8
Computers & Peripherals	3.1
Software	2.9
Chemicals	2.5
Automotive	2.4
Aerospace & Defense	2.3
Non-Captive Diversified	2.2
Banking	2.1
Diversified Telecommunication Services	2.1
Other Investments, less than 2% each	36.7
Short-Term Investments	5.7
Total Investments	97.0
Other assets less liabilities (including open forward foreign currency contracts)	3.0
Net Assets	100.0	%

Currency Exposure at December 31, 2011 (Unaudited)

United States Dollar	67.6	%
British Pound	8.3
Euro	5.4
Brazilian Real	3.2
Danish Krone	2.4
Japanese Yen	2.3
Other, less than 2% each	7.8
Total Investments	97.0
Other assets less liabilities (including open forward foreign currency contracts)	3.0
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2011 (Unaudited)

Loomis Sayles Growth Fund

Shares		Description	Value (†)
	Common Stocks – 97.9% of Net Assets
		Air Freight & Logistics – 6.7%
	80,553	Expeditors International of Washington, Inc.	$	3,299,451
	64,206	United Parcel Service, Inc., Class B		4,699,237
				7,998,688
		Beverages – 4.2%
	44,510	Coca-Cola Co. (The)		3,114,365
	21,857	Diageo PLC, Sponsored ADR		1,910,739
				5,025,104
		Biotechnology – 4.5%
	82,389	Amgen, Inc.		5,290,198
		Capital Markets – 8.4%
	15,935	Franklin Resources, Inc.		1,530,716
	53,937	Greenhill & Co., Inc.		1,961,689
	78,063	Legg Mason, Inc.		1,877,415
	268,957	SEI Investments Co.		4,666,404
				10,036,224
		Communications Equipment – 10.6%
	381,191	Cisco Systems, Inc.		6,891,933
	104,899	QUALCOMM, Inc.		5,737,975
				12,629,908
		Consumer Finance – 3.5%
	89,007	American Express Co.		4,198,460
		Energy Equipment & Services – 3.3%
	56,935	Schlumberger Ltd.		3,889,230
		Food Products – 4.3%
	405,442	Danone S.A., Sponsored ADR		5,124,787
		Health Care Equipment & Supplies – 5.3%
	47,447	Medtronic, Inc.		1,814,848
	82,867	Zimmer Holdings, Inc.(b)		4,426,755
				6,241,603
		Household Products – 4.2%
	25,962	Clorox Co. (The)		1,728,031
	49,667	Procter & Gamble Co. (The)		3,313,285
				5,041,316
		Internet & Catalog Retail – 6.5%
	34,932	Amazon.com, Inc.(b)		6,046,729
	40,196	Blue Nile, Inc.(b)		1,643,213
				7,689,942
		Internet Software & Services – 6.6%
	12,191	Google, Inc., Class A(b)		7,874,167

Shares		Description	Value (†)
	Common Stocks – continued
		IT Services – 7.2%
	35,333	Automatic Data Processing, Inc.	$	1,908,335
	65,829	Visa, Inc., Class A		6,683,619
				8,591,954
		Media – 2.0%
	53,136	Omnicom Group, Inc.		2,368,803
		Multiline Retail – 0.3%
	6,665	Target Corp.		341,381
		Pharmaceuticals – 5.7%
	67,947	Merck & Co., Inc.		2,561,602
	72,716	Novartis AG, ADR		4,157,173
				6,718,775
		Semiconductors & Semiconductor Equipment – 1.0%
	14,142	Altera Corp.		524,668
	16,945	Analog Devices, Inc.		606,292
				1,130,960
		Software – 10.4%
	42,001	FactSet Research Systems, Inc.		3,665,847
	113,462	Microsoft Corp.		2,945,474
	221,643	Oracle Corp.		5,685,143
				12,296,464
		Specialty Retail – 3.2%
	46,867	Home Depot, Inc. (The)		1,970,289
	71,875	Lowe’s Cos., Inc.		1,824,187
				3,794,476
		Total Common Stocks (Identified Cost $104,534,489)		116,282,440
Principal Amount
	Short-Term Investments – 2.1%
	$2,537,522	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $2,537,522 on 1/03/2012 collateralized by $2,565,000 U.S. Treasury Note, 0.625% due 7/15/2014 valued at $2,590,407 including accrued interest(c) (Identified Cost $2,537,522)		2,537,522
		Total Investments – 100.0% (Identified Cost $107,072,011)(a)		118,819,962
		Other assets less liabilities – 0.0%		(17,870	)
		Net Assets – 100.0%	$	118,802,092

    (†) 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) and unlisted equity securities 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.

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

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

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

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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.

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

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

At December 31, 2011, the net unrealized appreciation on investments based on a cost of $107,072,011 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	$	15,227,675
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,479,724	)
Net unrealized appreciation	$	11,747,951

At September 30, 2011, the Fund had a capital loss carryforward of $91,817,905 of which $75,866 expires on September 30, 2016; $57,062,095 expires on September 30, 2017 and $34,679,944 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.

    (b) Non-income producing security.

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

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

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs

Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	116,282,440	$	—	$	—	$	116,282,440
Short-Term Investments		—		2,537,522		—		2,537,522
Total	$	116,282,440	$	2,537,522	$	—	$	118,819,962

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

Industry Summary at December 31, 2011 (Unaudited)

Communications Equipment	10.6	%
Software	10.4
Capital Markets	8.4
IT Services	7.2
Air Freight & Logistics	6.7
Internet Software & Services	6.6
Internet & Catalog Retail	6.5
Pharmaceuticals	5.7
Health Care Equipment & Supplies	5.3
Biotechnology	4.5
Food Products	4.3
Household Products	4.2
Beverages	4.2
Consumer Finance	3.5
Energy Equipment & Services	3.3
Specialty Retail	3.2
Media	2.0
Other Investments, less than 2% each	1.3
Short-Term Investments	2.1
Total Investments	100.0
Other assets less liabilities	(0.0	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2011 (Unaudited)

Loomis Sayles High Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 84.8% of Net Assets
	Non-Convertible Bonds – 73.0%
		ABS Car Loan – 0.3%
$	350,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A	$	354,901
		ABS Home Equity – 2.1%
	200,000	Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1, 0.744%, 1/25/2036(b)		114,708
	600,000	Ameriquest Mortgage Securities, Inc., Series 2005-R7, Class M2, 0.794%, 9/25/2035(b)		281,294
	523,564	Argent Securities, Inc., Series 2003-W3, Class M2, 2.994%, 9/25/2033(b)		353,810
	372,583	Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-5, Class A2, 2.250%, 8/25/2035(b)		317,936
	143,801	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.564%, 4/25/2035(b)		76,150
	562,356	GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.364%, 12/25/2046(b)		218,111
	112,131	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.891%, 12/25/2034(b)		76,509
	464,837	MASTR Asset Securitization Trust, Series 2007-1, Class 1A4, 6.500%, 11/25/2037		398,309
	200,000	New Century Home Equity Loan Trust, Series 2005-1, Class M3, 0.814%, 3/25/2035(b)		136,766
	300,000	New Century Home Equity Loan Trust, Series 2005-2, Class M2, 0.744%, 6/25/2035(b)		172,973
	155,857	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.800%, 5/25/2036(b)		113,753
	575,000	Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.794%, 7/25/2035(b)		315,563
	179,762	Saxon Asset Securities Trust, Series 2004-3, Class M2, 0.944%, 12/26/2034(b)		132,694
	149,912	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.968%, 4/25/2047(b)		94,370
				2,802,946
		ABS Other – 0.4%
	576,110	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		576,006
		Airlines – 0.4%
	105,000	Air Canada, 9.250%, 8/01/2015, 144A		91,875
	30,000	Air Canada, 12.000%, 2/01/2016, 144A		25,875
	28,291	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		27,618
	198,446	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		193,723
	173,446	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		162,597
				501,688

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – 4.1%
	2,210,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)	$	1,931,373
	11,260,000,000	Barclays Financial LLC, EMTN, 8.250%, 10/27/2014, (IDR)		1,199,092
	820,000	HBOS PLC, 6.000%, 11/01/2033, 144A		501,637
	1,100,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		881,971
	900,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		894,141
	200,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		169,935
				5,578,149
		Building Materials – 3.0%
	50,000	Masco Corp., 6.500%, 8/15/2032		44,722
	360,000	Masco Corp., 7.125%, 3/15/2020		363,321
	345,000	Masco Corp., 7.750%, 8/01/2029		334,880
	845,000	Masonite International Corp., 8.250%, 4/15/2021, 144A		828,100
	2,955,000	USG Corp., 6.300%, 11/15/2016		2,304,900
	100,000	USG Corp., 8.375%, 10/15/2018, 144A		92,000
	75,000	USG Corp., 9.750%, 1/15/2018		63,375
				4,031,298
		Chemicals – 2.1%
	1,270,000	Hercules, Inc., 6.500%, 6/30/2029		974,725
	850,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		796,875
	220,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		181,500
	420,000	JM Huber Corp., 9.875%, 11/01/2019, 144A		441,000
	730,000	Reichhold Industries, Inc., 9.000%, 8/15/2014, 144A(c)		386,900
				2,781,000
		Collateralized Mortgage Obligations – 3.8%
	354,822	Adjustable Rate Mortgage Trust, Series 2005-10, Class 5A1, 0.554%, 1/25/2036(b)		200,139
	170,599	American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.566%, 10/25/2034(b)		107,194
	380,336	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.301%, 9/25/2045(b)		272,705
	393,850	American Home Mortgage Investment Trust, Series 2006-1, Class 11A1, 0.434%, 3/25/2046(b)		211,529
	82,144	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.926%, 2/25/2035(b)		67,248

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Collateralized Mortgage Obligations – continued
	$221,355	Countrywide Alternative Loan Trust, Series 2005-38, Class A3, 0.644%, 9/25/2035(b)	$	104,965
	313,765	GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, 2.739%, 11/25/2035(b)		258,681
	633,399	Indymac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.594%, 7/25/2035(b)		354,667
	185,634	Indymac Index Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 4.249%, 4/25/2035(b)		132,656
	317,136	Indymac Index Mortgage Loan Trust, Series 2005-AR35, Class 1A1, 5.320%, 2/25/2036(b)		188,894
	581,916	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.794%, 1/25/2036(b)		334,921
	616,664	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.414%, 7/25/2037(b)(d)		237,281
	560,326	Luminent Mortgage Pass Through Trust, Series 2006-6, Class A1, 0.494%, 10/25/2046(b)		313,548
	396,405	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 2.615%, 3/25/2035(b)		250,728
	266,411	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.660%, 3/25/2035(b)		221,492
	684,484	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.454%, 1/25/2047(b)		362,812
	650,905	Merrill Lynch Alternative Note Asset, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		394,115
	675,573	Residential Accredit Loans, Inc., Series 2006-QO7, Class 1A1, 1.008%, 9/25/2046(b)		243,481
	613,363	Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036		372,973
	490,559	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.168%, 8/25/2046(b)		199,828
	675,120	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OC1, Class A1, 0.534%, 1/25/2047(b)		250,183
				5,080,040
		Commercial Mortgage-Backed Securities – 1.3%
	535,037	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.866%, 6/19/2035(b)		453,219
	1,690,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.984%, 8/10/2045(b)		1,375,094
				1,828,313
		Consumer Cyclical Services – 0.6%
	1,035,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		786,600
		Consumer Products – 0.2%
	275,000	Visant Corp., 10.000%, 10/01/2017		251,625
		Electric – 2.4%
	19,493	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		20,078
	375,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018(h)		243,750

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
	$180,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026(e)	$	115,200
	815,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019(h)		533,825
	1,055,000	Edison Mission Energy, 7.625%, 5/15/2027		622,450
	895,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		682,706
	140,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(e)		32,200
	515,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		437,106
	1,015,000	TXU Corp., Series Q, 6.500%, 11/15/2024		451,675
	370,000	TXU Corp., Series R, 6.550%, 11/15/2034		157,250
				3,296,240
		Food & Beverage – 0.9%
	475,000	Del Monte Corp., 7.625%, 2/15/2019		456,000
	400,000	Marfrig Holding Europe BV, 8.375%, 5/09/2018, 144A		294,000
	700,000	Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A		518,000
				1,268,000
		Gaming – 3.1%
	2,045,000	Caesars Entertainment Operating Co., Inc., 10.000%, 12/15/2018		1,400,825
	275,000	MGM Resorts International, 6.625%, 7/15/2015		261,250
	1,360,000	MGM Resorts International, 7.500%, 6/01/2016		1,302,200
	1,250,000	MGM Resorts International, 7.625%, 1/15/2017		1,190,625
				4,154,900
		Government Owned - No Guarantee – 1.0%
	900,000	DP World Ltd., 6.850%, 7/02/2037, 144A		814,500
	4,800,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		512,265
				1,326,765
		Healthcare – 2.3%
	165,000	HCA, Inc., 7.050%, 12/01/2027		138,394
	640,000	HCA, Inc., 7.500%, 12/15/2023		572,800
	470,000	HCA, Inc., 7.690%, 6/15/2025		415,950
	480,000	HCA, Inc., 8.360%, 4/15/2024		453,600

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
	$800,000	HCA, Inc., MTN, 7.580%, 9/15/2025	$	708,000
	515,000	HCA, Inc., MTN, 7.750%, 7/15/2036		448,693
	425,000	Kindred Healthcare, Inc., 8.250%, 6/01/2019		357,000
	90,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		73,800
				3,168,237
		Home Construction – 5.4%
	35,000	Beazer Homes USA, Inc., 9.125%, 6/15/2018		24,063
	305,000	K. Hovnanian Enterprises, Inc., 10.625%, 10/15/2016		243,238
	105,000	KB Home, 5.750%, 2/01/2014		100,800
	65,000	KB Home, 5.875%, 1/15/2015		59,800
	105,000	KB Home, 6.250%, 6/15/2015		96,600
	2,580,000	KB Home, 7.250%, 6/15/2018		2,322,000
	1,850,000	Lennar Corp., 6.950%, 6/01/2018		1,803,750
	3,135,000	Pulte Group, Inc., 6.000%, 2/15/2035		2,080,856
	495,000	Pulte Group, Inc., 6.375%, 5/15/2033		342,787
	380,000	Pulte Group, Inc., 7.875%, 6/15/2032		305,900
				7,379,794
		Hybrid ARMs – 0.1%
	401,627	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.968%, 4/25/2035(b)		172,346
		Independent Energy – 0.8%
	785,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		710,425
	360,000	SandRidge Energy, nc., 7.500%, 3/15/2021		357,300
				1,067,725
		Life Insurance – 0.6%
	860,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		765,400
		Lodging – 0.1%
	180,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		176,400

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Media Non-Cable – 2.9%
	$755,000	Clear Channel Communications, Inc., 5.750%, 1/15/2013	$	717,250
	2,275,000	Intelsat S.A., 11.250%, 2/04/2017		2,201,062
	1,100,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		1,067,000
				3,985,312
		Metals & Mining – 2.0%
	780,000	Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		670,800
	700,000	ArcelorMittal, 6.750%, 3/01/2041		629,461
	35,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		33,950
	1,845,000	United States Steel Corp., 6.650%, 6/01/2037		1,439,100
				2,773,311
		Non-Captive Consumer – 3.7%
	1,045,000	International Lease Finance Corp., 8.625%, 1/15/2022		1,057,129
	1,605,000	Residential Capital LLC, 9.625%, 5/15/2015		1,123,500
	1,920,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		1,353,600
	2,000,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		1,440,000
				4,974,229
		Non-Captive Diversified – 1.3%
	1,620,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,563,300
	100,000	iStar Financial, Inc., 5.850%, 3/15/2017		79,250
	135,000	iStar Financial, Inc., 5.875%, 3/15/2016		109,350
	15,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		12,863
				1,764,763
		Oil Field Services – 0.1%
	200,000	OGX Petroleo e Gas Participacoes S.A., 8.500%, 6/01/2018, 144A		196,000
		Packaging – 1.2%
	1,800,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021, 144A		1,593,000
		Pharmaceuticals – 0.8%
	205,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		197,825

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Pharmaceuticals – continued
	$935,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A	$	906,950
				1,104,775
		Refining – 0.3%
	745,000	Petroplus Finance Ltd., 7.000%, 5/01/2017, 144A		368,775
		Retailers – 1.5%
	40,000	Dillard’s, Inc., 7.000%, 12/01/2028		36,800
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		408,900
	205,000	Dillard’s, Inc., 7.750%, 5/15/2027		190,650
	35,000	Dillard’s, Inc., 7.875%, 1/01/2023		33,600
	1,565,000	Toys R Us, Inc., 7.375%, 10/15/2018		1,404,587
				2,074,537
		Sovereigns – 1.0%
	2,250,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,375,151
		Supermarkets – 1.2%
	315,000	American Stores Co., 8.000%, 6/01/2026		271,688
	955,000	New Albertson’s, Inc., 7.750%, 6/15/2026		785,487
	735,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		523,688
				1,580,863
		Supranational – 2.8%
	2,000,000	European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL)		1,080,327
	24,630,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 8/20/2015, (IDR)(f)		2,118,710
	700,000,000	International Bank for Reconstruction & Development, GMTN, 2.300%, 2/26/2013, (KRW)		605,816
				3,804,853
		Technology – 2.6%
	1,090,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		782,075
	1,930,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,384,775
	1,460,000	First Data Corp., 8.250%, 1/15/2021, 144A		1,306,700
	10,000	Seagate HDD Cayman, 6.875%, 5/01/2020		10,275
				3,483,825

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Textile – 1.4%
	$2,605,000		Jones Apparel Group, Inc., 6.125%, 11/15/2034	$	1,803,962
	175,000		Jones Group/Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		157,500
					1,961,462
			Transportation Services – 0.4%
	275,000		APL Ltd., 8.000%, 1/15/2024(c)		178,750
	640,000		Overseas Shipholding Group, 7.500%, 2/15/2024		337,600
					516,350
			Treasuries – 6.0%
	60,937		Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		14,297
	55,000		Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		14,116
	50,000		Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		14,206
	2,240,000		Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		634,878
	150,000		Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		153,462
	375,000		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		374,855
	930,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		947,600
	65,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		66,300
	60,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		64,127
	55,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		60,908
	301,500	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		2,420,765
	10,000,000		Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		231,445
	120,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		2,777,334
	50,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		32,337
	400,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		256,262
					8,062,892
			Wireless – 3.9%
	900,000		Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A		558,000
	1,595,000		Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/2015, 144A		1,527,212
	4,236,000		Sprint Capital Corp., 6.875%, 11/15/2028		3,023,445

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – continued
	$5,000	Sprint Capital Corp., 6.900%, 5/01/2019	$	4,113
	285,000	Sprint Capital Corp., 8.750%, 3/15/2032		230,494
				5,343,264
		Wirelines – 4.9%
	665,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		495,425
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		98,800
	1,105,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		1,026,269
	1,070,000	Frontier Communications Corp., 9.000%, 8/15/2031		976,375
	940,000	Level 3 Escrow, Inc., 8.125%, 7/01/2019, 144A		925,900
	1,910,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		1,943,425
	320,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		327,200
	350,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		269,981
	250,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		223,970
	300,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		317,415
	25,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		18,524
	15,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		11,360
				6,634,644
		Total Non-Convertible Bonds (Identified Cost $106,819,022)		98,946,379
	Convertible Bonds – 11.8%
		Automotive – 2.6%
	1,465,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(g)		944,925
	1,760,000	Ford Motor Co., 4.250%, 11/15/2016		2,523,400
				3,468,325
		Diversified Manufacturing – 0.9%
	1,325,000	Trinity Industries, Inc., 3.875%, 6/01/2036		1,295,187
		Healthcare – 0.5%
	35,000	Hologic, Inc., (accretes to principal after 12/15/2016), 2.000%, 12/15/2037(g)		38,281
	515,000	Omnicare, Inc., 3.750%, 12/15/2025		715,850
				754,131

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Home Construction – 0.1%
	$70,000	Lennar Corp., 2.000%, 12/01/2020, 144A	$	70,350
		Metals & Mining – 0.3%
	210,000	Peabody Energy Corp., 4.750%, 12/15/2066		214,200
	165,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		179,644
				393,844
		Pharmaceuticals – 2.1%
	1,365,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		1,218,263
	1,515,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		1,588,856
				2,807,119
		Technology – 5.2%
	4,155,000	Ciena Corp., 0.875%, 6/15/2017		3,147,412
	145,000	Ciena Corp., 3.750%, 10/15/2018, 144A		136,300
	40,000	Ciena Corp., 4.000%, 3/15/2015, 144A		39,300
	2,930,000	Intel Corp., 2.950%, 12/15/2035		3,050,863
	620,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		545,600
	80,000	SanDisk Corp., 1.500%, 8/15/2017		94,200
				7,013,675
		Textile – 0.1%
	150,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A		141,938
		Total Convertible Bonds (Identified Cost $15,607,071)		15,944,569
		Total Bonds and Notes (Identified Cost $122,426,093)		114,890,948
	Senior Loans – 0.4%
		Media Non-Cable – 0.2%
	317,336	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)		146,371
	224,012	Tribune Company, Term Loan X, 5.000%, 6/04/2009(b)(h)(i)		126,246
				272,617
		Wireless – 0.0%
	17,815	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(b)(j)		17,949

Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Wirelines – 0.2%
	$370,146	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b)	$	294,303
		Total Senior Loans (Identified Cost $1,040,267)		584,869
	Shares
	Preferred Stocks – 4.7%
	Convertible Preferred Stocks – 3.6%
		Automotive – 1.1%
	41,200	General Motors Co., Series B, 4.750%		1,411,100
	2,500	Goodyear Tire & Rubber Co. (The), 5.875%		121,625
				1,532,725
		Banking – 0.0%
	25	Bank of America Corp., Series L, 7.250%		19,700
		Construction Machinery – 0.1%
	2,213	United Rentals Trust I, 6.500%		104,011
		Consumer Products – 1.7%
	55,115	Newell Financial Trust I, 5.250%		2,328,609
		Pipelines – 0.7%
	20,675	El Paso Energy Capital Trust I, 4.750%		951,877
		Total Convertible Preferred Stocks (Identified Cost $5,285,815)		4,936,922
	Non-Convertible Preferred Stock – 1.1%
		Non-Captive Diversified – 1.1%
	78,785	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500% (Identified Cost $2,043,470)		1,448,856
		Total Preferred Stocks (Identified Cost $7,329,285)		6,385,778
	Common Stocks – 3.0%
		Automobiles – 0.4%
	53,720	Ford Motor Co.(e)		578,027
		Chemicals – 0.0%
	1,087	Ashland, Inc.		62,133
		Diversified Telecommunication Services – 0.1%
	14,623	FairPoint Communications, Inc.(e)		63,318
	593	Hawaiian Telcom Holdco, Inc.(e)		9,132
				72,450

Shares		Description	Value (†)
	Common Stocks – continued
		Household Durables – 0.2%
	46,500	KB Home	$	312,480
		Media – 0.0%
	388	Dex One Corp.(e)		644
	1,835	SuperMedia, Inc.(e)		4,845
				5,489
		Oil, Gas & Consumable Fuels – 0.7%
	35,176	El Paso Corp.		934,626
		Pharmaceuticals – 1.6%
	6,875	Merck & Co., Inc.		259,188
	39,928	Valeant Pharmaceuticals International, Inc.(e)		1,864,238
				2,123,426
		Total Common Stocks (Identified Cost $3,156,125)		4,088,631
	Warrants – 0.0%
	10,023	FairPoint Communications, Inc., Expiration on 1/24/2018(c)(e)(k) (Identified Cost $0)		—
Principal Amount
	Short-Term Investments – 5.0%
	$19,916	Repurchase Agreement with State Street Bank and Trust Company, dated 12/30/2011 at 0.000% to be repurchased at $19,916 on 1/03/2012 collateralized by $25,000 U.S. Treasury Bill, due 3/08/2012 valued at $24,999 including accrued interest(l)		19,916
	6,664,093	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011, at 0.000% to be repurchased at $6,664,093 on 1/03/2012 collateralized by $6,790,000 Federal National Mortgage Association, 0.750% due 9/08/2014 valued at $6,798,488 including accrued interest(l)		6,664,093
		Total Short-Term Investments (Identified Cost $6,684,009)		6,684,009
		Total Investments – 97.9% (Identified Cost $140,635,779)(a)		132,634,235
		Other assets less liabilities – 2.1%		2,816,202
		Net Assets – 100.0%	$	135,450,437

(‡)	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) and unlisted equity securities 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.
	Senior loans are priced at bid prices supplied by a pricing service, if available. 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 and senior loans where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(††)	Amount shown represents units. One unit represents a principal amount of 100.
(a)	Federal Tax Information (Amounts exclude certain adjustments 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, 2011, the net unrealized depreciation on investments based on a cost of $140,677,104 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	$	5,894,434
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,937,303	)
Net unrealized depreciation	$	(8,042,869	)

(b)	Variable rate security. Rate as of December 31, 2011 is disclosed.
(c)	Illiquid security. At December 31, 2011, the value of these securities amounted to $597,850 or 0.4% of net assets.
(d)	The issuer has made partial payment with respect to interest and/or principal. Income is not being accrued.
(e)	Non-income producing security.
(f)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts.
(g)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(h)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(i)	Issuer has filed for bankruptcy.
(j)	All or a portion of interest payment is paid-in-kind.
(k)	Fair valued security by the Fund’s investment adviser. At December 31, 2011, the value of this security amounted to $0.
(l)	It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.
144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $18,033,227 or 13.3% of net assets.
ABS	Asset-Backed Securities
ARMs	Adjustable Rate Mortgages
EMTN	Euro Medium Term Note
GMTN	Global Medium Term Note
MTN	Medium Term Note

AUD	Australian Dollar
BRL	Brazilian Real
EUR	Euro
IDR	Indonesian Rupiah
KRW	South Korean Won
MXN	Mexican Peso
PHP	Philippine Peso

Forward Foreign Currency Contracts

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

At December 31, 2011, the Fund had the following open forward foreign currency contracts:

Contract       to Buy/Sell1	Delivery Date		Currency		Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell		01/31/2012		Euro		2,610,000	$	3,378,549	$	230,661

¹Counterparty is Barclays.

Fair Value Measurement

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Treasuries	$	—	$	7,399,692	$	663,200	$	8,062,892
All Other Non-Convertible Bonds*		—		90,883,487		—		90,883,487
Total Non-Convertible Bonds		—		98,283,179		663,200		98,946,379
Convertible Bonds*		—		15,944,569		—		15,944,569
Total Bonds and Notes		—		114,227,748		663,200		114,890,948
Senior Loans*		—		584,869		—		584,869
Preferred Stocks
Convertible Preferred Stocks
Construction Machinery		—		104,011		—		104,011
Consumer Products		—		2,328,609		—		2,328,609
All Other Convertible Preferred Stocks*		2,504,302		—		—		2,504,302
Total Convertible Preferred Stocks		2,504,302		2,432,620		—		4,936,922
Non-Convertible Preferred Stocks*		1,448,856		—		—		1,448,856
Total Preferred Stocks		3,953,158		2,432,620		—		6,385,778

Common Stocks*		4,088,631		—		—		4,088,631
Warrants**		—		—		—		—
Short-Term Investments		—		6,684,009		—		6,684,009
Total Investments		8,041,789		123,929,246		663,200		132,634,235
Forward Foreign Currency Contracts (unrealized appreciation)		—		230,661		—		230,661
Total	$	8,041,789	$	124,159,907	$	663,200	$	132,864,896

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

** Fair valued at zero using Level 3 inputs.

A preferred stock valued at $140,000 was transferred from Level 1 to Level 2 during the period ended December 31, 2011. At September 30, 2011, this security was valued at market price in accordance with the Fund’s valuation policies; at December 31, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2011:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011
Bonds and Notes
Non-Convertible Bonds
Consumer Cyclical Services	$	843,525	$	—	$	—	$	—		$	—	$	—	$	—	$	(843,525	)	$	—	$	—
Treasuries		27,508		13,229		—		(346,162	)		—		—		968,625		—			663,200		(346,162	)
Warrants***		—		—		—		—			—		—		—		—			—		—
Total	$	871,033	$	13,229	$	—	$	(346,162	)	$	—	$	—	$	968,625	$	(843,525	)	$	663,200	$	(346,162	)

*** Fair valued at zero using Level 3 inputs.

A debt security valued at $843,525 was transferred from Level 3 to Level 2 during the period ended December 31, 2011. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at December 31, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

Debt securities valued at $968,625 were transferred from Level 2 to Level 3 during the period ended December 31, 2011. At September 30, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service; at December 31, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

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

Derivatives

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

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. During the period ended December 31, 2011, the Fund engaged in forward foreign currency transactions for hedging purposes.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of December 31, 2011, the Fund did not hold any derivative positions (including open trades) subject to credit-risk-related contingent features that were in a net liability position by counterparty.

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $230,661 and the amount of loss that the Fund would incur after taking into account master netting arrangement is $230,661.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for the Fund, as of December 31, 2011:

Asset Derivatives	Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	230,661

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

Industry Summary at December 31, 2011 (Unaudited)

Technology	7.8	%
Treasuries	6.0
Home Construction	5.5
Wirelines	5.1
Pharmaceuticals	4.5
Banking	4.1
Wireless	3.9
Collateralized Mortgage Obligations	3.8
Automotive	3.7
Non-Captive Consumer	3.7
Media Non-Cable	3.1
Gaming	3.1
Building Materials	3.0
Healthcare	2.8
Supranational	2.8
Electric	2.4
Non-Captive Diversified	2.4
Metals & Mining	2.3
Chemicals	2.1
ABS Home Equity	2.1
Other Investments, less than 2% each	18.7
Short-Term Investments	5.0
Total Investments	97.9
Other assets less liabilities (including open forward foreign currency contracts)	2.1
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2011 (Unaudited)

Loomis Sayles International Bond Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 96.7% of Net Assets
		Argentina – 0.6%
$	140,050	Argentina Government International Bond, 8.280%, 12/31/2033(d)	$	102,237
		Brazil – 0.7%
	100,000	Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR)		126,121
		Canada – 6.9%
	95,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		105,472
	165,000	Corus Entertainment, Inc., 7.250%, 2/10/2017, 144A, (CAD)		168,442
	25,000,000	Province of Quebec Canada, 1.600%, 5/09/2013, (JPY)		328,385
	150,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		207,567
	200,000	Province of Quebec Canada, Series 169, EMTN, 3.625%, 2/10/2015, (EUR)		276,090
	95,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		102,166
	60,000	Videotron Ltee, 6.875%, 7/15/2021, 144A, (CAD)		58,898
				1,247,020
		Cayman Islands – 0.6%
	119,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		116,323
		China – 1.1%
	150,000	Credit Suisse London, EMTN, 5.125%, 9/18/2017, (EUR)		207,337
		Colombia – 0.5%
	160,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		86,607
		Denmark – 0.7%
	645,000	Kingdom of Denmark, 4.000%, 11/15/2015, (DKK)		127,897
		Finland – 0.3%
	35,000	Finland Government Bond, 3.125%, 9/15/2014, (EUR)		48,312
		France – 1.8%
	100,000	Alstom S.A., 4.125%, 2/01/2017, (EUR)		128,164
	150,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		141,673
	50,000	Lafarge S.A., EMTN, 5.375%, 6/26/2017, (EUR)		56,624
				326,461

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		Germany – 6.1%
	45,000	Bundesobligation, 1.250%, 10/14/2016, (EUR)	$	59,508
	200,000	Bundesobligation, 2.250%, 4/10/2015, (EUR)		273,993
	275,000	Bundesrepublik Deutschland, 3.000%, 7/04/2020, (EUR)		394,500
	145,000	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)		211,626
	80,000	Bundesrepublik Deutschland, 3.750%, 7/04/2013, (EUR)		109,214
	30,000	Bundesrepublik Deutschland, 4.000%, 1/04/2037, (EUR)		49,903
				1,098,744
		Italy – 5.9%
	100,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		84,502
	670,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 9/01/2020, (EUR)		722,534
	210,000	Italy Buoni Poliennali Del Tesoro, 4.750%, 9/15/2016, (EUR)		258,706
				1,065,742
		Japan – 21.8%
	47,000,000	Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY)		623,444
	53,000,000	Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)		697,526
	63,000,000	Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)(c)		858,894
	59,000,000	Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY)		821,306
	59,000,000	Japan Government Twenty Year Bond, 2.000%, 9/20/2025, (JPY)		826,645
	9,000,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)		123,974
				3,951,789
		Jersey – 0.9%
	100,000	WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP)		171,978
		Korea – 0.4%
	3,600,000	Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		80,061
		Luxembourg – 1.6%
	100,000	Enel Finance International S.A., EMTN, 5.625%, 8/14/2024, (GBP)		136,700
	50,000	FMC Finance VIII S.A., 6.500%, 9/15/2018, 144A, (EUR)		69,162
	75,000	Telecom Italia Finance S.A.,EMTN, 7.750%, 1/24/2033, (EUR)		85,104
				290,966

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
			Malaysia – 0.7%
	370,000		Malaysia Government Bond, 4.262%, 9/15/2016, (MYR)	$	121,473
			Mexico – 4.1%
	100,000		America Movil SAB de CV, EMTN, 4.125%, 10/25/2019, (EUR)		133,429
	160,000		Axtel SAB de CV, 9.000%, 9/22/2019, 144A		119,200
	100,000		BBVA Bancomer S.A., 7.250%, 4/22/2020, 144A		100,000
	15,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		107,335
	37,500	(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		290,037
					750,001
			Netherlands – 5.5%
	45,000		Deutsche Telekom International Finance BV, EMTN, 4.875%, 4/22/2025, (EUR)		61,400
	50,000		EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		53,711
	50,000		EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		64,838
	300,000		Kingdom of Netherlands, 4.500%, 7/15/2017, (EUR)(c)		447,409
	100,000		Koninklijke KPN NV, GMTN, 5.625%, 9/30/2024, (EUR)		144,097
	50,000		Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		44,794
	100,000		RWE Finance BV, EMTN, 5.500%, 7/06/2022, (GBP)		174,163
					990,412
			Norway – 3.3%
	30,000		Eksportfinans ASA, 2.000%, 9/15/2015		24,851
	1,800,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		335,722
	1,250,000		Norwegian Government, 4.500%, 5/22/2019, (NOK)		240,204
					600,777
			Philippines – 0.6%
	5,000,000		Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		115,722
			Singapore – 2.1%
	195,000		Singapore Government Bond, 1.625%, 4/01/2013, (SGD)		152,724
	95,000		Singapore Government Bond, 2.250%, 7/01/2013, (SGD)		75,333
	180,000		Singapore Government Bond, 2.250%, 6/01/2021, (SGD)		146,449
					374,506

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		South Africa – 0.8%
	150,000	Edcon Proprietary Ltd., 4.676%, 6/15/2014, 144A, (EUR)(b)	$	143,176
		Spain – 2.5%
	185,000	Spain Government Bond, 4.100%, 7/30/2018, (EUR)		232,110
	175,000	Spain Government Bond, 5.500%, 4/30/2021, (EUR)		231,431
				463,541
		Supranationals – 7.1%
	40,000,000	Asian Development Bank, EMTN, 2.350%, 6/21/2027, (JPY)		578,209
	921,000,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		90,937
	1,090,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 8/20/2015, (IDR)		93,763
	5,700,000	Inter-American Development Bank, EMTN, 4.750%, 1/10/2014, (INR)		104,957
	30,000,000	Nordic Investment Bank, Series C, GMTN, 1.700%, 4/27/2017, (JPY)		414,782
				1,282,648
		United Arab Emirates – 0.5%
	100,000	DP World Ltd., 6.850%, 7/02/2037, 144A		90,500
		United Kingdom – 7.3%
	100,000	Anglo American Capital PLC, 4.375%, 12/02/2016, (EUR)		137,783
	50,000	British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP)		88,026
	105,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		174,339
	50,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		88,304
	100,000	Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR)		127,313
	160,000	United Kingdom Treasury, 4.000%, 9/07/2016, (GBP)		284,137
	115,000	United Kingdom Treasury, 4.750%, 12/07/2038, (GBP)		238,496
	95,000	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)		192,499
				1,330,897
		United States – 11.2%
	100,000	BA Credit Card Trust, Series 04A1, 4.500%, 6/17/2016, (EUR)		134,556
	50,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		87,633
	15,000,000	Citigroup, Inc., 2.400%, 10/31/2025, (JPY)		167,913
	150,000	Frontier Communications Corp., 9.000%, 8/15/2031		136,875

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		United States – continued
	50,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)	$	62,042
	45,000	HCA, Inc., 8.360%, 4/15/2024		42,525
	200,000	HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR)		266,067
	100,000	JPMorgan Chase & Co., EMTN, 4.375%, 1/30/2014, (EUR)		133,264
	150,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		142,219
	130,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		200,091
	140,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		128,100
	40,000	NII Capital Corp., 7.625%, 4/01/2021		39,700
	75,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		72,375
	35,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		33,950
	100,000	Wachovia Corp., EMTN, 4.375%, 11/27/2018, (EUR)		119,156
	100,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		147,949
	100,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		122,526
				2,036,941
		Uruguay – 1.1%
	4,026,911	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)		201,304
		Total Bonds and Notes (Identified Cost $17,775,545)		17,549,493
		Total Investments – 96.7% (Identified Cost $17,775,545)(a)		17,549,493
		Other assets less liabilities – 3.3%		598,577
		Net Assets – 100.0%	$	18,148,070

(‡	)	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) and unlisted equity securities 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. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Swap agreements are valued based on mid prices supplied by a pricing service, if available, or quotations obtained from broker-dealers. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(††	)	Amount shown represents units. One unit represents a principal amount of 100.
(a	)	Federal Tax Information (Amounts exclude certain adjustments 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, 2011, the net unrealized depreciation on investments based on a cost of $17,831,361 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	$	697,504
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(979,372	)
Net unrealized depreciation	$	(281,868	)

(b	)	Variable rate security. Rate as of December 31, 2011 is disclosed.
(c	)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts.
(d	)	All or a portion of interest payment is paid-in-kind.
144A		All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $1,355,752 or 7.5% of net assets.
EMTN		Euro Medium Term Note
GMTN		Global Medium Term Note
CAD		Canadian Dollar
COP		Colombian Peso
DKK		Danish Krone
EUR		Euro
GBP		British Pound
IDR		Indonesian Rupiah
INR		Indian Rupee
JPY		Japanese Yen
MXN		Mexican Peso
MYR		Malaysian Ringgit
NOK		Norwegian Krone
PHP		Philippine Peso
SGD		Singapore Dollar
UYU		Uruguayan Peso

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies and to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts. At December 31, 2011, the Fund had the following open forward foreign currency contracts:

Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell1		03/28/2012	British Pound		156,000	$	242,070	$	(77	)
Buy2		03/21/2012	Canadian Dollar		720,000		705,538		(663	)
Buy3		03/21/2012	Euro		75,000		97,135		(262	)
Sell3		03/21/2012	Euro		75,000		97,135		706
Buy4		03/21/2012	Japanese Yen		67,000,000		871,677		8,609
Sell4		03/21/2012	Japanese Yen		19,000,000		247,192		(3,198	)
Buy4		02/21/2012	Malaysian Ringgit		775,000		243,764		(1,334	)
Sell4		02/21/2012	Malaysian Ringgit		150,000		47,180		34
Sell4		02/21/2012	Malaysian Ringgit		195,000		61,334		(206	)
Buy1		01/31/2012	New Zealand Dollar		238,000		184,931		338
Sell1		01/31/2012	New Zealand Dollar		238,000		184,931		9,094
Buy3		03/12/2012	South Korean Won		226,130,000		195,402		(3,577	)
Buy1		03/12/2012	South Korean Won		416,000,000		359,471		(6,549	)
Sell3		03/12/2012	South Korean Won		54,000,000		46,662		51
Buy2		03/06/2012	Swiss Franc		220,000		234,505		(5,120	)
Buy3		02/02/2012	Turkish Lira		425,000		222,811		(13,313	)
Sell3		02/02/2012	Turkish Lira		425,000		222,811		11,966
Total								$	(3,501	)

¹Counterparty is Barclays.

²Counterparty is UBS AG.

³Counterparty is Credit Suisse.

⁴Counterparty is JPMorgan Chase.

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Supranationals	$	—	$	1,177,691	$	104,957	$	1,282,648
All Other Bonds and Notes*		—		16,266,845		—		16,266,845
Total Bonds and Notes		—		17,444,536		104,957		17,549,493
Forward Foreign Currency Contracts (unrealized appreciation)		—		30,798		—		30,798
Total	$	—	$	17,475,334	$	104,957	$	17,580,291

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(34,299	)	$	—		$ (34,299)

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2011:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011
Bonds and Notes
Non-Convertible Bonds
Supranationals	$	118,679	$	35	$	—	$	(13,757	)	$	—	$	—	$	—	$	—	$	104,957	$	(13,756	)

Derivatives

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

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. During the period ended December 31, 2011, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of December 31, 2011, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

Counterparty	Derivatives			Collateral Pledged
Credit Suisse	$	(4,429	)	$	—
UBS AG		(5,783	)		—

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $30,798 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $6,711.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for the Fund, as of December 31, 2011:

Asset Derivatives	Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	30,798
Liability Derivatives	Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	(34,299	)

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

Industry Summary at December 31, 2011 (Unaudited)

Treasuries	48.5	%
Banking	7.8
Supranational	7.1
Wirelines	4.8
Local Authorities	4.5
Government Guaranteed	3.4
Electric	2.9
Media Non-Cable	2.8
Wireless	2.3
Other Investments, less than 2% each	12.6
Total Investments	96.7
Other assets less liabilities (including open forward foreign currency contracts)	3.3
Net Assets	100.0	%

Currency Exposure at December 31, 2011 (Unaudited)

Euro	34.1	%
Japanese Yen	30.0
British Pound	11.6
United States Dollar	5.5
Norwegian Krone	3.2
Canadian Dollar	2.4
Mexican Peso	2.2
Singapore Dollar	2.1
Other, less than 2% each	5.6
Total Investments	96.7
Other assets less liabilities (including open forward foreign currency contracts)	3.3
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2011 (Unaudited)

Loomis Sayles Investment Grade Bond Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 93.6% of Net Assets
	Non-Convertible Bonds – 89.3%
		ABS Car Loan – 0.8%
	$5,153,750	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.425%, 8/20/2013, 144A(b)	$	5,106,435
	831,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class B, 5.740%, 8/20/2014, 144A		859,616
	4,590,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class B, 6.740%, 5/20/2016, 144A		5,004,018
	2,889,250	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		2,962,742
	18,620,000	Chesapeake Funding LLC, Series 2009-2A, Class B, 2.028%, 9/15/2021, 144A(b)		18,757,430
	16,736,000	Chesapeake Funding LLC, Series 2009-2A, Class C, 2.028%, 9/15/2021, 144A(b)		16,781,376
	19,574,000	Ford Auto Securitization Trust, Series 2010-R3A, Class A3, 2.714%, 9/15/2015, 144A, (CAD)		19,450,071
	5,481,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		5,468,357
	8,333,000	Merrill Auto Trust Securitization Asset, Series 2008-1, Class B, 6.750%, 4/15/2015		8,470,993
				82,861,038
		ABS Credit Card – 0.8%
	28,592,000	Chase Issuance Trust, Series 2007-B1, Class B1, 0.528%, 4/15/2019(b)		27,504,020
	19,182,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		20,996,387
	9,787,000	MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 7/15/2014		9,853,707
	14,465,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		15,371,306
	2,324,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019		2,566,937
				76,292,357
		ABS Other – 1.7%
	1,664,000	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		1,600,795
	8,529,950	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		8,580,666
	40,157,712	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		41,020,994
	4,322,432	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		4,329,916
	38,096,779	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		39,941,216
	41,387,817	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		46,847,921
	16,154,975	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		15,607,674

1

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Other – continued
	$17,307,700	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A	$	17,419,208
				175,348,390
		Airlines – 2.8%
	7,867,489	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021		8,309,956
	307,868	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		306,713
	895,042	Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019		914,017
	942,774	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		981,616
	8,816,189	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		9,443,902
	1,749,519	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,874,084
	3,122,083	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		3,129,982
	55,725,876	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		58,021,783
	11,512,983	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		10,792,846
	26,779,093	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		29,457,002
	20,051,663	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		21,355,021
	1,907,491	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,990,848
	14,333,716	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		14,064,242
	35,655,632	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		38,329,805
	2,707,898	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		2,816,214
	21,186,690	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		22,563,825
	6,717,300	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		6,389,496
	7,277,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		7,514,347
	24,732,136	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		24,732,136
	6,185,082	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		6,841,938
	17,386,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		16,516,700
				286,346,473
		Automotive – 1.2%
	40,992,000	Cummins, Inc., 5.650%, 3/01/2098		40,183,761
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		6,425,087

2

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
	$1,948,000	Ford Motor Co., 6.375%, 2/01/2029	$	2,001,301
	125,000	Ford Motor Co., 6.500%, 8/01/2018		131,875
	255,000	Ford Motor Co., 6.625%, 2/15/2028		268,215
	5,074,000	Ford Motor Co., 6.625%, 10/01/2028		5,342,719
	8,544,000	Ford Motor Co., 7.450%, 7/16/2031		10,252,800
	240,000	Ford Motor Co., 7.500%, 8/01/2026		255,000
	40,126,000	Ford Motor Credit Co. LLC, 6.625%, 8/15/2017		43,679,518
	338,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		358,392
	5,319,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		5,717,925
	4,540,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		5,151,125
				119,767,718
		Banking – 9.9%
	22,547,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		29,358,246
	7,200,000	American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017		8,141,818
	35,878,000	Associates Corp. of North America, 6.950%, 11/01/2018		38,986,219
	3,590,000	Bank of America Corp., 5.420%, 3/15/2017		3,238,934
	9,805,000	Bank of America Corp., 6.000%, 9/01/2017		9,575,837
	2,393,000	Bank of America Corp., 7.625%, 6/01/2019		2,474,881
	11,100,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		10,110,268
	5,000,000	Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD)		5,026,414
	17,249,000	Bank of America NA, 5.300%, 3/15/2017		15,557,063
	7,110,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		6,213,603
	337,230,000,000	Barclays Financial LLC, EMTN, 8.250%, 10/27/2014, (IDR)		35,912,066
	2,173,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		2,221,503
	370,000	BNP Paribas/Australia, 7.000%, 5/24/2016, (AUD)		361,030
	8,994,000	Capital One Financial Corp., 6.150%, 9/01/2016		9,358,545
	6,473,000	Citigroup, Inc., 5.000%, 9/15/2014		6,406,380
	2,700,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		1,880,605

3

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	$14,680,000	Citigroup, Inc., 5.500%, 2/15/2017	$	14,790,805
	1,297,000	Citigroup, Inc., 5.850%, 12/11/2034		1,278,586
	2,740,000	Citigroup, Inc., 5.875%, 2/22/2033		2,298,167
	19,875,000	Citigroup, Inc., 6.125%, 5/15/2018		21,154,095
	8,705,000	Citigroup, Inc., 6.125%, 8/25/2036		7,529,912
	72,682,000	Citigroup, Inc., 6.375%, 8/12/2014		76,281,285
	2,398,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		2,471,745
	63,845,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		65,635,661
	3,546,000	First Niagara Finance Group, Inc., 6.750%, 3/19/2020		3,734,051
	1,174,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		1,059,325
	98,890,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		92,018,431
	6,645,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		6,558,774
	1,527,000	HBOS PLC, 6.000%, 11/01/2033, 144A		934,145
	700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		609,000
	67,364,716,380	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		7,256,891
	12,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		1,281,588
	16,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,790,659
	100,000	Keybank NA, 6.950%, 2/01/2028		110,868
	9,787,000	Lloyds TSB Bank PLC, EMTN, 4.570%, 10/13/2015, (CAD)		9,082,144
	81,622,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		68,298,025
	6,479,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		5,950,229
	4,300,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		4,053,004
	93,791,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		72,306,765
	24,887,000	Merrill Lynch & Co., Inc., 6.220%, 9/15/2026		20,528,440
	9,780,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		4,718,938
	3,132,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		2,969,524
	11,641,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		11,477,316

4

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	$40,126,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034	$	30,790,927
	2,652,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		2,567,942
	18,273,000	Morgan Stanley, 4.750%, 4/01/2014		18,000,495
	110,093,000	Morgan Stanley, 5.500%, 7/24/2020		100,099,858
	5,900,000	Morgan Stanley, 5.750%, 1/25/2021		5,503,555
	1,510,000	Morgan Stanley, EMTN, 5.450%, 1/09/2017		1,453,774
	5,400,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		4,915,485
	24,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		23,943,106
	36,756,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		34,038,960
	5,187,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		5,121,867
	9,699,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		9,240,586
	2,789,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		4,134,112
	2,875,000	National City Bank of Indiana, 4.250%, 7/01/2018		2,895,585
	8,638,000	National City Corp., 6.875%, 5/15/2019		9,707,989
	4,600,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		4,391,501
	16,175,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		15,532,998
	16,392,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		13,927,905
	3,300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		3,369,016
	17,861,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A		18,907,512
				999,544,958
		Brokerage – 1.5%
	59,450,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		56,628,860
	44,990,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(c)		43,386,556
	11,813,000	Jefferies Group, Inc., 6.250%, 1/15/2036		9,659,443
	44,188,000	Jefferies Group, Inc., 8.500%, 7/15/2019		44,850,820
				154,525,679
		Building Materials – 1.3%
	6,640,000	Masco Corp., 4.800%, 6/15/2015		6,587,863

5

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – continued
	$10,942,000	Masco Corp., 5.850%, 3/15/2017	$	10,922,501
	6,616,000	Masco Corp., 6.125%, 10/03/2016		6,789,359
	4,808,000	Masco Corp., 6.500%, 8/15/2032		4,300,492
	29,341,000	Masco Corp., 7.125%, 3/15/2020		29,611,641
	4,923,000	Masco Corp., 7.750%, 8/01/2029		4,778,599
	24,394,000	Owens Corning, Inc., 6.500%, 12/01/2016		26,623,172
	41,379,000	Owens Corning, Inc., 7.000%, 12/01/2036		42,292,069
	1,037,000	USG Corp., 6.300%, 11/15/2016		808,860
				132,714,556
		Chemicals – 0.5%
	34,763,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		44,008,984
	3,469,000	Cytec Industries, Inc., 6.000%, 10/01/2015		3,791,083
	2,349,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		2,418,756
				50,218,823
		Collateralized Mortgage Obligations – 0.0%
	1,203,876	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.767%, 4/25/2035(b)		945,995
	2,553,189	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.468%, 7/25/2047(b)		1,315,464
	82,991	Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12, Class 1A1, 2.743%, 9/25/2036(b)		55,257
				2,316,716
		Commercial Mortgage-Backed Securities – 3.8%
	7,927,364	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		8,347,689
	33,167,701	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		35,179,421
	12,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		12,702,936
	62,292,812	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.902%, 6/15/2039(b)		65,396,240
	34,381,273	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.987%, 9/15/2039(b)		35,921,795
	6,711,090	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		7,001,928
	57,694,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		63,656,040
	23,544,272	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		25,399,066

6

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
	$15,789,051	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class A4, 5.475%, 4/15/2043	$	17,368,667
	59,341,803	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 6.004%, 6/15/2049(b)		63,064,136
	21,524,263	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		23,268,826
	3,131,798	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 6.067%, 6/15/2038(b)		3,512,387
	1,311,441	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,379,379
	9,786,870	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.984%, 8/12/2045, 144A(b)		9,614,230
	6,851,000	Vornado DP LLC, Series 2010-VNO, Class D, 6.356%, 9/13/2028, 144A		6,802,166
	3,621,142	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		3,968,044
				382,582,950
		Construction Machinery – 0.3%
	23,638,000	Case New Holland, Inc., 7.750%, 9/01/2013		25,115,375
	6,787,000	Toro Co., 6.625%, 5/01/2037(c)		7,095,327
				32,210,702
		Consumer Cyclical Services – 0.1%
	6,955,000	Western Union Co. (The), 6.200%, 11/17/2036		7,400,259
	196,000	Western Union Co. (The), 6.200%, 6/21/2040		209,889
				7,610,148
		Consumer Products – 0.2%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		8,200,713
	11,754,000	Snap-on, Inc., 6.700%, 3/01/2019		14,627,982
				22,828,695
		Distributors – 0.8%
	9,787,000	EQT Corp., 8.125%, 6/01/2019		11,479,848
	60,038,000	Equitable Resources, Inc., 6.500%, 4/01/2018		66,942,730
	5,740,000	ONEOK, Inc., 6.000%, 6/15/2035		6,143,769
				84,566,347
		Diversified Manufacturing – 1.3%
	1,395,000	Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018		1,689,740

7

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Diversified Manufacturing – continued
	$2,814,000	Textron Financial Corp., 5.400%, 4/28/2013	$	2,894,860
	1,181,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		1,222,600
	18,800,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		24,371,228
	78,795,000	Textron, Inc., 5.950%, 9/21/2021		83,108,632
	11,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		18,372,368
				131,659,428
		Electric – 3.0%
	35,959,293	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		39,530,051
	46,556,000	Ameren Illinois Co., 6.250%, 4/01/2018		53,751,928
	39,539,000	AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018		40,764,709
	489,000	Baltimore Gas & Electric Co., 5.200%, 6/15/2033		534,771
	11,503,547	Bruce Mansfield Unit, 6.850%, 6/01/2034		12,500,955
	17,435,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		19,179,198
	18,687,000	Cleveland Electric Illuminating Co. (The), 5.950%, 12/15/2036		19,915,297
	876,000	Commonwealth Edison Co., 4.700%, 4/15/2015		958,370
	12,185,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		9,294,718
	3,300,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		2,775,904
	1,000,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		1,083,148
	900,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		1,001,802
	979,000	Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013		1,069,578
	4,491,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		5,593,127
	19,600,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		15,774,982
	3,603,000	Exelon Corp., 4.900%, 6/15/2015		3,882,157
	1,864,000	ITC Holdings Corp., 5.875%, 9/30/2016, 144A		2,122,132
	7,932,880	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(c)		8,034,976
	1,532,000	Ohio Edison Co., 6.875%, 7/15/2036		1,857,679
	50,026,000	Southwestern Electric Power Co., 6.450%, 1/15/2019		58,395,800
	1,075,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		1,156,044

8

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
	$1,600,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)	$	1,722,496
				300,899,822
		Entertainment – 0.1%
	494,000	Time Warner, Inc., 7.625%, 4/15/2031		637,695
	323,000	Time Warner, Inc., 7.700%, 5/01/2032		421,414
	3,616,000	Viacom, Inc., 6.125%, 10/05/2017		4,180,255
				5,239,364
		Financial Other – 0.9%
	58,115,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		54,754,791
	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		33,069,904
				87,824,695
		Food & Beverage – 0.1%
	2,450,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		4,294,009
	8,446,000	Corn Products International, Inc., 6.625%, 4/15/2037		10,041,694
				14,335,703
		Government Guaranteed – 0.6%
	12,910,000	Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)		11,531,244
	13,005,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		12,905,930
	11,311,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)		10,772,919
	31,142,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		27,725,290
				62,935,383
		Government Owned – No Guarantee – 1.4%
	3,720,000	Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A		3,654,900
	36,975,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		42,336,375
	58,060,000	DP World Ltd., 6.850%, 7/02/2037, 144A		52,544,300
	26,030,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		2,777,969
	27,800,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		3,043,207
	22,478,000	Federal Home Loan Mortgage Corp., 1.625%, 4/15/2013		22,855,720
	15,170,000	Korea Gas Corp., 6.000%, 7/15/2014, 144A		16,289,698

9

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Government Owned – No Guarantee – continued
	$1,000,000	Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A	$	1,325,133
				144,827,302
		Government Sponsored – 0.7%
	66,200,000	Federal Home Loan Bank, 1.875%, 6/21/2013		67,679,835
		Health Insurance – 0.0%
	1,569,000	CIGNA Corp., 7.875%, 5/15/2027		1,876,593
	1,174,000	CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d)		1,430,660
				3,307,253
		Healthcare – 1.3%
	42,555,000	Aristotle Holding, Inc., 4.750%, 11/15/2021, 144A		44,034,680
	7,692,000	Boston Scientific Corp., 6.000%, 1/15/2020		8,586,880
	7,374,000	Covidien International Finance S.A., 6.000%, 10/15/2017		8,738,197
	17,416,000	Express Scripts, Inc., 6.250%, 6/15/2014		18,982,325
	9,459,000	Express Scripts, Inc., 7.250%, 6/15/2019		11,271,997
	9,278,000	HCA, Inc., 5.750%, 3/15/2014		9,463,560
	1,908,000	HCA, Inc., 6.250%, 2/15/2013		1,946,160
	3,729,000	HCA, Inc., 6.375%, 1/15/2015		3,798,919
	3,929,000	HCA, Inc., 6.500%, 2/15/2016		3,987,935
	357,000	HCA, Inc., 6.750%, 7/15/2013		368,603
	2,936,000	HCA, Inc., 7.050%, 12/01/2027		2,462,570
	2,241,000	HCA, Inc., 7.190%, 11/15/2015		2,241,000
	2,109,000	HCA, Inc., 7.500%, 12/15/2023		1,887,555
	1,282,000	HCA, Inc., 7.500%, 11/06/2033		1,108,930
	3,807,000	HCA, Inc., 7.690%, 6/15/2025		3,369,195
	4,164,000	HCA, Inc., 8.360%, 4/15/2024		3,934,980
	1,199,000	HCA, Inc., MTN, 7.580%, 9/15/2025		1,061,115
	3,068,000	HCA, Inc., MTN, 7.750%, 7/15/2036		2,672,995
	2,256,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		2,449,754
				132,367,350

10

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Home Construction – 0.1%
	$2,006,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015	$	1,955,850
	2,546,000	Pulte Group, Inc., 5.200%, 2/15/2015		2,380,510
	9,200,000	Pulte Group, Inc., 6.000%, 2/15/2035		6,106,500
	3,567,000	Pulte Group, Inc., 6.375%, 5/15/2033		2,470,148
				12,913,008
		Independent Energy – 0.1%
	11,930,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		13,828,469
		Industrial Other – 0.1%
	4,893,000	Worthington Industries, Inc., 6.500%, 4/15/2020		5,349,478
		Life Insurance – 1.0%
	5,500,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)		6,770,847
	6,910,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		6,758,084
	2,036,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		1,945,683
	9,777,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		12,670,843
	5,050,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		4,769,653
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		15,167,355
	10,971,000	MetLife, Inc., 6.400%, 12/15/2066		10,381,331
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		9,666,378
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		6,639,370
	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		3,209,385
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		17,765,209
	4,732,000	Unum Group, 7.125%, 9/30/2016		5,399,718
				101,143,856
		Local Authorities – 2.5%
	7,448,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		6,302,845
	99,450,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		104,269,578
	47,456,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		48,833,606
	30,476,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		31,341,833

11

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Local Authorities – continued
	17,930,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)	$	19,461,712
	18,615	Province of Alberta, 5.930%, 9/16/2016, (CAD)		20,487
	489,000	Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)		672,951
	29,791,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		25,602,501
	19,163,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		20,377,058
				256,882,571
		Lodging – 1.0%
	52,516,000	Choice Hotels International, Inc., 5.700%, 8/28/2020		54,607,450
	4,522,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		4,787,084
	13,286,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		14,327,623
	23,518,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020		26,842,857
				100,565,014
		Media Cable – 1.2%
	2,923,000	Comcast Corp., 6.950%, 8/15/2037		3,718,956
	17,832,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		19,177,167
	4,101,000	Time Warner Cable, Inc., 5.850%, 5/01/2017		4,670,334
	78,178,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		92,853,183
				120,419,640
		Media Non-Cable – 0.1%
	7,536,000	News America, Inc., 6.150%, 3/01/2037		8,237,699
	4,482,000	News America, Inc., 8.150%, 10/17/2036		5,638,401
				13,876,100
		Metals & Mining – 1.7%
	20,000,000	Alcoa, Inc., 5.400%, 4/15/2021		20,037,300
	15,060,000	Alcoa, Inc., 5.870%, 2/23/2022		15,169,667
	6,000,000	Alcoa, Inc., 5.900%, 2/01/2027		5,932,482
	5,505,000	Alcoa, Inc., 5.950%, 2/01/2037		5,220,991
	28,838,000	Alcoa, Inc., 6.150%, 8/15/2020		29,961,990
	5,804,000	Alcoa, Inc., 6.750%, 1/15/2028		5,968,004

12

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Metals & Mining – continued
	$430,000	ArcelorMittal, 5.500%, 3/01/2021	$	394,701
	7,080,000	ArcelorMittal, 6.125%, 6/01/2018		6,991,939
	30,735,000	ArcelorMittal, 6.750%, 3/01/2041		27,637,834
	9,915,000	ArcelorMittal, 7.000%, 10/15/2039		9,214,148
	3,181,000	Rio Tinto Alcan, Inc., 5.750%, 6/01/2035		3,760,896
	1,943,000	United States Steel Corp., 6.050%, 6/01/2017		1,855,565
	4,612,000	United States Steel Corp., 6.650%, 6/01/2037		3,597,360
	31,210,000	United States Steel Corp., 7.000%, 2/01/2018		30,897,900
	3,655,000	Vale Overseas Ltd., 6.875%, 11/21/2036		4,161,404
				170,802,181
		Mortgage Related – 0.0%
	87,853	FHLMC, 5.000%, 12/01/2031		94,713
	14,060	FNMA, 6.000%, 7/01/2029		15,673
				110,386
		Non-Captive Consumer – 1.5%
	62,425(††)	SLM Corp., 6.000%, 12/15/2043		1,184,670
	6,342,000	SLM Corp., MTN, 5.050%, 11/14/2014		6,255,115
	347,000	SLM Corp., MTN, 5.125%, 8/27/2012		348,770
	641,000	SLM Corp., MTN, 8.000%, 3/25/2020		647,410
	4,796,000	SLM Corp., Series A, MTN, 0.718%, 1/27/2014(b)		4,335,517
	9,224,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013		9,224,000
	6,547,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		6,299,883
	1,957,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		1,696,541
	6,141,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		6,183,367
	5,368,000	SLM Corp., Series A, MTN, 5.375%, 5/15/2014		5,371,763
	19,496,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		14,542,456
	30,667,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		31,587,010
	4,893,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		3,559,657

13

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
	$87,676,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017	$	63,126,720
				154,362,879
		Non-Captive Diversified – 3.5%
	1,282,000	Ally Financial, Inc., 6.625%, 5/15/2012		1,290,011
	1,634,000	Ally Financial, Inc., 6.750%, 12/01/2014		1,648,260
	391,000	Ally Financial, Inc., 6.875%, 8/28/2012		394,972
	1,184,000	Ally Financial, Inc., 7.000%, 2/01/2012		1,185,877
	3,075,000	Ally Financial, Inc., 7.500%, 12/31/2013		3,159,563
	5,543,000	Ally Financial, Inc., 8.000%, 12/31/2018		5,445,997
	2,285,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,159,325
	6,756,571	CIT Group, Inc., 7.000%, 5/01/2015		6,770,084
	10,302,540	CIT Group, Inc., 7.000%, 5/01/2016		10,302,540
	15,765,347	CIT Group, Inc., 7.000%, 5/01/2017		15,765,347
	15,688,000	GATX Corp., 4.750%, 10/01/2012		16,004,756
	3,500,000	General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		3,753,518
	7,355,000	General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD)		7,541,999
	7,570,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 5/15/2013, (AUD)		7,845,915
	3,100,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 4/15/2015, (AUD)		3,225,087
	1,874,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD)		1,879,522
	969,000	General Electric Capital Corp., 5.625%, 5/01/2018		1,085,282
	4,673,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		4,951,450
	14,225,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		11,833,610
	6,000,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		4,649,890
	13,100,000	General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD)		10,124,698
	36,850,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		31,314,212
	10,247,000	General Electric Capital Corp., Series A, MTN, 0.703%, 5/13/2024(b)		8,029,139
	16,696,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		18,114,225
	26,931,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		22,105,529

14

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
	$73,590,000	International Lease Finance Corp., 6.250%, 5/15/2019	$	67,981,706
	13,899,000	International Lease Finance Corp., 6.375%, 3/25/2013		13,829,505
	60,419,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		62,533,665
	548,000	International Lease Finance Corp., 8.625%, 9/15/2015		561,700
	1,473,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		1,439,858
	1,625,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		1,551,875
				348,479,117
		Oil Field Services – 0.6%
	5,965,000	Nabors Industries, Inc., 6.150%, 2/15/2018		6,663,436
	22,583,000	Nabors Industries, Inc., 9.250%, 1/15/2019		28,407,043
	23,338,000	Rowan Cos., Inc., 7.875%, 8/01/2019		27,359,091
	587,000	Transocean Ltd., 7.375%, 4/15/2018		631,723
				63,061,293
		Paper – 1.2%
	4,365,000	Celulosa Arauco y Constitucion S.A., 7.250%, 7/29/2019		5,166,689
	23,225,000	Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A		25,725,125
	715,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		862,626
	2,672,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,295,415
	644,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		810,511
	545,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		698,747
	1,336,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,836,417
	6,161,000	International Paper Co., 5.250%, 4/01/2016		6,694,124
	7,611,000	International Paper Co., 8.700%, 6/15/2038		10,325,920
	5,270,000	Mead Corp. (The), 7.550%, 3/01/2047		5,133,897
	5,764,000	Westvaco Corp., 8.200%, 1/15/2030		6,553,409
	24,007,000	Weyerhaeuser Co., 6.875%, 12/15/2033		23,634,699
	7,374,000	Weyerhaeuser Co., 7.375%, 10/01/2019		8,308,050
	20,254,000	Weyerhaeuser Co., 7.375%, 3/15/2032		21,259,246
				120,304,875

15

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Pharmaceuticals – 0.6%
	$56,052,000	Roche Holdings, Inc., 5.000%, 3/01/2014, 144A	$	60,637,222
	489,000	Schering-Plough Corp., 5.300%, 12/01/2013		531,553
				61,168,775
		Pipelines – 3.9%
	5,236,000	CenterPoint Energy Resources Corp., 6.250%, 2/01/2037		6,280,634
	1,967,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		2,243,304
	528,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		579,706
	1,571,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		1,651,905
	9,257,000	Enterprise Products Operating LLC, 4.050%, 2/15/2022		9,431,624
	3,328,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		4,155,084
	14,300,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		15,254,611
	14,675,000	Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020		15,981,721
	66,165,000	Kinder Morgan Energy Partners LP, 5.950%, 2/15/2018		75,589,807
	303,000	Kinder Morgan Finance Co., 5.700%, 1/05/2016		309,817
	29,082,463	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		30,972,823
	8,886,000	NGPL PipeCo LLC, 6.514%, 12/15/2012, 144A		8,976,140
	30,760,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		30,365,657
	13,790,000	NiSource Finance Corp., 6.125%, 3/01/2022		15,875,917
	24,110,000	NiSource Finance Corp., 6.400%, 3/15/2018		27,722,932
	21,614,000	NiSource Finance Corp., 6.800%, 1/15/2019		25,315,311
	9,899,000	Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017		11,263,409
	47,594,000	Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018		54,550,958
	1,404,000	Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019		1,719,260
	2,085,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,357,176
	15,683,000	Plains All American Pipeline LP, 6.500%, 5/01/2018		18,240,960
	4,497,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		5,358,432
	4,125,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		4,714,347

16

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Pipelines – continued
	$19,574,000	Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A	$	23,618,967
				392,530,502
		Property & Casualty Insurance – 0.9%
	3,083,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		3,533,164
	9,038,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		8,811,029
	30,349,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		33,344,507
	944,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		528,640
	14,575,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		13,362,608
	7,609,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		7,980,692
	13,521,000	Willis North America, Inc., 7.000%, 9/29/2019		15,051,131
	2,212,000	XL Group PLC, 6.250%, 5/15/2027		2,241,493
	1,463,000	XL Group PLC, 6.375%, 11/15/2024		1,537,987
				86,391,251
		Property Trust – 0.4%
	36,192,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		40,366,602
		Railroads – 0.1%
	9,787,000	Canadian Pacific Railway Co., 7.250%, 5/15/2019		11,475,502
	238,000	Missouri Pacific Railroad Co., 4.750%, 1/01/2030(c)		221,340
	1,701,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		1,224,720
	191,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		177,630
				13,099,192
		Real Estate Operations/Development – 0.1%
	10,276,000	First Industrial LP, 5.950%, 5/15/2017		9,565,702
		REITs – Apartments – 0.4%
	12,243,000	Camden Property Trust, 5.000%, 6/15/2015		13,003,168
	16,491,000	Camden Property Trust, 5.700%, 5/15/2017		18,057,232
	988,000	ERP Operating LP, 5.125%, 3/15/2016		1,058,566

17

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		REITs – Apartments – continued
	$1,762,000	ERP Operating LP, 5.375%, 8/01/2016	$	1,916,968
	1,508,000	ERP Operating LP, 5.750%, 6/15/2017		1,671,977
				35,707,911
		REITs – Diversified – 0.2%
	4,140,000	Duke Realty LP, 5.950%, 2/15/2017		4,451,017
	19,574,000	Duke Realty LP, 6.500%, 1/15/2018		21,629,642
				26,080,659
		REITs – Healthcare – 0.1%
	5,972,000	Health Care REIT, Inc., 6.500%, 3/15/2041		5,983,711
		REITs – Office Property – 0.3%
	20,817,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		22,017,954
	11,306,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		12,732,489
				34,750,443
		REITs – Regional Malls – 0.2%
	2,427,000	Simon Property Group LP, 5.250%, 12/01/2016		2,689,871
	12,209,000	Simon Property Group LP, 5.750%, 12/01/2015		13,659,038
	1,889,000	Simon Property Group LP, 5.875%, 3/01/2017		2,157,533
	4,066,000	Simon Property Group LP, 6.100%, 5/01/2016		4,621,582
				23,128,024
		REITs – Shopping Centers – 0.1%
	4,893,000	Equity One, Inc., 6.000%, 9/15/2017		5,098,604
	1,918,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		2,071,369
				7,169,973
		REITs – Single Tenant – 0.4%
	5,862,000	Realty Income Corp., 5.750%, 1/15/2021		6,378,694
	25,529,000	Realty Income Corp., 6.750%, 8/15/2019		29,102,192
				35,480,886
		REITs – Warehouse/Industrials – 0.6%
	3,873,000	ProLogis LP, 5.625%, 11/15/2015		4,119,148
	11,179,000	ProLogis LP, 5.625%, 11/15/2016		11,803,157

18

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		REITs – Warehouse/Industrials – continued
	$10,889,000	ProLogis LP, 5.750%, 4/01/2016	$	11,521,259
	9,698,000	ProLogis LP, 6.625%, 5/15/2018		10,532,387
	18,869,000	ProLogis LP, 7.375%, 10/30/2019		21,317,989
				59,293,940
		Restaurants – 0.1%
	10,320,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		10,564,068
		Retailers – 0.6%
	7,996,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		8,035,980
	8,139,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		6,806,239
	12,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		12,000
	8,656,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		7,747,120
	13,425,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		15,595,849
	10,467,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		11,158,932
	2,691,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,959,669
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		8,026,430
				60,342,219
		Sovereigns – 0.8%
	24,178,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		14,777,065
	6,035,000	Republic of Brazil, 12.500%, 1/05/2022, (BRL)		4,141,429
	52,555,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		49,927,250
	1,018,562,437	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		4,916,033
	776,294,507	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		3,900,133
				77,661,910
		Supermarkets – 0.2%
	4,130,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		3,123,312
	3,269,000	Kroger Co. (The), 6.400%, 8/15/2017		3,887,903
	1,860,000	New Albertson’s, Inc., 7.450%, 8/01/2029		1,450,800
	979,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		697,538

19

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supermarkets – continued
	$ 10,863,000	Safeway, Inc., 6.350%, 8/15/2017	$	12,316,763
				21,476,316
		Supranational – 1.5%
	11,745,000	European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL)		6,344,221
	192,350,850,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		18,992,194
	28,082,000	European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD)		21,892,356
	9,640,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		9,492,083
	329,210,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		32,962,753
	410,030,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		40,118,954
	12,982,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		11,097,140
	15,070,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		11,786,249
				152,685,950
		Technology – 3.3%
	8,705,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		10,080,782
	4,600,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		3,300,500
	1,028,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		1,161,157
	3,059,000	Avnet, Inc., 5.875%, 3/15/2014		3,243,699
	6,097,000	Avnet, Inc., 6.000%, 9/01/2015		6,574,944
	1,507,000	Avnet, Inc., 6.625%, 9/15/2016		1,685,848
	12,444,000	BMC Software, Inc., 7.250%, 6/01/2018(c)		14,350,309
	13,457,000	Corning, Inc., 6.750%, 9/15/2013		14,532,658
	1,448,000	Corning, Inc., 6.850%, 3/01/2029		1,756,960
	57,571,000	Corning, Inc., 7.000%, 5/15/2024		74,134,234
	7,487,000	Corning, Inc., 7.250%, 8/15/2036		9,032,002
	55,237,000	Dun & Bradstreet Corp. (The), 6.000%, 4/01/2013		58,246,036
	7,051,000	Equifax, Inc., 7.000%, 7/01/2037		7,875,473
	323,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		339,958
	70,969,000	Ingram Micro, Inc., 5.250%, 9/01/2017		73,104,315

20

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	Technology – continued
$7,795,000	Intuit, Inc., 5.750%, 3/15/2017	$	8,744,135
19,078,000	KLA-Tencor Corp., 6.900%, 5/01/2018		21,999,853
1,502,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		1,551,260
2,256,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		2,716,797
5,603,000	Tyco Electronics Group S.A., 6.550%, 10/01/2017		6,472,574
561,000	Xerox Corp., 6.350%, 5/15/2018		631,944
7,110,000	Xerox Corp., 6.750%, 2/01/2017		8,144,391
			329,679,829
	Textile – 0.2%
3,755,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023		4,224,375
14,903,000	VF Corp., 6.450%, 11/01/2037		19,411,873
			23,636,248
	Tobacco – 0.1%
8,128,000	Reynolds American, Inc., 6.750%, 6/15/2017		9,238,513
1,992,000	Reynolds American, Inc., 7.250%, 6/15/2037		2,310,660
			11,549,173
	Transportation Services – 0.7%
8,436,000	Erac USA Finance Co., 6.375%, 10/15/2017, 144A		9,748,245
2,824,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		3,192,580
51,504,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		61,963,123
			74,903,948
	Treasuries – 18.4%
93,805,000	Canadian Government, 1.750%, 3/01/2013, (CAD)		92,895,264
360,010,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		355,886,008
106,195,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		107,933,732
194,485,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		218,409,280
4,159,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		4,563,775
183,949,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		210,639,887
2,992,573	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		702,090

21

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	1,420,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)	$	364,443
	979,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		278,160
	47,042,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		13,333,015
	85,198,516	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		87,164,819
	24,638,126	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		24,628,623
	5,049,296	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		5,291,629
	63,183,488	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		64,379,205
	1,130,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		1,152,599
	1,130,000	Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		1,207,735
	1,120,000	Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		1,240,302
	4,111,400(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		33,010,729
	12,263,000	New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		10,938,588
	328,483,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		268,708,308
	726,401,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		135,482,468
	118,387,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		21,992,624
	994,369,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		177,690,765
	18,301,446	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		11,836,221
	4,599,829	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		3,137,244
	927,108,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		4,664,379
				1,857,531,892
		Wireless – 0.8%
	5,200,000	Brasil Telecom S.A., 9.750%, 9/15/2016, 144A, (BRL)		2,732,074
	31,416,000	Cellco Partnership/Verizon Wireless Capital LLC, 8.500%, 11/15/2018		42,402,175
	15,375,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		14,836,875
	8,549,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		7,822,335
	279,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		277,605
	6,373,000	Sprint Capital Corp., 6.875%, 11/15/2028		4,548,729
	2,594,000	Sprint Capital Corp., 6.900%, 5/01/2019		2,133,565

22

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – continued
	$ 612,000	Sprint Capital Corp., 8.750%, 3/15/2032	$	494,955
	91,000	Sprint Nextel Corp., 6.000%, 12/01/2016		75,530
	1,619,000	Vodafone Group PLC, 5.000%, 9/15/2015		1,807,283
				77,131,126
		Wirelines – 4.6%
	406,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		494,884
	1,874,000	BellSouth Corp., 6.000%, 11/15/2034		2,126,377
	2,936,000	BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		3,109,761
	6,665,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		8,367,468
	62,040,000	CenturyLink, Inc., 6.450%, 6/15/2021		62,154,278
	4,990,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		4,651,673
	2,708,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,657,266
	131,306,000	Deutsche Telekom International Finance BV, 6.000%, 7/08/2019		150,739,288
	24,103,000	Embarq Corp., 7.995%, 6/01/2036		24,975,239
	3,279,000	GTE Corp., 6.940%, 4/15/2028		4,123,418
	1,440,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		1,465,200
	354,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		361,965
	200,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		208,750
	7,750,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		5,978,143
	18,800,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		16,842,547
	100,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		105,805
	300,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		283,560
	1,698,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,675,990
	2,755,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		2,586,860
	4,370,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		4,501,100
	949,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		942,713
	333,000	Qwest Corp., 6.500%, 6/01/2017		363,802
	14,480,000	Qwest Corp., 6.875%, 9/15/2033		14,382,839

23

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
	$4,668,000	Qwest Corp., 7.200%, 11/10/2026	$	4,657,273
	9,077,000	Qwest Corp., 7.250%, 9/15/2025		9,935,493
	9,474,000	Qwest Corp., 7.250%, 10/15/2035		9,446,952
	1,566,000	Qwest Corp., 7.500%, 6/15/2023		1,566,468
	27,331,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		20,251,533
	9,713,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		7,356,092
	3,125,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		3,047,094
	1,700,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		2,404,867
	2,700,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		3,669,214
	14,137,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		15,213,702
	54,665,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		58,978,639
	3,598,000	Verizon Communications, Inc., 6.100%, 4/15/2018		4,322,511
	4,163,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		4,351,967
	2,642,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,208,463
	5,260,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		5,628,526
				467,137,720
		Total Non-Convertible Bonds (Identified Cost $8,247,635,903)		9,037,928,522
	Convertible Bonds – 3.6%
		Automotive – 0.5%
	34,827,000	Ford Motor Co., 4.250%, 11/15/2016		49,933,211
		Life Insurance – 0.6%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		64,074,056
		Media Non-Cable – 0.0%
	515,099	Liberty Media LLC, 3.500%, 1/15/2031		291,675
		REITs – Warehouse/Industrials – 0.3%
	27,359,000	ProLogis LP, 3.250%, 3/15/2015		28,213,969
		Technology – 2.2%
	35,120,000	Intel Corp., 2.950%, 12/15/2035		36,568,700

24

Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
	Technology – continued
$137,016,000	Intel Corp., 3.250%, 8/01/2039	$	171,612,540
7,890,000	Lam Research Corp., 1.250%, 5/15/2018, 144A		7,396,875
880,000	Micron Technology, Inc., 1.875%, 6/01/2014		840,400
			216,418,515
	Wirelines – 0.0%
2,926,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		3,171,052
	Total Convertible Bonds (Identified Cost $318,310,220)		362,102,478
Municipals – 0.7%
	California – 0.2%
1,275,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028		958,647
470,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028		419,978
1,585,000	State of California, (AMBAC insured), 4.500%, 8/01/2027		1,645,341
4,420,000	State of California, 4.500%, 10/01/2029		4,518,124
1,285,000	State of California, (AMBAC insured), 4.500%, 8/01/2030		1,311,240
1,450,000	State of California, 4.500%, 8/01/2030		1,479,609
820,000	State of California (Various Purpose), (MBIA insured), 3.250%, 12/01/2027		740,017
3,880,000	State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033		3,912,126
			14,985,082
	District of Columbia – 0.2%
14,680,000	Metropolitan Washington Airports Authority, 7.462%, 10/01/2046		15,989,016
	Illinois – 0.2%
530,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		515,738
24,640,000	State of Illinois, 5.100%, 6/01/2033		22,364,249
			22,879,987
	Michigan – 0.0%
2,490,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		1,824,249
	Ohio – 0.0%
6,430,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c)		4,606,966

25

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – continued
		Virginia – 0.1%
	$14,240,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)	$	8,934,461
		Total Municipals (Identified Cost $70,118,511)		69,219,761
		Total Bonds and Notes (Identified Cost $8,636,064,634)		9,469,250,761
	Senior Loans – 0.2%
		Aerospace & Defense – 0.2%
	16,200,000	AWAS Finance Luxembourg S.A.R.L., Term Loan B, 5.250%, 6/10/2016 (b) (Identified Cost $16,200,000)		16,051,446
	Short-Term Investments – 4.6%
	464,705,381	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $464,705,381 on 1/03/2012 collateralized by $65,800,000 Federal Home Loan Bank, 0.255% due 7/20/2012 valued at $65,882,250; $259,000,000 Federal Home Loan Bank Discount Note, due 6/20/2012 valued at $258,870,500; $71,325,000 Federal Home Loan Mortgage Corp. Discount Note, due 6/18/2012 valued at $71,289,338; $53,000,000 Federal National Mortgage Association Discount Note, due 6/20/2012 valued at $52,973,500; $25,000,000 U.S. Treasury Bill due 6/28/2012 valued at $24,987,500 including accrued interest(e) (Identified Cost $464,705,381)		464,705,381
		Total Investments – 98.4% (Identified Cost $9,116,970,015)(a)		9,950,007,588
		Other assets less liabilities – 1.6%		165,191,029
		Net Assets – 100.0%	$	10,115,198,617

(‡) 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.

Senior loans are priced at bid prices supplied by a pricing service, if available.

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

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

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

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

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

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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.

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

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

26

(†††) 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. Amortization of premium on debt securities is excluded for tax purposes.):

At December 31, 2011, the net unrealized appreciation on investments based on a cost of $9,151,597,338 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	$	999,120,298
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(200,710,048	)
Net unrealized appreciation	$	798,410,250

(b) Variable rate security. Rate as of December 31, 2011 is disclosed.

(c) Illiquid security. At December 31, 2011, the value of these securities amounted to $131,209,308 or 1.3% of net assets.

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

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

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $1,564,846,452 or 15.5% of net assets.

ABS Asset-Backed Securities

AGMC Assured Guaranty Municipal Corp.

AMBAC American Municipal Bond Assurance Corp.

EMTN Euro Medium Term Note

FHLMC Federal Home Loan Mortgage Corp.

FNMA Federal National Mortgage Association

GMTN Global Medium Term Note

MBIA Municipal Bond Investors Assurance Corp.

MTN Medium Term Note

REITs Real Estate Investment Trusts

REMIC Real Estate Mortgage Investment Conduit

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

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

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

27

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	77,392,681	$	5,468,357	$	82,861,038
Non-Captive Consumer		1,184,670		153,178,209		—		154,362,879
Treasuries		—		1,843,556,274		13,975,618		1,857,531,892
All Other Non-Convertible Bonds*		—		6,943,172,713		—		6,943,172,713
Total Non-Convertible Bonds		1,184,670		9,017,299,877		19,443,975		9,037,928,522
Convertible Bonds*		—		362,102,478		—		362,102,478
Municipals*		—		69,219,761		—		69,219,761
Total Bonds and Notes		1,184,670		9,448,622,116		19,443,975		9,469,250,761
Senior Loans*		—		16,051,446		—		16,051,446
Short-Term Investments		—		464,705,381		—		464,705,381
Total	$	1,184,670	$	9,929,378,943	$	19,443,975	$	9,950,007,588

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2011:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	5,230,461	$	—	$	—	$	237,896		$	—	$	—	$	—	$	—	$	5,468,357	$	237,896
Treasuries		538,615		275,192		—		(7,290,966	)		—		—		20,452,777		—		13,975,618		(7,290,966	)
Total	$	5,769,076	$	275,192	$	—	$	(7,053,070	)	$	—	$	—	$	20,452,777	$	—	$	19,443,975	$	(7,053,070	)

Debt securities valued at $20,452,777 were transferred from Level 2 to Level 3 during the period ended December 31, 2011. At September 30, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service; at December 31, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

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

Industry Summary at December 31, 2011 (Unaudited)
Treasuries	18.4	%
Banking	9.9
Technology	5.5
Wirelines	4.6
Pipelines	3.9
Commercial Mortgage-Backed Securities	3.8
Non-Captive Diversified	3.5
Electric	3.0
Airlines	2.8
Local Authorities	2.5
Other Investments, less than 2% each	35.9
Short-Term Investments	4.6
Total Investments	98.4
Other assets less liabilities	1.6
Net Assets	100.0	%

28

Currency Exposure at December 31, 2011 (Unaudited)

United States Dollar	70.7	%
Canadian Dollar	11.2
New Zealand Dollar	4.3
Norwegian Krone	3.3
Australian Dollar	3.1
Euro	2.9
Other, less than 2% each	2.9
Total Investments	98.4
Other assets less liabilities	1.6
Net Assets	100.0	%

29

PORTFOLIO OF INVESTMENTS – as of December 31, 2011 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund

Principal Amount		Description	Value (†)
	Bonds and Notes –98.0% of Net Assets
		ABS Car Loan – 0.7%
	$1,380,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016	$	1,394,830
	413,350	ARI Fleet Lease Trust, Series 2010-A, Class A, 1.728%, 8/15/2018, 144A(b)		413,346
	2,000,000	World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015		2,005,978
				3,814,154
		ABS Credit Card – 0.6%
	985,000	American Express Credit Account Master, Series 2004-2, Class A, 0.448%, 12/15/2016(b)		985,700
	2,100,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		2,240,869
				3,226,569
		ABS Home Equity – 0.2%
	545,405	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		514,074
	390,580	Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 5.700%, 1/25/2028(b)		372,351
				886,425
		Collateralized Mortgage Obligations – 15.0%
	1,700,735	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.678%, 11/15/2032(b)		1,699,728
	3,825,000	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		4,247,937
	222,376	Federal Home Loan Mortgage Corp., REMIC, Series 2901, Class UA, 5.000%, 1/15/2030		224,849
	6,280,000	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020(c)		6,805,617
	7,205,037	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 5.317%, 6/15/2048(b)		7,253,006
	10,450,584	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.965%, 8/25/2038(b)		10,671,520
	1,816,116	FHLMC, 3.044%, 12/01/2034(b)		1,931,418
	2,772,032	FHLMC, 5.056%, 3/01/2038(b)		2,944,402
	3,936,091	FHLMC, 5.339%, 11/01/2038(b)		4,223,277
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,643,979
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,701,779
	3,535,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		3,634,567
	700,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		710,610
	7,395,353	FNMA, 3.521%, 7/01/2037(b)		7,859,122

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
	$1,030,114	FNMA, 3.685%, 9/01/2036(b)	$	1,089,414
	1,152,601	NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.646%, 12/07/2020(b)		1,155,955
	1,280,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		1,351,440
	2,094,253	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.745%, 10/07/2020(b)		2,096,536
	6,707,760	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.855%, 12/08/2020(b)		6,732,914
				75,978,070
		Commercial Mortgage-Backed Securities – 15.3%
	1,780,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.807%, 4/10/2049(b)		1,902,405
	1,500,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		1,619,153
	4,645,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		4,891,287
	360,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		399,864
	1,500,000	Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.885%, 12/10/2049(b)		1,653,755
	1,470,000	Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.276%, 12/10/2049(b)		1,632,716
	3,200,500	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		3,394,620
	2,625,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		2,778,767
	5,270,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		5,498,386
	1,500,000	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 6.079%, 7/10/2038(b)		1,666,373
	7,778,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		8,390,743
	5,000,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		5,411,930
	1,140,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		1,251,609
	6,075,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.984%, 8/10/2045(b)		6,597,365
	295,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043		319,077
	2,785,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		2,984,996
	5,000,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		5,405,255
	2,000,000	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040		2,133,318
	1,173,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		1,213,417

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Commercial Mortgage-Backed Securities – continued
	$5,364,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051	$	5,641,877
	5,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049		5,321,625
	1,500,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 6.075%, 6/11/2049(b)		1,648,991
	4,410,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048		4,782,768
	580,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		611,399
				77,151,696
		Government Guaranteed – 0.5%
	2,340,000	US Central Federal Credit Union, (FDIC insured), 1.900%, 10/19/2012		2,372,645
		Government Owned - No Guarantee – 10.1%
	6,435,000	Federal Home Loan Mortgage Corp., 1.750%, 6/15/2012(c)		6,482,580
	11,920,000	Federal Home Loan Mortgage Corp., 2.125%, 3/23/2012(c)		11,973,342
	5,400,000	Federal Home Loan Mortgage Corp., MTN, 0.191%, 2/02/2012(b)		5,400,194
	17,970,000	Federal National Mortgage Association, 3.625%, 2/12/2013		18,635,807
	8,265,000	Federal National Mortgage Association, 4.750%, 11/19/2012		8,593,369
				51,085,292
		Hybrid ARMs – 21.6%
	3,497,039	FHLMC, 2.403%, 4/01/2036(b)		3,682,434
	8,151,483	FHLMC, 2.473%, 5/01/2037(b)		8,594,668
	8,598,755	FHLMC, 2.477%, 2/01/2036(b)(c)		9,053,315
	2,896,516	FHLMC, 2.492%, 4/01/2035(b)		3,052,307
	5,622,579	FHLMC, 2.529%, 9/01/2035(b)		5,953,130
	5,056,644	FHLMC, 3.328%, 11/01/2036(b)		5,339,688
	1,247,953	FHLMC, 5.273%, 12/01/2037(b)		1,344,177
	5,350,952	FHLMC, 5.477%, 4/01/2037(b)		5,644,612
	1,591,920	FHLMC, 5.677%, 9/01/2038(b)		1,707,201
	1,545,613	FHLMC, 5.692%, 4/01/2037(b)		1,639,452
	3,229,711	FHLMC, 5.923%, 6/01/2037(b)		3,449,919
	4,255,573	FNMA, 1.988%, 7/01/2035(b)		4,473,197
	1,078,241	FNMA, 2.310%, 12/01/2034(b)		1,128,459

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Hybrid ARMs – continued
	$5,405,662	FNMA, 2.347%, 8/01/2035(b)	$	5,683,857
	1,652,052	FNMA, 2.372%, 9/01/2034(b)		1,729,323
	4,011,809	FNMA, 2.391%, 6/01/2036(b)		4,240,861
	2,117,911	FNMA, 2.433%, 8/01/2034(b)		2,238,040
	1,026,265	FNMA, 2.445%, 4/01/2033(b)		1,077,629
	3,360,857	FNMA, 2.537%, 6/01/2033(b)		3,539,859
	888,341	FNMA, 2.568%, 8/01/2033(b)		939,193
	5,310,223	FNMA, 3.223%, 6/01/2035(b)		5,624,077
	903,680	FNMA, 3.227%, 8/01/2036(b)		957,235
	2,497,550	FNMA, 3.271%, 1/01/2036(b)		2,641,501
	6,975,717	FNMA, 5.435%, 6/01/2037(b)		7,416,465
	3,117,375	FNMA, 5.508%, 2/01/2047(b)		3,289,769
	13,013,858	FNMA, 5.786%, 9/01/2037(b)		14,033,443
	524,935	FNMA, 5.918%, 2/01/2037(b)		557,433
				109,031,244
		Mortgage Related – 17.7%
	6,308,968	FHLMC, 4.000%, with various maturities from 2024 to 2025(d)		6,623,257
	4,760,800	FHLMC, 4.500%, with various maturities from 2025 to 2034(d)		5,049,191
	1,497,179	FHLMC, 5.500%, 10/01/2023		1,620,834
	1,969,604	FHLMC, 6.000%, with various maturities from 2019 to 2021(d)		2,146,007
	3,447,796	FHLMC, 6.500%, with various maturities from 2014 to 2034(d)		3,862,054
	104,482	FHLMC, 7.000%, 2/01/2016		112,621
	4,944	FHLMC, 7.500%, with various maturities from 2012 to 2026(d)		5,312
	6,382	FHLMC, 8.000%, 9/01/2015		6,904
	3,228	FHLMC, 10.000%, 7/01/2019		3,826
	84,773	FHLMC, 11.500%, with various maturities from 2015 to 2020(d)		100,122
	19,045,000	FNMA, 3.000%, with various maturities from 2026 to 2027(d)		19,701,246
	5,329,017	FNMA, 4.000%, with various maturities from 2018 to 2019(d)		5,668,595
	6,615,959	FNMA, 4.500%, with various maturities from 2019 to 2025(d)		7,056,633

Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
	$11,150,159	FNMA, 5.000%, with various maturities from 2037 to 2038(d)	$	12,058,245
	2,620,409	FNMA, 5.500%, with various maturities from 2017 to 2033(d)		2,861,934
	8,667,068	FNMA, 6.000%, with various maturities from 2017 to 2022(d)		9,393,443
	2,306,758	FNMA, 6.500%, with various maturities from 2017 to 2037(d)		2,590,477
	98,805	FNMA, 7.000%, 12/01/2022		109,324
	267,915	FNMA, 7.500%, with various maturities from 2015 to 2032(d)		315,680
	27,519	FNMA, 8.000%, with various maturities from 2015 to 2016(d)		29,750
	9,195,000	FNMA (TBA), 3.000%, 1/01/2027(e)		9,495,274
	56,318	GNMA, 6.000%, 12/15/2031		64,261
	209,622	GNMA, 6.500%, 5/15/2031		243,023
	246,516	GNMA, 7.000%, 10/15/2028		287,223
	1,207	GNMA, 12.500%, 6/15/2014		1,214
	533	GNMA, 16.000%, with various maturities in 2012(d)		532
				89,406,982
		Treasuries – 16.3%
	10,060,000	U.S. Treasury Note, 0.625%, 7/15/2014		10,137,804
	35,660,000	U.S. Treasury Note, 1.375%, 9/15/2012		35,973,416
	35,445,000	U.S. Treasury Note, 1.750%, 4/15/2013		36,148,370
				82,259,590
		Total Bonds and Notes (Identified Cost $484,429,008)		495,212,667
	Short-Term Investments – 3.8%
	19,232,380	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $19,232,380 on 1/03/2012 collateralized by $19,110,000 U.S. Treasury Note, 1.250% due 10/31/2015 valued at $19,621,154 including accrued interest(f) (Identified Cost $19,232,380)		19,232,380
		Total Investments – 101.8% (Identified Cost $503,661,388)(a)		514,445,047
		Other assets less liabilities – (1.8)%		(9,257,362	)
		Net Assets – 100.0%	$	505,187,685

(†) Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by 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.

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

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

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

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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.

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

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

At December 31, 2011, the net unrealized appreciation on investments based on a cost of $505,347,978 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	$	10,442,433
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,345,364	)
Net unrealized appreciation	$	9,097,069

(b) Variable rate security. Rate as of December 31, 2011 is disclosed.

(c) All or a portion of this security has been designated to cover the Fund’s obligations under open TBA transactions.

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

(e) Delayed delivery. The Fund may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Fund takes delivery of the security. When the Fund enters into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Fund’s commitment. No interest accrues to the Fund until the transaction settles.

Purchases of delayed delivery securities may have a similar effect on the Fund’s net asset value as if the Fund had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

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

144A All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $413,346 or 0.1% of net assets.

ABS Asset-Backed Securities

ARMs	Adjustable Rate Mortgages
FDIC	Federal Deposit Insurance Corporation
FHLMC	Federal Home Loan Mortgage Corp.
FNMA	Federal National Mortgage Association
GNMA	Government National Mortgage Association
MTN	Medium Term Note
REMIC	Real Estate Mortgage Investment Conduit
TBA	To Be Announced

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs

Description*	Level 1		Level 2		Level 3		Total
Bonds and Notes	$	—	$	495,212,667	$	—	$	495,212,667
Short-Term Investments		—		19,232,380		—		19,232,380
Total	$	—	$	514,445,047	$	—	$	514,445,047

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

Industry Summary at December 31, 2011 (Unaudited)

Hybrid ARMs	21.6	%
Mortgage Related	17.7
Treasuries	16.3
Commercial Mortgage-Backed Securities	15.3
Collateralized Mortgage Obligations	15.0
Government Owned – No Guarantee	10.1
Other Investments, less than 2% each	2.0
Short-Term Investments	3.8
Total Investments	101.8
Other assets less liabilities	(1.8	)
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2011 (Unaudited)

Loomis Sayles Mid Cap Growth Fund

Shares	Description	Value (†)
Common Stocks – 98.8% of Net Assets
	Aerospace & Defense – 1.9%
19,521	TransDigm Group, Inc.(b)	$	1,867,769
	Biotechnology – 5.2%
38,267	Alexion Pharmaceuticals, Inc.(b)		2,736,090
48,830	ARIAD Pharmaceuticals, Inc.(b)		598,168
15,993	BioMarin Pharmaceutical, Inc.(b)		549,839
46,288	Inhibitex, Inc.(b)		506,391
11,084	Regeneron Pharmaceuticals, Inc.(b)		614,386
			5,004,874
	Capital Markets – 2.4%
24,425	Affiliated Managers Group, Inc.(b)		2,343,579
	Commercial Services & Supplies – 1.8%
22,736	Stericycle, Inc.(b)		1,771,589
	Communications Equipment – 2.6%
23,819	F5 Networks, Inc.(b)		2,527,672
	Electrical Equipment – 2.6%
33,740	Rockwell Automation, Inc.		2,475,504
	Energy Equipment & Services – 3.8%
47,233	Noble Corp.(b)		1,427,381
48,988	Oceaneering International, Inc.		2,259,817
			3,687,198
	Food & Staples Retailing – 2.1%
28,679	Whole Foods Market, Inc.		1,995,485
	Food Products – 3.1%
25,297	J.M. Smucker Co. (The)		1,977,466
16,297	TreeHouse Foods, Inc.(b)		1,065,498
			3,042,964
	Health Care Equipment & Supplies – 2.6%
5,349	Intuitive Surgical, Inc.(b)		2,476,641
	Health Care Providers & Services – 2.2%
24,659	Humana, Inc.		2,160,375
	Hotels, Restaurants & Leisure – 6.9%
5,275	Chipotle Mexican Grill, Inc.(b)		1,781,578
11,617	Panera Bread Co., Class A(b)		1,643,225
38,144	Starwood Hotels & Resorts Worldwide, Inc.		1,829,768
13,238	Wynn Resorts Ltd.		1,462,666
			6,717,237
	Internet Software & Services – 3.8%
12,181	MercadoLibre, Inc.		968,877

Shares	Description	Value (†)
Common Stocks – continued
	Internet Software & Services – continued
63,019	Rackspace Hosting, Inc.(b)	$	2,710,447
			3,679,324
	Life Sciences Tools & Services – 1.8%
11,835	Mettler-Toledo International, Inc.(b)		1,748,148
	Machinery – 5.4%
17,596	Cummins, Inc.		1,548,800
27,100	Joy Global, Inc.		2,031,687
41,270	Timken Co. (The)		1,597,562
			5,178,049
	Metals & Mining – 3.7%
24,049	Cliffs Natural Resources, Inc.		1,499,455
154,710	Steel Dynamics, Inc.		2,034,437
			3,533,892
	Multiline Retail – 5.0%
40,807	Dollar General Corp.(b)		1,678,800
38,539	Dollar Tree, Inc.(b)		3,202,976
			4,881,776
	Oil, Gas & Consumable Fuels – 7.6%
20,537	Cabot Oil & Gas Corp.		1,558,758
27,443	Concho Resources, Inc.(b)		2,572,781
36,484	Rosetta Resources, Inc.(b)		1,587,054
22,083	SM Energy Co.		1,614,268
			7,332,861
	Pharmaceuticals – 2.4%
23,825	Perrigo Co.		2,318,173
	Professional Services – 2.1%
51,323	Verisk Analytics, Inc., Class A(b)		2,059,592
	Real Estate Management & Development – 2.2%
140,378	CBRE Group, Inc., Class A(b)		2,136,553
	REITs – Apartments – 1.8%
13,016	AvalonBay Communities, Inc.		1,699,890
	Road & Rail – 3.3%
47,135	Kansas City Southern(b)		3,205,651
	Semiconductors & Semiconductor Equipment – 5.4%
81,321	ARM Holdings PLC, Sponsored ADR		2,250,152
42,990	Ceva, Inc.(b)		1,300,877
63,546	Maxim Integrated Products, Inc.		1,654,738
			5,205,767
	Software – 4.7%
48,215	Fortinet, Inc.(b)		1,051,569
66,476	Nuance Communications, Inc.(b)		1,672,536
31,509	QLIK Technologies, Inc.(b)		762,518

Shares	Description	Value (†)
Common Stocks – continued
	Software – continued
33,766	Sourcefire, Inc.(b)	$	1,093,343
			4,579,966
	Specialty Retail – 9.6%
26,529	O’Reilly Automotive, Inc.(b)		2,120,994
45,728	PetSmart, Inc.		2,345,389
33,685	Ross Stores, Inc.		1,601,048
25,054	Tiffany & Co.		1,660,078
24,546	Ulta Salon, Cosmetics & Fragrance, Inc.(b)		1,593,526
			9,321,035
	Textiles, Apparel & Luxury Goods – 2.8%
15,844	Fossil, Inc.(b)		1,257,380
20,270	Under Armour, Inc., Class A(b)		1,455,183
			2,712,563
	Total Common Stocks (Identified Cost $91,103,349)		95,664,127
Principal Amount
Short-Term Investments – 6.6%
$6,396,603	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $6,396,603 on 1/03/2012 collateralized by $6,510,000 Federal National Mortgage Association, 1.070% due 09/21/2015 valued at $6,526,275, including accrued interest(c) (Identified Cost $6,396,603)		6,396,603
	Total Investments – 105.4% (Identified Cost $97,499,952)(a)		102,060,730
	Other assets less liabilities – (5.4)%		(5,267,340	)
	Net Assets – 100.0%	$	96,793,390

(†) 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) and unlisted equity securities 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.

Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Investments in other open-end investment companies are valued at their net asset value each day.

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

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

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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.

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

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

At December 31, 2011, the net unrealized appreciation on investments based on a cost of $97,499,952 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	$	6,843,076
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,282,298	)
Net unrealized appreciation	$	4,560,778

At September 30, 2011, the Fund had a capital loss carryforward of $44,592,514 of which $26,022,721 expires on September 30, 2017 and $18,569,793 expires on September 30, 2018. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.

(b) Non-income producing security.

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

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

REITs Real Estate Investment Trusts

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs

Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	95,664,127	$	—	$	—	$	95,664,127
Short-Term Investments		—		6,396,603		—		6,396,603
Total	$	95,664,127	$	6,396,603	$	—	$	102,060,730

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

Industry Summary at December 31, 2011 (Unaudited)

Specialty Retail	9.6	%
Oil, Gas & Consumable Fuels	7.6
Hotels, Restaurants & Leisure	6.9
Semiconductors & Semiconductor Equipment	5.4
Machinery	5.4
Biotechnology	5.2
Multiline Retail	5.0
Software	4.7
Energy Equipment & Services	3.8
Internet Software & Services	3.8
Metals & Mining	3.7
Road & Rail	3.3
Food Products	3.1
Textiles, Apparel & Luxury Goods	2.8
Communications Equipment	2.6
Health Care Equipment & Supplies	2.6
Electrical Equipment	2.6
Capital Markets	2.4
Pharmaceuticals	2.4
Health Care Providers & Services	2.2
Real Estate Management & Development	2.2
Professional Services	2.1
Food & Staples Retailing	2.1
Other Investments, less than 2% each	7.3
Short-Term Investments	6.6
Total Investments	105.4
Other assets less liabilities	(5.4	)
Net Assets	100.0	%

Shares		Description	Value (†)
	Common Stocks – continued
		Software – 8.2%
	263,537	Allot Communications Ltd.(b)	$	4,005,762
	212,459	Ariba, Inc.(b)		5,965,849
	83,214	CommVault Systems, Inc.(b)		3,554,902
	71,508	Imperva, Inc.(b)		2,489,193
	145,993	QLIK Technologies, Inc.(b)		3,533,031
	151,962	RealPage, Inc.(b)		3,840,080
	175,718	Sourcefire, Inc.(b)		5,689,749
	54,381	SuccessFactors, Inc.(b)		2,168,170
	77,904	Ultimate Software Group, Inc.(The)(b)		5,073,109
				36,319,845
		Specialty Retail – 5.4%
	250,563	Asbury Automotive Group, Inc.(b)		5,402,138
	85,864	DSW, Inc., Class A		3,796,048
	91,006	Hibbett Sports, Inc.(b)		4,111,651
	217,105	Lumber Liquidators Holdings, Inc.(b)		3,834,074
	47,440	Ulta Salon, Cosmetics & Fragrance, Inc.(b)		3,079,805
	87,815	Vitamin Shoppe, Inc.(b)		3,502,062
				23,725,778
		Textiles, Apparel & Luxury Goods – 3.2%
	46,628	Deckers Outdoor Corp.(b)		3,523,678
	49,369	Oxford Industries, Inc.		2,227,529
	64,338	PVH Corp.		4,535,186
	108,862	True Religion Apparel, Inc.(b)		3,764,448
				14,050,841
		Total Common Stocks (Identified Cost $372,205,579)		408,238,547
Principal Amount
	Short-Term Investments – 3.4%
	$15,138,114	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $15,138,114 on 1/03/2012 collateralized by $15,405,000 Federal National Mortgage Association, 1.070% due 9/21/2015 valued at $15,443,513 including accrued interest(c) (Identified Cost $15,138,114)		15,138,114

94

Total Investments – 96.1% (Identified Cost $387,343,693)(a)		423,376,661
Other assets less liabilities – 3.9%		17,206,719
Net Assets – 100.0%	$	440,583,380

(†)	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) and unlisted equity securities 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. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
	At December 31, 2011, the net unrealized appreciation on investments based on a cost of $387,343,829 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	$	43,460,833
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(7,428,001	)
Net unrealized appreciation	$	36,032,832

	At September 30, 2011, the Fund had a capital loss carryforward of $26,874,285 of which $14,995,800 expires on September 30, 2017 and $11,878,485 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.
(b)	Non-income producing security.
(c)	It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

95

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs

Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	408,238,547	$	—	$	—	$	408,238,547
Short-Term Investments		—		15,138,114		—		15,138,114
Total	$	408,238,547	$	15,138,114	$	—	$	423,376,661

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

Industry Summary at December 31, 2011 (Unaudited)

Software	8.2	%
Semiconductors & Semiconductor Equipment	6.2
Health Care Equipment & Supplies	6.0
Internet Software & Services	5.4
Specialty Retail	5.4
Health Care Providers & Services	5.0
Professional Services	4.8
Oil, Gas & Consumable Fuels	4.6
Machinery	4.5
Energy Equipment & Services	4.1
Hotels, Restaurants & Leisure	4.1
Biotechnology	4.0
Aerospace & Defense	3.3
Textiles, Apparel & Luxury Goods	3.2
Commercial Banks	3.1
Capital Markets	2.9
Electronic Equipment, Instruments & Components	2.0
Other Investments, less than 2% each	15.9
Short-Term Investments	3.4
Total Investments	96.1
Other assets less liabilities	3.9
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2011 (Unaudited)

Loomis Sayles Small Cap Growth Fund

Shares	Description	Value (†)
Common Stocks – 92.7% of Net Assets
	Aerospace & Defense – 3.3%
82,661	HEICO Corp.	$	4,834,015
220,720	Hexcel Corp.(b)		5,343,631
77,110	Triumph Group, Inc.		4,507,080
			14,684,726
	Air Freight & Logistics – 0.9%
121,128	HUB Group, Inc., Class A(b)		3,928,181
	Auto Components – 1.7%
270,571	Amerigon, Inc.(b)		3,858,343
124,763	Tenneco, Inc.(b)		3,715,442
			7,573,785
	Biotechnology – 4.0%
162,559	Aegerion Pharmaceuticals, Inc.(b)		2,721,238
208,980	Alkermes PLC(b)		3,627,893
116,138	Cepheid, Inc.(b)		3,996,309
115,936	Cubist Pharmaceuticals, Inc.(b)		4,593,384
243,579	Inhibitex, Inc.(b)		2,664,754
			17,603,578
	Building Products – 0.7%
281,088	NCI Building Systems, Inc.(b)		3,055,427
	Capital Markets – 2.9%
164,941	Evercore Partners, Inc., Class A		4,390,729
188,593	Financial Engines, Inc.(b)		4,211,282
133,574	Stifel Financial Corp.(b)		4,281,047
			12,883,058
	Commercial Banks – 3.1%
80,754	Signature Bank(b)		4,844,432
94,723	SVB Financial Group(b)		4,517,340
134,569	Texas Capital Bancshares, Inc.(b)		4,119,157
			13,480,929
	Commercial Services & Supplies – 1.7%
204,600	Mobile Mini, Inc.(b)		3,570,270
118,383	Waste Connections, Inc.		3,923,213
			7,493,483
	Communications Equipment – 0.7%
260,202	Ciena Corp.(b)		3,148,444
	Construction & Engineering – 0.8%
196,751	MasTec, Inc.(b)		3,417,565
	Consumer Finance – 0.7%
85,943	First Cash Financial Services, Inc.(b)		3,015,740

97

Shares	Description	Value (†)
Common Stocks – continued
	Diversified Consumer Services – 0.6%
173,428	Grand Canyon Education, Inc.(b)	$	2,767,911
	Electrical Equipment – 0.6%
59,137	Polypore International, Inc.(b)		2,601,437
	Electronic Equipment, Instruments & Components – 2.0%
63,590	IPG Photonics Corp.(b)		2,153,793
205,064	Maxwell Technologies, Inc.(b)		3,330,239
115,080	Measurement Specialties, Inc.(b)		3,217,637
			8,701,669
	Energy Equipment & Services – 4.1%
53,299	Dril-Quip, Inc.(b)		3,508,140
73,080	Lufkin Industries, Inc.		4,919,015
477,220	Newpark Resources, Inc.(b)		4,533,590
111,614	Oceaneering International, Inc.		5,148,754
			18,109,499
	Food & Staples Retailing – 0.9%
93,449	Fresh Market, Inc. (The)(b)		3,728,615
	Health Care Equipment & Supplies – 6.0%
121,270	Abaxis, Inc.(b)		3,355,541
91,323	Cyberonics, Inc.(b)		3,059,320
252,804	Insulet Corp.(b)		4,760,299
204,329	NxStage Medical, Inc.(b)		3,632,970
199,576	Tornier NV(b)		3,592,368
155,272	Volcano Corp.(b)		3,693,921
193,477	Zeltiq Aesthetics, Inc.(b)		2,197,899
33,663	Zoll Medical Corp.(b)		2,126,828
			26,419,146
	Health Care Providers & Services – 5.0%
68,079	Catalyst Health Solutions, Inc.(b)		3,540,108
219,224	Hanger Orthopedic Group, Inc.(b)		4,097,296
159,334	HMS Holdings Corp.(b)		5,095,501
167,314	PSS World Medical, Inc.(b)		4,047,326
234,924	Team Health Holdings, Inc.(b)		5,184,773
			21,965,004
	Health Care Technology – 1.0%
79,471	SXC Health Solutions Corp.(b)		4,488,522
	Hotels, Restaurants & Leisure – 4.1%
176,136	Bravo Brio Restaurant Group, Inc.(b)		3,020,733
124,435	Life Time Fitness, Inc.(b)		5,817,336
33,143	Panera Bread Co., Class A(b)		4,688,077
304,569	Texas Roadhouse, Inc.		4,538,078
			18,064,224
	Internet Software & Services – 5.4%
199,229	Angie’s List, Inc.(b)		3,207,587
190,656	Constant Contact, Inc.(b)		4,425,126
278,990	DealerTrack Holdings, Inc.(b)		7,605,267
124,160	Liquidity Services, Inc.(b)		4,581,504

98

Shares	Description	Value (†)
Common Stocks – continued
	Internet Software & Services – continued
186,569	Vocus, Inc.(b)	$	4,121,309
			23,940,793
	IT Services – 1.5%
289,279	InterXion Holding NV(b)		3,890,802
184,662	ServiceSource International, Inc.(b)		2,897,347
			6,788,149
	Life Sciences Tools & Services – 0.8%
155,029	Luminex Corp.(b)		3,291,266
	Machinery – 4.5%
80,363	Chart Industries, Inc.(b)		4,345,227
126,924	RBC Bearings, Inc.(b)		5,292,731
112,664	Robbins & Myers, Inc.		5,469,837
139,815	Westport Innovations, Inc.(b)		4,647,451
			19,755,246
	Media – 0.7%
218,847	MDC Partners, Inc., Class A		2,958,811
	Oil, Gas & Consumable Fuels – 4.6%
151,871	Approach Resources, Inc.(b)		4,466,526
122,830	Oasis Petroleum, Inc.(b)		3,573,125
104,693	Petroleum Development Corp.(b)		3,675,771
91,779	Rosetta Resources, Inc.(b)		3,992,387
108,099	World Fuel Services Corp.		4,537,996
			20,245,805
	Pharmaceuticals – 1.5%
175,747	Auxilium Pharmaceuticals, Inc.(b)		3,502,637
73,153	Questcor Pharmaceuticals, Inc.(b)		3,041,702
			6,544,339
	Professional Services – 4.8%
75,725	Advisory Board Co. (The)(b)		5,619,552
143,291	Corporate Executive Board Co. (The)		5,459,387
74,867	CoStar Group, Inc.(b)		4,995,875
123,403	FTI Consulting, Inc.(b)		5,234,755
			21,309,569
	Road & Rail – 1.1%
78,773	Genesee & Wyoming, Inc., Class A(b)		4,772,068
	Semiconductors & Semiconductor Equipment – 6.2%
142,465	Cavium, Inc.(b)		4,050,280
141,457	Ceva, Inc.(b)		4,280,489
99,341	Cymer, Inc.(b)		4,943,208
121,295	EZchip Semiconductor Ltd.(b)		3,436,287
74,315	Hittite Microwave Corp.(b)		3,669,675
85,061	Power Integrations, Inc.		2,820,623
96,834	Silicon Laboratories, Inc.(b)		4,204,532
			27,405,094

99

Shares	Description	Value (†)
Common Stocks – continued
	Software – 8.2%
263,537	Allot Communications Ltd.(b)	$	4,005,762
212,459	Ariba, Inc.(b)		5,965,849
83,214	CommVault Systems, Inc.(b)		3,554,902
71,508	Imperva, Inc.(b)		2,489,193
145,993	QLIK Technologies, Inc.(b)		3,533,031
151,962	RealPage, Inc.(b)		3,840,080
175,718	Sourcefire, Inc.(b)		5,689,749
54,381	SuccessFactors, Inc.(b)		2,168,170
77,904	Ultimate Software Group, Inc.(The)(b)		5,073,109
			36,319,845
	Specialty Retail – 5.4%
250,563	Asbury Automotive Group, Inc.(b)		5,402,138
85,864	DSW, Inc., Class A		3,796,048
91,006	Hibbett Sports, Inc.(b)		4,111,651
217,105	Lumber Liquidators Holdings, Inc.(b)		3,834,074
47,440	Ulta Salon, Cosmetics & Fragrance, Inc.(b)		3,079,805
87,815	Vitamin Shoppe, Inc.(b)		3,502,062
			23,725,778
	Textiles, Apparel & Luxury Goods – 3.2%
46,628	Deckers Outdoor Corp.(b)		3,523,678
49,369	Oxford Industries, Inc.		2,227,529
64,338	PVH Corp.		4,535,186
108,862	True Religion Apparel, Inc.(b)		3,764,448
			14,050,841
	Total Common Stocks (Identified Cost $372,205,579)		408,238,547
Principal Amount
Short-Term Investments – 3.4%
$15,138,114	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $15,138,114 on 1/03/2012 collateralized by $15,405,000 Federal National Mortgage Association, 1.070% due 9/21/2015 valued at $15,443,513 including accrued interest(c) (Identified Cost $15,138,114)		15,138,114

100

Total Investments – 96.1% (Identified Cost $387,343,693)(a)		423,376,661
Other assets less liabilities – 3.9%		17,206,719
Net Assets – 100.0%	$	440,583,380

(†) 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) and unlisted equity securities 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.

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

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

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

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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.

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

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

At December 31, 2011, the net unrealized appreciation on investments based on a cost of $387,343,829 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	$	43,460,833
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(7,428,001	)
Net unrealized appreciation	$	36,032,832

At September 30, 2011, the Fund had a capital loss carryforward of $26,874,285 of which $14,995,800 expires on September 30, 2017 and $11,878,485 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.

(b) Non-income producing security.

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

101

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs

Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	408,238,547	$	—	$	—	$	408,238,547
Short-Term Investments		—		15,138,114		—		15,138,114
Total	$	408,238,547	$	15,138,114	$	—	$	423,376,661

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

Industry Summary at December 31, 2011 (Unaudited)

Software	8.2	%
Semiconductors & Semiconductor Equipment	6.2
Health Care Equipment & Supplies	6.0
Internet Software & Services	5.4
Specialty Retail	5.4
Health Care Providers & Services	5.0
Professional Services	4.8
Oil, Gas & Consumable Fuels	4.6
Machinery	4.5
Energy Equipment & Services	4.1
Hotels, Restaurants & Leisure	4.1
Biotechnology	4.0
Aerospace & Defense	3.3
Textiles, Apparel & Luxury Goods	3.2
Commercial Banks	3.1
Capital Markets	2.9
Electronic Equipment, Instruments & Components	2.0
Other Investments, less than 2% each	15.9
Short-Term Investments	3.4
Total Investments	96.1
Other assets less liabilities	3.9
Net Assets	100.0	%

102

PORTFOLIO OF INVESTMENTS – as of December 31, 2011 (Unaudited)

Loomis Sayles Strategic Income Fund

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 76.2% of Net Assets
	Non-Convertible Bonds – 66.1%
		ABS Car Loan – 0.1%
$	7,211,250	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.425%, 8/20/2013, 144A(b)	$	7,145,046
	4,093,750	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		4,197,879
				11,342,925
		Aerospace & Defense – 0.2%
	620,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)		609,167
	11,800,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		11,711,500
	2,425,000	Ducommun, Inc., 9.750%, 7/15/2018, 144A		2,461,375
	3,900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		2,789,963
	12,630,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		9,484,170
				27,056,175
		Airlines – 2.7%
	35,455,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		31,670,233
	1,501,787	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021		1,586,248
	77,175	Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015		78,912
	3,417,993	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		3,405,175
	2,534,842	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		2,474,513
	2,181,612	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		2,064,241
	4,480,765	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		4,284,507
	3,259,733	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		3,214,749
	1,299,798	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		1,392,344
	1,480,648	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,586,070
	3,274,793	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		3,201,110
	1,860,333	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,865,040
	1,063,631	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,038,317
	11,074,721	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		11,530,999
	18,931,669	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		17,747,493

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	18,241,268	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018	$	20,065,394
	16,150,515	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		17,200,298
	1,370,489	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,430,379
	7,170,443	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		7,035,639
	23,512,410	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		23,453,629
	2,496,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		2,570,880
	2,051,525	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		2,056,653
	1,500,000	Qantas Airways Ltd., 5.125%, 6/20/2013, 144A		1,522,607
	29,995,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		30,973,317
	18,657,001	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		18,657,001
	8,695,972	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		9,619,484
	17,985,491	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		17,176,144
	43,228,000	US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A		42,471,510
	52,073,000	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		50,510,810
	22,168,000	US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014		21,752,350
				353,636,046
		Automotive – 1.1%
	265,000	ArvinMeritor, Inc., 8.125%, 9/15/2015		237,175
	3,800,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021, 144A		3,458,000
	6,500,000	FCE Bank PLC, EMTN, 7.125%, 1/16/2012, (EUR)		8,429,453
	4,500,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		5,955,170
	19,011,000	Ford Motor Co., 6.375%, 2/01/2029		19,531,179
	1,975,000	Ford Motor Co., 6.500%, 8/01/2018		2,083,625
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,283,223
	74,829,000	Ford Motor Co., 6.625%, 10/01/2028		78,791,944
	2,365,000	Ford Motor Co., 7.125%, 11/15/2025		2,447,775
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,429,062
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		4,827,690

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	6,263,000	Goodyear Tire & Rubber Co. (The), 10.500%, 5/15/2016	$	6,904,957
	3,100,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		3,317,000
	5,300,000	TRW Automotive, Inc., 8.875%, 12/01/2017, 144A		5,750,500
				144,446,753
		Banking – 3.8%
	1,175,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		1,529,957
	20,565,000	Associates Corp. of North America, 6.950%, 11/01/2018		22,346,608
	1,675,000	Bank of America Corp., 5.420%, 3/15/2017		1,511,202
	900,000	Bank of America Corp., 5.490%, 3/15/2019		775,720
	4,560,000	Bank of America Corp., 6.000%, 9/01/2017		4,453,424
	700,000	Bank of America Corp., 6.500%, 9/15/2037		573,262
	265,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		241,371
	1,000,000	Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD)		1,005,283
	8,020,000	Bank of America NA, 5.300%, 3/15/2017		7,233,326
	39,890,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		34,860,847
	57,792,000,000	Barclays Financial LLC, EMTN, 3.500%, 11/29/2016, (KRW)		48,284,915
	19,965,000	Citigroup, Inc., 5.000%, 9/15/2014		19,759,520
	4,000,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		2,786,081
	985,000	Citigroup, Inc., 5.850%, 12/11/2034		971,016
	24,610,000	Citigroup, Inc., 5.875%, 2/22/2033		20,641,564
	8,999,000	Citigroup, Inc., 6.000%, 10/31/2033		7,709,641
	6,060,000	Citigroup, Inc., 6.125%, 8/25/2036		5,241,961
	3,350,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		3,453,022
	5,050,000	First Niagara Finance Group, Inc., 6.750%, 3/19/2020		5,317,812
	400,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		360,928
	30,870,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		28,724,936
	6,120,000	HBOS PLC, 6.000%, 11/01/2033, 144A		3,743,922
	3,000,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		2,405,376

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	9,090,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A	$	7,908,300
	229,157,783,660	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		24,686,112
	260,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		27,767,742
	227,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		25,404,974
	27,555,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		23,056,922
	3,010,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		2,764,345
	1,900,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		1,790,862
	5,100,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		3,931,769
	4,200,000	Merrill Lynch & Co., Inc., 6.220%, 9/15/2026		3,464,437
	51,500,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		24,849,216
	3,450,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		3,271,027
	5,410,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		5,333,930
	800,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		613,885
	1,235,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		1,195,855
	13,400,000	Morgan Stanley, 5.500%, 7/24/2020		12,183,682
	3,300,000	Morgan Stanley, 5.750%, 1/25/2021		3,078,260
	1,000,000	Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR)		1,192,341
	79,700,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		79,181,143
	6,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		6,112,121
	7,900,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		7,800,800
	5,210,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		4,963,755
	5,050,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		7,485,574
	3,255,000	RBS Capital Trust II, (fixed rate to 1/31/2034, variable rate thereafter), 6.425%, 12/29/2049(d)		1,676,325
				503,645,071
		Brokerage – 0.3%
	2,850,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		2,714,756
	8,935,000	Jefferies Group, Inc., 3.875%, 11/09/2015		7,907,475
	10,185,000	Jefferies Group, Inc., 5.125%, 4/13/2018		8,962,800

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Brokerage – continued
$	10,210,000	Jefferies Group, Inc., 6.250%, 1/15/2036	$	8,348,676
	10,995,000	Jefferies Group, Inc., 6.450%, 6/08/2027		9,153,338
	1,160,000	Jefferies Group, Inc., 6.875%, 4/15/2021		1,044,000
	3,775,000	Jefferies Group, Inc., 8.500%, 7/15/2019		3,831,625
				41,962,670
		Building Materials – 1.0%
	3,255,000	Masco Corp., 4.800%, 6/15/2015		3,229,442
	2,220,000	Masco Corp., 5.850%, 3/15/2017		2,216,044
	13,440,000	Masco Corp., 6.125%, 10/03/2016		13,792,168
	6,345,000	Masco Corp., 6.500%, 8/15/2032		5,675,253
	5,665,000	Masco Corp., 7.125%, 3/15/2020		5,717,254
	2,475,000	Masco Corp., 7.750%, 8/01/2029		2,402,403
	9,460,000	Owens Corning, Inc., 6.500%, 12/01/2016		10,324,474
	35,980,000	Owens Corning, Inc., 7.000%, 12/01/2036		36,773,935
	46,412,000	USG Corp., 6.300%, 11/15/2016		36,201,360
	14,155,000	USG Corp., 9.750%, 1/15/2018		11,960,975
				128,293,308
		Chemicals – 0.8%
	36,355,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		46,024,412
	20,070,000	Hercules, Inc., 6.500%, 6/30/2029		15,403,725
	5,200,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		4,875,000
	5,350,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		5,508,873
	23,584,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023		17,688,000
	8,020,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016		5,774,400
	8,757,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021		7,126,009
				102,400,419
		Collateralized Mortgage Obligations – 0.1%
	5,146,648	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 5.429%, 4/25/2037(b)		3,473,045
	4,572,699	Banc of America Funding Corp., Series 2007-8, Class 4A1, 6.000%, 8/25/2037		3,974,407

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Collateralized Mortgage Obligations – continued
$	3,126,101	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.767%, 4/25/2035(b)	$	2,456,462
	6,613,987	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.468%, 7/25/2047(b)		3,407,685
	5,449,298	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.736%, 4/25/2035(b)		4,626,062
				17,937,661
		Construction Machinery – 0.3%
	1,425,000	Joy Global, Inc., 6.625%, 11/15/2036		1,546,163
	1,335,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/2014		1,371,713
	10,790,000	Terex Corp., 8.000%, 11/15/2017		10,574,200
	525,000	United Rentals North America, Inc., 8.375%, 9/15/2020		511,875
	26,935,000	United Rentals North America, Inc., 10.875%, 6/15/2016		29,897,850
				43,901,801
		Consumer Cyclical Services – 0.3%
	670,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		609,700
	5,500,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		4,180,000
	37,528,000	Western Union Co. (The), 6.200%, 11/17/2036		39,930,543
	1,048,000	Western Union Co. (The), 6.200%, 6/21/2040		1,122,262
				45,842,505
		Diversified Manufacturing – 0.5%
	6,100,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		5,962,750
	1,441,000	Textron Financial Corp., 5.400%, 4/28/2013		1,482,407
	5,310,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		3,823,200
	550,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		569,373
	13,850,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		17,954,336
	5,020,000	Textron, Inc., 5.600%, 12/01/2017		5,306,677
	16,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		26,693,187
				61,791,930
		Electric – 3.1%
	7,883,141	AES Ironwood LLC, 8.857%, 11/30/2025		7,961,973
	922,677	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		950,357

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
$	49,210,138	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A	$	54,096,704
	69,236,555	Bruce Mansfield Unit, 6.850%, 6/01/2034		75,239,669
	2,912,256	CE Generation LLC, 7.416%, 12/15/2018		3,057,869
	11,275,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018(e)		7,328,750
	10,185,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026(d)		6,518,400
	8,955,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019(e)		5,865,525
	95,200,000	Edison Mission Energy, 7.625%, 5/15/2027		56,168,000
	27,800,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		21,205,840
	3,400,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		2,860,022
	1,600,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		1,733,037
	100,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		111,311
	250,000	Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013		273,130
	4,070,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		5,068,811
	5,940,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		6,237,000
	555,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		659,028
	31,735,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(d)		7,299,050
	25,230,000	RRI Energy, Inc., 7.875%, 6/15/2017		24,346,950
	16,670,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		14,148,662
	655,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series A, 10.250%, 11/01/2015		232,525
	50,270,000	TXU Corp., Series P, 5.550%, 11/15/2014		35,691,700
	101,735,000	TXU Corp., Series Q, 6.500%, 11/15/2024		45,272,075
	6,675,000	TXU Corp., Series R, 6.550%, 11/15/2034		2,836,875
	7,300,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		7,850,347
	10,935,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		11,772,184
	4,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(c)		3,881,440
				408,667,234
		Financial Other – 0.3%
	19,005,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		17,906,131

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Financial Other – continued
$	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A	$	24,574,500
				42,480,631
		Food & Beverage – 0.2%
	2,085,000	ARAMARK Corp., 5.000%, 6/01/2012		2,095,425
	11,250,000	Corn Products International, Inc., 6.625%, 4/15/2037		13,375,451
	4,370,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		4,494,183
				19,965,059
		Gaming – 0.0%
	810,000	MGM Resorts International, 6.625%, 7/15/2015		769,500
	865,000	MGM Resorts International, 6.875%, 4/01/2016		800,125
	710,000	MGM Resorts International, 7.500%, 6/01/2016		679,825
	1,770,000	MGM Resorts International, 7.625%, 1/15/2017		1,685,925
				3,935,375
		Government Guaranteed – 0.6%
	11,038,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		10,953,915
	72,695,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		64,719,349
				75,673,264
		Government Owned - No Guarantee – 0.9%
	26,435,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		30,268,075
	19,500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		17,647,500
	70,300,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		7,502,543
	499,300,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		54,657,312
	8,935,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027		4,400,488
				114,475,918
		Government Sponsored – 0.0%
	2,700,000	Eksportfinans ASA, 2.000%, 9/15/2015		2,236,626
		Healthcare – 2.4%
	4,075,000	Boston Scientific Corp., 5.125%, 1/12/2017		4,389,582
	2,765,000	Boston Scientific Corp., 5.450%, 6/15/2014		2,954,707
	4,155,000	Boston Scientific Corp., 6.400%, 6/15/2016		4,658,436

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	16,510,000	Boston Scientific Corp., 7.000%, 11/15/2035	$	19,018,447
	17,785,000	HCA, Inc., 5.750%, 3/15/2014		18,140,700
	3,800,000	HCA, Inc., 6.250%, 2/15/2013		3,876,000
	17,035,000	HCA, Inc., 6.375%, 1/15/2015		17,354,406
	49,350,000	HCA, Inc., 6.500%, 2/15/2016		50,090,250
	2,074,000	HCA, Inc., 6.750%, 7/15/2013		2,141,405
	14,620,000	HCA, Inc., 7.050%, 12/01/2027		12,262,525
	11,104,000	HCA, Inc., 7.190%, 11/15/2015		11,104,000
	20,447,000	HCA, Inc., 7.500%, 12/15/2023		18,300,065
	24,215,000	HCA, Inc., 7.500%, 11/06/2033		20,945,975
	46,148,000	HCA, Inc., 7.690%, 6/15/2025		40,840,980
	32,745,000	HCA, Inc., 8.360%, 4/15/2024		30,944,025
	15,815,000	HCA, Inc., MTN, 7.580%, 9/15/2025		13,996,275
	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036		8,269,905
	2,620,000	Kindred Healthcare, Inc., 8.250%, 6/01/2019		2,200,800
	3,260,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		3,539,982
	32,559,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		26,698,380
	4,765,000	Tenet Healthcare Corp., 9.250%, 2/01/2015		5,009,206
				316,736,051
		Home Construction – 0.7%
	11,265,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		10,983,375
	13,360,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A		7,414,800
	16,075,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		6,269,250
	6,290,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		2,421,650
	1,685,000	KB Home, 5.750%, 2/01/2014		1,617,600
	8,340,000	KB Home, 5.875%, 1/15/2015		7,672,800
	5,805,000	KB Home, 6.250%, 6/15/2015		5,340,600
	11,315,000	KB Home, 7.250%, 6/15/2018		10,183,500

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Home Construction – continued
$	3,745,000	Pulte Group, Inc., 5.200%, 2/15/2015	$	3,501,575
	47,260,000	Pulte Group, Inc., 6.000%, 2/15/2035		31,368,825
	13,190,000	Pulte Group, Inc., 6.375%, 5/15/2033		9,134,075
				95,908,050
		Independent Energy – 0.2%
	4,798,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		5,485,246
	12,635,000	QEP Resources, Inc., 6.875%, 3/01/2021		13,614,213
	2,499,000	Swift Energy Co., 7.125%, 6/01/2017		2,486,505
				21,585,964
		Industrial Other – 0.1%
	10,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020		10,932,920
		Life Insurance – 0.9%
	27,655,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		24,612,950
	2,185,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		2,105,986
	19,625,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		19,193,544
	4,815,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		4,601,407
	2,855,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		2,774,430
	2,100,000	AXA, S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A		1,365,000
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		15,167,355
	1,475,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		1,685,188
	15,930,000	MetLife, Inc., 6.400%, 12/15/2066		15,073,794
	8,145,000	MetLife, Inc., 10.750%, 8/01/2069		10,751,400
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		9,196,145
	3,910,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		4,369,323
	6,700,000	Unum Group, 7.125%, 9/30/2016		7,645,417
				118,541,939
		Local Authorities – 1.5%
	3,905,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		3,304,593

Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Local Authorities – continued
	79,755,000		New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)	$	82,070,217
	10,530,000		New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		10,829,161
	66,305,000		New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		71,969,260
	26,730,000		Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		28,423,460
					196,596,691
			Media Cable – 0.2%
	25,270,000		Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		27,176,257
			Media Non-Cable – 0.4%
	3,785,000		Clear Channel Communications, Inc., 5.750%, 1/15/2013		3,595,750
	64,250,000		Clear Channel Communications, Inc., 9.000%, 3/01/2021		54,130,625
					57,726,375
			Metals & Mining – 0.4%
	3,949,000		Alcoa, Inc., 5.870%, 2/23/2022		3,977,756
	1,405,000		Alcoa, Inc., 5.950%, 2/01/2037		1,332,515
	4,330,000		Alcoa, Inc., 6.750%, 1/15/2028		4,452,353
	17,905,000		Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		15,398,300
	7,000,000		United States Steel Corp., 6.050%, 6/01/2017		6,685,000
	6,779,000		United States Steel Corp., 6.650%, 6/01/2037		5,287,620
	16,435,000		United States Steel Corp., 7.000%, 2/01/2018		16,270,650
					53,404,194
			Non-Captive Consumer – 4.0%
	69,019,000		Residential Capital LLC, 9.625%, 5/15/2015		48,313,300
	995,000		SLM Corp., 6.000%, 5/10/2012, (AUD)		1,000,417
	109,950	(††)	SLM Corp., 6.000%, 12/15/2043		2,086,576
	20,970,000		SLM Corp., MTN, 5.050%, 11/14/2014		20,682,711
	2,160,000		SLM Corp., MTN, 8.000%, 3/25/2020		2,181,600
	41,770,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		40,193,391
	14,465,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		12,539,839
	24,705,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		24,722,318

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
$	35,405,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033	$	26,409,298
	95,060,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		97,911,800
	26,150,000	Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		29,200,215
	10,120,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		7,134,600
	6,900,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		6,520,500
	10,700,000	Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012		10,272,000
	14,232,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		10,353,780
	14,430,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		12,698,400
	2,900,000	Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		2,773,125
	800,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		556,000
	241,395,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		173,804,400
				529,354,270
		Non-Captive Diversified – 7.5%
	22,211,000	Ally Financial, Inc., 6.750%, 12/01/2014		22,322,055
	2,947,000	Ally Financial, Inc., 6.875%, 8/28/2012		2,983,838
	17,038,000	Ally Financial, Inc., 7.500%, 12/31/2013		17,506,545
	35,400,000	Ally Financial, Inc., 7.500%, 9/15/2020		35,754,000
	32,711,000	Ally Financial, Inc., 8.000%, 12/31/2018		32,138,557
	25,955,000	Ally Financial, Inc., 8.000%, 11/01/2031		25,046,575
	49,800,000	Ally Financial, Inc., 8.300%, 2/12/2015		52,539,000
	27,144,615	CIT Group, Inc., 7.000%, 5/01/2015		27,198,904
	70,757,457	CIT Group, Inc., 7.000%, 5/01/2017		70,757,457
	3,100,000	General Electric Capital Corp., EMTN, 6.125%, 5/17/2012, (GBP)		4,884,117
	79,035,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		65,748,287
	65,300,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		50,606,304
	115,000,000	General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD)		88,880,934
	58,490,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		49,703,345
	15,305,000	General Electric Capital Corp., Series A, MTN, 0.703%, 5/13/2024(b)		11,992,386

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
	245,797,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)	$	201,755,326
	360,000	International Lease Finance Corp., 5.875%, 5/01/2013		354,600
	5,605,000	International Lease Finance Corp., 6.250%, 5/15/2019		5,177,843
	9,289,000	International Lease Finance Corp., 6.375%, 3/25/2013		9,242,555
	20,610,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		21,331,350
	10,245,000	International Lease Finance Corp., 8.250%, 12/15/2020		10,347,450
	24,750,000	International Lease Finance Corp., 8.625%, 9/15/2015		25,368,750
	2,620,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		2,561,050
	2,547,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		2,432,385
	34,782,000	iStar Financial, Inc., 5.150%, 3/01/2012		34,608,090
	3,010,000	iStar Financial, Inc., 5.500%, 6/15/2012		2,942,275
	23,175,000	iStar Financial, Inc., 5.850%, 3/15/2017		18,366,187
	20,478,000	iStar Financial, Inc., 5.875%, 3/15/2016		16,587,180
	8,300,000	iStar Financial, Inc., 6.050%, 4/15/2015		6,785,250
	35,130,000	iStar Financial, Inc., 8.625%, 6/01/2013		32,495,250
	2,920,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		2,430,900
	44,610,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		38,253,075
				989,101,820
		Oil Field Services – 0.9%
	7,015,000	Allis-Chalmers Energy, Inc., 8.500%, 3/01/2017		6,909,775
	77,565,000	Nabors Industries, Inc., 9.250%, 1/15/2019		97,568,626
	3,095,000	Parker Drilling Co., 9.125%, 4/01/2018		3,257,487
	7,275,000	Rowan Cos., Inc., 7.875%, 8/01/2019		8,528,468
				116,264,356
		Packaging – 0.3%
	2,450,000	OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR)		3,186,768
	33,261,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		36,753,405
				39,940,173

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Paper – 1.1%
$	14,715,000	Georgia-Pacific LLC, 7.250%, 6/01/2028	$	17,753,206
	12,410,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		15,305,427
	120,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		139,421
	47,875,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		60,253,416
	1,003,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,378,688
	14,520,000	Westvaco Corp., 7.950%, 2/15/2031		16,100,546
	25,210,000	Westvaco Corp., 8.200%, 1/15/2030		28,662,635
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		2,809,106
	5,490,000	Weyerhaeuser Co., 7.375%, 3/15/2032		5,762,480
				148,164,925
		Pipelines – 1.8%
	750,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		864,375
	5,255,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		5,769,617
	9,115,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		9,584,413
	13,175,000	Enterprise Products Operating LLC, 4.050%, 2/15/2022		13,423,533
	5,100,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		6,367,467
	21,200,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		22,615,227
	42,498,573	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		45,260,980
	81,710,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		80,662,478
	43,450,000	NiSource Finance Corp., 6.400%, 3/15/2018		49,961,070
	4,168,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		3,751,200
				238,260,360
		Property & Casualty Insurance – 0.4%
	14,855,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		16,002,979
	3,405,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		3,902,181
	11,075,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		12,168,125
	11,865,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		6,644,400
	2,275,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		2,085,759

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Property & Casualty Insurance – continued
$	11,200,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A	$	11,747,109
	3,000,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		2,733,120
	1,425,000	XL Group PLC, 6.375%, 11/15/2024		1,498,040
				56,781,713
		Property Trust – 0.4%
	46,015,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		51,322,646
		Railroads – 0.0%
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		830,160
		REITs - Apartments – 0.3%
	2,025,000	Camden Property Trust, 5.000%, 6/15/2015		2,150,732
	27,950,000	Camden Property Trust, 5.700%, 5/15/2017		30,604,552
				32,755,284
		REITs - Diversified – 0.0%
	4,030,000	Duke Realty LP, 5.950%, 2/15/2017		4,332,754
		REITs - Office Property – 0.4%
	47,305,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		50,034,073
		REITs - Warehouse/Industrials – 0.1%
	4,180,000	ProLogis LP, 5.625%, 11/15/2015		4,445,660
	3,915,000	ProLogis LP, 5.625%, 11/15/2016		4,133,586
	4,635,000	ProLogis LP, 5.750%, 4/01/2016		4,904,127
	1,662,000	ProLogis LP, 6.625%, 5/15/2018		1,804,993
	1,100,000	ProLogis LP, 6.875%, 3/15/2020		1,221,358
	2,080,000	ProLogis LP, 7.375%, 10/30/2019		2,349,961
				18,859,685
		Retailers – 1.1%
	5,743,000	Dillard’s, Inc., 6.625%, 1/15/2018		5,656,855
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,059,000
	4,187,000	Dillard’s, Inc., 7.130%, 8/01/2018		4,213,169
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,410,000

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Retailers – continued
$	425,000	Dillard’s, Inc., 7.875%, 1/01/2023	$	408,000
	10,270,000	Foot Locker, Inc., 8.500%, 1/15/2022		10,603,775
	3,685,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		3,703,425
	37,064,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		30,994,770
	635,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		635,000
	3,985,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,566,575
	15,907,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		18,479,194
	12,275,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		13,086,451
	2,365,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,601,121
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		6,335,345
	37,646,000	Toys R Us, Inc., 7.375%, 10/15/2018		33,787,285
	8,355,000	Toys R Us, Inc., 7.875%, 4/15/2013		8,490,769
				147,030,734
		Sovereigns – 1.8%
	64,132,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		9,167,527
	10,000,000,000	Indonesia Treasury Bond, Series FR47, 10.000%, 2/15/2028, (IDR)		1,416,335
	272,460,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		28,946,806
	56,700,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		34,653,800
	49,120,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)		31,074,440
	107,840,000	Republic of Brazil, 12.500%, 1/05/2022, (BRL)		74,003,592
	18,400,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		17,480,000
	3,639,662,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		17,566,619
	3,178,700,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		15,969,911
				230,279,030
		Supermarkets – 0.8%
	8,336,000	American Stores Co., 7.900%, 5/01/2017		7,835,840
	73,686,000	New Albertson’s, Inc., 7.450%, 8/01/2029		57,475,080
	20,250,000	New Albertson’s, Inc., 7.750%, 6/15/2026		16,655,625

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supermarkets – continued
$	9,800,000	New Albertson’s, Inc., 8.000%, 5/01/2031	$	7,815,500
	3,425,000	New Albertson’s, Inc., 8.700%, 5/01/2030		2,988,313
	13,707,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		9,766,237
				102,536,595
		Supranational – 2.0%
	108,310,000	European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL)		59,351,151
	20,250,000	European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL)		10,938,311
	16,375,000	European Investment Bank, 11.250%, 2/14/2013, (BRL)		8,975,633
	460,500,000,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		45,468,503
	24,398,000	European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD)		19,020,358
	60,665,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		63,237,456
	244,840,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		24,515,052
	24,450,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		20,900,099
	8,300,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		6,491,431
				258,897,994
		Technology – 1.7%
	1,370,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		1,407,675
	41,705,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		48,296,267
	27,287,000	Alcatel-Lucent, 8.500%, 1/15/2016, (EUR)		29,224,165
	832,000	Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR)		1,049,896
	64,730,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		46,443,775
	5,765,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		4,136,387
	2,435,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		2,750,406
	10,600,000	Avnet, Inc., 5.875%, 3/15/2014		11,240,017
	35,630,000	Avnet, Inc., 6.000%, 9/01/2015		38,423,036
	11,345,000	Avnet, Inc., 6.625%, 9/15/2016		12,691,402
	2,520,000	Corning, Inc., 6.850%, 3/01/2029		3,057,692
	6,960,000	Eastman Kodak Co., 7.250%, 11/15/2013		2,296,800

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Technology – continued
$	95,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014	$	97,375
	6,290,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		6,620,225
	475,000	Motorola Solutions, Inc., 6.000%, 11/15/2017		533,463
	2,562,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		2,646,023
	9,260,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(e)		9,815,600
	240,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		289,021
	1,730,000	Xerox Corp., MTN, 7.200%, 4/01/2016		1,962,782
				222,982,007
		Tobacco – 0.1%
	5,805,000	Reynolds American, Inc., 6.750%, 6/15/2017		6,598,125
	6,175,000	Reynolds American, Inc., 7.250%, 6/15/2037		7,162,815
				13,760,940
		Transportation Services – 0.4%
	10,503,000	APL Ltd., 8.000%, 1/15/2024(c)		6,826,950
	9,757,144	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		9,171,715
	6,862,758	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(d)(f)		5,147,069
	6,781,958	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020		6,781,958
	73,494	Atlas Air Pass Through Trust, Series 1999-1, Class A-2, 6.880%, 4/02/2014		73,494
	7,696,685	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		6,619,149
	4,744,556	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(d)		3,558,417
	3,874,970	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017		3,681,221
	3,970,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		4,776,204
				46,636,177
		Treasuries – 13.0%
	320,680,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		317,006,542
	80,216,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		81,529,377
	171,980,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		193,135,861
	25,445,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		29,137,054
	4,226,829	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		991,658

Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Treasuries – continued
	2,520,000		Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)	$	646,758
	1,350,000		Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		383,571
	69,280,000		Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		19,635,885
	47,935,000		Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF)		20,595,260
	118,375,000		Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		121,106,985
	52,325,000		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		52,304,819
	7,325,000		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		7,676,552
	121,560,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		123,860,466
	1,440,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		1,468,798
	1,440,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		1,539,061
	1,435,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		1,589,137
	18,686,981	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		150,039,128
	22,670,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		20,221,626
	151,035,000		New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		123,550,866
	457,420,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		85,314,296
	221,050,000		Norwegian Government, 5.000%, 5/15/2015, (NOK)		41,064,218
	1,520,540,000		Norwegian Government, 6.500%, 5/15/2013, (NOK)		271,715,949
	27,700,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		17,914,613
	250,000		Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		152,883
	6,225,000		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		4,245,668
	14,475,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		9,273,466
	3,481,377,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		17,515,176
					1,713,615,673
			Utility Other – 0.0%
	3,300,000		Listrindo Capital BV, 9.250%, 1/29/2015, 144A		3,590,367
			Wireless – 1.0%
	42,310,000		Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		40,829,150
	30,755,000		Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		28,140,825

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – continued
$	3,628,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013	$	3,609,860
	31,041,000	Sprint Capital Corp., 6.875%, 11/15/2028		22,155,514
	29,252,000	Sprint Capital Corp., 6.900%, 5/01/2019		24,059,770
	6,260,000	Sprint Capital Corp., 8.750%, 3/15/2032		5,062,775
	11,309,000	Sprint Nextel Corp., 6.000%, 12/01/2016		9,386,470
				133,244,364
		Wirelines – 3.9%
	5,650,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		4,209,250
	4,370,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,058,648
	21,480,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		23,847,808
	2,715,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		3,408,503
	72,320,000	CenturyLink, Inc., 6.450%, 6/15/2021		72,453,213
	7,410,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		6,907,595
	2,965,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,909,451
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		266,000
	155,000	Cincinnati Bell, Inc., 7.000%, 2/15/2015		155,581
	5,330,000	Embarq Corp., 7.995%, 6/01/2036		5,522,882
	38,336,000	Frontier Communications Corp., 7.875%, 1/15/2027		32,585,600
	1,120,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		1,926,133
	1,800,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		2,444,614
	50,080,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		50,956,400
	8,399,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		8,587,978
	2,555,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		2,666,781
	500,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		366,817
	11,550,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		8,909,361
	28,750,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		25,756,554
	200,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		211,610
	800,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		756,161

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	16,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018	$	16,123,266
	42,460,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		39,868,624
	12,463,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		12,836,890
	32,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		32,180,383
	31,060,000	Qwest Corp., 6.875%, 9/15/2033		30,851,587
	3,075,000	Qwest Corp., 7.200%, 11/10/2026		3,067,934
	3,999,000	Qwest Corp., 7.250%, 9/15/2025		4,377,221
	2,288,000	Qwest Corp., 7.500%, 6/15/2023		2,288,684
	5,470,000	SK Broadband Co. Ltd., 7.000%, 2/01/2012, 144A		5,471,750
	25,655,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		19,009,662
	20,965,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		15,877,738
	31,690,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		34,103,573
	18,600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		20,067,734
	9,835,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		10,281,430
	3,346,000	Verizon New England, Inc., 7.875%, 11/15/2029		4,063,406
	5,215,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		5,580,373
				515,957,195
		Total Non-Convertible Bonds (Identified Cost $8,505,958,295)		8,712,833,107
	Convertible Bonds – 8.7%
		Airlines – 0.0%
	890,000	AMR Corp., 6.250%, 10/15/2014(e)		189,125
	1,255,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		1,129,500
				1,318,625
		Automotive – 1.5%
	2,910,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(g)		1,876,950
	125,580,000	Ford Motor Co., 4.250%, 11/15/2016		180,050,325
	8,460,000	Navistar International Corp., 3.000%, 10/15/2014		9,115,650
				191,042,925

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Diversified Manufacturing – 0.3%
$	30,570,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A	$	28,430,100
	16,727,000	Trinity Industries, Inc., 3.875%, 6/01/2036		16,350,642
				44,780,742
		Electric – 0.0%
	1,800,000	CMS Energy Corp., 5.500%, 6/15/2029		2,889,000
		Healthcare – 0.5%
	19,215,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(g)		18,326,306
	1,810,000	Illumina, Inc., 0.250%, 3/15/2016, 144A		1,450,263
	12,005,000	Life Technologies Corp., 1.500%, 2/15/2024		12,005,000
	190,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		193,088
	2,380,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,433,550
	5,445,000	Omnicare, Inc., 3.250%, 12/15/2035		4,995,787
	20,495,000	Omnicare, Inc., 3.750%, 12/15/2025		28,488,050
				67,892,044
		Home Construction – 0.4%
	52,005,000	Lennar Corp., 3.250%, 11/15/2021, 144A		56,880,469
		Independent Energy – 0.2%
	20,440,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		16,863,000
	7,230,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		6,443,738
				23,306,738
		Life Insurance – 0.5%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		64,074,056
		Media Non-Cable – 0.0%
	7,641,444	Liberty Media LLC, 3.500%, 1/15/2031		4,326,967
		Metals & Mining – 0.1%
	1,000,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,088,750
	11,270,000	United States Steel Corp., 4.000%, 5/15/2014		12,467,438
				13,556,188

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Non-Captive Diversified – 0.3%
$	44,035,000	iStar Financial, Inc., 0.872%, 10/01/2012(b)	$	39,631,500
		Pharmaceuticals – 0.9%
	41,680,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		41,263,200
	85,100,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		75,951,750
	3,065,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		3,214,419
				120,429,369
		REITs - Warehouse/Industrials – 0.2%
	19,445,000	ProLogis LP, 3.250%, 3/15/2015		20,052,656
		Technology – 3.0%
	3,195,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		2,803,613
	49,215,000	Ciena Corp., 0.875%, 6/15/2017		37,280,362
	5,535,000	Ciena Corp., 3.750%, 10/15/2018, 144A		5,202,900
	6,075,000	Ciena Corp., 4.000%, 3/15/2015, 144A		5,968,687
	11,463,000	Intel Corp., 2.950%, 12/15/2035		11,935,849
	220,000,000	Intel Corp., 3.250%, 8/01/2039		275,550,000
	4,487,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		4,470,174
	720,000	Lam Research Corp., 1.250%, 5/15/2018, 144A		675,000
	50,625,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		44,550,000
				388,436,585
		Wirelines – 0.8%
	6,000,000	Level 3 Communications, Inc., 6.500%, 10/01/2016		7,297,500
	54,075,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		58,603,781
	32,895,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		35,649,956
	900,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		955,157
				102,506,394
		Total Convertible Bonds (Identified Cost $1,033,426,182)		1,141,124,258
	Municipals – 1.4%
		California – 0.4%
	4,170,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028		3,135,340

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – continued
		California – continued
$	1,530,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028	$	1,367,162
	5,175,000	State of California, (AMBAC insured), 4.500%, 8/01/2027		5,372,012
	14,415,000	State of California, 4.500%, 10/01/2029		14,735,013
	4,190,000	State of California, (AMBAC insured), 4.500%, 8/01/2030		4,275,560
	4,075,000	State of California, 4.500%, 8/01/2030		4,158,211
	2,680,000	State of California (Various Purpose), (MBIA insured), 3.250%, 12/01/2027		2,418,593
	12,645,000	State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033		12,749,700
				48,211,591
		District of Columbia – 0.0%
	3,850,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047		4,323,011
		Illinois – 0.3%
	1,725,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		1,678,580
	47,285,000	State of Illinois, 5.100%, 6/01/2033		42,917,758
				44,596,338
		Michigan – 0.1%
	12,500,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		9,157,875
		Virginia – 0.6%
	128,820,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		80,824,244
		Total Municipals (Identified Cost $226,236,761)		187,113,059
		Total Bonds and Notes (Identified Cost $9,765,621,238)		10,041,070,424
	Senior Loans – 0.3%
		Electric – 0.0%
	4,788,467	Texas Competitive Electric Holdings Company, LLC, Non-Extended Term Loan, 3.776%, 10/10/2014(b)		3,330,762
		Media Non-Cable – 0.1%
	2,837,119	Dex Media West LLC, New Term Loan, 7.250%, 10/24/2014(b)		1,574,601
	23,375,907	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)		10,782,137
				12,356,738

Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Wireless – 0.1%
$	8,511,351	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(b)(h)	$	8,575,186
		Wirelines – 0.1%
	25,215,097	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b)		20,048,524
		Total Senior Loans (Identified Cost $71,177,012)		44,311,210

Shares
	Common Stocks – 15.6%
		Biotechnology – 0.2%
	867,059	Vertex Pharmaceuticals, Inc.(d)	28,795,029
		Chemicals – 1.6%
	1,364,851	Dow Chemical Co. (The)	39,253,115
	2,000,000	PPG Industries, Inc.	166,980,000
			206,233,115
		Containers & Packaging – 0.1%
	460,656	Owens-Illinois, Inc.(d)	8,927,513
	1,675	Rock-Tenn Co., Class A	96,648
			9,024,161
		Diversified Financial Services – 0.2%
	3,979,932	Bank of America Corp.	22,128,422
		Diversified Telecommunication Services – 2.9%
	183,181	FairPoint Communications, Inc.(d)	793,174
	283,397	Hawaiian Telcom Holdco, Inc.(d)	4,364,314
	3,871,339	Telecom Italia SpA, Sponsored ADR	34,454,917
	200,000	Telecom Italia SpA, Sponsored ADR	2,130,000
	19,550,590	Telefonica S.A., Sponsored ADR	336,074,642
			377,817,047
		Electric Utilities – 0.0%
	282,500	Duke Energy Corp.	6,215,000
		Electronic Equipment, Instruments & Components – 0.0%
	41,343	Corning, Inc.	536,632
		Food Products – 0.5%
	2,309,175	ConAgra Foods, Inc.	60,962,220
		Household Durables – 0.1%
	477,725	KB Home	3,210,312
	549,450	Lennar Corp., Class A	10,796,693
			14,007,005
		Media – 0.0%
	4,701	Dex One Corp.(d)	7,804
	56,625	SuperMedia, Inc.(d)	149,490
			157,294

Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – 2.5%
	846,398	Chesapeake Energy Corp.	$	18,866,211
	5,119,117	Repsol YPF S.A., Sponsored ADR		156,184,260
	2,134,173	Royal Dutch Shell PLC, ADR		155,986,704
	141,249	Spectra Energy Corp.		4,343,407
				335,380,582
		Pharmaceuticals – 3.2%
	8,514,190	Bristol-Myers Squibb Co.		300,040,055
	2,288	Teva Pharmaceutical Industries, Ltd., Sponsored ADR		92,344
	2,691,177	Valeant Pharmaceuticals International, Inc.(d)		125,651,054
				425,783,453
		REITs - Apartments – 0.4%
	290,904	Apartment Investment & Management Co., Class A		6,664,611
	889,730	Associated Estates Realty Corp.		14,191,193
	460,000	Equity Residential		26,233,800
				47,089,604
		REITs - Regional Malls – 0.1%
	123,159	Simon Property Group, Inc.		15,880,121
		REITs - Shopping Centers – 0.0%
	201,557	DDR Corp.		2,452,949
		Semiconductors & Semiconductor Equipment – 2.5%
	13,359,360	Intel Corp.		323,964,480
		Software – 1.3%
	6,568,091	Microsoft Corp.		170,507,642
		Total Common Stocks (Identified Cost $1,799,739,510)		2,046,934,756
	Preferred Stocks – 2.7%
	Convertible Preferred Stocks – 2.0%
		Automotive – 1.0%
	2,776,055	General Motors Co., Series B, 4.750%		95,079,884
	649,840	Goodyear Tire & Rubber Co. (The), 5.875%		31,614,716
				126,694,600
		Banking – 0.2%
	19,062	Bank of America Corp., Series L, 7.250%		15,021,237
	203,658	Sovereign Capital Trust IV, 4.375%		9,673,755
	8,533	Wells Fargo & Co., Series L, Class A, 7.500%		8,993,782
				33,688,774
		Construction Machinery – 0.1%
	145,110	United Rentals Trust I, 6.500%		6,820,170

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Consumer Products – 0.1%
	192,518	Newell Financial Trust I, 5.250%	$	8,133,886
		Electric – 0.2%
	380,577	AES Trust III, 6.750%		18,682,525
	107,725	CMS Energy Trust I, 7.750%(c)(i)		4,632,175
				23,314,700
		Home Construction – 0.0%
	355,000	Hovnanian Enterprises, Inc., 7.250%		2,715,750
		Independent Energy – 0.1%
	52,020	Chesapeake Energy Corp., 4.500%		4,817,572
	99,800	SandRidge Energy, Inc., 8.500%		12,371,208
				17,188,780
		Pipelines – 0.1%
	242,297	El Paso Energy Capital Trust I, 4.750%		11,155,354
		REITs - Healthcare – 0.0%
	116,700	Health Care REIT, Inc., Series I, 6.500%		5,971,539
		Technology – 0.2%
	39,920	Lucent Technologies Capital Trust I, 7.750%		24,510,880
		Total Convertible Preferred Stocks (Identified Cost $304,089,347)		260,194,433
	Non-Convertible Preferred Stocks – 0.7%
		Banking – 0.2%
	35,000	Bank of America Corp., 6.375%		638,050
	847,800	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		22,093,668
	389,800	Countrywide Capital IV, 6.750%		7,741,428
				30,473,146
		Electric – 0.0%
	393	Entergy New Orleans, Inc., 4.750%		38,944
		Government Sponsored – 0.2%
	26,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(g)		27,340,625

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Home Construction – 0.0%
	208,246	Hovnanian Enterprises, Inc., 7.625%(d)	$	291,544
		Non-Captive Consumer – 0.0%
	101,175	SLM Corp., Series A, 6.970%		4,057,117
		Non-Captive Diversified – 0.2%
	37,416	Ally Financial, Inc., Series G, 7.000%, 144A		26,821,428
		REITs - Office Property – 0.0%
	1,596	Highwoods Properties, Inc., Series A, 8.625%		1,760,588
		REITs - Warehouse/Industrials – 0.1%
	116,192	ProLogis, Inc., Series Q, 8.540%		6,369,645
		Total Non-Convertible Preferred Stocks (Identified Cost $75,886,834)		97,153,037
		Total Preferred Stocks (Identified Cost $379,976,181)		357,347,470
	Closed End Investment Companies – 0.1%
	681,131	Highland Credit Strategies Fund		4,209,390
	104,115	Morgan Stanley Emerging Markets Debt Fund, Inc.		1,083,837
	1,017,081	Western Asset High Income Opportunity Fund, Inc.		6,275,390
		Total Closed End Investment Companies (Identified Cost $17,761,684)		11,568,617

Principal Amount (‡)
	Short-Term Investments – 3.6%
$	1,467,094	Repurchase Agreement with State Street Bank and Trust Company, dated 12/30/2011 at 0.000% to be repurchased at $1,467,094 on 1/03/2012 collateralized by $1,500,000 U.S. Treasury Bill, due 3/08/2012 valued at $1,499,946 including accrued interest(j)		1,467,094
	468,042,632	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $468,042,632 on 1/03/2012 collateralized by $134,835,000 Federal National Mortgage Association, 5.000% due 3/15/2016 valued at $158,768,213; $48,415,000 Federal Home Loan Mortgage Corp., 2.500% due 5/27/2016 valued at $51,440,937; $78,265,000 U.S. Treasury Note, 1.250% due 10/31/2015 valued at $80,358,432; $175,000,000 U.S. Treasury Note, 2.125% due 2/29/2016 valued at $186,375,000; $465,000 Federal National Mortgage Association Discount Note, due 6/06/2012 valued at $464,768 including accrued interest(j)		468,042,632
		Total Short-Term Investments (Identified Cost $469,509,726)		469,509,726
		Total Investments – 98.5% (Identified Cost $12,503,785,351)(a)		12,970,742,203
		Other assets less liabilities – 1.5%		202,246,932
		Net Assets – 100.0%	$	13,172,989,135

(‡) 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) and unlisted equity securities 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.

Senior loans are priced at bid prices supplied by a pricing service, if available.

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 and senior loans where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security.

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

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

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

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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.

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

(††) Amount shown represents units. One unit represents a principal amount of 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. Amortization of premium on debt securities is excluded for tax purposes.):

At December 31, 2011, the net unrealized appreciation on investments based on a cost of $12,543,421,937 for federal income tax purposes was as follows:

Aggregate gross unrealized appreciation for all investments in which there is an excess of tax cost over value	$	1,319,494,332
Aggregate gross unrealized depreciation for all investments in which there is an excess of value over tax cost		(892,174,066	)
Net unrealized appreciation	$	427,320,266

At September 30, 2011, the Fund had a capital loss carryforward of $440,508,454 which expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.

(b) Variable rate security. Rate as of December 31, 2011 is disclosed.

(c) Illiquid security. At December 31, 2011, the value of these securities amounted to $278,915,205 or 2.1% of net assets.

(d) Non-income producing security.

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

(f) Maturity has been extended under the terms of a plan of reorganization.

(g) Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

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

(i) Fair valued security by the Fund’s investment adviser. At December 31, 2011, the value of this security amounted to $4,632,175 representing less than 0.1% of net assets.

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

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $1,281,772,438 or 9.7% of net assets.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ABS	Asset-Backed Securities
AGMC	Assured Guaranty Municipal Corp.
AMBAC	American Municipal Bond Assurance Corp.
EMTN	Euro Medium Term Note
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
CHF	Swiss Franc
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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	455,360,156	$	48,284,915	$	503,645,071
Non-Captive Consumer		2,086,576		527,267,694		—		529,354,270
Treasuries		—		1,692,949,459		20,666,214		1,713,615,673
All Other Non-Convertible Bonds*		—		5,966,218,093		—		5,966,218,093
Total Non-Convertible Bonds		2,086,576		8,641,795,402		68,951,129		8,712,833,107
Convertible Bonds*		—		1,141,124,258		—		1,141,124,258
Municipals*		—		187,113,059		—		187,113,059
Total Bonds and Notes		2,086,576		9,970,032,719		68,951,129		10,041,070,424
Senior Loans*		—		44,311,210		—		44,311,210
Common Stocks*		2,046,934,756		—		—		2,046,934,756
Preferred Stocks
Convertible Preferred Stocks
Banking		24,015,019		9,673,755		—		33,688,774
Construction Machinery		—		6,820,170		—		6,820,170
Consumer Products		—		8,133,886		—		8,133,886
Electric		18,682,525		—		4,632,175		23,314,700

Independent Energy		4,817,572		12,371,208		—		17,188,780
All Other Convertible Preferred Stocks*		171,048,123		—		—		171,048,123
Total Convertible Preferred Stocks		218,563,239		36,999,019		4,632,175		260,194,433
Non-Convertible Preferred Stocks
Electric		—		38,944		—		38,944
Government Sponsored		—		27,340,625		—		27,340,625
Non-Captive Diversified		—		26,821,428		—		26,821,428
REITs - Office Property		—		1,760,588		—		1,760,588
All Other Non-Convertible Preferred Stocks*		41,191,452		—		—		41,191,452
Total Non-Convertible Preferred Stocks		41,191,452		55,961,585		—		97,153,037
Total Preferred Stocks		259,754,691		92,960,604		4,632,175		357,347,470
Closed End Investment Companies		11,568,617		—		—		11,568,617
Short-Term Investments		—		469,509,726		—		469,509,726
Total	$	2,320,344,640	$	10,576,814,259	$	73,583,304	$	12,970,742,203

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

A preferred stock valued at $9,179,640 was transferred from Level 1 to Level 2 during the period ended December 31, 2011. At September 30, 2011, this security was valued at market price in accordance with the Fund’s valuation policies; at December 31, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2011:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	—	$	—	$	(3,072,056	)	$	51,356,971	$	—	$	—	$	—		$	48,284,915	$	(3,072,056	)
Consumer Cyclical Services		4,482,500		—		—		—			—		—		—		(4,482,500	)		—		—
Technology		1,740,000		—		—		—			—		—		—		(1,740,000	)		—		—
Treasuries		742,727		405,688		—		(10,782,814	)		—		—		30,300,613		—			20,666,214		(10,782,814	)
Preferred Stocks
Convertible Preferred Stocks
Electric		4,847,625		—		—		(215,450	)		—		—		—		—			4,632,175		(215,450	)
Independent Energy		9,980,000		—		—		—			—		—		—		(9,980,000	)		—		—
Non-Convertible Preferred Stocks
Non-Captive Diversified		22,149,600		—		—		—			—		—		—		(22,149,600	)		—		—
Total	$	43,942,452	$	405,688	$	—	$	(14,070,320	)	$	51,356,971	$	—	$	30,300,613	$	(38,352,100	))	$	73,583,304	$	(14,070,320	)

Debt securities valued at $6,222,500 and preferred stocks valued at $32,129,600 were transferred from Level 3 to Level 2 during the period ended December 31, 2011. At September 30, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at December 31, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service.

Debt securities valued at $30,300,613 were transferred from Level 2 to Level 3 during the period ended December 31, 2011. At September 30, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service; at December 31, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

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

Industry Summary at December 31, 2011 (Unaudited)

Treasuries	13.0	%
Non-Captive Diversified	8.0
Technology	4.9
Wirelines	4.8
Banking	4.2
Pharmaceuticals	4.1
Non-Captive Consumer	4.0
Automotive	3.6
Electric	3.3
Healthcare	2.9
Diversified Telecommunication Services	2.9
Airlines	2.7
Oil, Gas & Consumable Fuels	2.5
Semiconductors & Semiconductor Equipment	2.5
Chemicals	2.4
Supranational	2.0
Other Investments, less than 2% each	27.1
Short-Term Investments	3.6
Total Investments	98.5
Other assets less liabilities	1.5
Net Assets	100.0	%

Currency Exposure at December 31, 2011 (Unaudited)

United States Dollar	71.3	%
Canadian Dollar	5.9
New Zealand Dollar	4.3
Euro	3.8
Norwegian Krone	3.0
Australian Dollar	2.6
Other, less than 2% each	7.6
Total Investments	98.5
Other assets less liabilities	1.5
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2011 (Unaudited)

Loomis Sayles Value Fund

Shares		Description	Value (†)
	Common Stocks – 98.8% of Net Assets
		Aerospace & Defense – 2.9%
	309,143	Honeywell International, Inc.	$	16,801,922
	317,828	Northrop Grumman Corp.		18,586,582
				35,388,504
		Auto Components – 1.6%
	697,131	Goodyear Tire & Rubber Co. (The)(b)		9,878,346
	321,744	Johnson Controls, Inc.		10,057,718
				19,936,064
		Automobiles – 0.7%
	409,915	General Motors Co.(b)		8,308,977
		Beverages – 3.2%
	651,759	Coca-Cola Enterprises, Inc.		16,802,347
	329,309	PepsiCo, Inc.		21,849,652
				38,651,999
		Biotechnology – 1.4%
	269,609	Amgen, Inc.		17,311,594
		Capital Markets – 4.6%
	320,300	Ameriprise Financial, Inc.		15,899,692
	495,525	Bank of New York Mellon Corp.		9,865,903
	494,848	Legg Mason, Inc.		11,901,094
	437,176	State Street Corp.		17,622,565
				55,289,254
		Chemicals – 1.2%
	171,700	Air Products & Chemicals, Inc.		14,627,123
		Commercial Banks – 6.0%
	1,379,621	Fifth Third Bancorp		17,548,779
	343,999	PNC Financial Services Group, Inc.		19,838,422
	462,311	U.S. Bancorp		12,505,513
	803,313	Wells Fargo & Co.		22,139,306
				72,032,020
		Communications Equipment – 2.5%
	854,019	Cisco Systems, Inc.		15,440,664
	328,301	Motorola Solutions, Inc.		15,197,053
				30,637,717
		Computers & Peripherals – 0.9%
	27,315	Apple, Inc.(b)		11,062,575
		Construction Materials – 0.9%
	276,995	Vulcan Materials Co.		10,899,753
		Consumer Finance – 1.3%
	647,252	Discover Financial Services		15,534,048

Shares		Description	Value (†)
	Common Stocks – continued
		Diversified Financial Services – 4.2%
	1,521,931	Bank of America Corp.	$	8,461,936
	599,534	Citigroup, Inc.		15,773,740
	786,121	JPMorgan Chase & Co.		26,138,523
				50,374,199
		Diversified Telecommunication Services – 3.4%
	725,387	AT&T, Inc.		21,935,703
	503,544	CenturyLink, Inc.		18,731,837
				40,667,540
		Electric Utilities – 4.3%
	462,040	Edison International		19,128,456
	405,683	Exelon Corp.		17,594,472
	521,601	PPL Corp.		15,345,501
				52,068,429
		Electrical Equipment – 1.2%
	268,972	Cooper Industries PLC		14,564,834
		Energy Equipment & Services – 2.5%
	277,191	Schlumberger Ltd.		18,934,917
	303,026	Transocean Ltd.		11,633,168
				30,568,085
		Food & Staples Retailing – 1.6%
	470,754	CVS Caremark Corp.		19,197,348
		Food Products – 2.6%
	307,730	Kellogg Co.		15,561,906
	841,229	Sara Lee Corp.		15,916,053
				31,477,959
		Health Care Equipment & Supplies – 2.8%
	382,477	Covidien PLC		17,215,290
	445,291	Medtronic, Inc.		17,032,381
				34,247,671
		Health Care Providers & Services – 2.8%
	465,541	HCA Holdings, Inc.(b)		10,255,868
	461,375	UnitedHealth Group, Inc.		23,382,485
				33,638,353
		Independent Power Producers & Energy Traders – 1.5%
	1,090,242	Calpine Corp.(b)		17,803,652
		Industrial Conglomerates – 1.9%
	1,266,233	General Electric Co.		22,678,233
		Insurance – 3.6%
	496,168	MetLife, Inc.		15,470,518
	255,127	Travelers Cos., Inc. (The)		15,095,864
	611,309	Unum Group		12,880,281
				43,446,663

Shares		Description	Value (†)
	Common Stocks – continued
		Internet & Catalog Retail – 1.2%
	913,488	Liberty Interactive Corp., Class A(b)	$	14,812,208
		Internet Software & Services – 1.8%
	482,041	AOL, Inc.(b)		7,278,819
	482,290	eBay, Inc.(b)		14,627,856
				21,906,675
		Machinery – 3.3%
	352,532	Eaton Corp.		15,345,718
	290,390	Harsco Corp.		5,976,226
	273,722	Stanley Black & Decker, Inc.		18,503,607
				39,825,551
		Media – 6.5%
	392,725	CBS Corp., Class B		10,658,557
	1,109,690	Comcast Corp., Class A		26,310,750
	243,523	DIRECTV, Class A(b)		10,413,043
	306,199	Omnicom Group, Inc.		13,650,351
	382,480	Viacom, Inc., Class B		17,368,417
				78,401,118
		Oil, Gas & Consumable Fuels – 10.3%
	258,007	Chevron Corp.		27,451,945
	247,018	CONSOL Energy, Inc.		9,065,561
	495,832	El Paso Corp.		13,174,256
	397,171	ExxonMobil Corp.		33,664,214
	357,356	Hess Corp.		20,297,821
	64,665	Noble Energy, Inc.		6,103,729
	195,183	SM Energy Co.		14,267,877
				124,025,403
		Pharmaceuticals – 7.1%
	390,886	Bristol-Myers Squibb Co.		13,774,823
	747,607	Merck & Co., Inc.		28,184,784
	1,139,394	Pfizer, Inc.		24,656,486
	542,951	Sanofi, Sponsored ADR		19,839,429
				86,455,522
		REITs - Diversified – 1.2%
	765,649	Weyerhaeuser Co.		14,294,667
		Road & Rail – 1.3%
	224,357	Norfolk Southern Corp.		16,346,651
		Semiconductors & Semiconductor Equipment – 2.2%
	1,157,235	Applied Materials, Inc.		12,393,987
	497,240	Texas Instruments, Inc.		14,474,656
				26,868,643
		Software – 2.6%
	512,099	Microsoft Corp.		13,294,090
	688,618	Oracle Corp.		17,663,052
				30,957,142

Shares		Description	Value (†)
	Common Stocks – continued
		Wireless Telecommunication Services – 1.7%
	735,456	Vodafone Group PLC, Sponsored ADR	$	20,614,832
		Total Common Stocks (Identified Cost $1,122,107,610)		1,194,921,006
Principal Amount
	Short-Term Investments – 1.7%
	$20,695,804	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $20,695,804 on 1/03/2012 collateralized by $21,060,000 Federal National Mortgage Association, 1.070% due 9/21/2015 valued at $21,112,650 including accrued interest(c) (Identified Cost $20,695,804)		20,695,804
		Total Investments – 100.5% (Identified Cost $1,142,803,414)(a)		1,215,616,810
		Other assets less liabilities – (0.5)%		(6,045,291	)
		Net Assets – 100.0%	$	1,209,571,519

(†)      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) and unlisted equity securities 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. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the 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. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a)       Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
At December 31, 2011, the net unrealized appreciation on investments based on a cost of $1,142,803,414 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	$	142,189,517
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(69,376,121	)
Net unrealized appreciation	$	72,813,396

At September 30, 2011, the Fund had a capital loss carryforward of $55,601,112 of which $1,676,396 expires on September 30, 2017 and $53,924,716 expires on September 30, 2018. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.

(b)       Non-income producing security.

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

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

REITs Real Estate Investment Trusts

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2011, at value:

Asset Valuation Inputs
Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	1,194,921,006	$	—	$	—	$	1,194,921,006
Short-Term Investments		—		20,695,804		—		20,695,804
Total	$	1,194,921,006	$	20,695,804	$	—	$	1,215,616,810
* Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Industry Summary at December 31, 2011 (Unaudited)
Oil, Gas & Consumable Fuels	10.3	%
Pharmaceuticals	7.1
Media	6.5
Commercial Banks	6.0
Capital Markets	4.6
Electric Utilities	4.3
Diversified Financial Services	4.2
Insurance	3.6
Diversified Telecommunication Services	3.4
Machinery	3.3
Beverages	3.2
Aerospace & Defense	2.9
Health Care Equipment & Supplies	2.8
Health Care Providers & Services	2.8
Food Products	2.6
Software	2.6
Communications Equipment	2.5
Energy Equipment & Services	2.5
Semiconductors & Semiconductor Equipment	2.2
Other Investments, less than 2% each	21.4
Short-Term Investments	1.7
Total Investments	100.5
Other assets less liabilities	(0.5	)
Net Assets	100.0	%

ITEM 2. CONTROLS AND PROCEDURES.

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

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

ITEM 3. EXHIBITS

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

SIGNATURES

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

Loomis Sayles Funds II
By:	/s/ Robert J. Blanding
Name:     Robert J. Blanding Title:       Chief Executive Officer Date:       February 14, 2012

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

By:	/s/ Robert J. Blanding
Name:     Robert J. Blanding Title:       Chief Executive Officer Date:       February 14, 2012

By:	/s/ Michael C. Kardok
Name:     Michael C. Kardok Title:       Treasurer Date:       February 14, 2012

Exhibit (a)(1)

Loomis Sayles Funds II

Exhibit to SEC Form N-Q

Section 302 Certification

I, Robert J. Blanding, certify that:

1. I have reviewed this report on Form N-Q of Loomis Sayles Funds II;

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

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

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

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

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

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

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

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

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

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

Date: February 14, 2012
	/s/ Robert J. Blanding
	Robert J. Blanding
	Chief Executive Officer

Exhibit (a)(2)

Loomis Sayles Funds II

Exhibit to SEC Form N-Q

Section 302 Certification

I, Michael C. Kardok, certify that:

1. I have reviewed this report on Form N-Q of Loomis Sayles Funds II;

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

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

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

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

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

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

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

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

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

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

Date: February 14, 2012
	/s/ Michael C. Kardok
	Michael C. Kardok
	Treasurer