Loomis Sayles Funds II

N-Q 1 d461590dnq.htm LOOMIS SAYLES FUNDS II Loomis Sayles Funds II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06241

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, 2012

ITEM 1.

SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of December 31, 2012 (Unaudited)

Loomis Sayles Global Equity and Income Fund


Shares		Description	Value (†)
Common Stocks – 66.6% of Net Assets
		Belgium – 1.4%
	158,503	Anheuser-Busch InBev NV	$	13,803,164

		Brazil – 3.8%
	538,800	Cia Hering		11,049,677
	541,100	Mills Estruturas e Servicos de Engenharia S.A.		8,985,299
	383,100	Natura Cosmeticos S.A.		10,971,909
	699,900	Qualicorp, S.A.(b)		7,250,246

				38,257,131

		Canada – 0.8%
	208,808	Potash Corp. of Saskatchewan, Inc.		8,496,397

		Chile – 2.4%
	403,293	Banco Santander Chile, ADR		11,489,818
	1,277,956	S.A.C.I. Falabella		13,133,250

				24,623,068

		China – 1.3%
	1,166,500	China Mobile Ltd.		13,727,015

		France – 1.8%
	189,523	Sanofi		17,972,436

		Germany – 0.9%
	87,588	Siemens AG, (Registered)		9,577,800

		Hong Kong – 1.0%
	2,420,000	Hang Lung Properties Ltd.		9,739,085

		Japan – 1.4%
	78,300	FANUC Corp.		14,567,673

		Mexico – 1.3%
	6,212,800	Genomma Lab Internacional S.A. de CV, Class B(b)		12,765,599

		Netherlands – 2.9%
	1,198,049	DE Master Blenders 1753 NV(b)		13,764,032
	222,441	Royal Dutch Shell PLC, ADR		15,337,307

				29,101,339

		Russia – 0.9%
	261,794	Mail.ru Group Ltd., GDR, 144A(c)		9,018,803

		Sweden – 2.4%
	471,660	Atlas Copco AB, Class A		13,079,255
	712,303	Elekta AB, Class B		11,106,544

				24,185,799

		Switzerland – 1.7%
	86,677	Roche Holding AG		17,524,454


Shares		Description	Value (†)
	Common Stocks – continued
		Thailand – 0.2%
	131,800	Siam Cement PCL	$	2,018,486

		United Kingdom – 9.0%
	468,826	Antofagasta PLC		10,274,296
	2,269,500	Barclays PLC		9,858,660
	451,243	BG Group PLC		7,526,641
	242,678	British American Tobacco PLC		12,336,525
	306,131	Burberry Group PLC		6,153,683
	678,597	Diageo PLC		19,765,224
	570,770	Standard Chartered PLC		14,771,380
	4,093,445	Vodafone Group PLC		10,304,281

				90,990,690

		United States – 33.4%
	171,980	ACE Ltd.		13,724,004
	271,231	American Express Co.		15,590,358
	32,665	Apple, Inc.		17,411,425
	210,057	AT&T, Inc.		7,081,021
	790,370	Calpine Corp.(b)		14,329,408
	80,675	Caterpillar, Inc.		7,226,866
	218,826	CenturyLink, Inc.		8,560,473
	581,919	Citigroup, Inc.		23,020,716
	290,642	CVS Caremark Corp.		14,052,541
	1,622	Dynegy, Inc.(b)		31,029
	114,002	Genesee & Wyoming, Inc., Class A(b)		8,673,272
	26,049	Google, Inc., Class A(b)		18,478,379
	955	Hawaiian Telcom Holdco, Inc.(b)		18,623
	126,765	Jones Lang LaSalle, Inc.		10,640,654
	245,205	Lowe’s Cos., Inc.		8,709,682
	393,934	Microsoft Corp.		10,529,856
	196,390	National Fuel Gas Co.		9,955,009
	122,689	National Oilwell Varco, Inc.		8,385,793
	139,338	Noble Energy, Inc.		14,176,248
	598,788	Oracle Corp.		19,951,616
	273,078	PNC Financial Services Group, Inc.		15,923,178
	150,373	Praxair, Inc.		16,458,325
	51,353	Precision Castparts Corp.		9,727,285
	19,745	Priceline.com, Inc.(b)		12,265,594
	182,823	QUALCOMM, Inc.		11,338,682
	199,403	Schlumberger Ltd.		13,816,634
	359,617	Texas Instruments, Inc.		11,126,550
	136,716	UnitedHealth Group, Inc.		7,415,476
	119,354	Valspar Corp.		7,447,690
	26,818	Vertex Pharmaceuticals, Inc.(b)		1,124,747

				337,191,134

		Total Common Stocks (Identified Cost $619,574,009)		673,560,073


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – 28.3%
Non-Convertible Bonds – 27.5%
			Argentina – 0.2%
$	485,000		Argentina Boden Bonds, 7.000%, 10/03/2015	$	433,145
	1,176,049		Argentina Government International Bond, 8.280%, 12/31/2033		840,875
	170,000		Pan American Energy LLC, 7.875%, 5/07/2021, 144A		146,625
	500,000		Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		415,000

					1,835,645

			Australia – 0.2%
	1,200,000		Macquarie Bank Ltd., 5.000%, 2/22/2017, 144A		1,312,440
	500,000		Macquarie Bank Ltd., 6.625%, 4/07/2021, 144A		552,670
	235,000		New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		272,733
	155,000		Sydney Airport Finance Co., 5.125%, 2/22/2021, 144A		172,391

					2,310,234

			Belgium – 0.1%
	350,000		Anheuser-Busch InBev NV, EMTN, 6.500%, 6/23/2017, (GBP)		685,123

			Brazil – 1.2%
	600,000		Banco BTG Pactual S.A., 5.750%, 9/28/2022, 144A		615,000
	800,000		Banco do Brasil S.A., 3.875%, 10/10/2022		806,000
	400,000		Banco Santander Brasil S.A., 4.500%, 4/06/2015, 144A		414,000
	600,000		Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A		634,500
	1,841,784		Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		952,697
	800,000		Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		842,000
	666,421	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 8/15/2014, (BRL)		349,286
	533,137	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL)		284,877
	1,115	(†††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)		573,925
	600,000		BRF—Brazil Foods S.A., 5.875%, 6/06/2022, 144A		661,500
	400,000		CSN Resources S.A., 6.500%, 7/21/2020, 144A		434,000
	450,000		Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A		498,375
	300,000		Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A		331,500
	100,000		LPG International, Inc., 7.250%, 12/20/2015		111,800


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Brazil – continued
$	100,000	Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A	$	86,250
	190,000	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A		213,275
	420,000	Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A		485,625
	600,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A		540,000
	2,400,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		1,230,769
	320,000	Petrobras International Finance Co., 5.375%, 1/27/2021		360,262
	300,000	Petrobras International Finance Co., 6.875%, 1/20/2040		381,110
	800,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A		814,000
	129,000	Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A		134,160
	536,000	Vale Overseas Ltd., 6.875%, 11/21/2036		664,415

				12,419,326

		Canada – 1.0%
	1,570,000	Bank of Nova Scotia, 1.375%, 12/18/2017		1,572,175
	2,880,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(d)		3,039,910
	650,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		660,076
	2,695,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		3,105,062
	465,000	Pacific Rubiales Energy Corp., 7.250%, 12/12/2021, 144A		537,075
	100,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		112,845
	600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		686,299

				9,713,442

		Chile – 0.3%
	1,450,000	Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A		1,477,633
	250,000,000	Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)		522,193
	200,000	Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022		209,781
	250,000	E.CL S.A., 5.625%, 1/15/2021, 144A		280,850

				2,490,457

		China – 0.1%
	800,000	Baidu, Inc., 2.250%, 11/28/2017		804,960


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		China – continued
$	400,000	China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A	$	439,956

				1,244,916

		Colombia – 0.2%
	400,000	Banco Davivienda S.A., 5.875%, 7/09/2022, 144A		416,000
	555,000	Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A		564,019
	435,000,000	Emegas S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		288,424
	1,300,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		849,819
	200,000,000	Republic of Colombia, 7.750%, 4/14/2021, (COP)		141,653
	40,000	Republic of Colombia, 8.125%, 5/21/2024		60,200

				2,320,115

		Costa Rica – 0.1%
	600,000	Costa Rica Government International Bond, 4.250%, 1/26/2023, 144A		605,400
	370,000,000	Republic of Costa Rica, 10.580%, 9/23/2015, (CRC)		752,093

				1,357,493

		Curacao – 0.2%
	1,580,000	Teva Pharmaceutical Finance Co. BV, 2.950%, 12/18/2022		1,598,262

		Czech Republic – 0.0%
	400,000	CEZ AS, 4.250%, 4/03/2022, 144A		428,176

		France – 0.0%
	200,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		372,802

		Hong Kong – 0.2%
	600,000	Bank of East Asia Ltd., EMTN, (fixed rate to 5/04/2017, variable rate thereafter), 6.375%, 5/04/2022		676,733
	400,000	Hutchison Whampoa International 11 Ltd., 3.500%, 1/13/2017, 144A		424,446
	400,000	Noble Group Ltd., 6.750%, 1/29/2020, 144A		421,500

				1,522,679

		Hungary – 0.0%
	200,000	Hungary Government International Bond, 6.375%, 3/29/2021		220,800

		Iceland – 0.1%
	1,000,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		1,116,450


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		India – 0.2%
$	200,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021	$	198,727
	1,400,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		1,412,250
	700,000	State Bank of India/London, 4.125%, 8/01/2017, 144A		720,860

				2,331,837

		Indonesia – 0.1%
	200,000	Adaro Indonesia PT, 7.625%, 10/22/2019, 144A		222,000
	3,500,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		477,602
	781,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		110,501

				810,103

		Ireland – 0.0%
	100,000	WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP)		185,790

		Italy – 0.5%
	250,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		321,334
	500,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)		573,517
	2,645,000	Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)		3,667,020
	400,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)		555,541
	125,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		122,187
	10,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		10,075
	100,000	Telecom Italia SpA, EMTN, 5.375%, 1/29/2019, (EUR)		145,023

				5,394,697

		Korea – 1.0%
	8,000,000	Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		206,144
	400,000	Hana Bank, 4.000%, 11/03/2016, 144A		429,892
	600,000	Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A		633,606
	600,000	Hyundai Steel Co., 4.625%, 4/21/2016, 144A		643,357
	600,000	Industrial Bank of Korea, 2.375%, 7/17/2017, 144A		609,296
	400,000	Kia Motors Corp., 3.625%, 6/14/2016, 144A		419,296
	400,000	Korea Finance Corp., 4.625%, 11/16/2021		452,073
	400,000	Korea National Oil Corp., 3.125%, 4/03/2017, 144A		419,641


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Korea – continued
	3,384,140,000		Korea Treasury Bond, 2.750%, 9/10/2017, (KRW)	$	3,125,176
	2,700,000,000		Korea Treasury Bond, 5.000%, 9/10/2014, (KRW)		2,610,305
	250,000		Lotte Shopping Co. Ltd., 3.375%, 5/09/2017, 144A		259,327
	140,000		SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A		180,600
	200,000		Woori Bank, 5.875%, 4/13/2021, 144A		231,595

					10,220,308

			Luxembourg – 0.1%
	400,000		Altice Financing SA, 7.875%, 12/15/2019, 144A		423,000
	400,000		ArcelorMittal, 7.250%, 3/01/2041		371,000
	400,000		VTB Bank OJSC, 6.000%, 4/12/2017, 144A		431,212

					1,225,212

			Malaysia – 0.7%
	1,750,000		Malaysia Government Bond, 3.434%, 8/15/2014, (MYR)		575,818
	18,220,000		Malaysia Government Bond, 4.012%, 9/15/2017, (MYR)		6,157,085
	1,000,000		Malaysia Government Bond, 4.262%, 9/15/2016, (MYR)		339,868

					7,072,771

			Mexico – 1.5%
	7,000,000		America Movil SAB de CV, 3.500%, 2/08/2015, (CNY)		1,130,427
	10,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		794,081
	300,000		Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A		305,250
	600,000		BBVA Bancomer S.A., 6.750%, 9/30/2022, 144A		675,000
	700,000		Corporacion GEO SAB de CV, 9.250%, 6/30/2020, 144A		752,500
	600,000		Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A		651,000
	94,000	(††††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		785,895
	668,400	(††††)	Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN)		5,755,687
	74,000	(††††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		620,530
	282,000	(††††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		2,552,728
	65,000	(††††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		703,638


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Mexico – continued
	80,000	(††††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)	$	782,096

					15,508,832

			Netherlands – 0.1%
	200,000		Indosat Palapa Co. BV, 7.375%, 7/29/2020, 144A		226,000
	400,000		Listrindo Capital BV, 6.950%, 2/21/2019, 144A		446,172
	100,000		Myriad International Holding BV, 6.375%, 7/28/2017, 144A		112,750

					784,922

			New Zealand – 0.1%
	1,000,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		982,345

			Norway – 0.4%
	475,000		Eksportfinans ASA, 2.000%, 9/15/2015		454,654
	3,335,000		Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		668,427
	13,760,000		Norwegian Government Bond, 4.500%, 5/22/2019, (NOK)		2,886,722

					4,009,803

			Panama – 0.0%
	300,000		Banco Latinoamericano de Comercio Exterior, S.A., 3.750%, 4/04/2017, 144A		307,050

			Philippines – 0.2%
	40,000,000		Philippine Government International Bond, 3.900%, 11/26/2022, (PHP)		1,008,219
	30,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		876,712

					1,884,931

			Poland – 0.2%
	2,200,000		Poland Government Bond, 4.750%, 4/25/2017, (PLN)		754,923
	95,000		Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		108,175
	800,000		Poland Government International Bond, 3.000%, 3/17/2023		798,000

					1,661,098

			Russia – 0.0%
	200,000		Gazprom OAO Via Gaz Capital S.A., 4.950%, 5/23/2016, 144A		214,750

			Singapore – 0.8%
	2,000,000		DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A		2,092,238


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Singapore – continued
	3,355,000	Singapore Government Bond, 1.625%, 4/01/2013, (SGD)	$	2,755,376
	345,000	Singapore Government Bond, 2.250%, 7/01/2013, (SGD)		285,282
	605,000	Singapore Government Bond, 2.250%, 6/01/2021, (SGD)		538,015
	2,470,000	Singapore Government Bond, 2.500%, 6/01/2019, (SGD)		2,239,207
	150,000	STATS ChipPAC Ltd., 7.500%, 8/12/2015, 144A		159,750

				8,069,868

		South Africa – 0.2%
	650,000	AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022		658,764
	300,000	Edcon Proprietary Ltd., 3.433%, 6/15/2014, (EUR)(e)		380,146
	285,000	Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR)		410,321
	700,000	Transnet SOC Ltd., 4.000%, 7/26/2022, 144A		704,375

				2,153,606

		Spain – 0.4%
	2,370,000	Spain Government Bond, 4.200%, 1/31/2037, (EUR)		2,496,289
	550,000	Spain Government Bond, 4.250%, 10/31/2016, (EUR)		736,427
	645,000	Spain Government Bond, 4.300%, 10/31/2019, (EUR)		833,064

				4,065,780

		Supranationals – 0.3%
	840,000	Central American Bank for Economic Integration, 3.875%, 2/09/2017, 144A		892,619
	1,115,000	Corp Andina de Fomento, 4.375%, 6/15/2022		1,207,281
	305,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)		372,655
	400,000,000	International Bank for Reconstruction & Development, GMTN, 2.300%, 2/26/2013, (KRW)		373,220

				2,845,775

		Sweden – 0.3%
	1,000,000	PKO Finance AB, 4.630%, 9/26/2022, 144A		1,052,500
	9,195,000	Sweden Government Bond, 4.500%, 8/12/2015, (SEK)		1,546,576
	2,450,000	Sweden Government Bond, 5.000%, 12/01/2020, (SEK)		477,311

				3,076,387


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Thailand – 0.3%
	93,000,000	Thailand Government Bond, 3.250%, 6/16/2017, (THB)	$	3,058,846

		Turkey – 0.8%
	1,350,000	Akbank TAS, 3.875%, 10/24/2017, 144A		1,388,232
	600,000	Export Credit Bank of Turkey, 5.375%, 11/04/2016, 144A		653,400
	400,000	Finansbank AS, 5.150%, 11/01/2017, 144A		390,000
	1,200,000	Turkey Government Bond, Zero Coupon, 5/15/2013, (TRY)		657,503
	2,410,000	Turkey Government Bond, 9.000%, 3/08/2017, (TRY)		1,480,624
	1,200,000	Turkey Government International Bond, 5.125%, 3/25/2022		1,380,000
	600,000	Turkiye Garanti Bankasi A.S., 4.000%, 9/13/2017, 144A		618,750
	800,000	Turkiye Is Bankasi, 3.875%, 11/07/2017, 144A		814,800
	600,000	Yapi ve Kredi Bankasi Via Unicredit Luxembourg S.A., 5.188%, 10/13/2015, 144A		626,100

				8,009,409

		United Arab Emirates – 0.1%
	600,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A		663,000
	200,000	Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A		226,000

				889,000

		United Kingdom – 0.6%
	600,000	Anglo American Capital PLC, 2.625%, 9/27/2017, 144A		612,316
	410,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		392,853
	250,000	BAT International Finance PLC, 3.250%, 6/07/2022, 144A		260,585
	150,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		288,805
	60,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		113,161
	150,000	Imperial Tobacco Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP)		290,578
	400,000	Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP)		704,710
	250,000	Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR)		384,865
	705,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)		1,194,024
	250,000	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)		497,269


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United Kingdom – continued
	790,000	Virgin Media Finance PLC, 5.125%, 2/15/2022, (GBP)	$	1,302,565

				6,041,731

		United States – 14.4%
	425,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		323,000
	15,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		11,288
	975,000	Alcoa, Inc., 5.900%, 2/01/2027		1,003,561
	1,325,000	Ally Financial, Inc., 5.500%, 2/15/2017		1,417,436
	257,000	Ally Financial, Inc., 6.750%, 12/01/2014		277,560
	55,000	Ally Financial, Inc., 7.500%, 12/31/2013		58,094
	129,000	Ally Financial, Inc., 8.000%, 12/31/2018		150,930
	1,728,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,188,080
	720,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		937,800
	60,000	Arrow Electronics, Inc., 6.875%, 7/01/2013		61,688
	17,358	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		16,316
	925,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		956,172
	145,000	Avnet, Inc., 6.000%, 9/01/2015		158,173
	1,820,000	Ball Corp., 5.000%, 3/15/2022		1,947,400
	200,000	Bank of America Corp., 5.490%, 3/15/2019		222,164
	450,000	Bank of America Corp., (fixed rate to 5/06/2014, variable rate thereafter), 4.750%, 5/06/2019, (EUR)		577,605
	115,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		131,290
	15,000	Boston Scientific Corp., 5.125%, 1/12/2017		16,580
	5,000	Boston Scientific Corp., 5.450%, 6/15/2014		5,316
	15,000	Boston Scientific Corp., 6.400%, 6/15/2016		17,242
	1,415,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		1,433,167
	1,995,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,204,473
	510,000	CenturyLink, Inc., 7.650%, 3/15/2042		533,006
	55,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		56,830


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	605,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039	$	627,991
	20,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		21,450
	95,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		102,956
	2,300,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		2,530,000
	750,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		656,479
	1,470,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		1,481,025
	155,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		160,038
	1,005,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018, 144A		1,012,537
	568,224	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		591,635
	190,000	CSX Corp., 6.250%, 3/15/2018		231,617
	265,000	Cummins, Inc., 5.650%, 3/01/2098		275,402
	243,858	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		266,708
	234,054	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		242,527
	42,000	Dillard’s, Inc., 6.625%, 1/15/2018		45,465
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		50,375
	8,000	Dillard’s, Inc., 7.750%, 7/15/2026		8,420
	3,976,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A		3,797,080
	250,000	Exelon Corp., 4.900%, 6/15/2015		272,132
	150,000	Foot Locker, Inc., 8.500%, 1/15/2022		168,443
	25,000	Ford Motor Co., 6.375%, 2/01/2029		27,958
	50,000	Ford Motor Co., 6.625%, 2/15/2028		55,862
	2,105,000	Ford Motor Co., 6.625%, 10/01/2028		2,430,980
	40,000	Ford Motor Co., 7.125%, 11/15/2025		46,200
	835,000	Ford Motor Co., 7.400%, 11/01/2046		1,026,006
	5,000	Ford Motor Co., 7.500%, 8/01/2026		5,938
	1,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		1,103,436
	2,250,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		2,351,475


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	845,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015	$	942,207
	905,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		1,094,642
	28,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		28,840
	45,000	General Electric Capital Corp., 5.625%, 5/01/2018		53,439
	600,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%, 12/15/2049		678,174
	900,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		797,817
	750,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		812,190
	3,435,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		4,497,470
	105,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		143,071
	180,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		246,162
	315,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		472,308
	200,000	Gerdau Holdings, Inc., 7.000%, 1/20/2020, 144A		232,500
	2,295,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,600,985
	50,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		89,997
	3,045,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		3,265,762
	165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		166,238
	70,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.791%, 8/10/2045(e)		67,761
	425,000	Halcon Resources Corp., 8.875%, 5/15/2021, 144A		450,500
	410,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		459,673
	1,000,000	HCA Holdings, Inc., 6.250%, 2/15/2021		1,025,000
	20,000	HCA, Inc., 5.750%, 3/15/2014		20,900
	90,000	HCA, Inc., 6.375%, 1/15/2015		97,313
	225,000	HCA, Inc., 7.050%, 12/01/2027		216,563
	245,000	HCA, Inc., 7.190%, 11/15/2015		269,500
	90,000	HCA, Inc., 7.500%, 12/15/2023		92,025
	580,000	HCA, Inc., 7.500%, 11/06/2033		582,900
	1,500,000	HCA, Inc., 7.690%, 6/15/2025		1,533,750


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	395,000	HCA, Inc., 8.360%, 4/15/2024	$	425,612
	195,000	HCA, Inc., MTN, 7.580%, 9/15/2025		197,438
	75,000	HCA, Inc., MTN, 7.750%, 7/15/2036		76,313
	585,000	Hercules, Inc., 6.500%, 6/30/2029		526,500
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		530,065
	110,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		126,103
	80,000	International Lease Finance Corp., 5.875%, 4/01/2019		84,320
	1,620,000	International Lease Finance Corp., 6.250%, 5/15/2019		1,725,300
	1,670,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		1,711,750
	70,000	iStar Financial, Inc., 5.850%, 3/15/2017		68,600
	405,000	iStar Financial, Inc., 5.875%, 3/15/2016		405,000
	145,000	iStar Financial, Inc., 6.050%, 4/15/2015		145,725
	200,000	iStar Financial, Inc., 7.125%, 2/15/2018		203,750
	238,000	iStar Financial, Inc., 8.625%, 6/01/2013		244,248
	35,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		35,788
	950,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		970,187
	5,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		4,400
	64,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		48,000
	15,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		12,938
	10,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		8,350
	5,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,925
	370,000	Jefferies Group, Inc., 3.875%, 11/09/2015		382,025
	665,000	Jefferies Group, Inc., 5.125%, 4/13/2018		698,250
	1,070,000	Jefferies Group, Inc., 6.250%, 1/15/2036		1,107,450
	685,000	Jefferies Group, Inc., 6.450%, 6/08/2027		729,525
	1,410,000	Jefferies Group, Inc., 6.875%, 4/15/2021		1,579,200
	15,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		12,750


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	260,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016	$	253,500
	1,665,000	KB Home, 8.000%, 3/15/2020		1,889,775
	190,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		195,225
	15,000	Lennar Corp., Series B, 5.500%, 9/01/2014		15,825
	1,090,000	Lennar Corp., Series B, 5.600%, 5/31/2015		1,160,850
	55,000	Lennar Corp., Series B, 6.500%, 4/15/2016		60,913
	135,000	Level 3 Financing, Inc., 7.000%, 6/01/2020, 144A		141,075
	1,435,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		1,592,850
	30,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		33,525
	165,000	Masco Corp., 6.500%, 8/15/2032		170,673
	865,000	Masco Corp., 7.750%, 8/01/2029		962,050
	600,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		660,514
	2,700,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		2,947,185
	115,000	MGM Resorts International, 8.625%, 2/01/2019, 144A		128,225
	310,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(f)		244,900
	410,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(f)		381,300
	1,470,000	Morgan Stanley, 4.875%, 11/01/2022		1,522,029
	230,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		384,094
	2,500,000	Morgan Stanley, 5.750%, 1/25/2021		2,855,087
	500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		559,439
	600,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		704,167
	100,000	Morgan Stanley, Series F, MTN, 0.775%, 10/18/2016(e)		95,064
	1,382,000	New Albertson’s, Inc., 7.450%, 8/01/2029		773,920
	100,000	New Albertson’s, Inc., 7.750%, 6/15/2026		56,250
	3,450,000	New Albertson’s, Inc., 8.000%, 5/01/2031		1,940,625
	1,965,000	New Albertson’s, Inc., 8.700%, 5/01/2030		1,139,700
	155,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		82,538


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	15,000	News America, Inc., 6.400%, 12/15/2035	$	18,620
	155,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		162,750
	2,475,000	NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A		2,846,250
	115,000	Owens Corning, Inc., 6.500%, 12/01/2016		129,221
	535,000	Owens Corning, Inc., 7.000%, 12/01/2036		591,959
	40,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		46,100
	540,000	Pulte Group, Inc., 6.000%, 2/15/2035		502,200
	785,000	Pulte Group, Inc., 6.375%, 5/15/2033		783,037
	220,000	Pulte Group, Inc., 7.875%, 6/15/2032		239,250
	1,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,514,176
	650,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		662,492
	400,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		438,416
	60,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		62,843
	560,000	Qwest Corp., 6.875%, 9/15/2033		562,800
	115,000	Qwest Corp., 7.250%, 9/15/2025		133,253
	1,155,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		1,166,550
	200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		204,500
	500,000	Range Resources Corp., 5.000%, 8/15/2022		522,500
	750,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		838,858
	403,000	Residential Capital LLC, 9.625%, 5/15/2015(g)		423,654
	80,000	Reynolds American, Inc., 6.750%, 6/15/2017		96,609
	10,000	Reynolds American, Inc., 7.250%, 6/15/2037		13,113
	400,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019		428,000
	655,000	Rockies Express Pipeline LLC, 3.900%, 4/15/2015, 144A		651,725
	855,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		769,500
	760,000	Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		798,000


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			United States – continued
$	1,600	(†††††)	SLM Corp., 6.000%, 12/15/2043	$	38,155
	40,000		SLM Corp., MTN, 4.625%, 9/25/2017		40,950
	80,000		SLM Corp., MTN, 5.050%, 11/14/2014		83,973
	1,130,000		SLM Corp., MTN, 7.250%, 1/25/2022		1,245,825
	10,000		SLM Corp., Series A, MTN, 0.615%, 1/27/2014(e)		9,906
	228,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		233,415
	10,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		10,038
	115,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		114,999
	65,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		67,958
	2,560,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		2,374,400
	625,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		731,250
	400,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		362,000
	300,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		283,500
	330,000		Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		335,362
	595,000		Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		532,525
	294,000		Sprint Capital Corp., 6.875%, 11/15/2028		305,760
	420,000		Sprint Capital Corp., 6.900%, 5/01/2019		457,800
	110,000		Sprint Capital Corp., 8.750%, 3/15/2032		134,475
	26,000		Sprint Nextel Corp., 6.000%, 12/01/2016		28,275
	1,360,000		Tenet Healthcare Corp., 6.875%, 11/15/2031		1,224,000
	820,000		Textron, Inc., 5.950%, 9/21/2021		953,292
	1,431,000		Toys R Us, Inc., 7.375%, 10/15/2018		1,302,210
	2,425,000		U.S. Treasury Note, 0.125%, 12/31/2014		2,418,937
	2,420,000		U.S. Treasury Note, 0.250%, 10/31/2014		2,420,566
	6,595,000		U.S. Treasury Note, 0.250%, 2/15/2015(d)		6,591,907
	2,735,000		U.S. Treasury Note, 0.250%, 12/15/2015		2,726,880
	4,745,000		U.S. Treasury Note, 0.375%, 6/30/2013		4,750,931


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	2,420,000	U.S. Treasury Note, 0.375%, 11/15/2015	$	2,422,270
	1,100,000	U.S. Treasury Note, 0.750%, 3/31/2013		1,101,762
	3,230,000	U.S. Treasury Note, 1.625%, 11/15/2022		3,194,670
	311,524	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		358,627
	1,735,000	United States Steel Corp., 6.650%, 6/01/2037		1,509,450
	770,000	United States Steel Corp., 7.500%, 3/15/2022		810,425
	295,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		329,662
	140,000	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		152,600
	75,000	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		80,063
	530,000	US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026		539,275
	50,000	USG Corp., 6.300%, 11/15/2016		51,750
	230,000	USG Corp., 9.750%, 1/15/2018		260,475
	110,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		117,975
	110,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		128,957
	415,000	VPI Escrow Corp., 6.375%, 10/15/2020, 144A		445,087
	85,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		150,260
	100,000	Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP)		163,574
	60,000	Weyerhaeuser Co., 6.950%, 10/01/2027		69,525
	315,000	Weyerhaeuser Co., 7.375%, 3/15/2032		396,924
	125,000	Xerox Corp., 6.750%, 2/01/2017		145,387
	20,000	Xerox Corp., MTN, 7.200%, 4/01/2016		22,967
	250,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		346,447

				145,431,600

		Uruguay – 0.2%
	4,349,484	Uruguay Government International Bond, 3.700%, 6/26/2037, (UYU)		255,119
	5,522,153	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)		343,394
	19,168,742	Uruguay Government International Bond, 5.000%, 9/14/2018, (UYU)		1,148,187

				1,746,700


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Venezuela – 0.1%
$	800,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027	$	560,000

		Total Non-Convertible Bonds (Identified Cost $259,706,733)		278,179,071


Convertible Bonds – 0.7%
		United States – 0.7%
	350,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h)		261,844
	365,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		328,500
	175,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		167,344
	185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		208,241
	125,000	Ford Motor Co., 4.250%, 11/15/2016		198,125
	520,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(h)		518,375
	225,000	Hologic, Inc., (accretes to principal after 3/1/2018), 2.000%, 3/01/2042(h)		223,172
	1,125,000	Intel Corp., 3.250%, 8/01/2039		1,318,359
	215,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(f)		255,715
	2,200,000	Old Republic International Corp., 3.750%, 3/15/2018		2,289,375
	375,000	Omnicare, Inc., 3.750%, 12/15/2025		552,656
	610,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		603,519
	90,000	Trinity Industries, Inc., 3.875%, 6/01/2036		100,631

		Total Convertible Bonds (Identified Cost $6,336,916)		7,025,856


Municipals – 0.1%
		United States – 0.1%
	415,000	State of Illinois, 5.100%, 6/01/2033		410,502
	135,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(f)		96,062

		Total Municipals (Identified Cost $451,013)		506,564

		Total Bonds and Notes (Identified Cost $266,494,662)		285,711,491

Senior Loans – 0.1%
		United States – 0.1%
	1,270,000	Flying Fortress, Inc., 1st Lien Term Loan, 5.000%, 6/30/2017(e)		1,279,525
	45,860	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(e)		32,809


		Description	Value (†)
		Total Senior Loans (Identified Cost $1,304,749)		1,312,334


Shares
Preferred Stocks – 0.4%
Convertible Preferred Stocks – 0.3%
		United States – 0.3%
	71,820	General Motors Co., Series B, 4.750%	$	3,169,417
	820	Lucent Technologies Capital Trust I, 7.750%		680,329

		Total Convertible Preferred Stocks (Identified Cost $3,969,958)		3,849,746


Non-Convertible Preferred Stock – 0.1%
		United States – 0.1%
	682	Ally Financial, Inc., Series G, 7.000% 144A (Identified Cost $145,366)		669,831

		Total Preferred Stocks (Identified Cost $4,115,324)		4,519,577

Principal Amount
Short-Term Investments – 3.8%
$	16,582	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2012 at 0.010% to be repurchased at $16,650 on 1/02/2013 collateralized by $20,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $20,032 including accrued interest(i)		16,582
	37,933,837	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $37,933,858 on 1/02/2013 collateralized by $38,610,000 Federal National Mortgage Association, 0.625% due 2/22/2016 valued at $38,696,470 including accrued interest(i)		37,933,837

		Total Short-Term Investments (Identified Cost $37,950,419)		37,950,419

		Total Investments – 99.2% (Identified Cost $929,439,163)(a)		1,003,053,894

		Other assets less liabilities – 0.8%		7,764,755

		Net Assets – 100.0%	$	1,010,818,649

(‡)	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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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.

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

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 closing 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, 2012, approximately 23% 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, 2012, the net unrealized appreciation on investments based on a cost of $929,872,224 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	$	86,906,724
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,725,054	)

Net unrealized appreciation	$	73,181,670

At September 30, 2012, the Fund had a short-term capital loss carryforward of $25,714,481 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.

(b)	Non-income producing security.

(c)	Fair valued security by the Fund’s investment adviser. At December 31, 2012, the value of this security amounted to $9,018,803 or 0.9% of net assets.

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

(e)	Variable rate security. Rate as of December 31, 2012 is disclosed.

(f)	Illiquid security. At December 31, 2012, the value of these securities amounted to $977,977 or 0.1% of net assets.

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

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

(i)

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, 2012, the value of Rule 144A holdings amounted to $69,593,611 or 6.9% of net assets.
ADR/GDR		An American Depositary Receipt or Global 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 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
CNY		Chinese Yuan Renminbi
COP		Colombian Peso
CRC		Costa Rican Colon
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
PLN		Polish Zloty
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thai Baht
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. Contracts to buy generally are used to acquire exposure to foreign currencies, while contracts to sell generally are used to hedge the Fund’s investments against currency fluctuation. Also, a contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies 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 or counterparty’s net obligations under the contracts. At December 31, 2012, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹		3/20/2013	Australian Dollar		700,000	$	722,862	$	2,605
Buy¹		2/06/2013	Brazilian Real		1,980,000		962,736		(653	)
Buy¹		3/21/2013	Brazilian Real		1,280,000		619,036		13,577
Buy²		3/21/2013	Malaysian Ringgit		1,250,000		406,578		(151	)
Sell³		1/31/2013	New Zealand Dollar		3,165,000		2,610,978		(40,555	)
Buy¹		3/11/2013	South Korean Won		1,488,000,000		1,384,351		18,838
Buy³		3/11/2013	South Korean Won		780,000,000		725,668		9,809

Total								$	3,470

At December 31, 2012, the Fund had the following open forward cross currency contracts:


Settlement Date	Deliver/Units of Currency			Receive⁴/Units of Currency			Unrealized Appreciation (Depreciation)
3/12/2013		Norwegian Krone	5,600,000		Euro	758,345	$	(3,504	)

¹	Counterparty is Credit Suisse International.

²	Counterparty is JP Morgan Chase Bank, N.A.

³	Counterparty is Barclays Bank PLC.

⁴	Counterparty 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.); and

•

Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*
Belgium	$	—	$	13,803,164	$	—	$	13,803,164
China		—		13,727,015		—		13,727,015
France		—		17,972,436		—		17,972,436
Germany		—		9,577,800		—		9,577,800
Hong Kong		—		9,739,085		—		9,739,085
Japan		—		14,567,673		—		14,567,673
Netherlands		15,337,307		13,764,032		—		29,101,339
Russia		—		9,018,803		—		9,018,803
Sweden		11,106,544		13,079,255		—		24,185,799
Switzerland		—		17,524,454		—		17,524,454
Thailand		—		2,018,486		—		2,018,486
United Kingdom		—		90,990,690		—		90,990,690
All Other Common Stocks*		421,333,329		—		—		421,333,329

Total Common Stocks		447,777,180		225,782,893		—		673,560,073

Bonds and Notes
Non-Convertible Bonds
Costa Rica		—		605,400		752,093		1,357,493
Korea		—		7,610,003		2,610,305		10,220,308
United States		38,155		145,393,445		—		145,431,600
All Other Non-Convertible Bonds*		—		121,169,670		—		121,169,670

Total Non-Convertible Bonds		38,155		274,778,518		3,362,398		278,179,071

Convertible Bonds*		—		7,025,856		—		7,025,856
Municipals*		—		506,564		—		506,564

Total Bonds and Notes		38,155		282,310,938		3,362,398		285,711,491

Senior Loans*		—		1,312,334		—		1,312,334
Preferred Stocks
Convertible Preferred Stocks*		3,849,746		—		—		3,849,746
Non-Convertible Preferred Stock*		—		669,831		—		669,831

Total Preferred Stocks		3,849,746		669,831		—		4,519,577

Short-Term Investments		—		37,950,419		—		37,950,419

Total Investments		451,665,081		548,026,415		3,362,398		1,003,053,894

Forward Foreign Currency Contracts (unrealized appreciation)		—		44,829		—		44,829

Total	$	451,665,081	$	548,071,244	$	3,362,398	$	1,003,098,723

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(44,863	)	$	—	$	(44,863	)

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

A common stock valued at $11,744,289 was transferred from Level 2 to Level 1 during the period ended December 31, 2012. At September 30, 2012, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security; at December 31, 2012, this security was valued at market price in accordance with the Fund’s valuation policies.

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, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2012		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, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2012
Bonds and Notes
Non-Convertible Bonds
Costa Rica	$	—	$	—		$	—	$	(9,885	)	$	761,978	$	—	$	—	$	—		$	752,093	$	(9,885	)
Korea		2,528,229		(8,375	)		—		90,451			—		—		—		—			2,610,305		90,451
United States		638,272		—			—		—			—		—		—		(638,272	)		—		—

Total	$	3,166,501	$	(8,375	)		$—	$	80,566		$	761,978	$	—	$	—	$	(638,272	)	$	3,362,398	$	80,566

A debt security valued at $638,272 was transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies but was misclassified as Level 3; at December 31, 2012, this security was valued using the same method and was appropriately classified as Level 2.

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, 2012, 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, 2012, 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 PLC	$	(30,746	)	$	—
Deutsche Bank AG		(3,504	)		—
JP Morgan Chase Bank, N.A.		(151	)		—

Derivatives 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 with respect to forward foreign currency contracts by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $44,829 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $34,367.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral.

Collateral for forward foreign currency contracts is posted based on the requirements established under International Swaps and Derivatives Association (“ISDA”) agreements negotiated between the fund and the derivative counterparties. This risk of loss to a fund counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Fund’s claim against any collateral received may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of December 31, 2012:


Asset Derivatives	Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	44,829

Liability Derivatives	Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	(44,863	)

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, 2012 (Unaudited)


Treasuries	8.8	%
Commercial Banks	5.1
Pharmaceuticals	5.0
Oil, Gas & Consumable Fuels	3.7
Banking	3.6
Machinery	3.5
Chemicals	3.4
Beverages	3.3
Software	3.0
Internet Software & Services	2.7
Wireless Telecommunication Services	2.4
Diversified Financial Services	2.3
Energy Equipment & Services	2.2
Real Estate Management & Development	2.0
Other Investments, less than 2% each	44.4
Short-Term Investments	3.8

Total Investments	99.2
Other assets less liabilities (including open forward foreign currency contracts)	0.8

Net Assets	100.0	%


Currency Exposure Summary at December 31, 2012 (Unaudited)
United States Dollar	62.0	%
British Pound	9.5
Euro	6.5
Brazilian Real	4.1
Swedish Krona	2.6
Mexican Peso	2.4
Hong Kong Dollar	2.3
Other, less than 2% each	9.8

Total Investments	99.2
Other assets less liabilities (including open forward foreign currency contracts)	0.8

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2012 (Unaudited)

Loomis Sayles Growth Fund


Shares		Description	Value (†)
Common Stocks – 99.0% of Net Assets
		Air Freight & Logistics – 6.2%
	107,163	Expeditors International of Washington, Inc.	$	4,238,297
	70,866	United Parcel Service, Inc., Class B		5,224,950

				9,463,247

		Beverages – 4.7%
	98,223	Coca-Cola Co. (The)		3,560,584
	5,504	Diageo PLC, Sponsored ADR		641,656
	62,833	SABMiller PLC, Sponsored ADR		2,939,956

				7,142,196

		Biotechnology – 2.4%
	41,803	Amgen, Inc.		3,608,435

		Capital Markets – 9.6%
	17,580	Franklin Resources, Inc.		2,209,806
	59,586	Greenhill & Co., Inc.		3,097,876
	86,135	Legg Mason, Inc.		2,215,392
	303,570	SEI Investments Co.		7,085,324

				14,608,398

		Communications Equipment – 9.9%
	406,171	Cisco Systems, Inc.		7,981,260
	115,748	QUALCOMM, Inc.		7,178,691

				15,159,951

		Consumer Finance – 3.4%
	90,775	American Express Co.		5,217,747

		Energy Equipment & Services – 3.2%
	71,366	Schlumberger Ltd.		4,944,950

		Food Products – 3.9%
	447,394	Danone S.A., Sponsored ADR		5,990,606

		Health Care Equipment & Supplies – 5.8%
	39,699	Varian Medical Systems, Inc.(b)		2,788,458
	91,436	Zimmer Holdings, Inc.		6,095,124

				8,883,582

		Household Products – 3.8%
	28,643	Clorox Co. (The)		2,097,240
	54,801	Procter & Gamble Co. (The)		3,720,440

				5,817,680

		Internet & Catalog Retail – 6.9%
	35,271	Amazon.com, Inc.(b)		8,857,959
	44,350	Blue Nile, Inc.(b)		1,707,475

				10,565,434

		Internet Software & Services – 8.2%
	122,474	Facebook, Inc., Class A(b)		3,261,482


Shares		Description	Value (†)
Common Stocks – continued
		Internet Software & Services – continued
	12,986	Google, Inc., Class A(b)	$	9,211,879

				12,473,361

		IT Services – 6.5%
	38,985	Automatic Data Processing, Inc.		2,222,535
	50,544	Visa, Inc., Class A		7,661,459

				9,883,994

		Pharmaceuticals – 5.0%
	62,853	Merck & Co., Inc.		2,573,202
	80,232	Novartis AG, ADR		5,078,685

				7,651,887

		Semiconductors & Semiconductor Equipment – 3.9%
	15,619	Altera Corp.		537,918
	18,693	Analog Devices, Inc.		786,228
	120,417	ARM Holdings PLC, Sponsored ADR		4,555,375

				5,879,521

		Software – 11.9%
	108,820	Autodesk, Inc.(b)		3,846,787
	36,540	FactSet Research Systems, Inc.		3,217,713
	125,195	Microsoft Corp.		3,346,462
	231,837	Oracle Corp.		7,724,809

				18,135,771

		Specialty Retail – 3.7%
	158,399	Lowe’s Cos., Inc.		5,626,333

		Total Common Stocks (Identified Cost $122,361,785)		151,053,093


Principal Amount
Short-Term Investments – 1.0%
$	1,482,218	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $1,482,219 on 1/2/2013 collateralized by $1,510,000 U.S. Treasury Note, 0.625% due 5/31/2017 valued at $1,511,888 including accrued interest(c) (Identified Cost $1,482,218)		1,482,218

		Total Investments – 100.0% (Identified Cost $123,844,003)(a)		152,535,311
		Other assets less liabilities – 0.0%		60,334

		Net Assets – 100.0%	$	152,595,645

(†)

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 an independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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.

(a)	Federal Tax Information:

At December 31, 2012, the net unrealized appreciation on investments based on a cost of $123,844,003 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	30,032,652
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,341,344	)

Net unrealized appreciation	$	28,691,308

At September 30, 2012, the Fund had a short-term capital loss carryforward of $87,460,109 of which $52,780,165 expires on September 30, 2017 and $34,679,944 expires on September 30, 2018. At September 30, 2012, late year ordinary and post-October capital loss deferrals were $63,747. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	151,053,093	$	—	$	—	$	151,053,093
Short-Term Investments		—		1,482,218		—		1,482,218

Total	$	151,053,093	$	1,482,218	$	—	$	152,535,311

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

For the period ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.

Industry Summary at December 31, 2012 (Unaudited)


Software	11.9	%
Communications Equipment	9.9
Capital Markets	9.6
Internet Software & Services	8.2
Internet & Catalog Retail	6.9
IT Services	6.5
Air Freight & Logistics	6.2
Health Care Equipment & Supplies	5.8
Pharmaceuticals	5.0
Beverages	4.7
Food Products	3.9
Semiconductors & Semiconductor Equipment	3.9
Household Products	3.8
Specialty Retail	3.7
Consumer Finance	3.4
Energy Equipment & Services	3.2
Biotechnology	2.4
Short-Term Investments	1.0

Total Investments	100.0
Other assets less liabilities	0.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2012 (Unaudited)

Loomis Sayles High Income Fund


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 88.7% of Net Assets
Non-Convertible Bonds – 78.9%
		ABS Home Equity – 3.8%
$	200,000	Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1, 0.660%, 1/25/2036(b)	$	164,363
	375,080	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.658%, 7/25/2037, 144A(b)		225,935
	70,654	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 3.002%, 2/25/2035(b)		68,391
	219,206	Banc of America Mortgage Securities, Inc., Series 2006-B, Class 4A1, 6.131%, 11/20/2046(b)		194,891
	117,217	Citimortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		89,735
	355,726	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		241,474
	947,243	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.733%, 4/25/2035(b)		526,920
	217,114	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.480%, 4/25/2035(b)		151,831
	544,121	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035		546,399
	534,115	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 2.615%, 11/20/2035(b)		470,062
	491,185	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.415%, 6/19/2035(b)		483,818
	415,914	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.580%, 7/19/2035(b)		380,469
	516,060	GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.280%, 12/25/2046(b)		256,697
	91,772	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.123%, 12/25/2034(b)		80,208
	589,871	GSR Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 3.050%, 5/25/2035(b)		536,759
	246,048	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036		212,027
	132,296	JP Morgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 5.096%, 3/25/2036(b)		104,348
	521,872	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.710%, 1/25/2036(b)		345,910
	204,597	Lehman Mortgage Trust, Series 2006-1, Class 3A5, 5.500%, 2/25/2036		201,701
	507,758	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.330%, 7/25/2037(b)(c)		252,333
	370,058	MASTR Asset Securitization Trust, Series 2007-1, Class 1A4, 6.500%, 11/25/2037		329,877
	595,924	Merrill Lynch Alternative Note Asset, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		397,266
	135,983	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.988%, 5/25/2036(b)		113,802


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	575,000	Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.710%, 7/25/2035(b)	$	518,739
	538,821	Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036		397,918
	479,072	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		481,542
	133,256	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.920%, 4/25/2047(b)		119,417
	453,873	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.120%, 8/25/2046(b)		245,356
	557,597	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OC1, Class A1, 0.450%, 1/25/2047(b)		299,471

				8,437,659

		ABS Other – 0.3%
	350,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A		353,312
	363,602	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		374,944

				728,256

		Aerospace & Defense – 1.6%
	800,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		690,139
	900,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		836,011
	2,090,000	TransDigm, Inc., 5.500%, 10/15/2020, 144A		2,173,600

				3,699,750

		Airlines – 1.3%
	2,005,000	Air Canada, 9.250%, 8/01/2015, 144A		2,095,225
	30,000	Air Canada, 12.000%, 2/01/2016, 144A		30,975
	345,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018, 144A		347,587
	19,836	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		20,134
	198,446	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		210,849
	169,923	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		183,041

				2,887,811


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Automotive – 1.0%
$	2,190,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022	$	2,348,775

		Banking – 3.3%
	800,000,000	Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)		1,671,018
	820,000	HBOS PLC, 6.000%, 11/01/2033, 144A		741,009
	1,400,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		1,506,750
	900,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		1,006,991
	1,000,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		1,006,453
	65,000	Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR)		63,361
	740,000	Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)		746,247
	200,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		297,948
	250,000	Societe Generale, S.A., (fixed rate to 9/04/2019, variable rate thereafter), 9.375%, 9/29/2049, (EUR)		368,692

				7,408,469

		Building Materials – 2.9%
	50,000	Masco Corp., 6.500%, 8/15/2032		51,719
	360,000	Masco Corp., 7.125%, 3/15/2020		418,835
	345,000	Masco Corp., 7.750%, 8/01/2029		383,708
	845,000	Masonite International Corp., 8.250%, 4/15/2021, 144A		904,150
	1,300,000	Ply Gem Industries, Inc., 8.250%, 2/15/2018		1,404,000
	2,955,000	USG Corp., 6.300%, 11/15/2016(d)		3,058,425
	100,000	USG Corp., 8.375%, 10/15/2018, 144A		111,000
	75,000	USG Corp., 9.750%, 1/15/2018		84,937

				6,416,774

		Chemicals – 2.5%
	1,510,000	Hercules, Inc., 6.500%, 6/30/2029		1,359,000
	850,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		873,375
	420,000	JM Huber Corp., 9.875%, 11/01/2019, 144A		466,200
	819,919	Reichhold Industries, Inc., 9.000%, 5/08/2017, 144A(e)(f)		594,441
	635,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		639,763


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Chemicals – continued
$	1,600,000	Tronox Finance LLC, 6.375%, 8/15/2020, 144A	$	1,616,000

				5,548,779

		Collateralized Mortgage Obligations – 0.6%
	342,605	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.027%, 9/25/2045(b)		325,347
	356,008	American Home Mortgage Investment Trust, Series 2006-1, Class 11A1, 0.350%, 3/25/2046(b)		273,862
	343,647	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 2.930%, 3/25/2035(b)		261,791
	619,230	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.370%, 1/25/2047(b)		408,210

				1,269,210

		Commercial Mortgage-Backed Securities – 1.0%
	1,690,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.789%, 8/10/2045(b)		1,635,952
	125,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class AM, 5.464%, 1/15/2049		134,818
	525,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.575%, 4/12/2049(b)		555,054

				2,325,824

		Construction Machinery – 0.9%
	450,000	United Rentals North America, Inc., 6.125%, 6/15/2023		474,750
	205,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		229,088
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A		189,000
	1,100,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A		1,042,250

				1,935,088

		Consumer Cyclical Services – 0.6%
	615,000	ServiceMaster Co. (The), 7.000%, 8/15/2020, 144A		616,538
	1,035,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		838,350

				1,454,888

		Consumer Products – 0.8%
	2,040,000	Visant Corp., 10.000%, 10/01/2017		1,830,900

		Electric – 1.5%
	17,408	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		18,975
	1,395,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,382,145
	200,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		209,698


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Electric – continued
$	773,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A	$	738,215
	455,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.750%, 3/01/2022, 144A		505,050
	515,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		402,987

				3,257,070

		Environmental – 0.1%
	255,000	ADS Waste Holdings, Inc., 8.250%, 10/01/2020, 144A		267,750

		Food & Beverage – 0.6%
	1,020,000	Del Monte Corp., 7.625%, 2/15/2019		1,063,350
	400,000	Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A		345,000

				1,408,350

		Gaming – 1.6%
	740,000	MGM Resorts International, 6.750%, 10/01/2020, 144A		755,725
	1,360,000	MGM Resorts International, 7.500%, 6/01/2016		1,458,600
	1,250,000	MGM Resorts International, 7.625%, 1/15/2017		1,337,500

				3,551,825

		Healthcare – 2.2%
	555,000	DJO Finance LLC/DJO Finance Corp., 9.875%, 4/15/2018, 144A		573,037
	570,000	HCA, Inc., 5.875%, 5/01/2023		589,950
	165,000	HCA, Inc., 7.050%, 12/01/2027		158,813
	640,000	HCA, Inc., 7.500%, 12/15/2023		654,400
	470,000	HCA, Inc., 7.690%, 6/15/2025		480,575
	480,000	HCA, Inc., 8.360%, 4/15/2024		517,200
	800,000	HCA, Inc., MTN, 7.580%, 9/15/2025		810,000
	515,000	HCA, Inc., MTN, 7.750%, 7/15/2036		524,012
	635,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		571,500

				4,879,487

		Home Construction – 6.1%
	845,000	Beazer Homes USA, Inc., 9.125%, 6/15/2018		880,912
	1,132,000	Beazer Homes USA, Inc., 9.125%, 5/15/2019		1,184,355


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Home Construction – continued
$	600,000	Corp GEO SAB de CV, 8.875%, 3/27/2022, 144A	$	639,000
	975,000	Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A		1,057,875
	750,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		637,500
	500,000	K. Hovnanian Enterprises, Inc., 9.125%, 11/15/2020, 144A		530,000
	2,580,000	KB Home, 7.250%, 6/15/2018		2,805,750
	1,850,000	Lennar Corp., 6.950%, 6/01/2018		2,067,375
	3,135,000	Pulte Group, Inc., 6.000%, 2/15/2035		2,915,550
	495,000	Pulte Group, Inc., 6.375%, 5/15/2033		493,763
	380,000	Pulte Group, Inc., 7.875%, 6/15/2032		413,250
	70,000	Standard Pacific Corp., 8.375%, 1/15/2021		81,200

				13,706,530

		Independent Energy – 3.6%
	30,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		32,175
	405,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		438,919
	1,365,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		928,200
	115,000	Halcon Resources Corp., 8.875%, 5/15/2021, 144A		121,900
	685,000	Halcon Resources Corp., 9.750%, 7/15/2020, 144A		739,800
	3,200,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A		2,672,000
	200,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A		180,000
	1,100,000	Plains Exploration & Production Co., 6.500%, 11/15/2020		1,218,250
	810,000	SandRidge Energy, Inc., 7.500%, 3/15/2021		866,700
	200,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		214,000
	675,000	SandRidge Energy, Inc., 8.125%, 10/15/2022		739,125

				8,151,069

		Life Insurance – 0.5%
	860,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		1,120,150

		Lodging – 0.1%
	180,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		203,400


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Media Cable – 0.1%
	200,000	Numericable Finance & Co. SCA, 8.750%, 2/15/2019, 144A, (EUR)	$	281,150

		Media Non-Cable – 3.1%
	1,565,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		1,459,362
	290,000	Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/2022, 144A		297,975
	785,000	Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/2022, 144A		814,438
	1,080,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		1,088,100
	2,905,000	Intelsat Luxembourg S.A., 11.250%, 2/04/2017		3,072,037
	165,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		159,225

				6,891,137

		Metals & Mining – 3.5%
	2,395,000	ArcelorMittal, 7.250%, 3/01/2041		2,221,362
	2,100,000	Arch Coal, Inc., 7.250%, 6/15/2021		1,937,250
	140,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		126,700
	780,000	Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		534,300
	330,000	FMG Resources August 2006 Pty Ltd., 6.875%, 4/01/2022, 144A		337,425
	660,000	Inmet Mining Corp., 7.500%, 6/01/2021, 144A		684,750
	2,375,000	United States Steel Corp., 6.650%, 6/01/2037		2,066,250

				7,908,037

		Mortgage Related – 0.3%
	676,328	FHLMC, 3.500%, 8/01/2042		721,242

		Non-Captive Consumer – 2.3%
	1,605,000	Residential Capital LLC, 9.625%, 5/15/2015(g)		1,687,256
	1,920,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		1,737,600
	2,000,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		1,790,000

				5,214,856

		Non-Captive Diversified – 2.2%
	1,825,000	Air Lease Corp., 4.500%, 1/15/2016, 144A		1,843,250
	240,000	Aircastle Ltd., 7.625%, 4/15/2020		268,200
	1,045,000	International Lease Finance Corp., 8.625%, 1/15/2022		1,290,575


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	100,000	iStar Financial, Inc., 5.850%, 3/15/2017	$	98,000
	135,000	iStar Financial, Inc., 5.875%, 3/15/2016		135,000
	615,000	iStar Financial, Inc., 7.125%, 2/15/2018		626,531
	15,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		15,319
	585,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		601,088

				4,877,963

		Oil Field Services – 1.2%
	385,000	Basic Energy Services, Inc., 7.750%, 10/15/2022, 144A		375,375
	1,745,000	Edgen Murray Corp., 8.750%, 11/01/2020, 144A		1,762,450
	515,000	Global Geophysical Services, Inc., 10.500%, 5/01/2017		458,350

				2,596,175

		Packaging – 1.8%
	3,000,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		3,045,000
	275,000	Sealed Air Corp., 6.500%, 12/01/2020, 144A		297,000
	755,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		724,800

				4,066,800

		Pharmaceuticals – 1.3%
	450,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		482,625
	140,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		150,150
	530,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		579,025
	1,690,000	VPI Escrow Corp., 6.375%, 10/15/2020, 144A		1,812,525

				3,024,325

		Pipelines – 1.0%
	615,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		645,750
	655,000	NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A		753,250
	215,000	Rockies Express Pipeline LLC, 3.900%, 4/15/2015, 144A		213,925
	700,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		630,000

				2,242,925


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Retailers – 1.9%
$	40,000	Dillard’s, Inc., 7.000%, 12/01/2028	$	40,300
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		457,837
	205,000	Dillard’s, Inc., 7.750%, 5/15/2027		213,713
	35,000	Dillard’s, Inc., 7.875%, 1/01/2023		38,325
	3,015,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		2,261,250
	1,440,000	Toys R Us, Inc., 7.375%, 10/15/2018		1,310,400

				4,321,825

		Sovereigns – 1.5%
	1,050,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		624,359
	2,250,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,447,802
	19,265,585	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)		1,198,028

				3,270,189

		Supermarkets – 0.5%
	315,000	American Stores Co., 8.000%, 6/01/2026		273,263
	955,000	New Albertson’s, Inc., 7.750%, 6/15/2026		537,187
	735,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		391,388

				1,201,838

		Supranational – 0.5%
	2,000,000	European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL)		1,015,971

		Technology – 2.6%
	1,485,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,128,600
	1,930,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,452,325
	475,000	Amkor Technology, Inc., 6.375%, 10/01/2022, 144A		467,875
	85,000	Amkor Technology, Inc., 6.625%, 6/01/2021		84,787
	1,460,000	First Data Corp., 8.250%, 1/15/2021, 144A		1,460,000
	960,000	Freescale Semiconductor, Inc., 8.050%, 2/01/2020		955,200
	340,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A		347,650

				5,896,437


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Textile – 2.0%
$	1,925,000		Hanesbrands, Inc., 6.375%, 12/15/2020(d)	$	2,117,500
	2,605,000		Jones Group, Inc. (The), 6.125%, 11/15/2034		2,240,300
	175,000		Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		182,000

					4,539,800

			Transportation Services – 0.1%
	275,000		APL Ltd., 8.000%, 1/15/2024(f)		254,375

			Treasuries – 8.6%
	150,000		Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		205,897
	375,000		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		494,968
	930,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		1,247,682
	65,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		85,721
	60,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		81,747
	55,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		78,971
	246,500	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		2,306,733
	229,000	(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		2,238,750
	20,000,000		Philippine Government International Bond, 3.900%, 11/26/2022, (PHP)		504,110
	10,000,000		Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		268,798
	120,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)(d)		3,506,849
	850,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		912,961
	1,525,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		1,703,236
	2,920,000		Spain Government Bond, 4.650%, 7/30/2025, (EUR)		3,521,746
	2,255,000		U.S. Treasury Note, 0.250%, 10/15/2015		2,249,890

					19,408,059

			Wireless – 3.3%
	6,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		476,449
	900,000		Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A		418,500
	955,000		Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/2015, 144A		1,026,625
	795,000		SBA Communications Corp., 5.625%, 10/01/2019, 144A		834,750


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wireless – continued
$	4,236,000	Sprint Capital Corp., 6.875%, 11/15/2028(d)	$	4,405,440
	5,000	Sprint Capital Corp., 6.900%, 5/01/2019		5,450
	285,000	Sprint Capital Corp., 8.750%, 3/15/2032		348,412

				7,515,626

		Wirelines – 4.2%
	665,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		352,450
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		126,100
	1,105,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		1,140,912
	735,000	Frontier Communications Corp., 9.000%, 8/15/2031		808,500
	605,000	Level 3 Communications, Inc., 8.875%, 6/01/2019, 144A		644,325
	1,090,000	Level 3 Financing, Inc., 7.000%, 6/01/2020, 144A		1,139,050
	940,000	Level 3 Financing, Inc., 8.125%, 7/01/2019		1,024,600
	350,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		417,651
	250,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		331,162
	300,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		418,279
	25,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		24,438
	15,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		15,113
	1,575,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		1,655,719
	75,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		79,969
	1,125,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		1,215,000

				9,393,268

		Total Non-Convertible Bonds (Identified Cost $165,434,104)		177,479,812

Convertible Bonds – 9.8%
		Automotive – 1.6%
	1,235,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h)		923,934
	1,760,000	Ford Motor Co., 4.250%, 11/15/2016		2,789,600

				3,713,534

		Brokerage – 0.8%
	1,714,000	Jefferies Group, Inc., 3.875%, 11/01/2029		1,697,931


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Construction Machinery – 0.3%
$	555,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018	$	751,331

		Diversified Manufacturing – 0.7%
	1,325,000	Trinity Industries, Inc., 3.875%, 6/01/2036		1,481,516

		Home Construction – 0.5%
	70,000	Lennar Corp., 2.000%, 12/01/2020, 144A		101,544
	925,000	Standard Pacific Corp., 1.250%, 8/01/2032		1,084,562

				1,186,106

		Independent Energy – 0.4%
	800,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		720,000
	120,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		114,750

				834,750

		Metals & Mining – 0.5%
	1,060,000	Peabody Energy Corp., 4.750%, 12/15/2066		1,020,912
	165,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		179,541

				1,200,453

		Non-Captive Diversified – 0.1%
	310,000	iStar Financial, Inc., 3.000%, 11/15/2016		315,813

		Pharmaceuticals – 1.0%
	315,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		531,169
	100,000	Mylan, Inc., 3.750%, 9/15/2015		212,562
	1,335,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		1,501,041

				2,244,772

		Technology – 3.6%
	3,780,000	Ciena Corp., 0.875%, 6/15/2017(d)		3,257,887
	145,000	Ciena Corp., 3.750%, 10/15/2018, 144A		163,216
	40,000	Ciena Corp., 4.000%, 3/15/2015, 144A		45,400
	2,700,000	Intel Corp., 2.950%, 12/15/2035		2,799,563
	620,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		566,525
	1,185,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		1,142,044


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Technology – continued
$	80,000	SanDisk Corp., 1.500%, 8/15/2017	$	92,800

				8,067,435

		Textile – 0.3%
	570,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A		590,306

		Total Convertible Bonds (Identified Cost $20,150,705)		22,083,947

		Total Bonds and Notes (Identified Cost $185,584,809)		199,563,759

Senior Loans – 0.2%
		Media Non-Cable – 0.1%
	281,368	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)		201,296

		Wirelines – 0.1%
	354,230	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b)		341,967

		Total Senior Loans (Identified Cost $730,125)		543,263


Shares
Preferred Stocks – 3.7%
Convertible Preferred Stocks – 2.2%
		Automotive – 1.5%
	73,400	General Motors Co., Series B, 4.750%	3,239,142
	2,500	Goodyear Tire & Rubber Co. (The), 5.875%	118,025

			3,357,167

		Banking – 0.0%
	94	Bank of America Corp., Series L, 7.250%	106,690

		Construction Machinery – 0.1%
	2,213	United Rentals Trust I, 6.500%	132,573

		Independent Energy – 0.1%
	185	Chesapeake Energy Corp., Series A, 5.750%, 144A	164,303

		Pipelines – 0.5%
	20,675	El Paso Energy Capital Trust I, 4.750%	1,141,260

		Total Convertible Preferred Stocks (Identified Cost $4,801,699)	4,901,993


Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – 1.5%
		Independent Energy – 0.0%
	50	Chesapeake Energy Corp., 5.000%	$	3,770

		Non-Captive Diversified – 1.5%
	78,785	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		2,069,682
	965	Ally Financial, Inc., Series G, 7.000%, 144A		947,781
	12,925	iStar Financial, Inc., Series E, 7.875%		288,357
	7,500	iStar Financial, Inc., Series F, 7.800%		163,500
	550	iStar Financial, Inc., Series G, 7.650%		11,797

				3,481,117

		Total Non-Convertible Preferred Stocks (Identified Cost $3,283,611)		3,484,887

		Total Preferred Stocks (Identified Cost $8,085,310)		8,386,880

Common Stocks – 1.7%
		Automobiles – 0.3%
	53,720	Ford Motor Co.		695,674

		Chemicals – 0.1%
	1,087	Ashland, Inc.		87,406

		Diversified Telecommunication Services – 0.0%
	68	FairPoint Communications, Inc.(i)		540
	593	Hawaiian Telcom Holdco, Inc.(i)		11,563

				12,103

		Gas Utilities – 0.4%
	17,600	National Fuel Gas Co.		892,144

		Household Durables – 0.3%
	46,500	KB Home		734,700

		Independent Power Producers & Energy Traders – 0.3%
	34,210	Dynegy, Inc.(i)		654,437

		Oil, Gas & Consumable Fuels – 0.2%
	14,882	Kinder Morgan, Inc.		525,781

		Pharmaceuticals – 0.1%
	6,875	Merck & Co., Inc.		281,463

		Total Common Stocks (Identified Cost $3,982,097)		3,883,708

Warrants – 0.1%
	10,360	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(f)(i)(j)		—
	22,512	Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(i)		85,095

		Total Warrants (Identified Cost $29,892)		85,095


Principal Amount (‡)		Description	Value (†)
Short-Term Investments – 4.1%
$	6,012	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2012 at 0.010% to be repurchased at $6,012 on 1/02/2013 collateralized by $10,000 Federal National Mortgage Association, 2.080%, due 11/02/2022 valued at $10,015 including accrued interest(k)	$	6,012
	9,092,917	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $9,092,922 on 1/02/2013 collateralized by $9,255,000 Federal National Mortgage Association, 0.625% due 2/22/2016 valued at $9,275,727 including accrued interest(k)		9,092,917

		Total Short-Term Investments (Identified Cost $9,098,929)		9,098,929

		Total Investments – 98.5% (Identified Cost $207,511,162)(a)		221,561,634
		Other assets less liabilities – 1.5%		3,375,282

		Net Assets – 100.0%	$	224,936,916

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

(†)

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

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.

(††)	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, 2012, the net unrealized appreciation on investments based on a cost of $207,597,038 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	$	19,414,936
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(5,450,340	)

Net unrealized appreciation	$	13,964,596

(b)	Variable rate security. Rate as of December 31, 2012 is disclosed.

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

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

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

(f)	Illiquid security. At December 31, 2012, the value of these securities amounted to $848,816 or 0.4% of net assets.

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

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

(i)	Non-income producing security.

(j)	Fair valued security by the Fund’s investment adviser.

(k)


	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, 2012, the value of Rule 144A holdings amounted to $53,297,087 or 23.7% of net assets.
	ABS			Asset-Backed Securities
	EMTN			Euro Medium Term Note
	FHLMC			Federal Home Loan Mortgage Corp.
	GMTN			Global Medium Term Note
	MTN			Medium Term Note

	AUD			Australian Dollar
	BRL			Brazilian Real
	CLP			Chilean Peso
	EUR			Euro
	MXN			Mexican Peso
	PHP			Philippine Peso
	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 and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At December 31, 2012, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell¹	Delivery Date		Currency		Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell		1/31/2013		Euro		390,000	$	514,903	$	1,578
Sell		1/31/2013		Euro		8,220,000		10,852,585		(230,105	)

Total									$	(228,527	)

¹	Counterparty is Barclays Bank PLC.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	199,563,759	$	—	$	199,563,759
Senior Loans*		—		543,263		—		543,263
Preferred Stocks
Convertible Preferred Stocks
Construction Machinery		—		132,573		—		132,573
Independent Energy		—		164,303		—		164,303
All Other Convertible Preferred Stocks*		4,605,117		—		—		4,605,117

Total Convertible Preferred Stocks		4,605,117		296,876		—		4,901,993

Non-Convertible Preferred Stocks
Non-Captive Diversified		2,533,336		947,781		—		3,481,117
All Other Non-Convertible Preferred Stocks*		3,770		—		—		3,770

Total Preferred Stocks		7,142,223		1,244,657		—		8,386,880

Common Stocks*		3,883,708		—		—		3,883,708
Warrants**		85,095		—		—		85,095
Short-Term Investments		—		9,098,929		—		9,098,929

Total Investments		11,111,026		210,450,608		—		221,561,634

Forward Foreign Currency Contracts (unrealized appreciation)		—		1,578		—		1,578

Total	$	11,111,026	$	210,452,186	$	—	$	221,563,212

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(230,105	)	$	—	$	(230,105	)

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

**	Includes a security fair valued at zero using Level 2 inputs.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2012		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, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2012
Bonds and Notes
Non-Convertible Bonds
Transportation Service	$	23,438	$	—	$	—	$	—	$	—	$	—	$	—	$	(234,438	)	$	—	$	—

A debt security valued at $234,438 was transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at December 31, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Derivatives

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, 2012, 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, 2012, 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 Bank PLC	$	(228,527	)	$	280,000

Derivatives 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 with respect to forward foreign currency contracts by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash pledged to counterparties as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $281,578 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $280,000.

Collateral for forward foreign currency contracts is posted based on the requirements established under International Swaps and Derivatives Association (“ISDA”) agreements negotiated between the Fund and the derivative counterparties. This risk of loss to the Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Fund’s claim against any collateral received may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of December 31, 2012:


Asset Derivatives	Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	1,578


Liability Derivatives	Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	(230,105	)

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instrument. 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, 2012 (Unaudited)
Treasuries	8.6	%
Home Construction	6.6
Technology	6.2
Wirelines	4.3
Automotive	4.1
Independent Energy	4.1
Metals & Mining	4.0
Non-Captive Diversified	3.8
ABS Home Equity	3.8
Wireless	3.3
Banking	3.3
Media Non-Cable	3.2
Building Materials	2.9
Chemicals	2.6
Pharmaceuticals	2.4
Non-Captive Consumer	2.3
Textile	2.3
Healthcare	2.2
Other Investments, less than 2% each	24.4
Short-Term Investments	4.1

Total Investments	98.5
Other assets less liabilities (including open forward foreign currency contracts)	1.5

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2012 (Unaudited)

Loomis Sayles International Bond Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 97.0% of Net Assets
		Belgium – 1.9%
	260,000	Belgium Government Bond, 3.500%, 6/28/2017, (EUR)	$	384,713

		Brazil – 1.8%
	350,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		208,119
	100,000	Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR)		142,456

				350,575

		Canada – 3.7%
	75,000	Canada Government International Bond, 3.500%, 1/13/2020, (EUR)(b)		117,404
	285,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		300,825
	150,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		217,292
	95,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		107,203

				742,724

		Finland – 2.7%
	390,000	Finland Government Bond, 1.875%, 4/15/2017, (EUR)(b)		548,047

		France – 5.7%
	50,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		68,911
	530,000	France Government Bond OAT, 3.000%, 4/25/2022, (EUR)(b)		766,008
	195,000	France Government Bond OAT, 3.750%, 4/25/2021, (EUR)		299,394

				1,134,313

		Germany – 8.4%
	795,000	Bundesrepublik Deutschland, 1.750%, 7/04/2022, (EUR)		1,093,143
	390,000	Bundesrepublik Deutschland, 3.000%, 7/04/2020, (EUR)		593,937

				1,687,080

		Ireland – 0.9%
	100,000	WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP)		185,790

		Italy – 6.9%
	50,000	Enel Finance International S.A., EMTN, 5.625%, 8/14/2024, (GBP)		82,058
	50,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		64,267
	350,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)		401,462


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
			Italy – continued
	320,000		Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(b)	$	443,647
	150,000		Italy Buoni Poliennali Del Tesoro, 4.750%, 5/01/2017, (EUR)		210,981
	60,000		Republic of Italy, 6.875%, 9/27/2023		69,681
	75,000		Telecom Italia Finance S.A., EMTN, 7.750%, 1/24/2033, (EUR)		114,195

					1,386,291

			Japan – 25.9%
	90,000,000		Japan Finance Organization for Municipalities, 1.900%, 6/22/2018, (JPY)		1,134,433
	43,000,000		Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)		500,666
	92,650,000		Japan Government Ten Year Bond, 1.700%, 12/20/2016, (JPY)		1,135,612
	89,400,000		Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY)		1,105,924
	26,000,000		Japan Government Thirty Year Bond, 2.000%, 9/20/2040, (JPY)		304,251
	82,000,000		Japan Government Twenty Year Bond, 1.900%, 12/20/2028, (JPY)		1,007,598

					5,188,484

			Korea – 0.5%
	3,600,000		Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		92,765

			Luxembourg – 0.3%
	50,000		ArcelorMittal, 6.000%, 3/01/2021		49,857

			Malaysia – 1.6%
	580,000		Malaysia Government Bond, 3.314%, 10/31/2017, (MYR)		190,169
	370,000		Malaysia Government Bond, 4.262%, 9/15/2016, (MYR)		125,751

					315,920

			Mexico – 3.1%
	2,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		158,816
	11,500	(††)	Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN)		99,028
	37,500	(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		366,608

					624,452

			Netherlands – 0.3%
	50,000		EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		68,179


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
		Norway – 3.3%
$	30,000	Eksportfinans ASA, 2.000%, 9/15/2015	$	28,715
	2,205,000	Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)(b)		441,944
	595,000	Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		115,698
	370,000	Norwegian Government Bond, 6.500%, 5/15/2013, (NOK)		67,703

				654,060

		Philippines – 0.7%
	5,000,000	Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		134,399

		Poland – 2.3%
	605,000	Poland Government Bond, 4.750%, 4/25/2017, (PLN)		207,604
	225,000	Poland Government International Bond, EMTN, 2.625%, 5/12/2015, (CHF)		256,942

				464,546

		Singapore – 2.0%
	135,000	Singapore Government Bond, 1.625%, 4/01/2013, (SGD)		110,872
	360,000	Singapore Government Bond, 2.250%, 7/01/2013, (SGD)		297,685

				408,557

		South Africa – 0.3%
	50,000	Edcon Proprietary Ltd., 3.433%, 6/15/2014, 144A, (EUR)(c)		63,358

		Spain – 2.2%
	335,000	Spain Government Bond, 4.300%, 10/31/2019, (EUR)		432,677

		Sweden – 1.9%
	2,300,000	Sweden Government Bond, 4.500%, 8/12/2015, (SEK)(b)		386,854

		Thailand – 0.5%
	3,000,000	Thailand Government Bond, 3.250%, 6/16/2017, (THB)		98,673

		United Kingdom – 9.4%
	50,000	British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP)		99,072
	105,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		202,164
	50,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		94,301
	100,000	FCE Bank PLC, EMTN, 4.825%, 2/15/2017, (GBP)		175,168
	215,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)(b)		364,135


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
		United Kingdom – continued
	150,000	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)	$	298,361
	40,000	United Kingdom Treasury, 4.750%, 12/07/2038, (GBP)		85,701
	265,000	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)		568,228

				1,887,130

		United States – 9.3%
	100,000	BA Credit Card Trust, Series 04A1, 4.500%, 6/17/2016, (EUR)		137,309
	50,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		94,810
	45,000	HCA, Inc., 8.360%, 4/15/2024		48,487
	150,000	HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR)		219,472
	50,000	International Lease Finance Corp., 5.875%, 8/15/2022		52,961
	50,000	JPMorgan Chase & Co., EMTN, 4.375%, 1/30/2014, (EUR)		68,661
	100,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		139,012
	75,000	Sprint Nextel Corp., 6.000%, 11/15/2022		77,062
	710,000	U.S. Treasury Note, 0.250%, 11/30/2013		710,416
	15,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		16,088
	100,000	Wachovia Corp., EMTN, 4.375%, 11/27/2018, (EUR)		146,548
	100,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		138,579

				1,849,405

		Uruguay – 1.4%
	4,391,003	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)		273,054

		Total Bonds and Notes (Identified Cost $19,166,653)		19,411,903

	Short-Term Investments – 1.0%
	190,753	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $190,753 on 1/02/2013 collateralized by $195,000 U.S. Treasury Note, 0.625% due 5/31/2017 valued at $195,244 including accrued interest(d) (Identified Cost $190,753)		190,753

		Total Investments – 98.0% (Identified Cost $19,357,406)(a)		19,602,656
		Other assets less liabilities – 2.0%		401,547

		Net Assets – 100.0%	$	20,004,203

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

(†)

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

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

Credit default swap agreements are valued based on mid prices supplied by an independent 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.

(††)	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, 2012, the net unrealized appreciation on investments based on a cost of $19,436,959 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	$	759,855
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(594,158	)

Net unrealized appreciation	$	165,697

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

(c)	Variable rate security. Rate as of December 31, 2012 is disclosed.

(d)


EMTN		Euro Medium Term Note

BRL		Brazilian Real

CAD		Canadian Dollar

CHF		Swiss Franc

EUR		Euro

GBP		British Pound

JPY		Japanese Yen

MXN		Mexican Peso

MYR		Malaysian Ringgit

NOK		Norwegian Krone

PHP		Philippine Peso


PLN		Polish Zloty
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thailand Baht
UYU		Uruguayan Peso

Forward Foreign Currency Contracts

At December 31, 2012, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹		3/28/2013	British Pound		122,000	$	198,129	$	(139	)
Buy²		3/20/2013	Canadian Dollar		650,000		652,401		(2,395	)
Buy¹		3/20/2013	Euro		215,000		283,982		3,913
Buy³		3/21/2013	Malaysian Ringgit		290,000		94,326		(35	)
Buy¹		3/11/2013	South Korean Won		630,000,000		586,117		7,923
Buy⁴		3/11/2013	South Korean Won		104,700,000		97,407		1,325

Total								$	10,592

At December 31, 2012, the Fund had the following open forward cross currency contracts:


Settlement Date	Deliver/Units of Currency		Receive/Units of Currency		Unrealized Appreciation (Depreciation)
3/12/2013	Norwegian Krone	1,255,000	Euro⁵	169,951	$	(785	)
4/04/2013	Japanese Yen	4,360,534	Singapore Dollar¹	62,000		384
2/04/2013	Japanese Yen	17,440,600	Thailand Baht⁴	6,200,000		952
3/04/2013	Japanese Yen	4,347,750	Malaysian Ringgit⁴	155,000		266

Total					$	817

¹	Counterparty is Barclays Bank PLC.

²	Counterparty is UBS AG.

³	Counterparty is JP Morgan Chase Bank, N.A.

⁴	Counterparty is Credit Suisse International.

⁵	Counterparty is Deutsche Bank AG.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Bonds and Notes*	$	—	$	19,411,903		$	—	$	19,411,903
Short-Term Investments		—		190,753			—		190,753

Total Investments		—		19,602,656			—		19,602,656

Forward Foreign Currency Contracts (unrealized appreciation)		—		14,763			—		14,763

Total	$	—	$	19,617,419		$	—	$	19,617,419


Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(3,354	)	$	—	$	(3,354	)

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

For the period ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund currently uses include forward foreign currency contracts. The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended December 31, 2012, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.


Counterparty	Derivatives			Collateral Pledged
Deutsche Bank AG	$	(785	)	$	—
JP Morgan Chase Bank, N.A.		(35	)		—
UBS AG		(2,395	)		—

As of December 31, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $14,763 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $14,624.

Collateral for forward foreign currency contracts is posted based on the requirements established under International Swaps and Derivatives Association (“ISDA”) agreements negotiated between the Fund and the derivative counterparties. This risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized; however, final settlement of the Fund’s claim against any collateral received may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of December 31, 2012:


Asset Derivatives	Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	14,763

Liability Derivatives	Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	(3,354	)

Industry Summary at December 31, 2012 (Unaudited)


Treasuries	71.0	%
Government Guaranteed	5.7
Sovereigns	4.6
Other Investments, less than 2% each	15.7
Short-Term Investments	1.0

Total Investments	98.0
Other assets less liabilities (including open forward foreign currency contracts)	2.0

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2012 (Unaudited)


Euro	34.3	%
Japanese Yen	25.9
British Pound	11.2
United States Dollar	6.4
Norwegian Krone	3.1
Mexican Peso	3.1
Singapore Dollar	2.0
Canadian Dollar	2.0
Other, less than 2% each	10.0

Total Investments	98.0
Other assets less liabilities (including open forward foreign currency contracts)	2.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2012 (Unaudited)

Loomis Sayles Investment Grade Bond Fund


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 92.8% of Net Assets
Non-Convertible Bonds – 88.9%
		ABS Car Loan – 0.6%
$	831,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class B, 5.740%, 8/20/2014, 144A	$	844,397
	4,590,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class B, 6.740%, 5/20/2016, 144A		5,068,411
	2,889,250	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		3,153,637
	18,620,000	Chesapeake Funding LLC, Series 2009-2A, Class B, 1.959%, 9/15/2021, 144A(b)		18,791,993
	16,736,000	Chesapeake Funding LLC, Series 2009-2A, Class C, 1.959%, 9/15/2021, 144A(b)		16,864,934
	19,574,000	Ford Auto Securitization Trust, Series 2010-R3A, Class A3, 2.714%, 9/15/2015, 144A, (CAD)		19,913,451
	5,481,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		5,620,959

				70,257,782

		ABS Credit Card – 0.5%
	28,592,000	Chase Issuance Trust, Series 2007-B1, Class B1, 0.459%, 4/15/2019(b)		28,444,951
	19,182,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		20,800,884
	14,465,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		15,117,965
	2,324,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019		2,563,490

				66,927,290

		ABS Other – 1.2%
	1,454,106	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		1,469,112
	6,054,855	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		6,230,591
	28,084,793	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		29,245,706
	25,834,600	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		26,550,321
	39,645,389	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		46,780,052
	15,570,923	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		16,270,323
	4,500,000	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		4,477,730
	11,029,560	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		11,768,044

				142,791,879

		Aerospace & Defense – 0.8%
	2,100,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,136,750


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Aerospace & Defense – continued
$	78,795,000	Textron, Inc., 5.950%, 9/21/2021	$	91,603,206

				93,739,956

		Airlines – 2.5%
	18,340,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018, 144A		18,477,550
	100,553	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		103,570
	769,912	Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019		824,730
	871,126	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		949,527
	8,572,640	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		9,708,515
	1,718,519	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,941,926
	3,095,792	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		3,339,771
	53,634,359	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		59,732,585
	11,279,083	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		12,149,828
	25,175,224	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		29,140,322
	18,963,928	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		21,903,337
	3,065,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021		3,248,900
	1,789,851	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,997,831
	12,828,217	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		14,030,221
	31,172,617	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		35,692,647
	2,514,151	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		2,815,849
	19,137,928	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		21,578,013
	5,783,610	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		6,253,239
	7,277,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		7,711,459
	23,414,984	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		25,171,108
	5,121,076	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		5,895,382
	16,403,484	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		18,453,919
	9,930,000	US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026		10,103,775

				311,224,004


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Automotive – 1.0%
$	40,992,000	Cummins, Inc., 5.650%, 3/01/2098	$	42,601,059
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		6,551,474
	2,426,000	Ford Motor Co., 6.375%, 2/01/2029		2,713,013
	125,000	Ford Motor Co., 6.500%, 8/01/2018		144,687
	255,000	Ford Motor Co., 6.625%, 2/15/2028		284,896
	5,074,000	Ford Motor Co., 6.625%, 10/01/2028		5,859,760
	3,243,000	Ford Motor Co., 7.400%, 11/01/2046		3,984,836
	4,823,000	Ford Motor Co., 7.450%, 7/16/2031		6,125,210
	240,000	Ford Motor Co., 7.500%, 8/01/2026		285,000
	5,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		5,517,180
	40,126,000	Ford Motor Credit Co. LLC, 6.625%, 8/15/2017		46,885,867
	338,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		353,244
	5,319,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		5,930,887
	2,370,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,387,775

				129,624,888

		Banking – 12.7%
	22,547,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		30,577,678
	7,200,000	American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017		8,704,663
	35,878,000	Associates Corp. of North America, 6.950%, 11/01/2018		43,218,639
	3,590,000	Bank of America Corp., 5.420%, 3/15/2017		3,932,350
	9,805,000	Bank of America Corp., 6.000%, 9/01/2017		11,481,802
	11,100,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		12,672,337
	5,000,000	Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD)		5,297,246
	2,393,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		3,062,013
	17,249,000	Bank of America NA, 5.300%, 3/15/2017		19,400,123
	10,227,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		11,315,030
	7,110,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		6,812,636
	337,230,000,000	Barclays Financial LLC, EMTN, 8.250%, 10/27/2014, (IDR)		36,580,051


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	2,173,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018	$	2,459,751
	370,000	BNP Paribas/Australia, 7.000%, 5/24/2016, (AUD)		414,799
	8,994,000	Capital One Financial Corp., 6.150%, 9/01/2016		10,289,316
	51,425,000	Citigroup, Inc., 4.450%, 1/10/2017		56,968,615
	6,473,000	Citigroup, Inc., 5.000%, 9/15/2014		6,810,166
	2,700,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		2,616,940
	10,000,000	Citigroup, Inc., 5.375%, 8/09/2020		11,784,480
	14,680,000	Citigroup, Inc., 5.500%, 2/15/2017		16,273,264
	460,000	Citigroup, Inc., 5.850%, 12/11/2034		539,318
	2,740,000	Citigroup, Inc., 5.875%, 2/22/2033		2,903,937
	9,875,000	Citigroup, Inc., 6.125%, 5/15/2018		11,834,309
	8,705,000	Citigroup, Inc., 6.125%, 8/25/2036		9,487,379
	44,910,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		39,309,963
	21,257,000	Citigroup, Inc., 6.375%, 8/12/2014		22,971,377
	2,398,000	Citigroup, Inc., EMTN, 1.458%, 11/30/2017, (EUR)(b)		2,974,644
	55,770,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		59,832,343
	4,625,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.375%, 1/19/2017		4,968,573
	27,045,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022		29,103,774
	1,174,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		1,287,684
	112,330,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		127,306,622
	6,645,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		7,615,369
	1,527,000	HBOS PLC, 6.000%, 11/01/2033, 144A		1,379,904
	1,000,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		1,076,250
	700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		706,125
	2,950,000	JPMorgan Chase & Co., EMTN, 1.053%, 5/30/2017, (GBP)(b)		4,481,003
	12,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		1,247,876
	16,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,766,599


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	100,000	Keybank NA, 6.950%, 2/01/2028	$	119,246
	9,787,000	Lloyds TSB Bank PLC, EMTN, 4.570%, 10/13/2015, (CAD)		10,254,950
	81,622,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		90,189,861
	6,479,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		7,110,703
	4,300,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		4,733,685
	103,309,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		112,766,939
	9,780,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		5,313,919
	3,132,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		4,353,854
	11,641,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		14,032,690
	40,126,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		43,819,037
	2,652,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		3,114,389
	1,500,000	Morgan Stanley, 0.820%, 10/15/2015(b)		1,453,449
	4,250,000	Morgan Stanley, 3.450%, 11/02/2015		4,428,113
	14,023,000	Morgan Stanley, 3.800%, 4/29/2016		14,721,135
	5,995,000	Morgan Stanley, 4.875%, 11/01/2022		6,207,187
	110,093,000	Morgan Stanley, 5.500%, 7/24/2020		123,855,726
	5,900,000	Morgan Stanley, 5.750%, 1/25/2021		6,738,007
	151,076,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		134,416,375
	60,800,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		69,770,989
	550,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		984,517
	5,400,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		6,057,682
	24,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		26,964,974
	3,800,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		4,167,051
	38,206,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		43,210,222
	5,187,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		6,113,269
	9,400,000	Morgan Stanley, Series F, MTN, 0.775%, 10/18/2016(b)		8,935,969
	9,699,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		10,983,186


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
	2,239,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)	$	3,891,274
	2,875,000	National City Bank of Indiana, 4.250%, 7/01/2018		3,185,359
	8,638,000	National City Corp., 6.875%, 5/15/2019		10,776,605
	35,900,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		37,891,804
	5,250,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		7,098,231
	6,150,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		9,161,901
	1,650,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		2,058,053
	700,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		728,000
	16,175,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		16,910,801
	1,000,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		1,349,887
	1,800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		1,845,000
	1,400,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		1,416,080
	8,100,000	Santander US Debt SAU, 3.724%, 1/20/2015, 144A		8,136,774
	30,886,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		34,231,788
	3,300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		3,841,761
	17,861,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A		19,234,511

				1,558,039,901

		Brokerage – 1.0%
	55,355,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		56,065,703
	13,100,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(c)		13,430,500
	19,498,000	Jefferies Group, Inc., 6.250%, 1/15/2036		20,180,430
	8,760,000	Jefferies Group, Inc., 6.450%, 6/08/2027		9,329,400
	1,693,000	Jefferies Group, Inc., 6.875%, 4/15/2021		1,896,160
	23,835,000	Jefferies Group, Inc., 8.500%, 7/15/2019		28,482,825

				129,385,018

		Building Materials – 1.0%
	6,640,000	Masco Corp., 4.800%, 6/15/2015		6,955,300
	10,942,000	Masco Corp., 5.850%, 3/15/2017		11,908,179


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Building Materials – continued
$	6,616,000	Masco Corp., 6.125%, 10/03/2016	$	7,307,650
	4,808,000	Masco Corp., 6.500%, 8/15/2032		4,973,318
	28,539,000	Masco Corp., 7.125%, 3/15/2020		33,203,157
	5,725,000	Masco Corp., 7.750%, 8/01/2029		6,367,322
	4,949,000	Owens Corning, Inc., 6.500%, 12/01/2016		5,561,018
	41,379,000	Owens Corning, Inc., 7.000%, 12/01/2036		45,784,457
	1,037,000	USG Corp., 6.300%, 11/15/2016		1,073,295

				123,133,696

		Chemicals – 0.1%
	3,469,000	Cytec Industries, Inc., 6.000%, 10/01/2015		3,827,739
	1,700,000	Methanex Corp., 5.250%, 3/01/2022		1,885,506
	2,349,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		2,538,515

				8,251,760

		Commercial Mortgage-Backed Securities – 2.9%
	2,477,877	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		2,804,788
	33,167,701	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		38,047,001
	12,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		13,641,792
	62,292,812	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.679%, 6/15/2039(b)		71,716,905
	34,381,273	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.762%, 9/15/2039(b)		39,679,358
	6,711,090	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		7,776,851
	57,694,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		69,491,442
	23,544,272	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		27,754,082
	15,928,923	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.812%, 6/15/2049(b)		18,575,514
	21,524,263	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		24,895,092
	3,131,798	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.865%, 6/15/2038(b)		3,616,284
	1,311,441	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,513,188
	9,786,870	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.789%, 8/12/2045, 144A(b)		10,959,083


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
$	6,851,000	Vornado DP LLC, Series 2010-VNO, Class D, 6.356%, 9/13/2028, 144A	$	7,854,377
	3,621,142	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		4,164,078
	6,222,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		7,128,819
	4,250,000	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.549%, 3/15/2044, 144A(b)		4,202,893

				353,821,547

		Construction Machinery – 0.3%
	23,638,000	Case New Holland, Inc., 7.750%, 9/01/2013		24,583,520
	6,787,000	Toro Co., 6.625%, 5/01/2037(c)		7,125,054
	400,000	United Rentals North America, Inc., 8.375%, 9/15/2020		443,000

				32,151,574

		Consumer Cyclical Services – 0.0%
	196,000	Western Union Co. (The), 6.200%, 6/21/2040		199,274

		Consumer Products – 0.2%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		8,821,844
	11,754,000	Snap-on, Inc., 6.700%, 3/01/2019		14,237,691

				23,059,535

		Diversified Manufacturing – 0.4%
	1,395,000	Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018		1,703,420
	2,814,000	Textron Financial Corp., 5.400%, 4/28/2013		2,852,873
	1,181,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		1,234,783
	18,800,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		24,939,895
	11,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		20,239,333

				50,970,304

		Electric – 2.0%
	33,870,592	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		36,448,144
	5,915,000	AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018		4,288,375
	10,973,249	Bruce Mansfield Unit, 6.850%, 6/01/2034		11,434,125
	17,435,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		19,693,286
	876,000	Commonwealth Edison Co., 4.700%, 4/15/2015		952,074


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Electric – continued
$	12,285,000	EDP Finance BV, 4.900%, 10/01/2019, 144A	$	12,171,794
	3,200,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		3,355,162
	1,000,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		1,359,219
	900,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		1,259,169
	979,000	Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013		1,016,536
	4,491,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		5,468,816
	40,453,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		39,172,541
	9,007,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		9,407,811
	7,921,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		11,716,895
	3,603,000	Exelon Corp., 4.900%, 6/15/2015		3,921,966
	3,600,000	Iberdrola Finance Ireland Ltd., 3.800%, 9/11/2014, 144A		3,697,693
	1,864,000	ITC Holdings Corp., 5.875%, 9/30/2016, 144A		2,118,317
	7,210,570	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(c)		7,615,660
	50,026,000	Southwestern Electric Power Co., 6.450%, 1/15/2019		60,884,343
	2,850,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		2,230,125
	1,075,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		1,068,545
	1,600,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		1,539,882

				240,820,478

		Entertainment – 0.0%
	3,616,000	Viacom, Inc., 6.125%, 10/05/2017		4,326,338

		Financial Other – 0.9%
	66,384,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		68,621,141
	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		37,485,469

				106,106,610

		Food & Beverage – 0.0%
	2,450,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		4,645,692

		Government Guaranteed – 0.4%
	12,910,000	Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)		12,177,996


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Government Guaranteed – continued
	11,311,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)	$	11,351,289
	31,142,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		29,550,347

				53,079,632

		Government Owned – No Guarantee – 1.3%
	3,720,000	Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A		4,956,900
	36,975,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		45,941,437
	58,060,000	DP World Ltd., 6.850%, 7/02/2037, 144A		68,002,775
	26,030,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		2,725,756
	27,800,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		2,959,853
	22,478,000	Federal Home Loan Mortgage Corp., 1.625%, 4/15/2013		22,574,723
	15,170,000	Korea Gas Corp., 6.000%, 7/15/2014, 144A		16,236,603
	1,000,000	Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A		1,436,169

				164,834,216

		Government Sponsored – 0.5%
	66,200,000	Federal Home Loan Bank, 1.875%, 6/21/2013		66,742,112

		Health Insurance – 0.0%
	1,569,000	CIGNA Corp., 7.875%, 5/15/2027		2,072,115
	1,174,000	CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d)		1,649,726

				3,721,841

		Healthcare – 1.2%
	7,692,000	Boston Scientific Corp., 6.000%, 1/15/2020		8,972,356
	7,374,000	Covidien International Finance S.A., 6.000%, 10/15/2017		8,931,824
	17,416,000	Express Scripts, Inc., 6.250%, 6/15/2014		18,754,907
	9,459,000	Express Scripts, Inc., 7.250%, 6/15/2019		12,122,531
	9,278,000	HCA, Inc., 5.750%, 3/15/2014		9,695,510
	802,000	HCA, Inc., 5.875%, 3/15/2022		872,175
	52,905,000	HCA, Inc., 5.875%, 5/01/2023		54,756,675
	1,908,000	HCA, Inc., 6.250%, 2/15/2013		1,917,540
	3,729,000	HCA, Inc., 6.375%, 1/15/2015		4,031,981


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	3,127,000	HCA, Inc., 6.500%, 2/15/2016	$	3,400,613
	357,000	HCA, Inc., 6.750%, 7/15/2013		365,925
	2,936,000	HCA, Inc., 7.050%, 12/01/2027		2,825,900
	2,241,000	HCA, Inc., 7.190%, 11/15/2015		2,465,100
	4,119,000	HCA, Inc., 7.500%, 12/15/2023		4,211,677
	1,282,000	HCA, Inc., 7.500%, 11/06/2033		1,288,410
	3,807,000	HCA, Inc., 7.690%, 6/15/2025		3,892,658
	4,164,000	HCA, Inc., 8.360%, 4/15/2024		4,486,710
	1,199,000	HCA, Inc., MTN, 7.580%, 9/15/2025		1,213,988
	3,068,000	HCA, Inc., MTN, 7.750%, 7/15/2036		3,121,690
	2,256,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		2,474,503
	2,200,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,980,000

				151,782,673

		Home Construction – 0.1%
	2,006,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		2,031,075
	9,200,000	Pulte Group, Inc., 6.000%, 2/15/2035		8,556,000
	3,567,000	Pulte Group, Inc., 6.375%, 5/15/2033		3,558,082

				14,145,157

		Independent Energy – 1.1%
	11,930,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		14,250,325
	1,065,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		1,142,213
	1,015,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,100,006
	9,787,000	EQT Corp., 8.125%, 6/01/2019		12,114,613
	60,038,000	Equitable Resources, Inc., 6.500%, 4/01/2018		69,794,415
	7,240,000	Newfield Exploration Co., 5.625%, 7/01/2024		7,819,200
	24,155,000	Plains Exploration & Production Co., 6.500%, 11/15/2020		26,751,663

				132,972,435

		Industrial Other – 0.0%
	4,893,000	Worthington Industries, Inc., 6.500%, 4/15/2020		5,396,857


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Life Insurance – 1.0%
	7,100,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)	$	12,618,329
	6,910,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		8,168,981
	2,036,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		2,338,377
	9,777,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		13,232,756
	600,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)		935,613
	5,900,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		8,131,561
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		18,143,235
	10,971,000	MetLife, Inc., 6.400%, 12/15/2066		11,730,479
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		10,639,255
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		6,843,331
	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		3,205,528
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		18,325,832
	4,732,000	Unum Group, 7.125%, 9/30/2016		5,574,537

				119,887,814

		Local Authorities – 2.2%
	7,448,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		6,613,969
	99,450,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		104,809,291
	68,930,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		79,997,751
	17,930,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		20,265,432
	15,314	Province of Alberta, 5.930%, 9/16/2016, (CAD)		16,908
	489,000	Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)		684,836
	29,791,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		26,794,662
	26,518,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		28,945,550

				268,128,399

		Lodging – 0.7%
	52,516,000	Choice Hotels International, Inc., 5.700%, 8/28/2020		56,979,860
	4,522,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		5,054,755
	100,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		113,097


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Lodging – continued
$	23,518,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020	$	28,309,110

				90,456,822

		Media Cable – 1.0%
	17,832,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		20,122,534
	4,101,000	Time Warner Cable, Inc., 5.850%, 5/01/2017		4,844,585

	78,178,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		97,658,629

				122,625,748
		Media Non-Cable – 0.2%
	5,000,000	Clear Channel Communications, Inc., 9.000%, 3/01/2021		4,462,500
	4,482,000	News America, Inc., 8.150%, 10/17/2036		6,103,355
	5,000,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		4,825,000
	10,870,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		10,978,700

				26,369,555

		Metals & Mining – 1.7%
	15,060,000	Alcoa, Inc., 5.870%, 2/23/2022		16,244,454
	26,000,000	Alcoa, Inc., 5.900%, 2/01/2027		26,761,618
	5,505,000	Alcoa, Inc., 5.950%, 2/01/2037		5,317,725
	28,838,000	Alcoa, Inc., 6.150%, 8/15/2020		31,495,249
	5,804,000	Alcoa, Inc., 6.750%, 1/15/2028		6,276,626
	430,000	ArcelorMittal, 6.000%, 3/01/2021		428,767
	6,885,000	ArcelorMittal, 6.125%, 6/01/2018		6,977,947
	4,085,000	ArcelorMittal, 6.750%, 2/25/2022		4,287,269
	47,920,000	ArcelorMittal, 7.250%, 3/01/2041		44,445,800
	19,365,000	ArcelorMittal, 7.500%, 10/15/2039		18,203,100
	4,500,000	Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		3,082,500
	1,943,000	United States Steel Corp., 6.050%, 6/01/2017		2,035,292
	4,612,000	United States Steel Corp., 6.650%, 6/01/2037		4,012,440
	31,210,000	United States Steel Corp., 7.000%, 2/01/2018		33,316,675


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Metals & Mining – continued
$	3,655,000	Vale Overseas Ltd., 6.875%, 11/21/2036	$	4,530,665

				207,416,127

		Mortgage Related – 0.0%
	67,939	FHLMC, 5.000%, 12/01/2031		73,319
	9,935	FNMA, 6.000%, 7/01/2029		11,100

				84,419

		Non-Captive Consumer – 1.7%
	62,425(††)	SLM Corp., 6.000%, 12/15/2043		1,488,629
	2,270,000	SLM Corp., MTN, 4.625%, 9/25/2017		2,323,915
	4,067,000	SLM Corp., MTN, 5.050%, 11/14/2014		4,268,963
	8,895,000	SLM Corp., MTN, 7.250%, 1/25/2022		9,806,737
	641,000	SLM Corp., MTN, 8.000%, 3/25/2020		732,343
	5,616,000	SLM Corp., Series A, MTN, 0.615%, 1/27/2014(b)		5,563,271
	9,224,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013		9,443,070
	6,547,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		6,901,304
	15,792,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		15,851,946
	6,141,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		6,140,963
	4,548,000	SLM Corp., Series A, MTN, 5.375%, 5/15/2014		4,754,998
	19,496,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		18,082,540
	30,667,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		35,880,390
	4,893,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		4,623,885
	87,676,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		78,470,020

				204,332,974

		Non-Captive Diversified – 2.7%
	1,634,000	Ally Financial, Inc., 6.750%, 12/01/2014		1,764,277
	3,075,000	Ally Financial, Inc., 7.500%, 12/31/2013		3,247,969
	5,543,000	Ally Financial, Inc., 8.000%, 12/31/2018		6,485,310
	2,285,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,884,813
	3,500,000	General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		3,931,213


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
	7,570,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 5/15/2013, (AUD)	$	7,932,167
	3,100,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 4/15/2015, (AUD)		3,374,101
	1,874,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD)		2,079,817
	969,000	General Electric Capital Corp., 5.625%, 5/01/2018		1,150,720
	51,370,000	General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)		44,625,753
	14,225,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		12,859,195
	36,850,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		32,666,176
	10,247,000	General Electric Capital Corp., Series A, MTN, 0.640%, 5/13/2024(b)		8,967,806
	16,696,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		18,080,432
	26,931,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		23,743,728
	35,005,000	International Lease Finance Corp., 5.875%, 4/01/2019		36,895,235
	548,000	International Lease Finance Corp., 5.875%, 8/15/2022		580,448
	26,200,000	International Lease Finance Corp., 6.250%, 5/15/2019		27,903,000
	13,899,000	International Lease Finance Corp., 6.375%, 3/25/2013		14,044,939
	60,419,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		70,086,040
	1,473,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		1,509,825
	1,625,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		1,691,008
	691,000	iStar Financial, Inc., 8.625%, 6/01/2013		709,139

				327,213,111

		Oil Field Services – 0.5%
	5,965,000	Nabors Industries, Inc., 6.150%, 2/15/2018		7,015,085
	22,583,000	Nabors Industries, Inc., 9.250%, 1/15/2019		29,855,832
	23,338,000	Rowan Cos., Inc., 7.875%, 8/01/2019		28,816,992
	587,000	Transocean Ltd., 7.375%, 4/15/2018		698,428

				66,386,337

		Paper – 1.1%
	4,365,000	Celulosa Arauco y Constitucion S.A., 7.250%, 7/29/2019		5,178,701
	23,225,000	Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A		27,629,250


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Paper – continued
$	715,000	Georgia-Pacific LLC, 7.250%, 6/01/2028	$	936,155
	2,672,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,640,816
	644,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		880,714
	1,031,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,545,873
	6,161,000	International Paper Co., 5.250%, 4/01/2016		6,839,930
	7,611,000	International Paper Co., 8.700%, 6/15/2038		11,311,788
	5,270,000	Mead Corp. (The), 7.550%, 3/01/2047		5,965,840
	5,764,000	Westvaco Corp., 8.200%, 1/15/2030		7,605,212
	26,007,000	Weyerhaeuser Co., 6.875%, 12/15/2033		31,062,397
	7,374,000	Weyerhaeuser Co., 7.375%, 10/01/2019		9,113,792
	18,254,000	Weyerhaeuser Co., 7.375%, 3/15/2032		23,001,409

				134,711,877

		Pharmaceuticals – 0.5%
	56,052,000	Roche Holdings, Inc., 5.000%, 3/01/2014, 144A		58,880,160
	489,000	Schering-Plough Corp., 5.300%, 12/01/2013		511,223

				59,391,383

		Pipelines – 3.2%
	650,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		743,311
	528,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		611,017
	1,571,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		1,844,704
	9,257,000	Enterprise Products Operating LLC, 4.050%, 2/15/2022		10,232,345
	3,328,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		4,278,567
	14,300,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		15,803,674
	17,765,000	Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020		20,706,227
	63,075,000	Kinder Morgan Energy Partners LP, 5.950%, 2/15/2018		75,520,517
	303,000	Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016		331,219
	27,777,750	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		29,213,860
	30,760,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		33,528,400


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Pipelines – continued
$	635,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A	$	666,750
	4,950,000	NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A		5,692,500
	13,790,000	NiSource Finance Corp., 6.125%, 3/01/2022		16,526,474
	24,110,000	NiSource Finance Corp., 6.400%, 3/15/2018		29,064,195
	21,614,000	NiSource Finance Corp., 6.800%, 1/15/2019		26,522,496
	9,899,000	Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017		11,845,282
	47,594,000	Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018		57,992,051
	1,404,000	Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019		1,756,000
	2,085,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,458,697
	15,683,000	Plains All American Pipeline LP, 6.500%, 5/01/2018		19,360,899
	4,125,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		4,846,974
	19,574,000	Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A		23,444,954

				392,991,113

		Property & Casualty Insurance – 0.8%
	2,740,000	Fidelity National Financial, Inc., 5.500%, 9/01/2022		3,032,701
	3,083,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		3,654,798
	9,038,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		9,876,175
	30,054,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		35,053,633
	1,889,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		321,130
	14,575,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		14,666,531
	7,609,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		8,310,245
	13,521,000	Willis North America, Inc., 7.000%, 9/29/2019		15,934,039
	2,212,000	XL Group PLC, 6.250%, 5/15/2027		2,626,998
	1,463,000	XL Group PLC, 6.375%, 11/15/2024		1,758,498

				95,234,748

		Property Trust – 0.4%
	36,192,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		44,835,808


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Railroads – 0.1%
$	9,787,000	Canadian Pacific Railway Co., 7.250%, 5/15/2019	$	12,215,624
	237,000	Missouri Pacific Railroad Co., 4.750%, 1/01/2030(c)		229,890
	1,701,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		1,462,860
	191,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		193,865

				14,102,239

		Real Estate Operations/Development – 0.1%
	10,276,000	First Industrial LP, 5.950%, 5/15/2017		10,996,214

		Refining – 0.1%
	7,700,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		8,612,273

		REITs – Apartments – 0.3%
	12,243,000	Camden Property Trust, 5.000%, 6/15/2015		13,317,409
	16,491,000	Camden Property Trust, 5.700%, 5/15/2017		18,980,564
	988,000	ERP Operating LP, 5.125%, 3/15/2016		1,101,873
	1,762,000	ERP Operating LP, 5.375%, 8/01/2016		2,005,825
	1,508,000	ERP Operating LP, 5.750%, 6/15/2017		1,778,915

				37,184,586

		REITs – Diversified – 0.2%
	4,140,000	Duke Realty LP, 5.950%, 2/15/2017		4,732,624
	19,574,000	Duke Realty LP, 6.500%, 1/15/2018		23,208,403

				27,941,027

		REITs – Healthcare – 0.1%
	5,972,000	Health Care REIT, Inc., 6.500%, 3/15/2041		6,942,205

		REITs – Office Property – 0.3%
	20,817,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		23,477,350
	11,306,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		13,641,368

				37,118,718

		REITs – Regional Malls – 0.2%
	2,427,000	Simon Property Group LP, 5.250%, 12/01/2016		2,776,820
	12,209,000	Simon Property Group LP, 5.750%, 12/01/2015		13,752,755


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		REITs – Regional Malls – continued
$	1,889,000	Simon Property Group LP, 5.875%, 3/01/2017	$	2,236,566
	4,066,000	Simon Property Group LP, 6.100%, 5/01/2016		4,690,355

				23,456,496

		REITs – Shopping Centers – 0.1%
	4,893,000	Equity One, Inc., 6.000%, 9/15/2017		5,604,569
	1,918,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		2,157,681

				7,762,250

		REITs – Single Tenant – 0.3%
	5,862,000	Realty Income Corp., 5.750%, 1/15/2021		6,882,234
	25,529,000	Realty Income Corp., 6.750%, 8/15/2019		31,602,656

				38,484,890

		REITs – Warehouse/Industrials – 0.5%
	3,873,000	ProLogis LP, 5.625%, 11/15/2015		4,273,449
	11,179,000	ProLogis LP, 5.625%, 11/15/2016		12,614,406
	10,889,000	ProLogis LP, 5.750%, 4/01/2016		12,135,758
	9,698,000	ProLogis LP, 6.625%, 5/15/2018		11,713,487
	18,869,000	ProLogis LP, 7.375%, 10/30/2019		23,394,220

				64,131,320

		Restaurants – 0.1%
	10,320,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		11,374,735

		Retailers – 0.4%
	7,996,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		7,036,480
	8,139,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		6,104,250
	12,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		10,350
	8,656,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		6,794,960
	10,467,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		11,971,464
	2,691,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		3,246,767
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		8,922,404

				44,086,675


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Sovereigns – 1.3%
	44,750,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)	$	26,609,585
	24,178,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		15,557,761
	52,555,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		60,241,169
	33,600,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		37,512,720
	1,415,381,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		8,031,866
	776,294,507	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		4,251,157
	479,712,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		2,945,885

				155,150,143

		Supermarkets – 0.1%
	4,130,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		3,376,275
	1,120,000	Delhaize Group S.A., 5.700%, 10/01/2040		1,049,805
	3,269,000	Kroger Co. (The), 6.400%, 8/15/2017		3,945,761
	6,595,000	New Albertson’s, Inc., 7.450%, 8/01/2029		3,693,200
	7,875,000	New Albertson’s, Inc., 8.000%, 5/01/2031		4,429,688
	979,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		521,318

				17,016,047

		Supranational – 1.3%
	11,745,000	European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL)		5,966,288
	192,350,850,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		19,689,143
	9,640,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		11,065,888
	329,210,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		33,564,902
	410,030,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		41,047,673
	12,982,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		11,941,406
	15,070,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		12,406,414
	58,420,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		27,861,846

				163,543,560

		Technology – 1.9%
	4,600,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		3,496,000
	1,028,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		1,205,050


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Technology – continued
$	3,059,000	Avnet, Inc., 5.875%, 3/15/2014	$	3,196,851
	6,097,000	Avnet, Inc., 6.000%, 9/01/2015		6,650,918
	1,507,000	Avnet, Inc., 6.625%, 9/15/2016		1,704,444
	1,448,000	Corning, Inc., 6.850%, 3/01/2029		1,776,379
	56,271,000	Corning, Inc., 7.000%, 5/15/2024		73,395,728
	7,487,000	Corning, Inc., 7.250%, 8/15/2036		9,533,916
	7,051,000	Equifax, Inc., 7.000%, 7/01/2037		8,884,895
	112,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		115,360
	70,969,000	Ingram Micro, Inc., 5.250%, 9/01/2017		77,071,908
	7,795,000	Intuit, Inc., 5.750%, 3/15/2017		8,991,860
	19,078,000	KLA-Tencor Corp., 6.900%, 5/01/2018		22,917,219
	1,502,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		1,724,014
	2,115,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		2,733,151
	5,603,000	Tyco Electronics Group S.A., 6.550%, 10/01/2017		6,718,619
	561,000	Xerox Corp., 6.350%, 5/15/2018		647,002
	7,110,000	Xerox Corp., 6.750%, 2/01/2017		8,269,584

				239,032,898

		Textile – 0.0%
	3,755,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023		4,584,964

		Tobacco – 0.1%
	8,128,000	Reynolds American, Inc., 6.750%, 6/15/2017		9,815,519
	962,000	Reynolds American, Inc., 7.250%, 6/15/2037		1,261,501

				11,077,020

		Transportation Services – 0.6%
	8,436,000	Erac USA Finance Co., 6.375%, 10/15/2017, 144A		10,203,030
	2,824,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		3,419,268
	51,504,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		65,401,273

				79,023,571


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Treasuries – 25.1%
	93,805,000		Canadian Government, 1.750%, 3/01/2013, (CAD)	$	94,423,640
	306,210,000		Canadian Government, 2.250%, 8/01/2014, (CAD)		313,207,239
	372,145,000		Canadian Government, 2.500%, 6/01/2015, (CAD)		385,976,508
	156,655,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		165,353,156
	106,195,000		Canadian Government, 3.500%, 6/01/2013, (CAD)		107,841,252
	194,485,000		Canadian Government, 3.750%, 6/01/2019, (CAD)		221,662,455
	4,159,000		Canadian Government, 4.000%, 6/01/2016, (CAD)		4,556,879
	183,949,000		Canadian Government, 4.250%, 6/01/2018, (CAD)		211,938,023
	85,198,516		Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		116,947,166
	66,038,126		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		87,164,636
	29,854,296		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		40,407,277
	63,183,488		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		84,766,589
	1,130,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		1,490,229
	1,130,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		1,539,569
	1,120,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		1,608,138
	1,890,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		17,686,515
	12,263,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		11,561,940
	108,370,000		New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		90,565,362
	726,401,000		Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		145,591,137
	118,387,000		Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		23,020,427
	994,369,000		Norwegian Government Bond, 6.500%, 5/15/2013, (NOK)		181,950,875
	13,956,446		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		14,990,224
	4,599,829		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		5,388,498
	6,000,000		Singapore Government Bond, 1.375%, 10/01/2014, (SGD)		5,007,179
	181,645,000		U.S. Treasury Note, 0.125%, 12/31/2014		181,190,887
	181,650,000		U.S. Treasury Note, 0.250%, 10/31/2014		181,692,506
	205,055,000		U.S. Treasury Note, 0.250%, 12/15/2015		204,446,192


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Treasuries – continued
$	181,650,000	U.S. Treasury Note, 0.375%, 11/15/2015	$	181,820,388

				3,083,794,886

		Wireless – 0.8%
	559,910,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		44,461,393
	31,416,000	Cellco Partnership/Verizon Wireless Capital LLC, 8.500%, 11/15/2018		43,218,991
	6,373,000	Sprint Capital Corp., 6.875%, 11/15/2028		6,627,920
	2,594,000	Sprint Capital Corp., 6.900%, 5/01/2019		2,827,460
	612,000	Sprint Capital Corp., 8.750%, 3/15/2032		748,170
	91,000	Sprint Nextel Corp., 6.000%, 12/01/2016		98,962
	1,619,000	Vodafone Group PLC, 5.000%, 9/15/2015		1,796,062

				99,778,958

		Wirelines – 4.5%
	8,017,000	AT&T, Inc., 4.300%, 12/15/2042, 144A		8,051,898
	1,970,000	AT&T, Inc., 4.350%, 6/15/2045, 144A		1,978,857
	406,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		542,710
	2,936,000	BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		3,103,261
	62,040,000	CenturyLink, Inc., 6.450%, 6/15/2021		68,554,138
	4,990,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		5,156,027
	2,708,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,810,910
	121,506,000	Deutsche Telekom International Finance BV, 6.000%, 7/08/2019		148,180,091
	24,103,000	Embarq Corp., 7.995%, 6/01/2036		26,622,270
	825,000	Level 3 Financing, Inc., 7.000%, 6/01/2020, 144A		862,125
	200,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		223,500
	5,200,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		2,666,667
	8,450,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		10,083,286
	18,850,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		24,969,649
	200,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		278,853
	300,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		401,545


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
$	1,698,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018	$	1,925,895
	2,755,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		2,807,948
	4,370,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		4,789,695
	3,469,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		3,633,361
	333,000	Qwest Corp., 6.500%, 6/01/2017		388,812
	14,480,000	Qwest Corp., 6.875%, 9/15/2033		14,552,400
	4,668,000	Qwest Corp., 7.200%, 11/10/2026		4,693,674
	9,077,000	Qwest Corp., 7.250%, 9/15/2025		10,517,711
	9,474,000	Qwest Corp., 7.250%, 10/15/2035		10,016,860
	43,116,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		42,145,890
	23,240,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		23,414,300
	525,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		551,906
	975,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		1,039,594
	14,375,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		15,525,000
	1,700,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		2,776,256
	2,700,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		4,284,338
	2,100,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		3,236,377
	8,800,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		14,934,839
	14,137,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		15,679,322
	54,665,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		62,527,593
	3,598,000	Verizon Communications, Inc., 6.100%, 4/15/2018		4,424,054
	2,642,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,509,860
	5,260,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		6,166,487

				558,027,959

		Total Non-Convertible Bonds (Identified Cost $9,563,322,022)		10,945,442,318

Convertible Bonds – 3.4%
		Automotive – 0.5%
	34,827,000	Ford Motor Co., 4.250%, 11/15/2016		55,200,795


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Independent Energy – 0.3%
$	32,380,000	Chesapeake Energy Corp., 2.500%, 5/15/2037	$	29,142,000
	14,080,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		13,464,000

				42,606,000

		Life Insurance – 0.6%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		75,877,172

		Media Non-Cable – 0.0%
	393,745	Liberty Media LLC, 3.500%, 1/15/2031		187,275

		REITs – Warehouse/Industrials – 0.3%
	27,359,000	ProLogis LP, 3.250%, 3/15/2015		31,001,167

		Technology – 1.7%
	35,120,000	Intel Corp., 2.950%, 12/15/2035		36,415,050
	137,016,000	Intel Corp., 3.250%, 8/01/2039		160,565,625
	11,515,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		11,378,259
	765,000	Micron Technology, Inc., 1.875%, 6/01/2014		758,306
	30,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		27,413
	85,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		81,919

				209,226,572

		Wirelines – 0.0%
	2,926,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		3,480,111

		Total Convertible Bonds (Identified Cost $362,553,738)		417,579,092

Municipals – 0.5%
		District of Columbia – 0.1%
	14,680,000	Metropolitan Washington Airports Authority, 7.462%, 10/01/2046		17,837,668

		Illinois – 0.2%
	530,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		560,300
	24,640,000	State of Illinois, 5.100%, 6/01/2033		24,372,902

				24,933,202

		Michigan – 0.0%
	2,465,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		2,063,797


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Municipals – continued
		Ohio – 0.1%
$	6,430,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c)	$	5,751,185

		Virginia – 0.1%
	14,240,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		10,132,757

		Total Municipals (Identified Cost $56,577,381)		60,718,609

		Total Bonds and Notes (Identified Cost $9,982,453,141)		11,423,740,019

Senior Loans – 0.9%
		Non-Captive Diversified – 0.8%
	28,784,992	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 4.750%, 7/16/2018(b)		28,976,988
	14,322,574	AWAS Finance Luxembourg S.A.R.L., Term Loan B, 5.250%, 6/10/2016(b)		14,447,897
	55,685,000	Flying Fortress, Inc., 1st Lien Term Loan, 5.000%, 6/30/2017(b)		56,102,637

				99,527,522

		Healthcare – 0.1%
	12,149,550	Hologic, Inc., Term Loan B, 4.500%, 8/01/2019(b)		12,284,045

		Total Senior Loans (Identified Cost $110,356,318)		111,811,567


Shares
Common Stocks – 1.8%
		Electronic Equipment, Instruments & Components – 1.8%
	17,550,000	Corning, Inc. (Identified Cost $226,654,590)		221,481,000


Principal Amount (‡)
Short-Term Investments – 3.2%
$	774,079	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2012 at 0.010% to be repurchased at $774,079 on 1/02/2013 collateralized by $815,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $816,250 including accrued interest(e)		774,079
	389,196,489	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $389,196,705 on 1/02/2013 collateralized by $32,250,000 Federal Home Loan Bank, 5.375% due 5/18/2016 valued at $37,692,188; $100,000,000 Federal National Mortgage Association, 5.000% due 3/15/2016 valued at $115,806,200; $92,620,000 Federal National Mortgage Association, 0.625% due 2/22/2016 valued at $92,827,430; $80,840,000 Federal National Mortgage Association, 0.700% due 2/22/2016 valued at $81,042,774; $3,875,000 Federal National Mortgage Association, 1.150% due 2/22/2017 valued at $3,897,053; $7,145,000 Federal Home Loan Mortgage Corp., 1.000% due 3/08/2017 valued at $7,265,489; $50,000,000 U.S. Treasury Note, 2.750% due 11/30/2016 valued at $54,437,500; $2,045,000 U.S. Treasury Note, 3.250% due 3/31/2017 valued at $2,290,742; $1,720,000 U.S. Treasury Note, 0.625% due 5/31/2017 valued at $1,722,150 including accrued interest(e)		389,196,489

		Total Short-Term Investments (Identified Cost $389,970,568)		389,970,568


Total Investments – 98.7% (Identified Cost $10,709,434,617)(a)		12,147,003,154
Other assets less liabilities – 1.3%		155,080,703

Net Assets – 100.0%	$	12,302,083,857

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

(†)

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

Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated 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.

(††)	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, 2012, the net unrealized appreciation on investments based on a cost of $10,764,452,956 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,424,595,992
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(42,045,794	)

Net unrealized appreciation	$	1,382,550,198

(b)	Variable rate security. Rate as of December 31, 2012 is disclosed.

(c)	Illiquid security. At December 31, 2012, the value of these securities amounted to $88,399,409 or 0.7% of net assets.

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

(e)


PLN		Polish Zloty
SEK		Swedish Krona
SGD		Singapore Dollar
THB		Thailand Baht
UYU		Uruguayan Peso


FNMA		Federal National Mortgage Association
GMTN		Global Medium Term Note
MTN		Medium Term Note
REITs		Real Estate Investment Trusts
REMIC		Real Estate Mortgage Investment Conduit
AUD		Australian Dollar
BRL		Brazilian Real
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

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	64,636,823	$	5,620,959	$	70,257,782
Health Insurance		—		2,072,115		1,649,726		3,721,841
Non-Captive Consumer		1,488,629		202,844,345		—		204,332,974
All Other Non-Convertible Bonds*		—		10,667,129,721		—		10,667,129,721

Total Non-Convertible Bonds		1,488,629		10,936,683,004		7,270,685		10,945,442,318

Convertible Bonds*		—		417,579,092		—		417,579,092
Municipals*		—		60,718,609		—		60,718,609

Total Bonds and Notes		1,488,629		11,414,980,705		7,270,685		11,423,740,019

Senior Loans*		—		111,811,567		—		111,811,567
Common Stocks*		221,481,000		—		—		221,481,000
Short-Term Investments		—		389,970,568		—		389,970,568

Total	$	222,969,629	$	11,916,762,840	$	7,270,685	$	12,147,003,154

*	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, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2012		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, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2012
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	5,642,124	$	—	$	—	$	(21,165	)	$	—	$	—	$	—	$	—		$	5,620,959	$	(21,165	)
Banking		38,219,714		—		—		—			—		—		—		(38,219,714	)		—		—
Electric		1,889,250		—		—		—			—		—		—		(1,889,250	)		—		—
Health Insurance		—		758		—		158,944			—		—		1,490,024		—			1,649,726		158,944

Total	$	45,751,088	$	758	$	—	$	137,779		$	—	$	—	$	1,490,024	$	(40,108,964	)	$	7,270,685	$	137,779

A debt security valued at $1,490,024 was transferred from Level 2 to Level 3 during the period ended December 31, 2012. At September 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies; at December 31, 2012, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security.

A debt security valued at $38,219,714 was transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies but was misclassified as Level 3; at December 31, 2012, this security was valued using the same method and was appropriately classified as Level 2.

Debt securities valued at $1,889,250 were transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at December 31, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Industry Summary at December 31, 2012 (Unaudited)


Treasuries	25.1	%
Banking	12.7
Wirelines	4.5
Technology	3.6
Non-Captive Diversified	3.5
Pipelines	3.2
Commercial Mortgage-Backed Securities	2.9
Airlines	2.5
Local Authorities	2.2
Electric	2.0
Other Investments, less than 2% each	33.3
Short-Term Investments	3.2

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2012 (Unaudited)


United States Dollar	68.4	%
Canadian Dollar	13.5
Euro	3.8
New Zealand Dollar	3.8
Australian Dollar	3.1
Norwegian Krone	2.8
Other, less than 2% each	3.3
Total Investments	98.7
Other assets less liabilities	1.3
Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2012 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)
Bonds and Notes – 94.7% of Net Assets
		ABS Car Loan – 2.5%
$	2,200,000	Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A, 2.100%, 3/20/2019, 144A	$	2,244,196
	910,000	Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, 1.520%, 3/16/2020, 144A		910,254
	2,500,000	First Investors Auto Owner Trust, Series 2012-2A, Class A2, 1.470%, 5/15/2018, 144A		2,504,720
	1,149,338	SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 6/15/2016, 144A		1,154,387
	7,000,000	Tidewater Auto Receivables Trust, Series 2012-AA, Class A2, 1.210%, 8/15/2015, 144A		6,999,895
	3,000,000	Tidewater Auto Receivables Trust, Series 2012-AA, Class A3, 1.990%, 4/15/2019, 144A		2,999,109
	1,509,616	World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015		1,515,509

				18,328,070

		ABS Credit Card – 0.9%
	985,000	American Express Credit Account Master, Series 2004-2, Class A, 0.379%, 12/15/2016(b)		986,536
	3,220,000	GE Capital Credit Card Master Note Trust, Series 2012-7, Class A, 1.760%, 9/15/2022		3,233,389
	2,100,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		2,263,859

				6,483,784

		ABS Home Equity – 0.1%
	432,511	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)		433,470
	303,404	Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 6.200%, 1/25/2028(b)		290,437

				723,907

		ABS Other – 0.6%
	1,380,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016		1,402,563
	3,000,000	Ally Master Owner Trust, Series 2012-5, Class A, 1.540%, 9/15/2019		3,010,686

				4,413,249

		ABS Student Loan – 0.4%
	3,064,838	Montana Higher Education Student Assistance Corp., Series 2012-1, Class A1, 0.811%, 9/20/2022(b)		3,069,741
		Collateralized Mortgage Obligations – 27.7%
	255,339	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 0.990%, 5/15/2023(b)		260,767
	168,050	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.140%, 8/15/2023(b)		172,006
	1,167,627	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.609%, 11/15/2032(b)		1,171,436
	3,825,000	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		4,194,736


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	6,280,000	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020	$	6,757,688
	3,631,000	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035		4,195,134
	3,510,000	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035		3,961,937
	8,610,000	Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034		9,178,639
	5,223,191	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 5.016%, 6/15/2048(b)		5,494,118
	6,362,482	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.941%, 12/15/2036(b)		6,769,828
	697,305	Federal Home Loan Mortgage Corp., REMIC, Series 3802, Class BA, 4.500%, 11/15/2028		724,127
	190,837	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 1.050%, 9/25/2022(b)		196,178
	161,101	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.310%, 4/25/2024(b)		165,513
	4,155,000	Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034		4,374,999
	7,746,817	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.645%, 8/25/2038(b)		7,935,266
	136,136	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.040%, 4/25/2023(b)		139,678
	1,562,758	FHLMC, 2.948%, 12/01/2034(b)		1,672,215
	2,263,778	FHLMC, 3.354%, 3/01/2038(b)		2,409,955
	2,667,570	FHLMC, 5.282%, 11/01/2038(b)		2,885,367
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,933,132
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,889,864
	3,535,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		3,795,399
	700,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		740,559
	2,590,000	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018		2,732,813
	7,910,000	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		8,242,513
	34,370,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		34,904,797
	19,733,559	FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.562%, 4/25/2019(b)		19,817,742
	1,910,745	FNMA, 2.270%, 9/01/2036(b)		2,041,244
	5,942,617	FNMA, 2.306%, 11/01/2033(b)		6,299,967
	1,383,667	FNMA, 2.644%, 10/01/2033(b)		1,469,493
	7,391,761	FNMA, 2.659%, 9/01/2037(b)		7,899,235
	6,460,659	FNMA, 2.880%, 7/01/2037(b)		6,877,285


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	4,577,873	FNMA, 4.739%, 8/01/2038(b)	$	4,895,729
	6,444,245	Government National Mortgage Association, Series 2012-124, Class HT, 7.225%, 7/20/2032(b)		7,601,058
	8,400,749	Government National Mortgage Association, Series 2012-H29, Class HF, 0.710%, 10/20/2062(b)		8,446,474
	945,230	NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.558%, 12/07/2020(b)		948,066
	1,603,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		1,708,744
	1,692,145	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.658%, 10/07/2020(b)		1,698,491
	6,149,362	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.768%, 12/08/2020(b)		6,180,109
	133,551	NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 0.768%, 12/08/2020(b)		134,219

				200,916,520

		Commercial Mortgage-Backed Securities – 12.9%
	1,780,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.625%, 4/10/2049(b)		2,081,851
	375,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		438,579
	1,445,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		1,635,642
	1,470,000	Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.060%, 12/10/2049(b)		1,773,945
	3,200,500	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		3,671,326
	1,135,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045		1,197,737
	2,625,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		2,984,142
	5,270,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		6,106,908
	3,000,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.052%, 2/15/2041(b)		3,499,152
	1,140,000	CW Capital Cobalt Ltd., Series 2007-C2, Class A3, 5.484%, 4/15/2047		1,321,581
	7,778,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		9,168,737
	5,000,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		5,758,605
	295,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043		336,625
	2,785,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		3,205,407
	5,000,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		5,783,030
	2,000,000	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040		2,295,338


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Commercial Mortgage-Backed Securities – continued
$	4,000,000	LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.866%, 9/15/2045	$	4,768,912
	1,173,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		1,342,477
	5,364,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		6,189,176
	2,670,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-8, Class A3, 5.949%, 8/12/2049(b)		3,090,416
	5,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049		5,863,555
	3,485,000	Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.575%, 4/12/2049(b)		3,935,847
	3,000,000	Morgan Stanley Capital I, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044		3,389,400
	1,500,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.882%, 6/11/2049(b)		1,763,449
	2,690,000	Motel 6 Trust, Series 2012-MTL6, Class A1, 1.500%, 10/05/2025, 144A		2,679,808
	4,410,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048		5,058,561
	3,775,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		4,325,184

				93,665,390

		Government Owned – No Guarantee – 2.5%
	17,970,000	Federal National Mortgage Association, 3.625%, 2/12/2013		18,039,526

		Hybrid ARMs – 19.1%
	3,065,677	FHLMC, 2.294%, 4/01/2036(b)		3,261,227
	5,019,983	FHLMC, 2.345%, 7/01/2033(b)		5,341,105
	3,550,232	FHLMC, 2.370%, 3/01/2036(b)		3,762,057
	2,455,988	FHLMC, 2.372%, 4/01/2035(b)		2,629,337
	1,153,171	FHLMC, 2.376%, 2/01/2035(b)		1,208,636
	7,425,907	FHLMC, 2.387%, 2/01/2036(b)		7,890,456
	3,188,416	FHLMC, 2.416%, 2/01/2036(b)		3,397,021
	2,431,136	FHLMC, 2.433%, 6/01/2037(b)		2,588,901
	7,548,959	FHLMC, 2.483%, 5/01/2037(b)		8,032,527
	4,025,650	FHLMC, 2.706%, 11/01/2036(b)		4,292,590
	1,358,690	FHLMC, 2.748%, 4/01/2037(b)		1,453,455
	5,142,120	FHLMC, 2.902%, 9/01/2035(b)		5,490,550
	3,889,923	FHLMC, 2.992%, 4/01/2037(b)		4,131,431
	2,191,830	FHLMC, 3.481%, 11/01/2038(b)		2,344,004


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Hybrid ARMs – continued
$	4,514,651	FHLMC, 5.038%, 9/01/2038(b)	$	4,842,839
	623,942	FHLMC, 5.264%, 12/01/2037(b)		672,207
	888,624	FHLMC, 5.620%, 9/01/2038(b)		958,767
	1,536,949	FHLMC, 5.736%, 3/01/2037(b)		1,654,518
	3,975,322	FNMA, 2.267%, 7/01/2035(b)		4,222,825
	1,429,354	FNMA, 2.270%, 9/01/2034(b)		1,524,068
	343,770	FNMA, 2.270%, 2/01/2037(b)		360,208
	874,374	FNMA, 2.310%, 12/01/2034(b)		929,087
	2,392,789	FNMA, 2.310%, 1/01/2036(b)		2,553,634
	809,806	FNMA, 2.316%, 4/01/2033(b)		862,980
	2,997,880	FNMA, 2.335%, 4/01/2034(b)		3,141,612
	3,450,897	FNMA, 2.346%, 6/01/2036(b)		3,699,956
	4,614,755	FNMA, 2.347%, 8/01/2035(b)		4,920,826
	11,662,179	FNMA, 2.355%, 10/01/2034(b)		12,416,083
	2,847,930	FNMA, 2.412%, 6/01/2033(b)		2,998,655
	4,227,193	FNMA, 2.490%, 10/01/2033(b)		4,510,439
	809,968	FNMA, 2.551%, 8/01/2033(b)		863,628
	804,540	FNMA, 2.644%, 8/01/2036(b)		863,820
	2,192,027	FNMA, 2.672%, 5/01/2035(b)		2,369,163
	1,807,535	FNMA, 2.795%, 8/01/2034(b)		1,938,274
	3,369,280	FNMA, 2.823%, 4/01/2037(b)		3,594,480
	2,219,548	FNMA, 2.916%, 2/01/2047(b)		2,354,230
	5,687,675	FNMA, 3.403%, 6/01/2037(b)		6,055,315
	4,579,359	FNMA, 3.473%, 6/01/2035(b)		4,864,727
	9,221,884	FNMA, 5.789%, 9/01/2037(b)		9,948,849

				138,944,487

		Mortgage Related – 23.3%
	11,349,213	FHLMC, 2.389%, 3/01/2037(b)		12,083,509
	20,175,480	FHLMC, 3.000%, with various maturities in 2027(c)		21,292,278


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Mortgage Related – continued
$	1,124,666	FHLMC, 4.000%, 12/01/2024	$	1,189,358
	3,216,632	FHLMC, 4.500%, with various maturities from 2025 to 2034(c)		3,425,182
	982,553	FHLMC, 5.500%, 10/01/2023		1,060,410
	71,366	FHLMC, 6.000%, 11/01/2019		79,083
	2,528,529	FHLMC, 6.500%, with various maturities from 2014 to 2034(c)		2,867,370
	60,777	FHLMC, 7.000%, 2/01/2016		64,373
	2,379	FHLMC, 7.500%, with various maturities from 2014 to 2026(c)		2,616
	4,104	FHLMC, 8.000%, 9/01/2015		4,382
	2,853	FHLMC, 10.000%, 7/01/2019		3,361
	58,537	FHLMC, 11.500%, with various maturities from 2015 to 2020(c)		69,321
	8,189,889	FNMA, 2.601%, 4/01/2037(b)		8,677,010
	6,927,307	FNMA, 2.650%, 7/01/2035(b)		7,353,829
	17,162,416	FNMA, 3.000%, with various maturities from 2026 to 2042(c)		18,130,452
	1,900,127	FNMA, 4.000%, with various maturities in 2019(c)		2,041,785
	4,465,181	FNMA, 4.500%, 1/01/2025		4,805,047
	7,184,046	FNMA, 5.000%, with various maturities from 2037 to 2038(c)		7,827,005
	1,763,212	FNMA, 5.500%, with various maturities from 2018 to 2033(c)		1,924,598
	6,095,012	FNMA, 6.000%, with various maturities from 2017 to 2022(c)		6,700,209
	1,038,989	FNMA, 6.500%, with various maturities from 2017 to 2037(c)		1,185,174
	33,096	FNMA, 7.000%, 12/01/2022		36,565
	200,226	FNMA, 7.500%, with various maturities from 2015 to 2032(c)		241,612
	17,780	FNMA, 8.000%, with various maturities from 2015 to 2016(c)		19,000
	6,024,745	GNMA, 1.967%, 2/20/2061(b)		6,428,945
	4,888,918	GNMA, 4.479%, 2/20/2062		5,529,351
	5,011,466	GNMA, 4.521%, 12/20/2061		5,721,641
	2,580,635	GNMA, 4.528%, 3/20/2062		2,956,589
	7,000,000	GNMA, 4.532%, 12/20/2062		8,043,437
	2,549,952	GNMA, 4.560%, 3/20/2062		2,918,933


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Mortgage Related – continued
$	12,545,000	GNMA, 4.583%, 11/20/2062	$	14,473,794
	4,516,681	GNMA, 4.604%, 6/20/2062		5,207,480
	1,544,651	GNMA, 4.616%, 8/20/2061		1,761,006
	8,919,290	GNMA, 4.659%, 2/20/2062		10,245,436
	2,080,256	GNMA, 4.698%, 7/20/2061		2,369,969
	1,742,974	GNMA, 4.808%, 8/20/2062		1,996,322
	40,842	GNMA, 6.000%, 12/15/2031		46,145
	166,275	GNMA, 6.500%, 5/15/2031		189,551
	183,176	GNMA, 7.000%, 10/15/2028		219,149
	278	GNMA, 12.500%, 6/15/2014		279

				169,191,556

		Treasuries – 4.7%
	31,440,000	U.S. Treasury Note, 1.750%, 4/15/2013		31,587,391
	2,245,000	U.S. Treasury Note, 1.875%, 4/30/2014		2,294,197

				33,881,588

		Total Bonds and Notes (Identified Cost $670,539,270)		687,657,818

Short-Term Investments – 6.0%
	10,482,930	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $10,482,936 on 1/02/2013 collateralized by $10,670,000 Federal National Mortgage Association, 0.700% due 2/22/2016 valued at $10,696,764 including accrued interest(d)		10,482,930
	5,000,000	U.S. Treasury Bill, 0.075%, 2/28/2013(e)		4,999,780
	27,970,000	U.S. Treasury Bills, 0.031%-0.055%, 3/14/2013(e)(f)		27,968,070

		Total Short-Term Investments (Identified Cost $43,449,988)		43,450,780

		Total Investments – 100.7% (Identified Cost $713,989,258)(a)		731,108,598
		Other assets less liabilities – (0.7)%		(5,195,505	)

		Net Assets – 100.0%	$	725,913,093

(†)

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

(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, 2012, the net unrealized appreciation on investments based on a cost of $715,350,798 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	$	17,947,504
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,189,704	)

Net unrealized appreciation	$	15,757,800

(b)	Variable rate security. Rate as of December 31, 2012 is disclosed.

(c)

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

(d)

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

(f)	The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

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, 2012, the value of Rule 144A holdings amounted to $19,492,369 or 2.7% of net assets.

ABS	Asset-Backed Securities

ARMs	Adjustable Rate Mortgages

FHLMC

Federal Home Loan Mortgage Corp.

FNMA	Federal National Mortgage Association

GNMA	Government National Mortgage Association

REMIC

Real Estate Mortgage Investment Conduit

Fair Value Measurements

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Mortgage Related	$	—	$	146,674,325	$	22,517,231	$	169,191,556
All Other Bonds and Notes *		—		518,466,262		—		518,466,262

Total Bonds and Notes		—		665,140,587		22,517,231		687,657,818

Short-Term Investments		—		43,450,780		—		43,450,780

Total	$	—	$	708,591,367	$	22,517,231	$	731,108,598

*	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, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2012		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, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2012
Bonds and Notes
ABS Car Loan	$	910,501	$	—	$	—	$	—	$	—	$	—	$	—	$	(910,501	)	$	—	$	—
Mortgage Related		1,982,780		—		—		31,005		22,486,226		—		—		(1,982,780	)		22,517,231		31,005

Total	$	2,893,281	$	—	$	—	$	31,005	$	22,486,226	$	—	$	—	$	(2,893,281	)	$	22,517,231	$	31,005

Debt securities valued at $2,893,281 were transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at December 31, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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


Industry Summary at December 31, 2012 (Unaudited)

Collateralized Mortgage Obligations	27.7	%
Mortgage Related	23.3
Hybrid ARMs	19.1
Commercial Mortgage-Backed Securities	12.9
Treasuries	4.7
ABS Car Loan	2.5
Government Owned – No Guarantee	2.5
Other Investments, less than 2% each	2.0
Short-Term Investments	6.0

Total Investments	100.7
Other assets less liabilities	(0.7	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2012 (Unaudited)

Loomis Sayles Mid Cap Growth Fund


Shares		Description	Value (†)
Common Stocks – 97.4% of Net Assets
		Aerospace & Defense – 2.0%
	14,182	TransDigm Group, Inc.	$	1,933,857

		Biotechnology – 6.8%
	10,588	Alexion Pharmaceuticals, Inc.(b)		993,260
	44,320	ARIAD Pharmaceuticals, Inc.(b)		850,058
	26,263	Medivation, Inc.(b)		1,343,615
	12,761	Onyx Pharmaceuticals, Inc.(b)		963,838
	10,081	Regeneron Pharmaceuticals, Inc.(b)		1,724,557
	14,317	Synageva BioPharma Corp.(b)		662,734

				6,538,062

		Building Products – 1.7%
	56,945	Fortune Brands Home & Security, Inc.(b)		1,663,933

		Capital Markets – 4.3%
	16,889	Affiliated Managers Group, Inc.(b)		2,198,103
	29,767	T. Rowe Price Group, Inc.		1,938,725

				4,136,828

		Chemicals – 5.4%
	38,260	Eastman Chemical Co.		2,603,593
	31,856	Westlake Chemical Corp.		2,526,181

				5,129,774

		Commercial Banks – 1.0%
	28,237	First Republic Bank		925,609

		Commercial Services & Supplies – 2.1%
	21,411	Stericycle, Inc.(b)		1,997,004

		Construction Materials – 1.5%
	25,256	Eagle Materials, Inc.		1,477,476

		Energy Equipment & Services – 3.7%
	38,879	Oceaneering International, Inc.		2,091,301
	77,539	Patterson-UTI Energy, Inc.		1,444,552

				3,535,853

		Food & Staples Retailing – 2.3%
	23,814	Whole Foods Market, Inc.		2,174,933

		Food Products – 2.0%
	29,532	McCormick & Co., Inc.		1,876,168

		Health Care Providers & Services – 3.6%
	42,885	Catamaran Corp.(b)		2,020,312
	13,292	DaVita HealthCare Partners, Inc.(b)		1,469,165

				3,489,477

		Hotels, Restaurants & Leisure – 1.8%
	99,841	Melco Crown Entertainment Ltd., Sponsored ADR(b)		1,681,322


Shares		Description	Value (†)
Common Stocks – continued
		Household Durables – 5.2%
	66,786	Lennar Corp., Class A	$	2,582,615
	132,470	PulteGroup, Inc.(b)		2,405,655

				4,988,270

		Internet Software & Services – 7.5%
	34,130	Cornerstone OnDemand, Inc.(b)		1,007,859
	11,490	Equinix, Inc.(b)		2,369,238
	15,957	LinkedIn Corp., Class A(b)		1,832,183
	26,802	Rackspace Hosting, Inc.(b)		1,990,584

				7,199,864

		Machinery – 3.8%
	13,500	Flowserve Corp.		1,981,800
	26,191	Joy Global, Inc.		1,670,462

				3,652,262

		Media – 3.9%
	34,597	Liberty Global, Inc., Class A(b)		2,179,265
	95,215	Lions Gate Entertainment Corp.(b)		1,561,526

				3,740,791

		Metals & Mining – 1.0%
	68,607	Steel Dynamics, Inc.		941,974

		Oil, Gas & Consumable Fuels – 4.1%
	49,221	Cabot Oil & Gas Corp.		2,448,253
	37,615	Gulfport Energy Corp.(b)		1,437,645

				3,885,898

		Road & Rail – 2.5%
	29,209	Kansas City Southern		2,438,367

		Semiconductors & Semiconductor Equipment – 4.1%
	50,920	Linear Technology Corp.		1,746,556
	84,243	NXP Semiconductors NV(b)		2,221,488

				3,968,044

		Software – 5.5%
	23,338	NetSuite, Inc.(b)		1,570,648
	28,113	SolarWinds, Inc.(b)		1,474,527
	25,623	Sourcefire, Inc.(b)		1,209,918
	10,647	Ultimate Software Group, Inc. (The)(b)		1,005,183

				5,260,276

		Specialty Retail – 7.5%
	28,252	PetSmart, Inc.		1,930,741
	17,086	Tractor Supply Co.		1,509,719
	23,808	Ulta Salon, Cosmetics & Fragrance, Inc.		2,339,374
	36,319	Urban Outfitters, Inc.(b)		1,429,516

				7,209,350

		Textiles, Apparel & Luxury Goods – 6.1%
	27,885	Gildan Activewear, Inc.		1,020,033
	37,454	Michael Kors Holdings Ltd.(b)		1,911,278
	29,199	Under Armour, Inc., Class A(b)		1,417,028


Shares		Description	Value (†)
Common Stocks – continued
		Textiles, Apparel & Luxury Goods – continued
	9,590	VF Corp.	$	1,447,802

				5,796,141

		Trading Companies & Distributors – 2.5%
	52,554	United Rentals, Inc.(b)		2,392,258

		Wireless Telecommunication Services – 5.5%
	30,864	Crown Castle International Corp.(b)		2,227,146
	42,697	SBA Communications Corp., Class A(b)		3,032,341

				5,259,487

		Total Common Stocks (Identified Cost $81,269,771)		93,293,278


Principal Amount
Short-Term Investments – 2.9%
$	2,826,507	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $2,826,509 on 1/02/2013 collateralized by $2,880,000 U.S. Treasury Note, 0.625% due 5/31/2017 valued at $2,883,600, including accrued interest(c) (Identified Cost $2,826,507)		2,826,507

		Total Investments – 100.3% (Identified Cost $84,096,278)(a)		96,119,785
		Other assets less liabilities – (0.3)%		(287,124	)

		Net Assets – 100.0%	$	95,832,661

(†)

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.

(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, 2012, the net unrealized appreciation on investments based on a cost of $84,096,278 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	12,326,699
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(303,192	)

Net unrealized appreciation	$	12,023,507

At September 30, 2012, the Fund had a short-term capital loss carryforward of $39,194,160 of which $20,624,367 expires on September 30, 2017 and $18,569,793 expires on September 30, 2018. At September 30, 2012, late-year ordinary and post-October capital loss deferrals were $3,686,631. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	93,293,278	$	—	$	—	$	93,293,278
Short-Term Investments		—		2,826,507		—		2,826,507

Total	$	93,293,278	$	2,826,507	$	—	$	96,119,785

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

For the period ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.

Industry Summary at December 31, 2012 (Unaudited)


Specialty Retail	7.5	%
Internet Software & Services	7.5
Biotechnology	6.8
Textiles, Apparel & Luxury Goods	6.1
Software	5.5
Wireless Telecommunication Services	5.5
Chemicals	5.4
Household Durables	5.2
Capital Markets	4.3
Semiconductors & Semiconductor Equipment	4.1
Oil, Gas & Consumable Fuels	4.1
Media	3.9


Machinery	3.8
Energy Equipment & Services	3.7
Health Care Providers & Services	3.6
Road & Rail	2.5
Trading Companies & Distributors	2.5
Food & Staples Retailing	2.3
Commercial Services & Supplies	2.1
Aerospace & Defense	2.0
Food Products	2.0
Other Investments, less than 2% each	7.0
Short-Term Investments	2.9

Total Investments	100.3
Other assets less liabilities	(0.3	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2012 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)
Common Stocks – 97.1% of Net Assets
		Aerospace & Defense – 2.6%
	392,533	Hexcel Corp.(b)	$	10,582,690
	164,333	Triumph Group, Inc.		10,730,945

				21,313,635

		Airlines – 0.6%
	260,131	Spirit Airlines, Inc.(b)		4,609,521

		Biotechnology – 6.1%
	254,061	Aegerion Pharmaceuticals, Inc.(b)		6,450,609
	555,404	Alkermes PLC(b)		10,286,082
	206,563	Cubist Pharmaceuticals, Inc.(b)		8,688,040
	192,233	Emergent Biosolutions, Inc.(b)		3,083,417
	640,724	Exact Sciences Corp.(b)		6,785,267
	262,308	Myriad Genetics, Inc.(b)		7,147,893
	665,864	Neurocrine Biosciences, Inc.(b)		4,980,663
	83,170	Synageva BioPharma Corp.(b)		3,849,939

				51,271,910

		Capital Markets – 2.5%
	448,028	Financial Engines, Inc.(b)		12,432,777
	262,727	Stifel Financial Corp.(b)		8,399,382

				20,832,159

		Chemicals – 1.1%
	770,890	Flotek Industries, Inc.(b)		9,404,858

		Commercial Banks – 4.0%
	198,763	Bank of the Ozarks, Inc.		6,652,598
	830,618	Boston Private Financial Holdings, Inc.		7,483,868
	113,984	Signature Bank(b)		8,131,618
	72,889	SVB Financial Group(b)		4,079,597
	163,390	Texas Capital Bancshares, Inc.(b)		7,323,140

				33,670,821

		Communications Equipment – 2.1%
	596,830	Ciena Corp.(b)		9,370,231
	504,825	Ixia(b)		8,571,928

				17,942,159

		Construction & Engineering – 1.0%
	348,588	MasTec, Inc.(b)		8,690,299

		Consumer Finance – 0.8%
	208,909	Encore Capital Group, Inc.(b)		6,396,794

		Distributors – 0.8%
	159,428	Pool Corp.		6,746,993

		Diversified Consumer Services – 1.2%
	422,629	Grand Canyon Education, Inc.(b)		9,919,103


	Shares	Description	Value (†)
Common Stocks – continued
		Diversified Financial Services – 0.9%
	204,101	MarketAxess Holdings, Inc.	$	7,204,765

		Electrical Equipment – 1.6%
	102,076	Polypore International, Inc.(b)		4,746,534
	366,348	Thermon Group Holdings, Inc.(b)		8,253,820

				13,000,354

		Electronic Equipment, Instruments & Components – 3.1%
	143,904	FEI Co.		7,980,916
	155,576	IPG Photonics Corp.		10,369,140
	208,199	Measurement Specialties, Inc.(b)		7,153,718

				25,503,774

		Energy Equipment & Services – 3.7%
	118,138	Dril-Quip, Inc.(b)		8,629,981
	338,041	Forum Energy Technologies, Inc.(b)		8,366,515
	129,565	Lufkin Industries, Inc.		7,531,613
	121,258	Oceaneering International, Inc.		6,522,468

				31,050,577

		Food & Staples Retailing – 1.6%
	130,250	Fresh Market, Inc. (The)(b)		6,263,722
	209,728	Susser Holdings Corp.(b)		7,233,519

				13,497,241

		Health Care Equipment & Supplies – 6.3%
	240,330	Abaxis, Inc.		8,916,243
	425,474	Conceptus, Inc.(b)		8,939,209
	184,701	Cyberonics, Inc.(b)		9,702,343
	447,387	Endologix, Inc.(b)		6,370,791
	108,302	ICU Medical, Inc.(b)		6,598,841
	384,434	Insulet Corp.(b)		8,157,689
	173,052	Volcano Corp.(b)		4,085,758

				52,770,874

		Health Care Providers & Services – 3.0%
	178,917	Acadia Healthcare Co., Inc.(b)		4,174,134
	406,323	Hanger Orthopedic Group, Inc.(b)		11,116,997
	338,200	Team Health Holdings, Inc.(b)		9,730,014

				25,021,145

		Health Care Technology – 1.5%
	479,100	MedAssets, Inc.(b)		8,034,507
	106,103	Medidata Solutions, Inc.(b)		4,158,177

				12,192,684

		Hotels, Restaurants & Leisure – 4.8%
	176,466	Life Time Fitness, Inc.(b)		8,683,892
	38,198	Panera Bread Co., Class A(b)		6,066,988
	602,144	SHFL entertainment, Inc.(b)		8,731,088
	433,004	Texas Roadhouse, Inc.		7,274,467
	177,076	Vail Resorts, Inc.		9,578,041

				40,334,476


Shares		Description	Value (†)
Common Stocks – continued
		Insurance – 1.0%
	293,393	Amtrust Financial Services, Inc.	$	8,417,445

		Internet & Catalog Retail – 0.7%
	251,731	HomeAway, Inc.(b)		5,538,082

		Internet Software & Services – 3.9%
	258,929	Cornerstone OnDemand, Inc.(b)		7,646,174
	155,197	CoStar Group, Inc.(b)		13,869,956
	382,074	DealerTrack Holdings, Inc.(b)		10,973,165

				32,489,295

		IT Services – 2.3%
	285,188	Heartland Payment Systems, Inc.		8,413,046
	457,660	InterXion Holding NV(b)		10,874,002

				19,287,048

		Life Sciences Tools & Services – 1.1%
	307,654	PAREXEL International Corp.(b)		9,103,482

		Machinery – 5.0%
	164,865	Chart Industries, Inc.(b)		10,991,550
	258,883	Manitowoc Co., Inc. (The)		4,059,285
	75,508	Middleby Corp. (The)(b)		9,680,881
	183,439	Proto Labs, Inc.(b)		7,231,165
	188,690	RBC Bearings, Inc.(b)		9,447,708

				41,410,589

		Oil, Gas & Consumable Fuels – 3.9%
	279,433	Approach Resources, Inc.(b)		6,988,619
	208,610	Gulfport Energy Corp.(b)		7,973,074
	291,647	Oasis Petroleum, Inc.(b)		9,274,375
	183,390	Rosetta Resources, Inc.(b)		8,318,571

				32,554,639

		Pharmaceuticals – 0.7%
	357,542	Pacira Pharmaceuticals, Inc.(b)		6,246,259

		Professional Services – 5.1%
	216,560	Advisory Board Co. (The)(b)		10,132,842
	270,002	Corporate Executive Board Co. (The)		12,814,295
	235,282	Huron Consulting Group, Inc.(b)		7,926,651
	253,183	On Assignment, Inc.(b)		5,134,551
	349,270	WageWorks, Inc.(b)		6,217,006

				42,225,345

		Road & Rail – 1.3%
	137,481	Genesee & Wyoming, Inc., Class A(b)		10,459,554

		Semiconductors & Semiconductor Equipment – 5.6%
	250,331	Cavium, Inc.(b)		7,812,831
	186,504	EZchip Semiconductor Ltd.(b)		6,167,687
	160,411	Hittite Microwave Corp.(b)		9,961,523
	182,446	Silicon Laboratories, Inc.(b)		7,628,067
	234,170	Ultratech, Inc.(b)		8,734,541


Shares		Description	Value (†)
Common Stocks – continued
		Semiconductors & Semiconductor Equipment – continued
	384,279	Volterra Semiconductor Corp.(b)	$	6,598,071

				46,902,720

		Software – 8.7%
	350,336	Allot Communications Ltd.(b)		6,242,988
	239,403	Aspen Technology, Inc.(b)		6,617,099
	127,221	CommVault Systems, Inc.(b)		8,868,576
	262,844	Ellie Mae, Inc.(b)		7,293,921
	300,550	Guidewire Software, Inc.(b)		8,932,346
	210,931	Imperva, Inc.(b)		6,650,654
	331,590	QLIK Technologies, Inc.(b)		7,202,135
	186,286	Sourcefire, Inc.(b)		8,796,425
	126,274	Ultimate Software Group, Inc. (The)(b)		11,921,528

				72,525,672

		Specialty Retail – 6.6%
	306,126	Asbury Automotive Group, Inc.(b)		9,805,216
	174,145	Cabela’s, Inc.(b)		7,270,554
	428,807	Chico’s FAS, Inc.		7,915,777
	138,690	Hibbett Sports, Inc.(b)		7,308,963
	118,589	Lumber Liquidators Holdings, Inc.(b)		6,265,057
	256,100	rue21, Inc.(b)		7,270,679
	166,054	Vitamin Shoppe, Inc.(b)		9,524,857

				55,361,103

		Textiles, Apparel & Luxury Goods – 1.9%
	200,712	Oxford Industries, Inc.		9,305,008
	296,430	Tumi Holdings, Inc.(b)		6,180,566

				15,485,574

		Total Common Stocks (Identified Cost $722,503,589)		809,380,949


Principal Amount
Short-Term Investments – 2.8%
	$23,005,539	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $23,095,552 on 1/02/2013 collateralized by $23,080,000 Federal Home Loan Mortgage Corp., 1.000% due 3/08/2017 valued at $23,469,209 including accrued interest(c) (Identified Cost $23,005,539)		23,005,539


Total Investments – 99.9% (Identified Cost $745,509,128)(a)		832,386,488
Other assets less liabilities – 0.1%		1,059,096

Net Assets – 100.0%	$	833,445,584

(†)

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.

(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, 2012, the net unrealized appreciation on investments based on a cost of $745,509,128 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	$	97,622,637
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(10,745,277	)

Net unrealized appreciation	$	86,877,360

At September 30, 2012, late-year ordinary and post-October capital loss deferrals were $16,260,177. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

Fair Value Measurements

•

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

•

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	809,380,949	$	—	$	—	$	809,380,949

Short-Term Investments		—		23,005,539		—		23,005,539

Total	$	809,380,949	$	23,005,539	$	—	$	832,386,488

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

For the period ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.

Industry Summary at December 31, 2012 (Unaudited)


Software	8.7	%
Specialty Retail	6.6
Health Care Equipment & Supplies	6.3
Biotechnology	6.1
Semiconductors & Semiconductor Equipment	5.6
Professional Services	5.1
Machinery	5.0
Hotels, Restaurants & Leisure	4.8
Commercial Banks	4.0
Oil, Gas & Consumable Fuels	3.9
Internet Software & Services	3.9
Energy Equipment & Services	3.7
Electronic Equipment, Instruments & Components	3.1
Health Care Providers & Services	3.0
Aerospace & Defense	2.6
Capital Markets	2.5
IT Services	2.3
Communications Equipment	2.1
Other Investments, less than 2% each	17.8
Short-Term Investments	2.8

Total Investments	99.9
Other assets less liabilities	0.1

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2012 (Unaudited)

Loomis Sayles Strategic Income Fund


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 74.2% of Net Assets
Non-Convertible Bonds – 65.8%
		ABS Car Loan – 0.0%
$	4,093,750	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A	$	4,468,357

		ABS Home Equity – 0.0%
	4,488,733	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.698%, 4/25/2035(b)		4,535,075

		Aerospace & Defense – 0.4%
	620,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		652,100
	11,800,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		12,006,500
	2,425,000	Ducommun, Inc., 9.750%, 7/15/2018		2,606,875
	8,236,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		8,259,885
	5,436,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		4,689,496
	20,755,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		19,279,340
	5,310,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		4,619,700

				52,113,896

		Airlines – 2.6%
	35,455,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		37,247,889
	3,280,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		3,427,600
	21,015,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018, 144A		21,172,612
	27,379	Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015		27,242
	1,116,353	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		1,149,844
	1,777,301	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		1,803,960
	1,992,872	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		2,094,908
	3,297,567	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		3,433,427
	2,231,607	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		2,320,871
	1,263,891	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		1,431,357
	1,454,412	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,643,486


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Airlines – continued
$	2,473,631	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019	$	2,634,417
	1,844,668	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,990,046
	1,063,631	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,130,108
	10,659,062	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		11,870,997
	18,547,049	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		19,978,881
	17,148,751	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		19,849,680
	15,274,403	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		17,641,936
	3,980,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021		4,218,800
	1,285,967	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,435,397
	6,417,317	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		7,018,620
	20,642,922	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		21,390,196
	1,864,802	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		1,976,691
	1,500,000	Qantas Airways Ltd., 5.125%, 6/20/2013, 144A		1,531,114
	8,740,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		9,261,804
	17,663,390	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		18,988,144
	7,200,022	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		8,288,666
	15,676,983	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		16,382,448
	36,898,577	US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A		39,112,491
	49,191,763	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		52,204,758
	18,190,209	US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014		18,917,817
	14,095,000	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		15,363,550
	7,280,000	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		7,771,400
	5,680,000	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		5,857,500

				380,568,657


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Automotive – 0.9%
$	265,000	ArvinMeritor, Inc., 8.125%, 9/15/2015	$	278,913
	3,800,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		4,180,000
	19,011,000	Ford Motor Co., 6.375%, 2/01/2029		21,260,134
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,363,034
	74,829,000	Ford Motor Co., 6.625%, 10/01/2028		86,417,019
	2,365,000	Ford Motor Co., 7.125%, 11/15/2025		2,731,575
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,597,188
	6,000,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		6,435,000
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,014,327

				129,277,190

		Banking – 6.9%
	1,175,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		1,593,506
	20,565,000	Associates Corp. of North America, 6.950%, 11/01/2018		24,772,599
	900,000	Bank of America Corp., 5.490%, 3/15/2019		999,736
	265,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		302,538
	1,000,000	Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD)		1,059,449
	1,500,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%, 12/29/2049		1,659,120
	1,130,000	Barclays Bank PLC, (fixed rate to 12/15/2017, variable rate thereafter), 6.000%, 6/29/2049, (GBP)		1,551,106
	39,890,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		38,221,668
	7,320,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR)		7,367,305
	57,792,000,000	Barclays Financial LLC, EMTN, 3.500%, 11/29/2016, (KRW)		55,423,531
	1,600,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR)		1,993,466
	5,331,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A		5,144,415
	4,000,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		3,876,948
	350,000	Citigroup, Inc., 5.850%, 12/11/2034		410,351
	24,610,000	Citigroup, Inc., 5.875%, 2/22/2033		26,082,441
	8,999,000	Citigroup, Inc., 6.000%, 10/31/2033		9,699,032
	6,060,000	Citigroup, Inc., 6.125%, 8/25/2036		6,604,655


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
	22,091,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)	$	19,336,371
	3,350,000	Citigroup, Inc., EMTN, 1.458%, 11/30/2017, (EUR)(b)		4,155,570
	3,035,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.375%, 1/19/2017		3,260,458
	17,730,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022		19,079,679
	400,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		438,734
	34,060,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		38,601,118
	29,215,000	HBOS PLC, 6.000%, 11/01/2033, 144A		26,400,719
	50,604,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		54,462,555
	9,090,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		9,169,538
	260,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		27,037,302
	227,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		25,063,626
	11,700,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 9/29/2049, 144A		8,892,000
	27,555,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		30,447,448
	3,010,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		3,303,475
	1,900,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		2,091,628
	6,700,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		7,313,385
	51,500,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		27,982,295
	3,450,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		4,795,912
	800,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		873,629
	1,235,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		1,450,328
	2,000,000	Morgan Stanley, 0.820%, 10/15/2015(b)		1,937,932
	72,970,000	Morgan Stanley, 4.875%, 11/01/2022		75,552,700
	74,310,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		66,115,603
	100,265,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		115,059,016
	950,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		1,700,530
	1,000,000	Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR)		1,418,369
	79,700,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		89,174,624


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	10,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026	$	11,736,120
	6,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		7,464,468
	7,900,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		9,310,743
	12,100,000	Morgan Stanley, Series F, MTN, 0.775%, 10/18/2016(b)		11,502,684
	5,210,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		5,899,825
	4,100,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		7,125,603
	2,850,000	RBS Capital Trust A, 2.285%, 12/29/2049, (EUR)(b)		2,612,235
	1,905,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR)		1,750,096
	6,290,000	RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049		4,874,750
	4,050,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049		3,523,500
	2,085,000	RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, 9/29/2049		1,636,725
	930,000	Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR)		906,549
	15,100,000	Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)		15,227,480
	17,700,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		18,682,031
	1,990,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049		1,791,000
	850,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		1,149,237
	7,750,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		11,545,485
	2,150,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		2,681,705
	700,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		728,000
	1,300,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		1,754,853
	1,800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		1,845,000
	1,500,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		1,517,229
	4,140,000	SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR)		5,219,236
	12,705,000	Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 4/29/2049, 144A		11,688,727
	8,750,000	Societe Generale S.A., (fixed rate to 5/22/2013, variable rate thereafter), 7.756%, 5/29/2049, (EUR)		11,028,661

				1,005,078,352


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Brokerage – 0.7%
$	2,655,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A	$	2,689,088
	13,425,000	Jefferies Group, Inc., 5.125%, 4/13/2018		14,096,250
	20,010,000	Jefferies Group, Inc., 6.250%, 1/15/2036		20,710,350
	15,215,000	Jefferies Group, Inc., 6.450%, 6/08/2027		16,203,975
	39,040,000	Jefferies Group, Inc., 6.875%, 4/15/2021		43,724,800

				97,424,463

		Building Materials – 0.8%
	6,995,000	Masco Corp., 6.500%, 8/15/2032		7,235,516
	5,510,000	Masco Corp., 7.125%, 3/15/2020		6,410,505
	2,630,000	Masco Corp., 7.750%, 8/01/2029		2,925,075
	35,980,000	Owens Corning, Inc., 7.000%, 12/01/2036		39,810,647
	46,412,000	USG Corp., 6.300%, 11/15/2016		48,036,420
	14,155,000	USG Corp., 9.750%, 1/15/2018		16,030,538

				120,448,701

		Chemicals – 0.4%
	20,070,000	Hercules, Inc., 6.500%, 6/30/2029		18,063,000
	5,200,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		5,343,000
	23,584,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		18,631,360
	8,020,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		7,458,600
	8,757,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		7,793,730
	4,200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		4,294,500

				61,584,190

		Commercial Mortgage-Backed Securities – 0.2%
	35,060,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.789%, 8/10/2045(b)		33,938,746

		Construction Machinery – 0.1%
	1,425,000	Joy Global, Inc., 6.625%, 11/15/2036		1,631,530
	525,000	United Rentals North America, Inc., 8.375%, 9/15/2020		581,437
	13,630,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		15,231,525

				17,444,492


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Consumer Cyclical Services – 0.1%
$	670,000	ServiceMaster Co. (The), 7.100%, 3/01/2018	$	636,500
	5,500,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		4,455,000
	1,048,000	Western Union Co. (The), 6.200%, 6/21/2040		1,065,508

				6,157,008

		Electric – 2.5%
	7,559,326	AES Ironwood LLC, 8.857%, 11/30/2025		8,863,310
	823,987	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		898,146
	46,351,759	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		49,879,128
	66,044,844	Bruce Mansfield Unit, 6.850%, 6/01/2034		68,818,727
	2,597,683	CE Generation LLC, 7.416%, 12/15/2018		2,682,108
	28,105,000	Edison Mission Energy, 7.625%, 5/15/2027(d)		14,895,650
	42,200,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		41,811,127
	14,800,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		15,517,622
	2,800,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		3,805,814
	500,000	EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		681,794
	100,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		139,908
	250,000	Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013		259,585
	3,570,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		4,347,289
	13,642,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		13,210,190
	1,435,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		1,498,858
	2,732,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		4,041,227
	5,940,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		6,637,950
	101,073,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A		96,524,715
	555,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		653,534
	16,670,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		13,044,275
	7,300,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		7,256,163
	10,935,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		10,524,128

				365,991,248


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Financial Other – 0.3%
$	19,005,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A	$	19,645,468
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		27,855,740

				47,501,208

		Food & Beverage – 0.0%
	4,370,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		4,843,157

		Gaming – 0.1%
	840,000	MGM Resorts International, 7.625%, 1/15/2017		898,800
	13,715,000	MGM Resorts International, 8.625%, 2/01/2019, 144A		15,292,225

				16,191,025

		Government Guaranteed – 0.5%
	72,695,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		68,979,593

		Government Owned – No Guarantee – 0.6%
	19,500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		22,839,375
	70,300,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		7,361,532
	499,300,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		53,160,231
	8,935,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027		6,254,500

				89,615,638

		Government Sponsored – 0.1%
	1,000,000	EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF)		982,988
	10,807,000	Eksportfinans ASA, 2.000%, 9/15/2015		10,344,093
	9,005,000	Eksportfinans ASA, 2.375%, 5/25/2016		8,590,806

				19,917,887

		Healthcare – 2.3%
	2,795,000	HCA Holdings, Inc., 6.250%, 2/15/2021		2,864,875
	9,960,000	HCA, Inc., 5.875%, 3/15/2022		10,831,500
	108,560,000	HCA, Inc., 5.875%, 5/01/2023		112,359,600
	14,620,000	HCA, Inc., 7.050%, 12/01/2027		14,071,750
	11,104,000	HCA, Inc., 7.190%, 11/15/2015		12,214,400
	20,447,000	HCA, Inc., 7.500%, 12/15/2023		20,907,057


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	24,215,000	HCA, Inc., 7.500%, 11/06/2033	$	24,336,075
	46,148,000	HCA, Inc., 7.690%, 6/15/2025		47,186,330
	32,745,000	HCA, Inc., 8.360%, 4/15/2024		35,282,737
	15,815,000	HCA, Inc., MTN, 7.580%, 9/15/2025		16,012,688
	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036		9,658,110
	32,559,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		29,303,100

				335,028,222

		Home Construction – 0.8%
	11,265,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		11,405,813
	13,360,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		11,356,000
	16,075,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		15,673,125
	6,290,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		6,132,750
	11,315,000	KB Home, 7.250%, 6/15/2018		12,305,062
	47,260,000	Pulte Group, Inc., 6.000%, 2/15/2035		43,951,800
	13,190,000	Pulte Group, Inc., 6.375%, 5/15/2033		13,157,025

				113,981,575

		Independent Energy – 0.3%
	1,150,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		1,616,610
	1,375,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		1,474,688
	1,040,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,127,100
	21,470,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		14,599,600
	12,635,000	QEP Resources, Inc., 6.875%, 3/01/2021		14,561,837
	2,780,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		2,974,600

				36,354,435

		Industrial Other – 0.1%
	10,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,029,750

		Life Insurance – 1.3%
	34,562,000	American International Group, Inc., 6.250%, 3/15/2087		36,894,935


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Life Insurance – continued
$	27,655,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068	$	36,020,638
	19,625,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		23,200,616
	2,855,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		2,960,279
	23,200,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A		22,736,000
	1,000,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)		1,559,355
	1,350,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		1,860,611
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		18,143,235
	1,475,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,035,500
	15,930,000	MetLife, Inc., 6.400%, 12/15/2066		17,032,770
	8,145,000	MetLife, Inc., 10.750%, 8/01/2069		12,298,950
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		9,478,651
	3,910,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		4,364,072

				188,585,612

		Local Authorities – 1.5%
	8,095,000	City of Rome Italy, EMTN, 5.345%, 1/27/2048, (EUR)		8,586,222
	3,905,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		3,467,716
	82,840,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		96,141,211
	66,305,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		74,941,408
	26,730,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		29,176,958

				212,313,515

		Media Cable – 0.6%
	25,270,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		28,515,952
	44,800,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		60,316,471

				88,832,423

		Media Non-Cable – 0.6%
	4,795,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		4,471,337
	64,250,000	Clear Channel Communications, Inc., 9.000%, 3/01/2021		57,343,125
	28,455,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		28,739,550

				90,554,012


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Metals & Mining – 0.6%
$	3,949,000		Alcoa, Inc., 5.870%, 2/23/2022	$	4,259,585
	1,405,000		Alcoa, Inc., 5.950%, 2/01/2037		1,357,203
	4,330,000		Alcoa, Inc., 6.750%, 1/15/2028		4,682,596
	25,271,000		ArcelorMittal, 7.250%, 3/01/2041		23,438,853
	18,750,000		Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		12,843,750
	16,135,000		Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		16,543,606
	7,000,000		United States Steel Corp., 6.050%, 6/01/2017		7,332,500
	6,779,000		United States Steel Corp., 6.650%, 6/01/2037		5,897,730
	16,435,000		United States Steel Corp., 7.000%, 2/01/2018		17,544,363

					93,900,186

			Non-Captive Consumer – 4.3%
	63,088,000		Residential Capital LLC, 9.625%, 5/15/2015(d)		66,321,260
	109,950	(††)	SLM Corp., 6.000%, 12/15/2043		2,621,941
	7,515,000		SLM Corp., MTN, 4.625%, 9/25/2017		7,693,489
	13,455,000		SLM Corp., MTN, 5.050%, 11/14/2014		14,123,162
	17,600,000		SLM Corp., MTN, 7.250%, 1/25/2022		19,404,000
	2,160,000		SLM Corp., MTN, 8.000%, 3/25/2020		2,467,800
	3,750,000		SLM Corp., Series A, MTN, 0.615%, 1/27/2014(b)		3,714,791
	41,770,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		44,030,467
	14,465,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		14,519,909
	50,910,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		47,219,025
	95,060,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		111,220,200
	26,150,000		Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		34,505,392
	10,120,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		9,158,600
	14,232,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		13,449,240
	14,430,000		Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		14,664,487
	800,000		Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		708,000


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
$	248,290,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017	$	222,219,550

				628,041,313

		Non-Captive Diversified – 4.6%
	7,855,000	Aircastle Ltd., 7.625%, 4/15/2020		8,777,963
	32,711,000	Ally Financial, Inc., 8.000%, 12/31/2018		38,271,870
	29,332,000	Ally Financial, Inc., 8.000%, 11/01/2031		37,141,645
	25,320,000	General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)		21,995,796
	79,035,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		71,446,499
	58,490,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		51,849,245
	15,305,000	General Electric Capital Corp., Series A, MTN, 0.640%, 5/13/2024(b)		13,394,385
	245,797,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		216,707,036
	2,665,000	International Lease Finance Corp., 5.875%, 4/01/2019		2,808,907
	24,750,000	International Lease Finance Corp., 5.875%, 8/15/2022		26,215,497
	1,995,000	International Lease Finance Corp., 6.250%, 5/15/2019		2,124,675
	20,610,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		23,907,600
	10,245,000	International Lease Finance Corp., 8.250%, 12/15/2020		12,217,163
	2,620,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		2,685,500
	2,547,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		2,650,459
	23,175,000	iStar Financial, Inc., 5.850%, 3/15/2017		22,711,500
	20,478,000	iStar Financial, Inc., 5.875%, 3/15/2016		20,478,000
	8,300,000	iStar Financial, Inc., 6.050%, 4/15/2015		8,341,500
	19,240,000	iStar Financial, Inc., 7.125%, 2/15/2018		19,600,750
	6,778,000	iStar Financial, Inc., 8.625%, 6/01/2013		6,955,923
	2,920,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		2,985,700
	44,610,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		45,557,962
	19,915,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		20,462,662

				679,288,237


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Oil Field Services – 0.4%
$	41,550,000	Edgen Murray Corp., 8.750%, 11/01/2020, 144A	$	41,965,500
	7,275,000	Rowan Cos., Inc., 7.875%, 8/01/2019		8,982,930

				50,948,430

		Paper – 1.0%
	14,715,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		19,266,453
	1,160,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		1,580,594
	47,875,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		65,472,366
	775,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,162,029
	14,520,000	Westvaco Corp., 7.950%, 2/15/2031		18,976,507
	25,210,000	Westvaco Corp., 8.200%, 1/15/2030		33,262,906
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,290,844

				143,011,699

		Pharmaceuticals – 0.4%
	11,225,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		12,038,813
	43,165,000	VPI Escrow Corp., 6.375%, 10/15/2020, 144A		46,294,462

				58,333,275

		Pipelines – 1.1%
	750,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		874,464
	9,115,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		10,703,043
	8,935,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		9,874,533
	40,591,980	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		42,690,585
	81,710,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		89,063,900
	3,870,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		4,063,500
	3,065,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		2,758,500
	4,168,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		3,459,440

				163,487,965

		Property & Casualty Insurance – 0.3%
	14,855,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		16,654,743
	3,405,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		4,036,518


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Property & Casualty Insurance – continued
$	12,510,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A	$	2,126,700
	2,275,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		2,289,287
	11,200,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		12,232,192
	3,000,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		3,095,940
	1,425,000	XL Group PLC, 6.375%, 11/15/2024		1,712,823

				42,148,203

		Railroads – 0.0%
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		991,580

		Restaurants – 0.0%
	4,880,000	Shearer’s Foods LLC/ Chip Finance Corp., 9.000%, 11/01/2019, 144A		5,124,000

		Retailers – 0.8%
	2,500,000	Dillard’s, Inc., 6.625%, 1/15/2018		2,706,250
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,349,937
	4,187,000	Dillard’s, Inc., 7.130%, 8/01/2018		4,668,505
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,578,750
	425,000	Dillard’s, Inc., 7.875%, 1/01/2023		465,375
	10,270,000	Foot Locker, Inc., 8.500%, 1/15/2022		11,532,696
	3,685,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		3,242,800
	37,064,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		27,798,000
	635,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		547,688
	160,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		133,600
	3,985,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,128,225
	12,275,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		14,039,335
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		7,042,548
	37,646,000	Toys R Us, Inc., 7.375%, 10/15/2018		34,257,860

				114,491,569

		Sovereigns – 2.0%
	47,935,000	Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF)		42,473,769


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Sovereigns – continued
	64,132,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)	$	9,043,846
	10,000,000,000	Indonesia Treasury Bond, Series FR47, 10.000%, 2/15/2028, (IDR)		1,445,705
	166,250,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		98,856,838
	56,700,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		36,484,615
	49,120,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)		29,567,961
	18,400,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		21,091,000
	5,226,139,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		29,656,785
	3,178,700,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		17,407,249
	1,715,823,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		10,536,776

				296,564,544

		Supermarkets – 0.5%
	8,336,000	American Stores Co., 7.900%, 5/01/2017		7,898,360
	73,686,000	New Albertson’s, Inc., 7.450%, 8/01/2029		41,264,160
	20,250,000	New Albertson’s, Inc., 7.750%, 6/15/2026		11,390,625
	10,950,000	New Albertson’s, Inc., 8.000%, 5/01/2031		6,159,375
	3,425,000	New Albertson’s, Inc., 8.700%, 5/01/2030		1,986,500
	13,707,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		7,298,977

				75,997,997

		Supranational – 2.1%
	250,500,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		27,900,047
	128,560,000	European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL)		65,306,596
	16,375,000	European Investment Bank, 11.250%, 2/14/2013, (BRL)		8,035,946
	460,500,000,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		47,137,043
	60,665,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		66,894,450
	244,840,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		24,962,883
	24,450,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		22,490,170
	8,300,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		6,832,995
	72,900,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		34,767,692

				304,327,822


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Technology – 1.0%
	832,000	Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR)	$	1,125,654
	31,237,000	Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR)		42,674,398
	79,074,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		60,096,240
	5,845,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		4,398,362
	34,955,000	Amkor Technology, Inc., 6.375%, 10/01/2022, 144A		34,430,675
	31,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		31,271
	475,000	Motorola Solutions, Inc., 6.000%, 11/15/2017		561,555
	2,562,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		2,940,694
	225,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		290,761
	3,615,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A		3,696,338

				150,245,948

		Textile – 0.0%
	2,595,000	Jones Group, Inc. (The), 6.125%, 11/15/2034		2,231,700
	3,450,000	Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		3,588,000

				5,819,700

		Tobacco – 0.0%
	3,015,000	Reynolds American, Inc., 7.250%, 6/15/2037		3,953,663

		Transportation Services – 0.3%
	10,503,000	APL Ltd., 8.000%, 1/15/2024(c)		9,715,275
	7,116,499	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		6,689,509
	6,862,758	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)(f)		6,382,365
	5,994,406	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020		5,994,406
	6,267,285	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		5,452,538
	4,744,556	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(e)(f)		3,653,308
	2,815,458	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017		2,730,994
	3,970,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		5,041,221

				45,659,616


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Treasuries – 17.2%
	272,755,000		Canadian Government, 2.250%, 8/01/2014, (CAD)	$	278,987,755
	201,485,000		Canadian Government, 2.500%, 6/01/2015, (CAD)		208,973,590
	89,045,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		93,989,159
	80,216,000		Canadian Government, 3.500%, 6/01/2013, (CAD)		81,459,521
	171,980,000		Canadian Government, 3.750%, 6/01/2019, (CAD)		196,012,593
	25,445,000		Canadian Government, 4.250%, 6/01/2018, (CAD)		29,316,620
	118,375,000		Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		162,486,642
	80,820,000		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		106,675,436
	24,400,000		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		33,024,981
	121,560,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		163,084,170
	1,440,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		1,899,053
	1,440,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		1,961,929
	1,435,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		2,060,426
	16,739,481	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		156,647,137
	22,670,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		21,373,986
	53,301,000		New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		44,543,918
	457,420,000		Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		91,679,799
	221,050,000		Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		42,983,312
	1,520,540,000		Norwegian Government Bond, 6.500%, 5/15/2013, (NOK)		278,230,298
	21,120,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		22,684,394
	1,995,000		Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		1,740,929
	6,225,000		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		7,292,316
	14,475,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		16,166,785
	65,300,000		Singapore Government Bond, 1.375%, 10/01/2014, (SGD)		54,494,802
	419,985,000		U.S. Treasury Note, 0.250%, 6/30/2014		420,149,214

					2,517,918,765

			Wireless – 0.7%
	293,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		23,266,575


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wireless – continued
$	31,041,000	Sprint Capital Corp., 6.875%, 11/15/2028	$	32,282,640
	29,252,000	Sprint Capital Corp., 6.900%, 5/01/2019		31,884,680
	6,260,000	Sprint Capital Corp., 8.750%, 3/15/2032		7,652,850
	11,309,000	Sprint Nextel Corp., 6.000%, 12/01/2016		12,298,538

				107,385,283

		Wirelines – 3.8%
	3,265,000	AT&T, Inc., 4.300%, 12/15/2042, 144A		3,279,213
	5,650,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		2,994,500
	4,370,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,451,802
	21,480,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		26,190,398
	72,320,000	CenturyLink, Inc., 6.450%, 6/15/2021		79,913,528
	765,000	CenturyLink, Inc., 7.650%, 3/15/2042		799,509
	7,410,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		7,656,546
	2,965,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		3,077,676
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		339,500
	5,330,000	Embarq Corp., 7.995%, 6/01/2036		5,887,097
	38,336,000	Frontier Communications Corp., 7.875%, 1/15/2027		38,911,040
	1,120,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		2,012,162
	1,800,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		2,525,831
	28,505,000	Level 3 Financing, Inc., 7.000%, 6/01/2020, 144A		29,787,725
	5,965,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		6,621,150
	2,555,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		2,855,213
	500,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		583,022
	16,550,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		19,748,922
	29,750,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		39,408,332
	750,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		1,045,698
	800,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,070,786
	16,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		18,527,386


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
$	42,460,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028	$	43,276,039
	12,463,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		13,659,947
	32,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		33,929,875
	31,060,000	Qwest Corp., 6.875%, 9/15/2033		31,215,300
	3,075,000	Qwest Corp., 7.200%, 11/10/2026		3,091,912
	3,999,000	Qwest Corp., 7.250%, 9/15/2025		4,633,725
	27,091,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		26,481,452
	22,415,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		22,583,112
	4,350,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		4,698,000
	31,690,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		35,147,323
	18,600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		21,275,281
	3,346,000	Verizon New England, Inc., 7.875%, 11/15/2029		4,445,114
	5,215,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		6,113,732

				549,237,848

		Total Non-Convertible Bonds (Identified Cost $8,747,259,586)		9,639,636,070


Convertible Bonds – 7.3%
		Airlines – 0.0%
	1,255,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		1,200,320

		Automotive – 1.4%
	4,240,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(g)		3,172,050
	125,580,000	Ford Motor Co., 4.250%, 11/15/2016		199,044,300
	8,460,000	Navistar International Corp., 3.000%, 10/15/2014		7,725,037

				209,941,387

		Brokerage – 0.0%
	5,025,000	Jefferies Group, Inc., 3.875%, 11/01/2029		4,977,891

		Diversified Manufacturing – 0.3%
	30,570,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		30,245,194
	16,727,000	Trinity Industries, Inc., 3.875%, 6/01/2036		18,702,877

				48,948,071


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Electric – 0.0%
$	1,800,000	CMS Energy Corp., 5.500%, 6/15/2029	$	3,192,750

		Healthcare – 0.4%
	13,305,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(g)		13,263,422
	7,210,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(g)		7,151,419
	1,810,000	Illumina, Inc., 0.250%, 3/15/2016, 144A		1,754,569
	190,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		190,237
	2,380,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,446,937
	3,780,000	Omnicare, Inc., 3.250%, 12/15/2035		3,770,550
	20,495,000	Omnicare, Inc., 3.750%, 12/15/2025		30,204,506

				58,781,640

		Home Construction – 0.6%
	52,005,000	Lennar Corp., 3.250%, 11/15/2021, 144A		93,283,969

		Independent Energy – 0.4%
	20,440,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		16,505,300
	24,655,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		22,189,500
	11,536,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		11,031,300

				49,726,100

		Life Insurance – 0.5%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		75,877,172

		Media Non-Cable – 0.0%
	5,841,174	Liberty Media LLC, 3.500%, 1/15/2031		2,778,208

		Metals & Mining – 0.1%
	1,000,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,088,125
	11,270,000	United States Steel Corp., 4.000%, 5/15/2014		12,150,469

				13,238,594

		Non-Captive Diversified – 0.1%
	10,660,000	iStar Financial, Inc., 3.000%, 11/15/2016		10,859,875

		Pharmaceuticals – 0.0%
	3,065,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		3,446,209


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		REITs – Warehouse/Industrials – 0.2%
$	19,445,000	ProLogis LP, 3.250%, 3/15/2015	$	22,033,616

		Technology – 2.5%
	49,215,000	Ciena Corp., 0.875%, 6/15/2017		42,417,178
	7,185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		8,087,616
	6,075,000	Ciena Corp., 4.000%, 3/15/2015, 144A		6,895,125
	2,429,000	Intel Corp., 2.950%, 12/15/2035		2,518,569
	205,005,000	Intel Corp., 3.250%, 8/01/2039		240,240,234
	1,055,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		1,042,472
	52,965,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		48,396,769
	8,550,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		8,240,063
	6,000,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A		5,842,500

				363,680,526

		Wirelines – 0.8%
	6,000,000	Level 3 Communications, Inc., 6.500%, 10/01/2016		8,486,250
	54,075,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		64,315,453
	32,895,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		39,124,490
	900,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		1,214,685

				113,140,878

		Total Convertible Bonds (Identified Cost $884,094,747)		1,075,107,206


Municipals – 1.1%
		District of Columbia – 0.1%
	3,850,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047		4,761,911

		Illinois – 0.3%
	1,725,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		1,823,618
	47,285,000	State of Illinois, 5.100%, 6/01/2033		46,772,431

				48,596,049

		Michigan – 0.1%
	13,225,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		11,072,499


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Municipals – continued
		Virginia – 0.6%
$	128,820,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)	$	91,664,447

		Total Municipals (Identified Cost $183,186,678)		156,094,906

		Total Bonds and Notes (Identified Cost $9,814,541,011)		10,870,838,182


Senior Loans – 2.3%
		Airlines – 0.3%
	42,885,000	Delta Air Lines, Inc., Term Loan B1, 5.250%, 10/10/2018(b)		43,195,916

		Automotive – 0.1%
	19,034,110	TI Group Automotive Systems, LLC, New Term Loan, 6.750%, 3/14/2018(b)		19,129,281

		Chemicals – 0.2%
	31,355,000	Houghton International, Inc., New 2nd Lien Term Loan, 10.500%, 12/21/2020(b)		30,923,869

		Consumer Products – 0.0%
	1,570,027	Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)		1,422,837

		Electric – 0.0%
	4,788,467	Texas Competitive Electric Holdings Company, LLC, Non-Extended Term Loan, 3.746%, 10/10/2014(h)		3,601,837

		Food & Beverage – 0.1%
	13,667,549	DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b)		14,009,237

		Media Non-Cable – 0.1%
	20,726,381	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)		14,828,068

		Metals & Mining – 0.3%
	11,590,950	Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b)		11,417,086
	33,670,613	FMG America Finance, Inc., Term Loan, 5.250%, 10/18/2017(b)		33,923,142

				45,340,228

		Non-Captive Diversified – 0.6%
	84,000,000	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b)		87,990,000

		Supermarkets – 0.2%
	29,136,342	Supervalu, Inc., New Term Loan B, 8.000%, 8/30/2018(b)		29,531,431

		Wireless – 0.2%
	19,675,688	Hawaiian Telcom Communications, Inc., Term Loan B, 7.000%, 2/28/2017(b)		20,029,850


Principal Amount (‡)		Description	Value (†)
Senior Loans – continued
		Wirelines – 0.2%
$	24,130,848	FairPoint Communications, Inc., New Term Loan B, 6.449%, 1/22/2016(b)	$	23,295,438

		Total Senior Loans (Identified Cost $333,169,440)		333,297,992

Shares
Common Stocks – 17.6%
		Biotechnology – 0.2%
	867,059	Vertex Pharmaceuticals, Inc.(f)		36,364,454

		Chemicals – 2.1%
	1,364,851	Dow Chemical Co. (The)		44,111,984
	2,000,000	PPG Industries, Inc.		270,700,000

				314,811,984

		Containers & Packaging – 0.1%
	460,656	Owens-Illinois, Inc.(f)		9,798,153
	2,304	Rock-Tenn Co., Class A		161,073

				9,959,226

		Diversified Financial Services – 0.3%
	3,979,932	Bank of America Corp.		46,167,211

		Diversified Telecommunication Services – 2.1%
	183,181	FairPoint Communications, Inc.(f)		1,454,457
	283,397	Hawaiian Telcom Holdco, Inc.(f)		5,526,242
	200,000	Telecom Italia SpA, Sponsored ADR		1,810,000
	3,871,339	Telecom Italia SpA, Sponsored ADR		30,583,578
	19,550,590	Telefonica S.A., Sponsored ADR		263,737,459

				303,111,736

		Electric Utilities – 0.0%
	94,166	Duke Energy Corp.		6,007,791

		Electronic Equipment, Instruments & Components – 2.8%
	32,000,000	Corning, Inc.		403,840,000

		Food Products – 0.5%
	2,309,175	ConAgra Foods, Inc.		68,120,663

		Household Durables – 0.2%
	477,725	KB Home		7,548,055
	549,450	Lennar Corp., Class A		21,247,232

				28,795,287

		Independent Power Producers & Energy Traders – 0.1%
	936,622	Dynegy, Inc.(f)		17,917,579

		Insurance – 0.6%
	1,510,275	Prudential Financial, Inc.		80,542,966

		Oil, Gas & Consumable Fuels – 1.9%
	846,398	Chesapeake Energy Corp.		14,067,135
	5,351,804	Repsol YPF S.A., Sponsored ADR		111,852,703


Shares		Description	Value (†)
Common Stocks – continued
		Oil, Gas & Consumable Fuels – continued
	2,134,173	Royal Dutch Shell PLC, ADR	$	147,151,228
	141,249	Spectra Energy Corp.		3,867,398

				276,938,464

		Pharmaceuticals – 3.0%
	8,514,190	Bristol-Myers Squibb Co.		277,477,452
	2,288	Teva Pharmaceutical Industries, Ltd., Sponsored ADR		85,434
	2,691,177	Valeant Pharmaceuticals International, Inc.(f)		160,851,649

				438,414,535

		REITs – Apartments – 0.3%
	290,904	Apartment Investment & Management Co., Class A		7,871,862
	889,730	Associated Estates Realty Corp.		14,342,448
	460,000	Equity Residential		26,068,200

				48,282,510

		REITs – Regional Malls – 0.1%
	123,159	Simon Property Group, Inc.		19,470,206

		REITs – Shopping Centers – 0.0%
	201,557	DDR Corp.		3,156,383

		Semiconductors & Semiconductor Equipment – 2.1%
	14,733,856	Intel Corp.		303,959,449

		Software – 1.2%
	6,568,091	Microsoft Corp.		175,565,072

		Total Common Stocks (Identified Cost $2,382,109,322)		2,581,425,516

Preferred Stocks – 3.1%
Convertible Preferred Stocks – 2.2%
		Automotive – 1.1%
	2,826,055	General Motors Co., Series B, 4.750%		124,713,807
	657,940	Goodyear Tire & Rubber Co. (The), 5.875%		31,061,348

				155,775,155

		Banking – 0.2%
	19,062	Bank of America Corp., Series L, 7.250%		21,635,370
	8,533	Wells Fargo & Co., Series L, Class A, 7.500%		10,452,925

				32,088,295

		Construction Machinery – 0.1%
	145,110	United Rentals Trust I, 6.500%		8,692,989

		Electric – 0.1%
	380,577	AES Trust III, 6.750%		18,895,648


Shares		Description	Value (†)
Preferred Stocks – continued
Convertible Preferred Stocks – continued
		Home Construction – 0.1%
	355,000	Hovnanian Enterprises, Inc., 7.250%	$	12,219,100

		Independent Energy – 0.2%
	52,020	Chesapeake Energy Corp., 4.500%		4,179,807
	19,318	Chesapeake Energy Corp., Series A, 5.750%, 144A		17,156,799
	32,500	SandRidge Energy, Inc., 7.000%		3,335,312
	99,800	SandRidge Energy, Inc., 8.500%		10,409,140

				35,081,058

		Pipelines – 0.1%
	242,297	El Paso Energy Capital Trust I, 4.750%		13,374,794

		REITs – Healthcare – 0.0%
	116,700	Health Care REIT, Inc., Series I, 6.500%		6,674,073

		Technology – 0.3%
	55,430	Lucent Technologies Capital Trust I, 7.750%		45,988,608

		Total Convertible Preferred Stocks (Identified Cost $321,648,535)		328,789,720

Non-Convertible Preferred Stocks – 0.9%
		Banking – 0.3%
	35,000	Bank of America Corp., 6.375%		869,050
	847,800	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		23,653,620
	389,800	Countrywide Capital IV, 6.750%		9,674,836

				34,197,506

		Electric – 0.0%
	393	Entergy New Orleans, Inc., 4.750%		38,318

		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		27,235,000

		Home Construction – 0.0%
	208,246	Hovnanian Enterprises, Inc., 7.625%(f)		2,832,146

		Independent Energy – 0.0%
	23,900	Chesapeake Energy Corp., 5.000%		1,802,060


Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – continued
		Non-Captive Consumer – 0.0%
	101,175	SLM Corp., Series A, 6.970%	$	4,878,658

		Non-Captive Diversified – 0.3%
	45,861	Ally Financial, Inc., Series G, 7.000%, 144A		45,042,670
	10,425	iStar Financial, Inc., Series G, 7.650%		223,616
	39,300	iStar Financial, Inc., Series F, 7.800%		856,740
	39,200	iStar Financial, Inc., Series E, 7.875%		874,552

				46,997,578

		REITs – Office Property – 0.0%
	1,596	Highwoods Properties, Inc., Series A, 8.625%		1,903,230

		REITs – Warehouse/Industrials – 0.1%
	116,192	ProLogis, Inc., Series Q, 8.540%		7,417,697

		Total Non-Convertible Preferred Stocks (Identified Cost $86,483,031)		127,302,193

		Total Preferred Stocks (Identified Cost $408,131,566)		456,091,913


Closed End Investment Companies – 0.0%
	2,151	Morgan Stanley Emerging Markets Debt Fund, Inc.		25,704
	681,131	NexPoint Credit Strategies Fund		4,522,710

		Total Closed End Investment Companies (Identified Cost $10,250,899)		4,548,414

Principal Amount (‡)
Short-Term Investments – 1.7%
$	822,071	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2012 at 0.010% to be repurchased at $822,071 on 1/02/2013 collateralized by $865,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $866,327 including accrued interest(i)		822,071
	241,472,636	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $241,472,770 on 1/02/2013 collateralized by $244,040,000 Federal National Mortgage Association, 0.625% due 2/22/2016 valued at $244,586,548; $1,715,000 Federal Home Loan Bank, 0.370% due 8/09/2013 valued at $1,719,288 including accrued interest(i)		241,472,636

		Total Short-Term Investments (Identified Cost $242,294,707)		242,294,707

		Total Investments – 98.9% (Identified Cost $13,190,496,945)(a)		14,488,496,724
		Other assets less liabilities – 1.1%		158,653,571

		Net Assets – 100.0%	$	14,647,150,295

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

(†)

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

(††)	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, 2012, the net unrealized appreciation on investments based on a cost of $13,243,568,738 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,833,311,993
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(588,384,007	)

Net unrealized appreciation	$	1,244,927,986

At September 30, 2012, the Fund had a short-term capital loss carryforward of $242,738,243 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.

(b)	Variable rate security. Rate as of December 31, 2012 is disclosed.

(c)	Illiquid security. At December 31, 2012, the value of these securities amounted to $315,115,258 or 2.2% of net assets.

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

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

(f)	Non-income producing security.

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

(h)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at December 31, 2012.

(i)

144A

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.

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

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Captive Consumer	$	2,621,941	$	625,419,372	$	—	$	628,041,313
All Other Non-Convertible Bonds*		—		9,011,594,757		—		9,011,594,757

Total Non-Convertible Bonds		2,621,941		9,637,014,129		—		9,639,636,070

Convertible Bonds*		—		1,075,107,206		—		1,075,107,206
Municipals*		—		156,094,906		—		156,094,906

Total Bonds and Notes		2,621,941		10,868,216,241		—		10,870,838,182

Senior Loans*		—		333,297,992		—		333,297,992
Common Stocks*		2,581,425,516		—		—		2,581,425,516
Preferred Stocks
Convertible Preferred Stocks
Construction Machinery		—		8,692,989		—		8,692,989
Independent Energy		4,179,807		30,901,251		—		35,081,058
All Other Convertible Preferred Stocks*		285,015,673		—		—		285,015,673

Total Convertible Preferred Stocks		289,195,480		39,594,240		—		328,789,720

Non-Convertible Preferred Stocks
Electric		—		38,318		—		38,318
Government Sponsored		—		27,235,000		—		27,235,000
Non-Captive Diversified		1,954,908		45,042,670		—		46,997,578
REITs - Office Property		—		1,903,230		—		1,903,230
All Other Non-Convertible Preferred Stocks*		51,128,067		—		—		51,128,067

Total Non-Convertible Preferred Stocks		53,082,975		74,219,218		—		127,302,193

Total Preferred Stocks		342,278,455		113,813,458		—		456,091,913

Closed End Investment Companies		4,548,414		—		—		4,548,414
Short-Term Investments		—		242,294,707		—		242,294,707

Total	$	2,930,874,326	$	11,557,622,398	$	—	$	14,488,496,724

*	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 September 30, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2012		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, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2012
Bonds and Notes
Non-Convertible Bonds
Banking	$	18,800,082	$	—	$	—	$	—	$	—	$	—	$	—	$	(18,800,082	)	$	—	$	—
Electric		12,874,750		—		—		—		—		—		—		(12,874,750	)		—		—
Sovereigns		21,173,458		—		—		—		—		—		—		(21,173,458	)		—		—
Transportation Services		8,953,808		—		—		—		—		—		—		(8,953,808	)		—		—

Total	$	61,802,098	$	—	$	—	$	—	$	—	$	—	$	—	$	(61,802,098	)	$	—	$	—

A debt security valued at $18,800,082 was transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies but was misclassified as Level 3; at December 31, 2012, this security was valued using the same method and was appropriately classified as Level 2.

Debt securities valued at $30,127,266 were transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at December 31, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Debt securities valued at $12,874,750 were transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at December 31, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Industry Summary at December 31, 2012 (Unaudited)


Treasuries	17.2	%
Banking	7.4
Non-Captive Diversified	5.6
Wirelines	4.8
Non-Captive Consumer	4.3
Technology	3.8
Automotive	3.5
Pharmaceuticals	3.4
Airlines	2.9
Electronic Equipment, Instruments & Components	2.8
Chemicals	2.7
Healthcare	2.7
Electric	2.6
Supranational	2.1
Semiconductors & Semiconductor Equipment	2.1
Diversified Telecommunication Services	2.1
Sovereigns	2.0
Other Investments, less than 2% each	25.2
Short-Term Investments	1.7

Total Investments	98.9
Other assets less liabilities	1.1

Net Assets	100.0	%


Currency Exposure Summary at December 31, 2012 (Unaudited)

United States Dollar	69.2	%
Canadian Dollar	7.3
Euro	5.6
New Zealand Dollar	4.2
Australian Dollar	3.2
Norwegian Krone	2.8
Brazilian Real	2.1
Other, less than 2% each	4.5

Total Investments	98.9
Other assets less liabilities	1.1

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2012 (Unaudited)

Loomis Sayles Value Fund


Shares		Description	Value (†)
Common Stocks – 97.2% of Net Assets
		Aerospace & Defense – 2.8%
	300,794	Honeywell International, Inc.	$	19,091,395
	309,245	Northrop Grumman Corp.		20,898,777

				39,990,172

		Auto Components – 0.7%
	678,305	Goodyear Tire & Rubber Co. (The)(b)		9,367,392

		Automobiles – 1.1%
	540,724	General Motors Co.(b)		15,589,073

		Beverages – 2.8%
	554,697	Coca-Cola Enterprises, Inc.		17,600,536
	320,416	PepsiCo, Inc.		21,926,067

				39,526,603

		Capital Markets – 4.0%
	346,478	Ameriprise Financial, Inc.		21,699,917
	481,484	Legg Mason, Inc.		12,383,769
	486,795	State Street Corp.		22,884,233

				56,967,919

		Chemicals – 1.3%
	412,731	E.I. du Pont de Nemours & Co.		18,560,513

		Commercial Banks – 6.0%
	1,342,365	Fifth Third Bancorp		20,390,524
	359,807	PNC Financial Services Group, Inc.		20,980,346
	449,826	U.S. Bancorp		14,367,443
	862,365	Wells Fargo & Co.		29,475,636

				85,213,949

		Communications Equipment – 2.6%
	748,689	Cisco Systems, Inc.		14,711,739
	396,965	Motorola Solutions, Inc.		22,103,011

				36,814,750

		Computers & Peripherals – 0.7%
	19,707	Apple, Inc.		10,504,422

		Construction Materials – 1.0%
	283,091	Vulcan Materials Co.		14,734,886

		Consumer Finance – 1.5%
	539,213	Discover Financial Services		20,786,661

		Diversified Financial Services – 5.7%
	1,480,833	Bank of America Corp.		17,177,663
	649,585	Citigroup, Inc.		25,697,582
	859,335	JPMorgan Chase & Co.		37,784,960

				80,660,205


Shares		Description	Value (†)
Common Stocks – continued
		Diversified Telecommunication Services – 2.4%
	592,924	AT&T, Inc.	$	19,987,468
	376,771	CenturyLink, Inc.		14,739,282

				34,726,750

		Electric Utilities – 2.7%
	462,730	Edison International		20,910,769
	428,543	FirstEnergy Corp.		17,895,955

				38,806,724

		Electrical Equipment – 1.3%
	343,012	Eaton Corp. PLC		18,591,250

		Energy Equipment & Services – 2.4%
	277,007	Schlumberger Ltd.		19,193,815
	340,318	Transocean Ltd.		15,195,199

				34,389,014

		Food & Staples Retailing – 1.3%
	381,646	CVS Caremark Corp.		18,452,584

		Food Products – 1.3%
	488,763	Unilever NV		18,719,623

		Health Care Equipment & Supplies – 2.3%
	218,849	Baxter International, Inc.		14,588,474
	315,540	Covidien PLC		18,219,280

				32,807,754

		Health Care Providers & Services – 2.5%
	426,557	HCA Holdings, Inc.		12,869,225
	425,192	UnitedHealth Group, Inc.		23,062,414

				35,931,639

		Household Products – 1.4%
	289,963	Procter & Gamble Co. (The)		19,685,588

		Independent Power Producers & Energy Traders – 1.9%
	810,082	Calpine Corp.(b)		14,686,787
	528,793	NRG Energy, Inc.		12,156,951

				26,843,738

		Industrial Conglomerates – 1.8%
	1,232,039	General Electric Co.		25,860,499

		Insurance – 3.9%
	624,012	MetLife, Inc.		20,554,955
	248,237	Travelers Cos., Inc. (The)		17,828,382
	847,628	Unum Group		17,647,615

				56,030,952

		Internet & Catalog Retail – 1.3%
	976,407	Liberty Interactive Corp., Class A(b)		19,215,690

		Internet Software & Services – 2.5%
	325,480	AOL, Inc.(b)		9,637,463
	286,784	eBay, Inc.(b)		14,631,719


Shares		Description	Value (†)
Common Stocks – continued
Internet Software & Services – continued
	16,243	Google, Inc., Class A(b)	$	11,522,297

				35,791,479

		Machinery – 2.4%
	281,562	Dover Corp.		18,501,439
	205,226	Stanley Black & Decker, Inc.		15,180,567

				33,682,006

		Media – 5.8%
	331,932	CBS Corp., Class B		12,630,013
	692,732	Comcast Corp., Class A		25,894,322
	186,781	DIRECTV(b)		9,368,935
	352,986	Omnicom Group, Inc.		17,635,181
	320,929	Viacom, Inc., Class B		16,925,795

				82,454,246

		Multiline Retail – 1.2%
	289,313	Target Corp.		17,118,650

		Oil, Gas & Consumable Fuels – 10.7%
	283,595	Chevron Corp.		30,667,963
	240,348	CONSOL Energy, Inc.		7,715,171
	136,050	EOG Resources, Inc.		16,433,480
	456,837	ExxonMobil Corp.		39,539,242
	434,894	Hess Corp.		23,031,986
	238,984	Noble Energy, Inc.		24,314,232
	200,321	SM Energy Co.		10,458,760

				152,160,834

		Pharmaceuticals – 8.0%
	537,861	Bristol-Myers Squibb Co.		17,528,890
	442,716	Forest Laboratories, Inc.(b)		15,636,729
	727,418	Merck & Co., Inc.		29,780,493
	1,108,625	Pfizer, Inc.		27,804,315
	499,760	Sanofi, ADR		23,678,629

				114,429,056

		REITs – Diversified – 1.4%
	710,332	Weyerhaeuser Co.		19,761,436

		Road & Rail – 1.5%
	349,866	Norfolk Southern Corp.		21,635,713

		Semiconductors & Semiconductor Equipment – 2.0%
	875,337	Applied Materials, Inc.		10,013,855
	591,925	Texas Instruments, Inc.		18,314,160

				28,328,015

		Software – 2.3%
	498,270	Microsoft Corp.		13,318,757
	606,447	Oracle Corp.		20,206,814

				33,525,571

		Specialty Retail – 1.4%
	582,247	Lowe’s Cos., Inc.		20,681,413


Shares		Description	Value (†)
Common Stocks – continued
		Wireless Telecommunication Services – 1.3%
	715,595	Vodafone Group PLC, Sponsored ADR	$	18,025,838

		Total Common Stocks (Identified Cost $1,155,847,799)		1,386,372,607


Principal Amount
Short-Term Investments – 2.8%
$	39,642,919	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $39,642,941 on 1/02/2013 collateralized by $36,100,000 U.S. Treasury Note, 3.250% due 3/31/2017 valued at $40,438,029 including accrued interest(c) (Identified Cost $39,642,919)		39,642,919

		Total Investments – 100.0% (Identified Cost $1,195,490,718)(a)		1,426,015,526
		Other assets less liabilities – 0.0%		(181,259	)

		Net Assets – 100.0%	$	1,425,834,267

(†)

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.

(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, 2012, the net unrealized appreciation on investments based on a cost of $1,195,490,718 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	$	252,942,293
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(22,417,485	)

Net unrealized appreciation	$	230,524,808

At September 30, 2012, the Fund had a short-term capital loss carryforward of $6,350,604, which expires on September 30, 2018. At September 30, 2012, late-year ordinary and post-October capital loss deferrals were $ 5,542,012. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)


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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,386,372,607	$	—	$	—	$	1,386,372,607
Short-Term Investments		—		39,642,919		—		39,642,919

Total	$	1,386,372,607	$	39,642,919	$	—	$	1,426,015,526

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

For the period ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.

Industry Summary at December 31, 2012 (Unaudited)


Oil, Gas & Consumable Fuels	10.7	%
Pharmaceuticals	8.0
Commercial Banks	6.0
Media	5.8
Diversified Financial Services	5.7
Capital Markets	4.0
Insurance	3.9
Aerospace & Defense	2.8
Beverages	2.8
Electric Utilities	2.7
Communications Equipment	2.6
Health Care Providers & Services	2.5
Internet Software & Services	2.5
Diversified Telecommunication Services	2.4
Energy Equipment & Services	2.4
Machinery	2.4
Software	2.3
Health Care Equipment & Supplies	2.3
Semiconductors & Semiconductor Equipment	2.0
Other Investments, less than 2% each	23.4
Short-Term Investments	2.8

Total Investments	100.0
Other assets less liabilities	0.0

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 22, 2013

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 22, 2013


By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		February 22, 2013