Loomis Sayles Funds II

Principal Amount stated in U.S. dollars unless otherwise noted.

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

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

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

Broker-dealer bid prices 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.

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 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 on a daily basis pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

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

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

At June 30, 2013, the net unrealized appreciation on investments based on a cost of $568,986,140 for federal income tax purposes was as follows:

N-Q 1 d569303dnq.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: June 30, 2013

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Global Equity and Income Fund


Shares		Description	Value (†)
Common Stocks – 68.4% of Net Assets
		Belgium – 1.4%
	177,107	Anheuser-Busch InBev NV	$	15,945,495

		Brazil – 0.6%
	527,700	Mills Estruturas e Servicos de Engenharia S.A.		7,144,472

		Canada – 1.0%
	282,938	Potash Corp. of Saskatchewan, Inc.		10,788,426

		Chile – 0.7%
	759,310	S.A.C.I. Falabella		8,220,067

		China – 2.1%
	960,000	China Mobile Ltd.		9,967,128
	1,300,000	Hengan International Group Co. Ltd.		14,041,050

				24,008,178

		France – 2.0%
	210,918	Sanofi		21,804,811

		Germany – 2.5%
	168,622	Adidas AG		18,227,835
	97,867	Siemens AG, (Registered)		9,910,355

				28,138,190

		Japan – 0.9%
	419,900	Asahi Group Holdings Ltd.		10,401,651

		Mexico – 1.2%
	6,913,900	Genomma Lab Internacional S.A. de CV, Class B(b)		13,654,438

		Russia – 0.8%
	291,891	Mail.ru Group Ltd., GDR, 144A(c)		8,351,002

		Sweden – 1.1%
	527,029	Atlas Copco AB, Class A		12,702,356

		Switzerland – 2.1%
	96,848	Roche Holding AG		24,037,395

		Thailand – 1.1%
	900,400	Bangkok Bank PCL		5,996,939
	413,700	Siam Cement PCL		6,070,408

				12,067,347

		United Kingdom – 10.0%
	1,603,471	Aberdeen Asset Management PLC		9,331,621
	2,535,930	Barclays PLC		10,799,869
	221,349	British American Tobacco PLC		11,352,885


Shares		Description	Value (†)
Common Stocks – continued
		United Kingdom – continued
	343,076	Burberry Group PLC	$	7,057,924
	758,263	Diageo PLC		21,744,167
	388,891	Hikma Pharmaceuticals PLC		5,627,827
	1,255,684	HSBC Holdings PLC		12,999,016
	540,672	Shire PLC		17,133,988
	721,999	Standard Chartered PLC		15,674,868

				111,722,165

		United States – 40.9%
	191,393	ACE Ltd.		17,125,846
	261,114	American Express Co.		19,520,883
	44,993	Apple, Inc.		17,820,827
	25,486	AutoZone, Inc.(b)		10,798,163
	154,118	Cabot Oil & Gas Corp.		10,945,460
	547,062	Citigroup, Inc.		26,242,564
	46,194	Core Laboratories NV		7,005,782
	317,906	CVS Caremark Corp.		18,177,865
	152,522	Deere & Co.		12,392,413
	109,641	EOG Resources, Inc.		14,437,527
	162,164	Genesee & Wyoming, Inc., Class A(b)		13,757,994
	103,803	Gilead Sciences, Inc.(b)		5,315,752
	27,005	Google, Inc., Class A(b)		23,774,392
	955	Hawaiian Telcom Holdco, Inc.(b)		24,028
	116,223	Jones Lang LaSalle, Inc.		10,592,564
	384,401	Lowe’s Cos., Inc.		15,722,001
	82,795	M&T Bank Corp.		9,252,341
	376,248	Microsoft Corp.		12,991,843
	224,048	National Fuel Gas Co.		12,983,582
	144,516	National Oilwell Varco, Inc.		9,957,152
	21,652	NewMarket Corp.		5,684,949
	331,664	Noble Energy, Inc.		19,913,107
	116,121	PNC Financial Services Group, Inc. (The)		8,467,543
	150,071	Praxair, Inc.		17,282,176
	64,383	Precision Castparts Corp.		14,551,202
	21,972	Priceline.com, Inc.(b)		18,173,700
	234,181	QUALCOMM, Inc.		14,303,776
	221,911	Schlumberger Ltd.		15,902,142
	115,451	Signet Jewelers Ltd.		7,784,861
	432,433	Texas Instruments, Inc.		15,078,939
	96,492	TransDigm Group, Inc.		15,127,051
	152,180	UnitedHealth Group, Inc.		9,964,746
	160,948	Valspar Corp. (The)		10,408,507
	26,818	Vertex Pharmaceuticals, Inc.(b)		2,141,954
	274,710	Wyndham Worldwide Corp.		15,721,653

				459,345,285

		Total Common Stocks (Identified Cost $696,463,544)		768,331,278


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – 28.2%
Non-Convertible Bonds – 27.4%
			Argentina – 0.1%
$	170,000		Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A	$	163,625
	500,000		Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		436,200

					599,825

			Australia – 0.2%
	1,200,000		Macquarie Bank Ltd., 5.000%, 2/22/2017, 144A		1,285,787
	500,000		Macquarie Bank Ltd., 6.625%, 4/07/2021, 144A		529,055
	235,000		New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		237,186
	155,000		Sydney Airport Finance Co., 5.125%, 2/22/2021, 144A		162,436

					2,214,464

			Belgium – 0.1%
	350,000		Anheuser-Busch InBev NV, EMTN, 6.500%, 6/23/2017, (GBP)		623,435

			Brazil – 1.1%
	600,000		Banco BTG Pactual S.A., 5.750%, 9/28/2022, 144A		519,000
	800,000		Banco do Brasil S.A., 3.875%, 10/10/2022		701,040
	400,000		Banco Santander Brasil S.A., 4.500%, 4/06/2015, 144A		402,000
	600,000		Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A		609,000
	1,909,834		Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		831,438
	800,000		Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		780,000
	689,626	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 8/15/2014, (BRL)		316,389
	551,701	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL)		255,212
	1,115	(†††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)		476,229
	1,700,000		BRF S.A., 3.950%, 5/22/2023, 144A		1,496,000
	600,000		BRF S.A., 5.875%, 6/06/2022, 144A		615,780
	2,300,000		BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)		891,613
	400,000		CSN Resources S.A., 6.500%, 7/21/2020, 144A		389,500
	450,000		Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A		482,175
	300,000		Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A		303,750
	100,000		LPG International, Inc., 7.250%, 12/20/2015		108,250


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Brazil – continued
$	185,000	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A	$	186,850
	2,400,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		994,913
	320,000	Petrobras International Finance Co., 5.375%, 1/27/2021		321,502
	300,000	Petrobras International Finance Co., 6.875%, 1/20/2040		302,843
	800,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A		716,000
	129,000	Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A		119,970
	536,000	Vale Overseas Ltd., 6.875%, 11/21/2036		542,694

				12,362,148

		Canada – 0.8%
	1,570,000	Bank of Nova Scotia, 1.375%, 12/18/2017		1,524,235
	650,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		609,660
	2,880,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(d)		2,847,495
	2,695,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		2,853,620
	875,000	Pacific Rubiales Energy Corp., 5.125%, 3/28/2023, 144A		826,875
	100,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		105,447
	600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		624,908

				9,392,240

		Cayman Islands – 0.1%
	1,000,000	Parkson Retail Group Ltd., 4.500%, 5/03/2018		895,000

		Chile – 0.4%
	1,450,000	Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A		1,421,197
	850,000,000	Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)		1,647,968
	200,000	Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022		198,640
	250,000	E.CL S.A., 5.625%, 1/15/2021, 144A		259,572
	800,000	Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A		765,700

				4,293,077

		China – 0.1%
	800,000	Baidu, Inc., 2.250%, 11/28/2017		778,233


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	$	392,086

				1,170,319

		Colombia – 0.3%
	400,000	Banco Davivienda S.A., 5.875%, 7/09/2022, 144A		396,000
	555,000	Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A		524,475
	1,265,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		724,104
	2,140,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		1,191,559
	200,000,000	Republic of Colombia, 7.750%, 4/14/2021, (COP)		116,949
	40,000	Republic of Colombia, 8.125%, 5/21/2024		53,000

				3,006,087

		Costa Rica – 0.1%
	600,000	Costa Rica Government International Bond, 4.250%, 1/26/2023, 144A		555,000
	800,000	Costa Rica Government International Bond, 4.375%, 4/30/2025, 144A		734,000

				1,289,000

		Curacao – 0.1%
	1,580,000	Teva Pharmaceutical Finance Co. BV, 2.950%, 12/18/2022		1,480,324

		Czech Republic – 0.0%
	400,000	CEZ AS, 4.250%, 4/03/2022, 144A		396,920

		France – 0.0%
	200,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		341,360

		Hong Kong – 0.1%
	600,000	Bank of East Asia Ltd., EMTN, (fixed rate to 5/04/2017, variable rate thereafter), 6.375%, 5/04/2022		639,577
	400,000	Hutchison Whampoa International 11 Ltd., 3.500%, 1/13/2017, 144A		412,158
	400,000	Noble Group Ltd., 6.750%, 1/29/2020, 144A		406,000

				1,457,735

		Hungary – 0.0%
	200,000	Hungary Government International Bond, 6.375%, 3/29/2021		208,000


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Iceland – 0.1%
$	1,000,000	Republic of Iceland, 5.875%, 5/11/2022, 144A	$	1,060,000

		India – 0.2%
	200,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		192,396
	1,400,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		1,337,000
	700,000	State Bank of India/London, 4.125%, 8/01/2017, 144A		693,568

				2,222,964

		Indonesia – 0.4%
	200,000	Adaro Indonesia PT, 7.625%, 10/22/2019, 144A		210,000
	800,000	Gajah Tunggal Tbk PT, 7.750%, 2/06/2018, 144A		794,000
	3,500,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		407,938
	781,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		96,421
	2,800,000	Pertamina Persero PT, 4.300%, 5/20/2023, 144A		2,590,000

				4,098,359

		Ireland – 0.0%
	100,000	WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP)		171,846

		Italy – 0.7%
	500,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)		581,953
	4,295,000	Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(d)		5,857,099
	400,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)		547,193
	125,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		113,351
	10,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		9,339
	100,000	Telecom Italia SpA, EMTN, 5.375%, 1/29/2019, (EUR)		135,851

				7,244,786

		Japan – 0.2%
	1,700,000	Softbank Corp., 4.500%, 4/15/2020, 144A		1,638,375

		Korea – 1.0%
	3,700,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)		585,607
	8,000,000	Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		189,296
	400,000	Hana Bank, 4.000%, 11/03/2016, 144A		420,478


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Korea – continued
$	600,000	Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A	$	610,948
	600,000	Hyundai Steel Co., 4.625%, 4/21/2016, 144A		635,219
	600,000	Industrial Bank of Korea, 2.375%, 7/17/2017, 144A		582,653
	400,000	Kia Motors Corp., 3.625%, 6/14/2016, 144A		414,734
	400,000	Korea Finance Corp., 4.625%, 11/16/2021		406,555
	400,000	Korea National Oil Corp., 3.125%, 4/03/2017, 144A		402,277
	3,784,140,000	Korea Treasury Bond, 2.750%, 9/10/2017, (KRW)		3,261,840
	970,000,000	Korea Treasury Bond, 4.000%, 3/10/2016, (KRW)		872,695
	2,700,000,000	Korea Treasury Bond, 5.000%, 9/10/2014, (KRW)		2,426,141
	250,000	Lotte Shopping Co. Ltd., 3.375%, 5/09/2017, 144A		250,552
	140,000	SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A		164,810
	200,000	Woori Bank, 5.875%, 4/13/2021, 144A		213,291

				11,437,096

		Luxembourg – 0.2%
	400,000	Altice Financing S.A., 7.875%, 12/15/2019, 144A		418,000
	400,000	ArcelorMittal, 7.250%, 3/01/2041		374,000
	400,000	Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A		380,000
	500,000	INEOS Group Holdings S.A., 6.125%, 8/15/2018, 144A		477,500
	500,000	Millicom International Cellular S.A., 4.750%, 5/22/2020, 144A		475,130
	400,000	VTB Bank OJSC, 6.000%, 4/12/2017, 144A		414,272

				2,538,902

		Malaysia – 0.6%
	1,750,000	Malaysia Government Bond, 3.434%, 8/15/2014, (MYR)		555,847
	18,220,000	Malaysia Government Bond, 4.012%, 9/15/2017, (MYR)		5,883,148
	1,000,000	Malaysia Government Bond, 4.262%, 9/15/2016, (MYR)		324,646

				6,763,641

		Mexico – 1.6%
	7,000,000	America Movil SAB de CV, 3.500%, 2/08/2015, (CNY)		1,108,413
	10,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		747,406


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Mexico – continued
$	300,000		Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A	$	281,250
	600,000		BBVA Bancomer S.A., 6.750%, 9/30/2022, 144A		648,000
	10,000,000		Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		654,546
	264,500	(††††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		2,152,343
	616,200	(††††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)		4,998,532
	424,200	(††††)	Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN)(d)		3,609,900
	74,000	(††††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		617,576
	300,000	(††††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		2,650,140

					17,468,106

			Netherlands – 0.3%
	525,000		Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A		477,120
	200,000		Indosat Palapa Co. BV, 7.375%, 7/29/2020, 144A		214,000
	400,000		Listrindo Capital BV, 6.950%, 2/21/2019, 144A		408,000
	100,000		Myriad International Holding BV, 6.375%, 7/28/2017, 144A		109,500
	850,000		Petrobras Global Finance BV, 3.000%, 1/15/2019		789,553
	1,750,000		Petrobras Global Finance BV, 4.375%, 5/20/2023		1,605,349

					3,603,522

			New Zealand – 0.1%
	1,000,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		881,598

			Norway – 0.3%
	475,000		Eksportfinans ASA, 2.000%, 9/15/2015		456,000
	13,760,000		Norwegian Government Bond, 4.500%, 5/22/2019, (NOK)		2,571,300

					3,027,300

			Panama – 0.0%
	300,000		Banco Latinoamericano de Comercio Exterior S.A., 3.750%, 4/04/2017, 144A		303,750

			Peru – 0.0%
	400,000		Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A		354,000


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Philippines – 0.1%
	40,000,000	Philippine Government International Bond, 3.900%, 11/26/2022, (PHP)	$	880,222
	30,000,000	Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		707,021

				1,587,243

		Poland – 0.1%
	2,200,000	Poland Government Bond, 4.750%, 4/25/2017, (PLN)		690,351
	95,000	Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		103,605
	800,000	Poland Government International Bond, 3.000%, 3/17/2023		722,000

				1,515,956

		Portugal – 0.1%
	440,000	Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		398,941
	715,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		830,073

				1,229,014

		Romania – 0.1%
	2,600,000	Romania Government Bond, 5.750%, 1/27/2016, (RON)		766,640

		Russia – 0.0%
	200,000	Gazprom OAO Via Gaz Capital S.A., 4.950%, 5/23/2016, 144A		207,666

		Singapore – 0.7%
	2,000,000	DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A		2,002,434
	950,000	Singapore Government Bond, 2.250%, 6/01/2021, (SGD)		755,052
	2,470,000	Singapore Government Bond, 2.500%, 6/01/2019, (SGD)		2,034,805
	3,100,000	Singapore Government Bond, 3.250%, 9/01/2020, (SGD)		2,641,572
	500,000	TBG Global Pte Ltd., 4.625%, 4/03/2018, 144A		477,500

				7,911,363

		South Africa – 0.1%
	650,000	AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022		574,758
	285,000	Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR)		395,269
	700,000	Transnet SOC Ltd., 4.000%, 7/26/2022, 144A		612,080

				1,582,107


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Spain – 0.4%
	820,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)	$	865,119
	1,270,000	Spain Government Bond, 4.200%, 1/31/2037, (EUR)		1,418,190
	645,000	Spain Government Bond, 4.300%, 10/31/2019, (EUR)		849,958
	1,250,000	Spain Government Bond, 5.850%, 1/31/2022, (EUR)		1,769,104

				4,902,371

		Supranationals – 0.2%
	840,000	Central American Bank for Economic Integration, 3.875%, 2/09/2017, 144A		872,963
	1,115,000	Corp Andina de Fomento, 4.375%, 6/15/2022		1,135,392

				2,008,355

		Sweden – 0.3%
	400,000	Eileme 2 AB, 11.625%, 1/31/2020		452,000
	1,000,000	PKO Finance AB, 4.630%, 9/26/2022, 144A		971,600
	9,195,000	Sweden Government Bond, 4.500%, 8/12/2015, (SEK)		1,466,297
	2,450,000	Sweden Government Bond, 5.000%, 12/01/2020, (SEK)		441,645

				3,331,542

		Thailand – 0.4%
	950,000	Thai Oil PCL, 3.625%, 1/23/2023, 144A		866,716
	93,000,000	Thailand Government Bond, 3.250%, 6/16/2017, (THB)		3,002,486

				3,869,202

		Turkey – 0.5%
	800,000	Arcelik AS, 5.000%, 4/03/2023, 144A		716,000
	600,000	Export Credit Bank of Turkey, 5.375%, 11/04/2016, 144A		623,250
	1,600,000	Turkey Government International Bond, 3.250%, 3/23/2023		1,396,000
	1,200,000	Turkey Government International Bond, 5.125%, 3/25/2022		1,230,000
	600,000	Turkiye Garanti Bankasi A.S., 4.000%, 9/13/2017, 144A		585,000
	800,000	Turkiye Is Bankasi, 3.875%, 11/07/2017, 144A		780,000
	600,000	Yapi ve Kredi Bankasi Via Unicredit Luxembourg S.A., 5.188%, 10/13/2015, 144A		612,000

				5,942,250


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United Arab Emirates – 0.1%
$	600,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A	$	655,500
	200,000	Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A		217,000

				872,500

		United Kingdom – 0.5%
	600,000	Anglo American Capital PLC, 2.625%, 9/27/2017, 144A		584,971
	410,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		374,344
	250,000	BAT International Finance PLC, 3.250%, 6/07/2022, 144A		244,708
	150,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		255,615
	60,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		104,152
	150,000	Imperial Tobacco Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP)		266,682
	400,000	Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP)		625,974
	250,000	Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR)		366,340
	705,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)		1,103,033
	250,000	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)		432,762
	1,150,000	Vedanta Resources PLC, 6.000%, 1/31/2019, 144A		1,092,500

				5,451,081

		United States – 14.6%
	425,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		321,938
	15,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		11,250
	975,000	Alcoa, Inc., 5.900%, 2/01/2027		912,011
	1,325,000	Ally Financial, Inc., 5.500%, 2/15/2017		1,384,373
	257,000	Ally Financial, Inc., 6.750%, 12/01/2014		270,171
	55,000	Ally Financial, Inc., 7.500%, 12/31/2013		56,375
	129,000	Ally Financial, Inc., 8.000%, 12/31/2018		146,093
	1,728,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,077,920
	200,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		189,000
	720,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		878,400
	16,197	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		16,359


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	925,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A	$	974,171
	145,000	Avnet, Inc., 6.000%, 9/01/2015		156,140
	1,820,000	Ball Corp., 5.000%, 3/15/2022		1,810,900
	200,000	Bank of America Corp., 5.490%, 3/15/2019		215,648
	450,000	Bank of America Corp., (fixed rate to 5/06/2014, variable rate thereafter), 4.750%, 5/06/2019, (EUR)		579,885
	115,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		122,620
	50,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023, 144A		50,500
	15,000	Boston Scientific Corp., 5.125%, 1/12/2017		16,293
	15,000	Boston Scientific Corp., 6.400%, 6/15/2016		16,870
	1,415,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		1,422,337
	1,995,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,079,787
	510,000	CenturyLink, Inc., 7.650%, 3/15/2042		484,500
	55,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		53,625
	605,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		574,750
	20,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		21,500
	95,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		103,075
	2,300,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		2,538,625
	750,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		606,326
	1,470,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		1,521,450
	155,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		162,750
	1,005,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,015,050
	423,606	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		437,373
	235,000	Cummins, Inc., 5.650%, 3/01/2098		222,579
	233,314	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		254,896
	217,731	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		219,909
	42,000	Dillard’s, Inc., 6.625%, 1/15/2018		46,200
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		52,500


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	8,000	Dillard’s, Inc., 7.750%, 7/15/2026	$	8,780
	310,000	DR Horton, Inc., 4.375%, 9/15/2022		294,500
	4,214,118	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(e)		3,560,930
	250,000	Exelon Corp., 4.900%, 6/15/2015		267,562
	1,725,000	First Data Corp., 10.625%, 6/15/2021, 144A		1,703,437
	150,000	Foot Locker, Inc., 8.500%, 1/15/2022(c)		168,316
	25,000	Ford Motor Co., 6.375%, 2/01/2029		26,494
	50,000	Ford Motor Co., 6.625%, 2/15/2028		53,118
	2,105,000	Ford Motor Co., 6.625%, 10/01/2028		2,294,983
	40,000	Ford Motor Co., 7.125%, 11/15/2025		45,471
	835,000	Ford Motor Co., 7.400%, 11/01/2046		983,815
	5,000	Ford Motor Co., 7.500%, 8/01/2026		5,782
	1,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		1,066,424
	845,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		916,074
	905,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		1,043,081
	28,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		28,735
	50,000	General Electric Capital Corp., GMTN, 3.100%, 1/09/2023		47,233
	600,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%, 12/29/2049		678,000
	900,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		732,840
	3,435,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		4,290,861
	105,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		133,714
	180,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		232,092
	315,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		440,021
	200,000	Gerdau Holdings, Inc., 7.000%, 1/20/2020, 144A		211,000
	800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		750,556
	2,295,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,350,915
	50,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		83,177


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	3,045,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022	$	3,121,125
	165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		163,144
	70,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(f)		67,295
	425,000	Halcon Resources Corp., 8.875%, 5/15/2021		412,250
	410,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		455,158
	1,000,000	HCA Holdings, Inc., 6.250%, 2/15/2021		1,020,000
	20,000	HCA, Inc., 5.750%, 3/15/2014		20,400
	90,000	HCA, Inc., 6.375%, 1/15/2015		94,275
	225,000	HCA, Inc., 7.050%, 12/01/2027		220,500
	245,000	HCA, Inc., 7.190%, 11/15/2015		264,600
	90,000	HCA, Inc., 7.500%, 12/15/2023		93,600
	820,000	HCA, Inc., 7.500%, 11/06/2033		844,600
	1,500,000	HCA, Inc., 7.690%, 6/15/2025		1,620,000
	395,000	HCA, Inc., 8.360%, 4/15/2024		446,350
	195,000	HCA, Inc., MTN, 7.580%, 9/15/2025		206,700
	75,000	HCA, Inc., MTN, 7.750%, 7/15/2036		75,375
	855,000	Hecla Mining Co., 6.875%, 5/01/2021, 144A		793,013
	585,000	Hercules, Inc., 6.500%, 6/30/2029		508,950
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		513,751
	110,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		120,525
	80,000	International Lease Finance Corp., 5.875%, 4/01/2019		80,800
	1,620,000	International Lease Finance Corp., 6.250%, 5/15/2019		1,664,550
	1,370,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		1,379,590
	45,000	iStar Financial, Inc., 3.875%, 7/01/2016		43,200
	145,000	iStar Financial, Inc., 4.875%, 7/01/2018		136,300
	70,000	iStar Financial, Inc., 5.850%, 3/15/2017		71,400
	405,000	iStar Financial, Inc., 5.875%, 3/15/2016		413,100


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	145,000	iStar Financial, Inc., 6.050%, 4/15/2015	$	147,900
	200,000	iStar Financial, Inc., 7.125%, 2/15/2018		207,500
	35,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		35,525
	5,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		4,388
	64,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		49,920
	10,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		8,125
	5,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,700
	2,995,000	Jack Cooper Holdings Corp., 9.250%, 6/01/2020, 144A		2,995,000
	370,000	Jefferies Group LLC, 3.875%, 11/09/2015		382,950
	665,000	Jefferies Group LLC, 5.125%, 4/13/2018		694,926
	30,000	Jefferies Group LLC, 5.125%, 1/20/2023		29,769
	1,070,000	Jefferies Group LLC, 6.250%, 1/15/2036		1,032,550
	685,000	Jefferies Group LLC, 6.450%, 6/08/2027		674,725
	1,410,000	Jefferies Group LLC, 6.875%, 4/15/2021		1,550,707
	15,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		13,500
	260,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		263,900
	1,665,000	KB Home, 8.000%, 3/15/2020		1,848,150
	190,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		193,800
	15,000	Lennar Corp., Series B, 5.500%, 9/01/2014		15,488
	1,090,000	Lennar Corp., Series B, 5.600%, 5/31/2015		1,144,500
	55,000	Lennar Corp., Series B, 6.500%, 4/15/2016		59,400
	135,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		134,663
	1,435,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		1,528,275
	30,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		32,400
	165,000	Masco Corp., 6.500%, 8/15/2032		164,175
	865,000	Masco Corp., 7.750%, 8/01/2029		954,909
	600,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		649,684


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	2,700,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037	$	2,657,780
	310,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(g)		223,200
	398,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(g)		342,280
	1,270,000	Morgan Stanley, 2.125%, 4/25/2018		1,215,429
	1,125,000	Morgan Stanley, 4.875%, 11/01/2022		1,111,389
	230,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		354,541
	2,500,000	Morgan Stanley, 5.750%, 1/25/2021		2,713,630
	500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		487,102
	475,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		438,862
	600,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		657,583
	100,000	Morgan Stanley, Series F, MTN, 0.727%, 10/18/2016(f)		96,807
	440,000	Neenah Paper, Inc., 5.250%, 5/15/2021, 144A		429,000
	1,552,000	New Albertson’s, Inc., 7.450%, 8/01/2029		1,218,320
	245,000	New Albertson’s, Inc., 7.750%, 6/15/2026		193,244
	3,605,000	New Albertson’s, Inc., 8.000%, 5/01/2031		2,865,975
	2,110,000	New Albertson’s, Inc., 8.700%, 5/01/2030		1,735,475
	315,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		217,350
	15,000	News America, Inc., 6.400%, 12/15/2035		16,755
	155,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		136,400
	115,000	Owens Corning, Inc., 6.500%, 12/01/2016		128,373
	535,000	Owens Corning, Inc., 7.000%, 12/01/2036		572,482
	40,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		45,800
	540,000	Pulte Group, Inc., 6.000%, 2/15/2035		496,800
	785,000	Pulte Group, Inc., 6.375%, 5/15/2033		733,975
	220,000	Pulte Group, Inc., 7.875%, 6/15/2032		242,000
	1,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,475,175
	650,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		624,000


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			United States – continued
$	400,000		Qwest Capital Funding, Inc., 7.625%, 8/03/2021	$	440,000
	60,000		Qwest Capital Funding, Inc., 7.750%, 2/15/2031		59,100
	560,000		Qwest Corp., 6.875%, 9/15/2033		541,800
	115,000		Qwest Corp., 7.250%, 9/15/2025		128,586
	1,155,000		R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		1,212,750
	200,000		Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		200,000
	500,000		Range Resources Corp., 5.000%, 8/15/2022		488,750
	750,000		Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		761,917
	80,000		Reynolds American, Inc., 6.750%, 6/15/2017		92,703
	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		648,450
	855,000		Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		735,300
	1,970,000		Rosetta Resources, Inc., 5.625%, 5/01/2021		1,923,212
	760,000		Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		803,700
	915,000		SLM Corp., 5.500%, 1/25/2023		871,267
	1,600	(†††††)	SLM Corp., 6.000%, 12/15/2043		36,529
	141,000		SLM Corp., MTN, 3.875%, 9/10/2015		142,417
	40,000		SLM Corp., MTN, 4.625%, 9/25/2017		39,400
	1,130,000		SLM Corp., MTN, 7.250%, 1/25/2022		1,186,500
	10,000		SLM Corp., Series A, MTN, 0.576%, 1/27/2014(f)		9,912
	10,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		9,699
	2,560,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		2,124,800
	595,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		660,450
	400,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		391,000
	300,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		299,250
	595,000		Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		583,844


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	294,000	Sprint Capital Corp., 6.875%, 11/15/2028	$	282,240
	420,000	Sprint Capital Corp., 6.900%, 5/01/2019		436,800
	110,000	Sprint Capital Corp., 8.750%, 3/15/2032		121,000
	26,000	Sprint Nextel Corp., 6.000%, 12/01/2016		27,430
	2,910,000	SUPERVALU, Inc., 6.750%, 6/01/2021, 144A		2,706,300
	1,360,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,169,600
	820,000	Textron, Inc., 5.950%, 9/21/2021		903,565
	1,431,000	Toys R Us, Inc., 7.375%, 10/15/2018		1,291,478
	2,425,000	U.S. Treasury Note, 0.125%, 12/31/2014		2,420,642
	21,000,000	U.S. Treasury Note, 0.250%, 5/31/2014		21,012,306
	2,420,000	U.S. Treasury Note, 0.250%, 10/31/2014		2,420,946
	6,595,000	U.S. Treasury Note, 0.250%, 2/15/2015(d)		6,591,135
	2,735,000	U.S. Treasury Note, 0.250%, 12/15/2015		2,718,546
	2,420,000	U.S. Treasury Note, 0.375%, 11/15/2015		2,414,705
	3,230,000	U.S. Treasury Note, 1.625%, 11/15/2022		3,015,257
	33,418	UAL Pass Through Trust, Series 2009-1, 10.400%, 05/01/2018		38,431
	630,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		618,975
	295,000	United Rentals North America, Inc., 7.625%, 4/15/2022		319,338
	1,735,000	United States Steel Corp., 6.650%, 6/01/2037		1,461,737
	770,000	United States Steel Corp., 7.500%, 3/15/2022		754,600
	139,748	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		146,735
	74,946	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		81,316
	530,000	US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026		524,700
	50,000	USG Corp., 6.300%, 11/15/2016		51,000
	230,000	USG Corp., 9.750%, 1/15/2018		261,050
	525,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		519,094
	110,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		115,330


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	260,000	Visant Corp., 10.000%, 10/01/2017	$	239,850
	85,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		127,672
	100,000	Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP)		145,769
	60,000	Weyerhaeuser Co., 6.950%, 10/01/2027		68,648
	315,000	Weyerhaeuser Co., 7.375%, 3/15/2032		378,148
	125,000	Xerox Corp., 6.750%, 2/01/2017		141,409
	20,000	Xerox Corp., MTN, 7.200%, 4/01/2016		22,651
	250,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		335,988

				164,246,594

		Total Non-Convertible Bonds (Identified Cost $304,227,225)		307,968,063

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)		309,313
	390,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		367,331
	175,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		173,688
	185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		231,481
	125,000	Ford Motor Co., 4.250%, 11/15/2016		225,859
	420,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(h)		421,312
	325,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)		321,547
	1,125,000	Intel Corp., 3.250%, 8/01/2039		1,433,672
	215,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(g)		250,206
	2,200,000	Old Republic International Corp., 3.750%, 3/15/2018		2,475,000
	375,000	Omnicare, Inc., 3.750%, 12/15/2025		693,750
	610,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		617,625
	90,000	Trinity Industries, Inc., 3.875%, 6/01/2036		105,525
	265,000	United States Steel Corp., 2.750%, 4/01/2019		261,522

		Total Convertible Bonds (Identified Cost $6,637,500)		7,887,831


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Municipals – 0.1%
		United States – 0.1%
$	415,000	State of Illinois, 5.100%, 6/01/2033	$	385,104
	130,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		97,614

		Total Municipals (Identified Cost $447,084)		482,718

		Total Bonds and Notes (Identified Cost $311,311,809)		316,338,612

Senior Loans – 0.5%
		United States – 0.5%
	310,000	Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(f)		309,904
	1,870,313	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(f)		1,828,230
	1,065,000	Flying Fortress, Inc., New Term Loan, 3.500%, 6/30/2017(f)		1,062,337
	435,000	Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(f)		429,563
	120,000	Power Team Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(f)		117,900
	44,015	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/31/2015(f)		34,525
	923,316	Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(f)		916,262
	344,138	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(f)		347,366
	814,000	US Airways Group, Inc., Term Loan B1, 4.250%, 5/23/2019(f)		803,483

		Total Senior Loans (Identified Cost $5,907,641)		5,849,570


Shares
Preferred Stocks – 0.5%
Convertible Preferred Stocks – 0.4%
		United States – 0.4%
	460	Chesapeake Energy Corp., 5.000%		39,822
	100	Chesapeake Energy Corp., Series A, 5.750% 144A		102,563
	71,820	General Motors Co., Series B, 4.750%		3,458,851
	820	Lucent Technologies Capital Trust I, 7.750%		783,100

		Total Convertible Preferred Stocks (Identified Cost $4,105,301)		4,384,336


Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stock – 0.1%
		United States – 0.1%
	682	Ally Financial, Inc., Series G, 7.000% 144A (Identified Cost $145,366)	$	648,220

		Total Preferred Stocks (Identified Cost $4,250,667)		5,032,556


Principal Amount (‡)
Short-Term Investments – 3.7%
$	28,626	Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $28,626 on 7/01/2013 collateralized by $35,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $32,969 including accrued interest(i)		28,626
	41,928,976	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $41,928,976 on 7/01/2013 collateralized by $44,320,000 Federal Home Loan Mortgage Corp., 1.650% due 11/15/2019 valued at $42,768,800 including accrued interest(i)		41,928,976

		Total Short-Term Investments (Identified Cost $41,957,602)		41,957,602

		Total Investments – 101.3% (Identified Cost $1,059,891,263)(a)		1,137,509,618
		Other assets less liabilities – (1.3)%		(14,362,358	)

		Net Assets – 100.0%	$	1,123,147,260

(‡)	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.

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.

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

Broker-dealer bid prices 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.

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 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 on a daily basis 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 June 30, 2013, approximately 23% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees. as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

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

(††)	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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $1,060,506,899 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	$	103,134,163
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(26,131,444	)

Net unrealized appreciation	$	77,002,719

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 by the Fund’s investment adviser. At June 30, 2013, the value of these securities amounted to $8,519,318 or 0.8% of net assets.

(d)	All 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)	Variable rate security. Rate as of June 30, 2013 is disclosed.

(g)	Illiquid security. At June 30, 2013, the value of these securities amounted to $815,686 or 0.1% of net assets.

(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 June 30, 2013, the value of Rule 144A holdings amounted to $83,869,845 or 7.5% of net assets.

GDR	A 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 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

OJSC	Open Joint-Stock Company

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

CHF	Swiss Franc

CLP	Chilean Peso

CNY	Chinese Yuan Renminbi

COP	Colombian Peso

EUR

Euro

GBP	British Pound

IDR	Indonesian Rupiah

KRW	South Korean Won

MXN	Mexican Peso

MYR	Malaysian Ringgit

NOK	Norwegian Krone

NZD	New Zealand Dollar

PHP	Philippine Peso

PLN	Polish Zloty

RON	Romanian Leu

SEK	Swedish Krona

SGD	Singapore Dollar

THB	Thailand Baht

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 June 30, 2013, 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		9/18/2013	Australian Dollar		700,000	$	636,567	$	30,883
Buy¹		8/02/2013	Brazilian Real		1,980,000		881,155		(97,202	)
Sell¹		8/02/2013	Brazilian Real		1,980,000		881,155		89,052
Sell¹		7/08/2013	Brazilian Real		1,610,000		720,555		71,534
Sell¹		9/05/2013	Canadian Dollar		6,610,000		6,275,378		96,198
Buy²		9/20/2013	Malaysian Ringgit		1,250,000		393,602		903
Buy³		7/31/2013	New Zealand Dollar		3,165,000		2,447,623		(36,624	)
Sell³		7/31/2013	New Zealand Dollar		3,165,000		2,447,623		195,215
Buy³		9/11/2013	South Korean Won		780,000,000		680,737		(12,812	)
Buy¹		9/11/2013	South Korean Won		1,488,000,000		1,298,636		(24,383	)

Total								$	312,764

At June 30, 2013, the Fund had the following open forward foreign cross currency contracts:

Settlement Date

Deliver/Units of Currency

Receive⁴/Units of Currency

Unrealized
Appreciation
(Depreciation)

9/12/2013

Norwegian Krone

5,600,000

Euro

730,768

31,920

¹Counterparty is Credit Suisse International.

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

³Counterparty 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 June 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks
Belgium	$	—	$	15,945,495	$	—	$	15,945,495
China		—		24,008,178		—		24,008,178
France		—		21,804,811		—		21,804,811
Germany		—		28,138,190		—		28,138,190
Japan		—		10,401,651		—		10,401,651
Russia		—		8,351,002		—		8,351,002
Sweden		—		12,702,356		—		12,702,356
Switzerland		—		24,037,395		—		24,037,395
Thailand		—		12,067,347		—		12,067,347
United Kingdom		—		111,722,165		—		111,722,165
All Other Common Stocks*		499,152,688		—		—		499,152,688

Total Common Stocks		499,152,688		269,178,590		—		768,331,278

Bonds and Notes
Non-Convertible Bonds
Korea		—		4,876,420		6,560,676		11,437,096
United States		36,529		161,117,980		3,092,085		164,246,594
All Other Non-Convertible Bonds*		—		132,284,373		—		132,284,373

Total Non-Convertible Bonds		36,529		298,278,773		9,652,761		307,968,063

Convertible Bonds*		—		7,887,831		—		7,887,831
Municipals*		—		482,718		—		482,718

Total Bonds and Notes		36,529		306,649,322		9,652,761		316,338,612

Senior Loans*		—		5,849,570		—		5,849,570
Preferred Stocks
Convertible Preferred Stocks*		4,384,336		—		—		4,384,336
Non-Convertible Preferred Stock*		—		648,220		—		648,220

Total Preferred Stocks		4,384,336		648,220		—		5,032,556

Short-Term Investments		—		41,957,602		—		41,957,602

Total Investments		503,573,553		624,283,304		9,652,761		1,137,509,618

Forward Foreign Currency Contracts (unrealized appreciation)		—		515,705		—		515,705

Total	$	503,573,553	$	624,799,009	$	9,652,761	$	1,138,025,323

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(171,021	)	$	—	$	(171,021	)

*	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 and/or June 30, 2013:

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 June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
Korea	$	2,528,229	$	(23,619	)	$	—	$	(316,876	)	$	4,372,942	$	—		$	—	$	—		$	6,560,676	$	(316,876	)
United States		638,272		1,168			48,721		(82,472	)		1,735,000		(535,664	)		1,925,332		(638,272	)		3,092,085		(82,472	)

Total	$	3,166,501	$	(22,451	)	$	48,721	$	(399,348	)	$	6,107,942	$	(535,664	)	$	1,925,332	$	(638,272	)	$	9,652,761	$	(399,348	)

Debt securities valued at $1,925,332 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

A debt valued at $638,272 was transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Derivatives

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

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 June 30, 2013, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of June 30, 2013, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Fund’s claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of June 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $515,705 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $344,684.

The following is a summary of derivative instruments for the Fund, as of June 30, 2013:


Asset Derivatives	Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	515,705

Liability Derivatives	Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	(171,021	)

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.

Unfunded Loan Commitments

The Fund may enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments are marked-to-market daily with the resulting unrealized appreciation (depreciation) recorded on the Fund’s books and records. As of June 30, 2013, the Fund had one unfunded loan commitment which could be funded at the option of the following Borrower, pursuant to the loan agreement:


Borrower	Unfunded Loan Commitment
Power Team Services LLC	$	55,000

Industry Summary at June 30, 2013 (Unaudited)


Treasuries	9.3	%
Pharmaceuticals	7.5
Commercial Banks	5.7
Beverages	4.3
Chemicals	4.2
Oil, Gas & Consumable Fuels	4.1
Banking	3.5
Specialty Retail	3.1
Energy Equipment & Services	2.9
Internet Software & Services	2.9
Aerospace & Defense	2.8
Diversified Financial Services	2.3
Textiles, Apparel & Luxury Goods	2.2
Machinery	2.2
Other Investments, less than 2% each	40.6
Short-Term Investments	3.7

Total Investments	101.3
Other assets less liabilities (including open forward foreign currency contracts)	(1.3	)

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2013 (Unaudited)


United States Dollar	67.9	%
British Pound	10.4
Euro	7.2
Mexican Peso	2.6
Swiss Franc	2.1
Hong Kong Dollar	2.1
Other, less than 2% each	9.0

Total Investments	101.3
Other assets less liabilities (including open forward foreign currency contracts)	(1.3	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Growth Fund


Shares		Description	Value (†)
Common Stocks – 97.8% of Net Assets
		Air Freight & Logistics – 6.6%
	167,217	Expeditors International of Washington, Inc.	$	6,355,918
	87,311	United Parcel Service, Inc., Class B		7,550,655

				13,906,573

		Beverages – 7.4%
	121,016	Coca-Cola Co. (The)		4,853,952
	6,779	Diageo PLC, Sponsored ADR		779,246
	80,451	Monster Beverage Corp.(b)		4,889,007
	105,305	SABMiller PLC, Sponsored ADR		5,074,648

				15,596,853

		Biotechnology – 2.4%
	51,524	Amgen, Inc.		5,083,358

		Capital Markets – 6.6%
	21,657	Franklin Resources, Inc.		2,945,785
	57,603	Greenhill & Co., Inc.		2,634,761
	106,125	Legg Mason, Inc.		3,290,937
	178,656	SEI Investments Co.		5,079,190

				13,950,673

		Communications Equipment – 9.9%
	495,532	Cisco Systems, Inc.		12,046,383
	142,639	QUALCOMM, Inc.		8,712,390

				20,758,773

		Consumer Finance – 2.8%
	77,867	American Express Co.		5,821,337

		Energy Equipment & Services – 3.0%
	87,928	Schlumberger Ltd.		6,300,920

		Food Products – 3.9%
	551,247	Danone S.A., Sponsored ADR		8,268,705

		Health Care Equipment & Supplies – 6.3%
	72,398	Varian Medical Systems, Inc.(b)		4,883,245
	112,656	Zimmer Holdings, Inc.		8,442,441

				13,325,686

		Household Products – 4.5%
	35,286	Clorox Co. (The)		2,933,678
	84,692	Procter & Gamble Co. (The)		6,520,437

				9,454,115

		Internet & Catalog Retail – 5.7%
	43,033	Amazon.com, Inc.(b)		11,949,834

		Internet Software & Services – 8.7%
	230,237	Facebook, Inc., Class A(b)		5,723,692


Shares		Description	Value (†)
Common Stocks – continued
		Internet Software & Services – continued
	14,218	Google, Inc., Class A(b)	$	12,517,100

				18,240,792

		IT Services – 6.7%
	48,028	Automatic Data Processing, Inc.		3,307,208
	58,707	Visa, Inc., Class A		10,728,704

				14,035,912

		Pharmaceuticals – 5.0%
	77,441	Merck & Co., Inc.		3,597,134
	98,850	Novartis AG, ADR		6,989,684

				10,586,818

		Semiconductors & Semiconductor Equipment – 3.3%
	19,302	Altera Corp.		636,773
	23,037	Analog Devices, Inc.		1,038,047
	148,364	ARM Holdings PLC, Sponsored ADR		5,367,810

				7,042,630

		Software – 11.2%
	149,416	Autodesk, Inc.(b)		5,071,179
	45,017	FactSet Research Systems, Inc.		4,589,033
	154,248	Microsoft Corp.		5,326,184
	282,896	Oracle Corp.		8,690,565

				23,676,961

		Specialty Retail – 3.8%
	195,159	Lowe’s Cos., Inc.		7,982,003

		Total Common Stocks (Identified Cost $162,773,913)		205,981,943


Principal Amount
Short-Term Investments – 3.7%
$	7,785,563	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $7,785,563 on 7/01/2013 collateralized by $8,095,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $7,943,219 including accrued interest(c) (Identified Cost $7,785,563)		7,785,563

		Total Investments – 101.5% (Identified Cost $170,559,476)(a)		213,767,506
		Other assets less liabilities – (1.5)%		(3,142,949	)

		Net Assets – 100.0%	$	210,624,557

(†)

Broker-dealer bid prices 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 (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At June 30, 2013, the net unrealized appreciation on investments based on a cost of $170,559,476 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	$	44,347,025
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,138,995	)

Net unrealized appreciation	$	43,208,030

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 June 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	205,981,943	$	—	$	—	$	205,981,943
Short-Term Investments		—		7,785,563		—		7,785,563

Total	$	205,981,943	$	7,785,563	$	—	$	213,767,506

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

For the period ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.

Industry Summary at June 30, 2013 (Unaudited)


Software	11.2	%
Communications Equipment	9.9
Internet Software & Services	8.7
Beverages	7.4
IT Services	6.7
Capital Markets	6.6
Air Freight & Logistics	6.6
Health Care Equipment & Supplies	6.3
Internet & Catalog Retail	5.7
Pharmaceuticals	5.0
Household Products	4.5
Food Products	3.9
Specialty Retail	3.8
Semiconductors & Semiconductor Equipment	3.3
Energy Equipment & Services	3.0
Consumer Finance	2.8
Biotechnology	2.4
Short-Term Investments	3.7

Total Investments	101.5
Other assets less liabilities	(1.5	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Institutional High Income Fund


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 79.5% of Net Assets
Non-Convertible Bonds – 64.6%
		Aerospace & Defense – 2.4%
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)	$	132,837
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,175,000
	500,000	Ducommun, Inc., 9.750%, 7/15/2018		546,250
	3,220,000	GenCorp, Inc., 7.125%, 3/15/2021, 144A		3,332,700
	900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		745,498
	5,200,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		4,722,110
	2,610,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		2,270,700
	1,580,000	TransDigm, Inc., 7.500%, 7/15/2021, 144A		1,615,550

				15,540,645

		Airlines – 2.5%
	985,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		985,749
	435,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		433,912
	327,905	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		357,416
	82,057	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		86,980
	62,825	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		65,966
	306,992	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		335,389
	343,786	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		347,224
	1,150,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		1,129,875
	443,877	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		468,290
	3,419,660	US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A		3,607,742
	1,538,132	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,718,863
	464,716	US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014		490,275
	309,777	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		336,107
	3,482,356	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		3,691,298
	2,250,000	US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023		2,227,500

				16,282,586


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Automotive – 0.5%
$	1,000,000	American Axle & Manufacturing, Inc., 6.625%, 10/15/2022	$	1,015,000
	15,000	Ford Motor Co., 6.375%, 2/01/2029		15,896
	95,000	Ford Motor Co., 6.625%, 2/15/2028		100,925
	230,000	Ford Motor Co., 7.125%, 11/15/2025		261,457
	40,000	Ford Motor Co., 7.500%, 8/01/2026		46,258
	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,066,487

				3,506,023

		Banking – 4.9%
	2,700,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)		1,113,227
	915,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%, 12/29/2049		1,019,081
	4,520,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		3,654,125
	7,410,000	HBOS PLC, 6.000%, 11/01/2033, 144A		6,836,244
	9,495,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		10,053,657
	7,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		679,476
	11,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,089,028
	1,700,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 9/29/2049, 144A		1,258,000
	475,000	RBS Capital Trust A, 2.319%, 12/29/2049, (EUR)(b)		383,645
	80,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR)		67,686
	135,000	RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049		93,825
	160,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049		128,000
	85,000	RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, 9/29/2049		62,050
	3,545,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		3,440,139
	105,000	Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR)		90,218
	1,545,000	Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)		1,362,284
	85,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049		76,075
	435,000	SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR)		557,724

				31,964,484


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Brokerage – 0.4%
$	1,615,000	Jefferies Group LLC, 6.250%, 1/15/2036	$	1,558,475
	1,045,000	Jefferies Group LLC, 6.450%, 6/08/2027		1,029,325
	165,000	Jefferies Group LLC, 6.875%, 4/15/2021		181,466

				2,769,266

		Building Materials – 0.8%
	3,200,000	HD Supply, Inc., 10.500%, 1/15/2021		3,312,000
	670,000	Masco Corp., 6.500%, 8/15/2032		666,650
	1,225,000	Owens Corning, Inc., 7.000%, 12/01/2036		1,310,824

				5,289,474

		Chemicals – 2.4%
	3,043,000	Hercules, Inc., 6.500%, 6/30/2029		2,647,410
	3,687,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		3,760,740
	1,240,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		1,184,200
	1,824,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		1,313,280
	539,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		463,540
	2,641,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		2,165,620
	4,416,092	Reichhold Industries, Inc., 9.000%, 5/08/2017, 144A(c)(d)		3,334,149
	600,000	U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375%, 5/01/2021, 144A		612,000

				15,480,939

		Commercial Mortgage-Backed Securities – 0.0%
	320,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(b)		307,635

		Consumer Cyclical Services – 0.3%
	135,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		130,275
	1,902,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		1,616,700

				1,746,975

		Consumer Products – 0.3%
	2,270,000	Visant Corp., 10.000%, 10/01/2017		2,094,075

		Electric – 0.9%
	215,000	Edison Mission Energy, 7.625%, 5/15/2027(e)		120,400


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Electric – continued
$	1,100,000	EDP Finance BV, 4.900%, 10/01/2019, 144A	$	1,080,750
	1,000,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		1,030,000
	3,540,028	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(d)		2,991,323
	365,000	PPL Energy Supply LLC, 4.600%, 12/15/2021		371,433

				5,593,906

		Environmental – 0.1%
	536,000	ADS Waste Holdings, Inc., 8.250%, 10/01/2020, 144A		546,720

		Food & Beverage – 0.2%
	1,545,000	Wells Enterprises, Inc., 6.750%, 2/01/2020, 144A		1,618,388

		Government Guaranteed – 0.8%
	1,185,000	Autonomous Community of Catalonia, 4.950%, 2/11/2020, (EUR)		1,356,768
	4,720,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		4,055,823

				5,412,591

		Government Owned—No Guarantee – 0.4%
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		884,584
	16,700,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		1,640,386

				2,524,970

		Government Sponsored – 0.7%
	3,440,000	Eksportfinans ASA, 2.000%, 9/15/2015		3,302,400
	1,250,000	Eksportfinans ASA, 2.375%, 5/25/2016		1,196,875

				4,499,275

		Healthcare – 3.2%
	2,825,000	HCA, Inc., 5.875%, 5/01/2023		2,832,062
	1,065,000	HCA, Inc., 7.050%, 12/01/2027		1,043,700
	970,000	HCA, Inc., 7.500%, 12/15/2023		1,008,800
	4,660,000	HCA, Inc., 7.500%, 11/06/2033		4,799,800
	1,815,000	HCA, Inc., 7.690%, 6/15/2025		1,960,200
	375,000	HCA, Inc., 8.360%, 4/15/2024		423,750
	945,000	HCA, Inc., MTN, 7.580%, 9/15/2025		1,001,700


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	1,550,000	HCA, Inc., MTN, 7.750%, 7/15/2036	$	1,557,750
	7,644,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		6,573,840

				21,201,602

		Home Construction – 1.0%
	300,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023, 144A		303,000
	882,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		793,800
	1,068,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		1,084,020
	755,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		781,425
	400,000	Pulte Group, Inc., 6.000%, 2/15/2035		368,000
	2,460,000	Pulte Group, Inc., 6.375%, 5/15/2033		2,300,100
	870,000	Pulte Group, Inc., 7.875%, 6/15/2032		957,000

				6,587,345

		Independent Energy – 2.9%
	150,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		203,545
	6,640,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		3,784,800
	9,150,000	Connacher Oil and Gas Ltd., 8.750%, 8/01/2018, 144A, (CAD)		4,915,613
	1,075,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A		311,750
	600,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A		189,000
	3,680,000	Rex Energy Corp., 8.875%, 12/01/2020, 144A		3,790,400
	2,400,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		2,343,000
	3,360,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		3,192,000

				18,730,108

		Industrial Other – 0.2%
	635,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		666,750
	320,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		310,400

				977,150

		Life Insurance – 2.5%
	1,600,000	American International Group, Inc., 6.250%, 3/15/2087		1,634,000
	6,535,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		7,972,700


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Life Insurance – continued
$	4,400,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A	$	4,279,000
	280,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		369,600
	1,530,000	MetLife, Inc., 10.750%, 8/01/2069		2,363,850

				16,619,150

		Local Authorities – 1.9%
	1,535,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		1,619,461
	100,000	City of Madrid Spain, 4.550%, 6/16/2036, (EUR)		93,857
	905,000	City of Rome Italy, EMTN, 5.345%, 1/27/2048, (EUR)		1,083,753
	2,245,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		2,057,675
	7,200,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		7,422,018

				12,276,764

		Media Cable – 0.3%
	2,215,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		2,137,475

		Media Non-Cable – 2.4%
	2,210,000	Clear Channel Communications, Inc., 4.900%, 5/15/2015		2,044,250
	4,405,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		4,283,863
	1,770,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A		1,787,700
	980,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A		1,011,850
	1,206,000	R.R. Donnelley & Sons Co., 7.625%, 6/15/2020		1,224,090
	1,665,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		1,698,300
	3,230,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		3,391,500

				15,441,553

		Metals & Mining – 3.5%
	5,685,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		5,002,800
	377,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		358,150
	11,060,000	Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		8,516,200
	3,125,000	Hecla Mining Co., 6.875%, 5/01/2021, 144A		2,898,437
	800,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		800,000
	2,020,000	United States Steel Corp., 6.650%, 6/01/2037		1,701,850


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Metals & Mining – continued
$	3,680,000	United States Steel Corp., 7.500%, 3/15/2022	$	3,606,400

				22,883,837

		Non-Captive Consumer – 1.4%
	1,000,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		750,000
	875,000	SLM Corp., MTN, 7.250%, 1/25/2022		918,750
	115,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		111,543
	4,550,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,776,500
	3,630,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		3,561,938

				9,118,731

		Non-Captive Diversified – 1.8%
	970,000	General Electric Capital Corp., GMTN, 5.500%, 2/01/2017, (NZD)		778,534
	250,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		206,034
	3,035,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		2,454,067
	180,000	International Lease Finance Corp., 5.875%, 4/01/2019		181,800
	135,000	International Lease Finance Corp., 6.250%, 5/15/2019		138,713
	300,000	International Lease Finance Corp., 8.250%, 12/15/2020		337,125
	1,325,000	iStar Financial, Inc., 3.875%, 7/01/2016		1,272,000
	3,980,000	iStar Financial, Inc., 4.875%, 7/01/2018		3,741,200
	840,000	iStar Financial, Inc., 5.850%, 3/15/2017		856,800
	885,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		902,700
	1,040,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		1,081,600

				11,950,573

		Oil Field Services – 1.4%
	1,790,000	Basic Energy Services, Inc., 7.750%, 10/15/2022		1,767,625
	3,425,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A		3,425,000
	3,680,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		3,726,000

				8,918,625


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Packaging – 1.1%
$	6,050,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021	$	5,989,500
	600,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.000%, 4/15/2019		619,500
	510,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		484,500

				7,093,500

		Paper – 0.2%
	1,615,000	Neenah Paper, Inc., 5.250%, 5/15/2021, 144A		1,574,625

		Pipelines – 0.6%
	3,340,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		2,872,400
	1,000,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		872,400

				3,744,800

		Property & Casualty Insurance – 0.8%
	1,920,000	MBIA Insurance Corp., 11.537%, 1/15/2033, 144A(b)(f)		1,641,600
	3,245,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		3,347,892

				4,989,492

		Railroads – 0.0%
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		266,900
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		27,900

				294,800

		REITs—Office Property – 0.1%
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		513,751

		Retailers – 1.8%
	450,000	Dillard’s, Inc., 7.000%, 12/01/2028		472,500
	1,895,000	Dillard’s, Inc., 7.750%, 7/15/2026		2,079,763
	125,000	Dillard’s, Inc., 7.750%, 5/15/2027		135,625
	170,000	Dillard’s, Inc., 7.875%, 1/01/2023		188,275
	1,679,000	Foot Locker, Inc., 8.500%, 1/15/2022(g)		1,884,019
	230,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		179,400
	280,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		227,500


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Retailers – continued
$	7,385,000	Toys R Us, Inc., 7.375%, 10/15/2018	$	6,664,962

				11,832,044

		Sovereigns – 0.6%
	1,153,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		138,992
	6,561,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		826,171
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,915,544
	66,455,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		402,064
	24,750,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		151,435
	32,615,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		215,352

				3,649,558

		Supermarkets – 3.0%
	600,000	American Stores Co., 7.900%, 5/01/2017		661,500
	360,000	American Stores Co., 8.000%, 6/01/2026		457,200
	1,865,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		2,238,000
	4,190,000	New Albertson’s, Inc., 7.450%, 8/01/2029		3,289,150
	2,170,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,711,588
	9,220,000	New Albertson’s, Inc., 8.000%, 5/01/2031		7,329,900
	4,125,000	New Albertson’s, Inc., 8.700%, 5/01/2030		3,392,812
	1,100,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		759,000

				19,839,150

		Supranational – 0.1%
	4,500,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		448,912

		Technology – 3.4%
	650,000	Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR)		898,952
	10,465,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		7,927,237
	4,210,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,157,500
	3,420,000	Amkor Technology, Inc., 6.375%, 10/01/2022		3,360,150
	1,590,000	First Data Corp., 11.250%, 1/15/2021, 144A		1,586,025
	1,560,000	Freescale Semiconductor, Inc., 8.050%, 2/01/2020		1,579,500


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Technology – continued
$	12,000	Motorola Solutions, Inc., 6.625%, 11/15/2037	$	12,425
	4,000,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A		4,020,000

				22,541,789

		Textile – 0.8%
	3,235,000	Jones Group, Inc. (The), 6.125%, 11/15/2034		2,571,825
	2,835,000	Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		2,849,175

				5,421,000

		Transportation Services – 1.3%
	3,285,000	APL Ltd., 8.000%, 1/15/2024(c)		3,087,900
	834,121	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		842,462
	289,324	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(f)(h)		376,121
	147,914	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		149,393
	399,542	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(f)(h)		559,358
	40,344	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(f)(h)		56,482
	2,710,000	Jack Cooper Holdings Corp., 9.250%, 6/01/2020, 144A		2,710,000
	740,000	Teekay Corp., 8.500%, 1/15/2020		804,750

				8,586,466

		Treasuries – 4.1%
	24,214,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		2,898,351
	2,425,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		3,366,533
	850,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		1,155,101
	175,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		244,076
	4,405,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		6,216,090
	1,590,000	Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		286,681
	4,365,000	Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		765,376
	770,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		855,618
	560,000	Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		507,743
	175,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		210,249


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Treasuries – continued
	4,070,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)	$	4,725,031
	3,175,000	U.S. Treasury Bond, 2.750%, 11/15/2042		2,737,447
	3,560,000	U.S. Treasury Bond, 2.875%, 5/15/2043		3,150,600

				27,118,896

		Wireless – 1.2%
	11,300,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		844,569
	2,725,000	NII Capital Corp., 7.625%, 4/01/2021		2,118,688
	4,085,000	Sprint Capital Corp., 6.875%, 11/15/2028		3,921,600
	840,000	Sprint Capital Corp., 6.900%, 5/01/2019		873,600
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		236,500

				7,994,957

		Wirelines – 5.4%
	205,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(i)		188,600
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		361,900
	5,540,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		5,546,925
	800,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		963,221
	1,620,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		1,603,800
	465,000	Frontier Communications Corp., 7.000%, 11/01/2025		455,700
	4,351,000	Frontier Communications Corp., 7.875%, 1/15/2027		4,215,031
	902,000	Frontier Communications Corp., 8.750%, 4/15/2022		983,180
	2,600,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,574,000
	905,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		902,738
	250,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		304,293
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		1,045,034
	2,100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		2,700,006
	1,100,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,433,604
	1,439,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,590,095
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		768,000


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
$	1,385,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021	$	1,523,500
	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		5,252,020
	645,000	Qwest Corp., 7.250%, 9/15/2025		721,200
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,414,035
	1,095,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		992,950
	140,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		130,750

				35,670,582

		Total Non-Convertible Bonds (Identified Cost $397,863,921)		423,335,187

Convertible Bonds – 14.8%
		Airlines – 0.3%
	1,705,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		1,772,467

		Automotive – 1.6%
	1,090,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(i)		963,287
	3,530,000	Ford Motor Co., 4.250%, 11/15/2016		6,378,269
	2,955,000	Navistar International Corp., 3.000%, 10/15/2014		2,870,044

				10,211,600

		Brokerage – 0.3%
	2,145,000	Jefferies Group LLC, 3.875%, 11/01/2029		2,285,766

		Diversified Manufacturing – 0.4%
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		2,714,337

		Electric – 0.1%
	250,000	CMS Energy Corp., 5.500%, 6/15/2029		494,844

		Healthcare – 1.4%
	3,325,000	Health Management Associates, Inc., 3.750%, 5/01/2028, 144A		5,292,984
	1,325,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i)		1,310,922
	660,000	Illumina, Inc., 0.250%, 3/15/2016, 144A		713,625
	860,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		929,875
	610,000	Omnicare, Inc., 3.750%, 12/15/2025		1,128,500

				9,375,906


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Home Construction – 1.0%
$	2,295,000	Lennar Corp., 3.250%, 11/15/2021, 144A	$	3,852,731
	2,050,000	Standard Pacific Corp., 1.250%, 8/01/2032		2,615,031

				6,467,762

		Independent Energy – 1.3%
	5,585,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		4,893,856
	3,260,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		3,070,512
	695,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		689,788

				8,654,156

		Life Insurance – 1.1%
	6,533,000	Old Republic International Corp., 3.750%, 3/15/2018		7,349,625

		Media Non-Cable – 0.0%
	45,932	Liberty Media LLC, 3.500%, 1/15/2031		23,540

		Metals & Mining – 0.4%
	1,250,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,333,594
	970,000	United States Steel Corp., 2.750%, 4/01/2019		957,269

				2,290,863

		Non-Captive Diversified – 0.1%
	470,000	iStar Financial, Inc., 3.000%, 11/15/2016		557,538

		Technology – 5.6%
	7,895,000	Ciena Corp., 0.875%, 6/15/2017		7,589,069
	4,140,000	Ciena Corp., 3.750%, 10/15/2018, 144A		5,180,175
	175,000	Ciena Corp., 4.000%, 3/15/2015, 144A		205,406
	3,595,000	Intel Corp., 3.250%, 8/01/2039		4,581,378
	5,370,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		8,336,925
	3,130,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		5,000,175
	855,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A		1,364,259
	960,000	Nuance Communications, Inc., 2.750%, 11/01/2031		988,800
	230,000	SanDisk Corp., 1.500%, 8/15/2017		306,619


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Technology – continued
$	1,050,000	Teradyne, Inc., 4.500%, 3/15/2014	$	3,375,094

				36,927,900

		Textile – 0.5%
	3,080,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016		3,476,550

		Wirelines – 0.7%
	233,700	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(c)(g)(i)(j)		30,320
	2,210,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		2,571,887
	1,190,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		1,384,863
	400,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		527,168

				4,514,238

		Total Convertible Bonds (Identified Cost $72,439,227)		97,117,092

Municipals – 0.1%
		District of Columbia – 0.1%
	540,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047 (Identified Cost $540,000)		615,411

		Total Bonds and Notes (Identified Cost $470,843,148)		521,067,690

Senior Loans – 2.6%
		Airlines – 0.2%
	1,238,250	Delta Air Lines, Inc., New Term Loan B1, 4.000%, 10/18/2018(b)		1,235,601

		Automotive – 0.2%
	1,251,863	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(b)		1,263,605

		Chemicals – 0.3%
	500,000	AI Chem & Cy S.C.A., 2nd Lien Term Loan, 8.250%, 4/03/2020(b)		500,000
	1,610,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/18/2020(b)		1,642,200

				2,142,200

		Consumer Products – 0.1%
	311,720	Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)		296,467

		Diversified Manufacturing – 0.1%
	275,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(b)		277,063


Principal Amount (‡)		Description	Value (†)
Senior Loans – continued
		Food & Beverage – 0.1%
$	567,588	DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b)	$	581,777

		Healthcare – 0.2%
	1,125,000	Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(b)		1,124,651

		Media Non-Cable – 0.0%
	141,397	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/31/2015(b)		110,909

		Metals & Mining – 0.1%
	516,100	Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b)		523,522

		Non-Captive Diversified – 0.6%
	4,000,000	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b)		4,186,680

		Oil Field Services – 0.2%
	1,213,300	Frac Tech International LLC, Term Loan B, 8.500%, 5/06/2016(b)		1,165,775

		Other Utility – 0.1%
	400,000	Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		395,000
	325,000	Power Team Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		319,312

		Total Other Utility (Identified Cost $719,841)		714,312

		Supermarket – 0.1%
	923,316	Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(b)		916,262

		Technology – 0.1%
	201,562	Alcatel-Lucent USA, Inc., USD Term Loan B, 6.250%, 8/01/2016(b)		203,106
	441,221	Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(b)		444,715

		Total Technology (Identified Cost $639,826)		647,821

		Wirelines – 0.2%
	748,125	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)		731,292
	740,689	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b)		738,837
	65,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		66,463

				1,536,592

		Total Senior Loans (Identified Cost $16,435,423)		16,723,237


Shares		Description	Value (†)
Common Stocks – 11.2%
		Automobiles – 1.1%
	465,000	Ford Motor Co.	$	7,193,550

		Biotechnology – 2.0%
	165,617	Vertex Pharmaceuticals, Inc.(f)		13,227,830

		Chemicals – 1.5%
	156,958	Dow Chemical Co. (The)		5,049,339
	30,167	PPG Industries, Inc.		4,416,750

				9,466,089

		Containers & Packaging – 0.2%
	40,621	Owens-Illinois, Inc.(f)		1,128,857
	2,452	Rock-Tenn Co., Class A		244,906

				1,373,763

		Diversified Telecommunication Services – 0.3%
	22,435	FairPoint Communications, Inc.(f)		187,332
	2,627	Hawaiian Telcom Holdco, Inc.(f)		66,096
	117,962	Telefonica S.A., Sponsored ADR(f)		1,511,093

				1,764,521

		Electronic Equipment, Instruments & Components – 2.4%
	1,119,766	Corning, Inc.		15,934,270

		Food Products – 0.0%
	3,100	ConAgra Foods, Inc.		108,283

		Household Durables – 0.0%
	6,775	KB Home		132,993

		Oil, Gas & Consumable Fuels – 0.6%
	2,846	Chesapeake Energy Corp.		58,001
	82,985	Repsol YPF S.A., Sponsored ADR		1,755,963
	33,796	Royal Dutch Shell PLC, ADR		2,156,185

				3,970,149

		Pharmaceuticals – 1.4%
	64,900	Bristol-Myers Squibb Co.		2,900,381
	74,297	Valeant Pharmaceuticals International, Inc.(f)		6,395,486

				9,295,867

		REITs—Apartments – 0.1%
	6,185	Apartment Investment & Management Co., Class A		185,798
	32,565	Associated Estates Realty Corp.		523,645

				709,443

		REITs—Shopping Centers – 0.0%
	7,868	DDR Corp.		131,002

		Semiconductors & Semiconductor Equipment – 1.4%
	372,408	Intel Corp.		9,019,722

		Trading Companies & Distributors – 0.2%
	20,913	United Rentals, Inc.(f)		1,043,768

		Total Common Stocks (Identified Cost $49,394,978)		73,371,250


Shares		Description	Value (†)
Preferred Stocks – 4.0%
Convertible Preferred Stocks – 2.8%
		Automotive – 1.2%
	148,570	General Motors Co., Series B, 4.750%	$	7,155,131
	20,395	Goodyear Tire & Rubber Co. (The), 5.875%		1,004,658

				8,159,789

		Banking – 0.0%
	138	Wells Fargo & Co., Series L, Class A, 7.500%		164,772

		Electric – 0.1%
	17,119	AES Trust III, 6.750%		861,428

		Home Construction – 0.1%
	11,000	Hovnanian Enterprises, Inc., 7.250%		313,720

		Independent Energy – 0.1%
	4,300	Chesapeake Energy Corp., 5.000%		372,251
	190	Chesapeake Energy Corp., Series A, 5.750%, 144A		194,869
	3,552	SandRidge Energy, Inc., 7.000%		304,362

				871,482

		Metals & Mining – 0.1%
	33,725	ArcelorMittal, 6.000%		633,018

		Pipelines – 0.5%
	54,200	El Paso Energy Capital Trust I, 4.750%		3,170,158

		REITs—Diversified – 0.2%
	21,593	Weyerhaeuser Co., Series A, 6.375%		1,101,459

		Technology – 0.5%
	3,260	Lucent Technologies Capital Trust I, 7.750%		3,113,300

		Total Convertible Preferred Stocks (Identified Cost $16,648,649)		18,389,126

Non-Convertible Preferred Stocks – 1.2%
		Banking – 0.8%
	4,153	Ally Financial, Inc., Series G, 7.000%, 144A		3,947,297
	18,000	Bank of America Corp., 6.375%		441,900
	23,925	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		666,311


Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – continued
		Banking – continued
	7,075	Countrywide Capital IV, 6.750%	$	176,804

				5,232,312

		Home Construction – 0.3%
	96,887	Hovnanian Enterprises, Inc., 7.625%(f)		1,752,686

		Non-Captive Consumer – 0.1%
	12,475	SLM Corp., Series A, 6.970%		616,390

		Non-Captive Diversified – 0.0%
	5,300	iStar Financial, Inc., Series F, 7.800%		127,571
	2,575	iStar Financial, Inc., Series G, 7.650%		60,435

				188,006

		REITs—Warehouse/Industrials – 0.0%
	3,363	ProLogis, Inc., Series Q, 8.540%		208,506

		Total Non-Convertible Preferred Stocks (Identified Cost $5,528,921)		7,997,900

		Total Preferred Stocks (Identified Cost $22,177,570)		26,387,026

Warrants – 0.0%
	34,303	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(f)(g) (Identified Cost $0)		—


Principal Amount(‡)
Short-Term Investments – 1.5%
	102,424	Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $102,424 on 7/01/2013 collateralized by $115,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $108,328 including accrued interest(k)		102,424
	9,766,812	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $9,766,812 on 7/01/2013 collateralized by $10,155,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $9,964,594 including accrued interest(k)		9,766,812

		Total Short-Term Investments (Identified Cost $9,869,236)		9,869,236

		Total Investments – 98.8% (Identified Cost $568,720,355)(a)		647,418,439
		Other assets less liabilities – 1.2%		7,681,694

		Net Assets – 100.0%	$	655,100,133


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	99,592,885
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(21,160,586	)

Net unrealized appreciation	$	78,432,299


(b)				Variable rate security. Rate as of June 30, 2013 is disclosed.
(c)				Illiquid security. At June 30, 2013, the value of these securities amounted to $14,646,359 or 2.2% of net assets.
(d)				All or a portion of interest payment is paid-in-kind.
(e)				The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(f)				Non-income producing security.
(g)				Fair valued security by the Fund’s investment adviser. At June 30, 2013, the value of these securities amounted to $1,914,339 or 0.3% of net assets.
(h)				Maturity has been extended under the terms of a plan of reorganization.
(i)				Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(j)				Convertible dollar-indexed note. Coupon rate is based on MXN denominated par value and is payable in USD.
(k)				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 June 30, 2013, the value of Rule 144A holdings amounted to $159,185,079 or 24.3% of net assets.
ADR				An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
EMTN				Euro Medium Term Note
GMTN				Global Medium Term Note
MTN				Medium Term Note
REITs				Real Estate Investment Trusts


AUD				Australian Dollar
BRL				Brazilian Real
CAD				Canadian Dollar
EUR				Euro
IDR				Indonesian Rupiah
ISK				Icelandic Krona
MXN				Mexican Peso
NOK				Norwegian Krone
NZD				New Zealand Dollar
USD				U.S. 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 June 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	2,115,624	$	14,166,962	(a)	$	16,282,586
Retailers		—		9,948,025		1,884,019	(b)		11,832,044
Transportation Services		—		6,602,650		1,983,816	(a)		8,586,466
All Other Non-Convertible Bonds*		—		386,634,091		—			386,634,091

Total Non-Convertible Bonds		—		405,300,390		18,034,797			423,335,187

Convertible Bonds
Wirelines		—		4,483,918		30,320	(b)		4,514,238
All Other Convertible Bonds*		—		92,602,854		—			92,602,854

Total Convertible Bonds		—		97,086,772		30,320			97,117,092

Municipals*		—		615,411		—			615,411

Total Bonds and Notes		—		503,002,573		18,065,117			521,067,690

Senior Loans*		—		16,723,237		—			16,723,237
Common Stocks*		73,371,250		—		—			73,371,250
Preferred Stocks
Convertible Preferred Stocks*		18,389,126		—		—			18,389,126
Non-Convertible Preferred Stocks
Banking		1,285,015		3,947,297		—			5,232,312
All Other Non-Convertible Preferred Stocks*		2,765,588		—		—			2,765,588

Total Non-Convertible Preferred Stocks		4,050,603		3,947,297		—			7,997,900

Total Preferred Stocks		22,439,729		3,947,297		—			26,387,026

Warrants**		—		—		—			—
Short-Term Investments		—		9,869,236		—			9,869,236

Total	$	95,810,979	$	533,542,343	$	18,065,117		$	647,418,439

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

**	Fair valued at zero using Level 2 inputs.

(a)	Valued using broker-dealer bid prices.

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

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

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 and/or June 30, 2013:

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 June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Convertible Bonds
Wirelines	$	—	$	—	$	(1	)	$	(6,038	)	$	72,718	$	(36,359	)	$	—	$	—		$	30,320	$	(6,038	)
Non-Convertible Bonds
Airlines		—		1,591		8,429			326,575			2,685,000		(1,123,395	)		12,268,762		—			14,166,962		326,575
Banking		3,846,651		—		—			—			—		—			—		(3,846,651	)		—		—
Retailers		—		10,511		—			18,213			—		—			1,855,295		—			1,884,019		18,213
Transportation Services		2,800,463		—		36,518			441,002			—		(143,572	)		1,649,868		(2,800,463	)		1,983,816		441,002
Warrants		—		—		—			—			—		—			—		—			—		—

Total	$	6,647,114	$	12,102	$	44,946		$	779,752		$	2,757,718	$	(1,303,326	)	$	15,773,925	$	(6,647,114	)	$	18,065,117	$	779,752

Debt securities valued at $15,773,925 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price securities.

Debt securities valued at $6,647,114 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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.

Unfunded Loan Commitments


Borrower	Unfunded Loan Commitment
Power Team Services LLC	$	50,000

Industry Summary at June 30, 2013 (Unaudited)


Technology	9.6	%
Wirelines	6.3
Banking	5.7
Healthcare	4.8
Independent Energy	4.3
Chemicals	4.2
Treasuries	4.1
Metals & Mining	4.1
Life Insurance	3.6
Automotive	3.5
Supermarkets	3.1
Airlines	3.0
Non-Captive Diversified	2.5
Electronic Equipment, Instruments & Components	2.4
Media Non-Cable	2.4
Aerospace & Defense	2.4
Home Construction	2.4
Biotechnology	2.0
Other Investments, less than 2% each	26.9
Short-Term Investments	1.5

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles International Bond Fund


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 97.7% of Net Assets
Non-Convertible Bonds – 97.5%
		Belgium – 2.9%
	100,000	Anheuser-Busch InBev NV, EMTN, 1.250%, 3/24/2017, (EUR)	$	130,730
	130,000	Belgium Government Bond, 2.250%, 6/22/2023, (EUR)		163,175
	130,000	Belgium Government Bond, 3.500%, 6/28/2017, (EUR)(b)		184,495

				478,400

		Brazil – 1.7%
	350,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		144,307
	100,000	Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR)		135,827

				280,134

		Canada – 4.1%
	190,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		187,856
	100,000	Ford Auto Securitization Trust, Series 2013-R1A, Class A2, 1.676%, 9/15/2016, 144A, (CAD)		94,936
	70,000	Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD)		72,467
	150,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		210,445
	95,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		100,175

				665,879

		Finland – 2.1%
	220,000	Finland Government Bond, 4.000%, 7/04/2025, (EUR)		339,364

		France – 4.3%
	50,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		66,343
	100,000	Bouygues, S.A., 3.641%, 10/29/2019, (EUR)		138,680
	355,000	France Government Bond OAT, 3.000%, 4/25/2022, (EUR)(b)		493,554

				698,577

		Germany – 7.4%
	525,000	Bundesrepublik Deutschland, 1.750%, 7/04/2022, (EUR)(b)		694,163
	30,000	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)		44,445
	320,000	Bundesrepublik Deutschland, 4.250%, 7/04/2017, (EUR)(b)		477,882

				1,216,490


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Ireland – 1.0%
	100,000	WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP)	$	171,846

		Italy – 8.2%
	50,000	Enel Finance International S.A., EMTN, 5.625%, 8/14/2024, (GBP)		74,273
	355,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)(b)		413,187
	370,000	Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(b)		504,570
	150,000	Italy Buoni Poliennali Del Tesoro, 4.750%, 5/01/2017, (EUR)		206,164
	60,000	Republic of Italy, 6.875%, 9/27/2023		69,564
	45,000	Telecom Italia Finance S.A., EMTN, 7.750%, 1/24/2033, (EUR)		65,247

				1,333,005

		Japan – 24.1%
	90,000,000	Japan Finance Organization for Municipalities, 1.900%, 6/22/2018, (JPY)		980,675
	43,000,000	Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)		436,065
	87,000,000	Japan Government Ten Year Bond, 1.700%, 12/20/2016, (JPY)		922,866
	40,500,000	Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY)		433,179
	26,000,000	Japan Government Thirty Year Bond, 2.000%, 9/20/2040, (JPY)		273,220
	81,500,000	Japan Government Twenty Year Bond, 1.900%, 12/20/2028, (JPY)		883,585

				3,929,590

		Jersey – 0.9%
	100,000	Heathrow Funding Ltd., 4.375%, 1/25/2019, (EUR)		142,704

		Korea – 1.3%
	1,000,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)		158,272
	2,300,000	Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		54,423

				212,695

		Luxembourg – 0.3%
	50,000	ArcelorMittal, 6.000%, 3/01/2021		49,750

		Malaysia – 1.9%
	580,000	Malaysia Government Bond, 3.314%, 10/31/2017, (MYR)		182,929
	370,000	Malaysia Government Bond, 4.262%, 9/15/2016, (MYR)		120,119

				303,048


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Mexico – 3.3%
	2,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)	$	149,481
	47,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		382,458

					531,939

			Netherlands – 3.6%
	50,000		BMW Finance NV, 2.375%, 1/24/2023, (EUR)		64,484
	50,000		Deutsche Telekom International Finance BV, EMTN, 5.750%, 4/14/2015, (EUR)		70,766
	50,000		EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		66,709
	190,000		Netherlands Government Bond, 4.500%, 7/15/2017, 144A, (EUR)		283,095
	75,000		Volkswagen International Finance NV, EMTN, 1.875%, 5/15/2017, (EUR)		99,588

					584,642

			New Zealand – 0.8%
	155,000		New Zealand Government Bond, 6.000%, 4/15/2015, (NZD)		126,653

			Norway – 1.3%
	30,000		Eksportfinans ASA, 2.000%, 9/15/2015		28,800
	1,000,000		Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		180,302

					209,102

			Philippines – 0.7%
	5,000,000		Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		117,837

			Poland – 2.5%
	520,000		Poland Government Bond, 4.750%, 4/25/2017, (PLN)		163,174
	225,000		Poland Government International Bond, EMTN, 2.625%, 5/12/2015, (CHF)		246,903

					410,077

			Singapore – 1.6%
	270,000		Singapore Government Bond, 2.250%, 6/01/2021, (SGD)		214,594
	65,000		Singapore Government Bond, 3.250%, 9/01/2020, (SGD)		55,388

					269,982

			Spain – 2.7%
	50,000		Iberdrola Finanzas SAU, EMTN, 6.000%, 7/01/2022, (GBP)		81,645
	200,000		Spain Government Bond, 5.850%, 1/31/2022, (EUR)(b)		283,057


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Spain – continued
$	75,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021	$	77,321

				442,023

		Sweden – 1.0%
	1,050,000	Sweden Government Bond, 4.500%, 8/12/2015, (SEK)(b)		167,440

		Thailand – 0.6%
	3,000,000	Thailand Government Bond, 3.250%, 6/16/2017, (THB)		96,854

		Turkey – 0.7%
	215,000	Turkey Government Bond, 9.000%, 3/05/2014, (TRY)		112,588

		United Kingdom – 8.5%
	90,000	Barclays Bank PLC, EMTN, 5.750%, 9/14/2026, (GBP)		134,778
	50,000	BAT International Finance PLC, EMTN, 5.375%, 6/29/2017, (EUR)		75,266
	50,000	British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP)		87,954
	105,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		178,931
	50,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		86,793
	100,000	FCE Bank PLC, EMTN, 4.825%, 2/15/2017, (GBP)		163,149
	80,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)(b)		125,167
	145,000	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)(b)		251,002
	40,000	United Kingdom Treasury, 4.750%, 12/07/2038, (GBP)		74,547
	110,000	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)(b)		206,162

				1,383,749

		United States – 10.0%
	130,000	AmeriCredit Automobile Receivables Trust, Series 2013-3, Class C, 2.380%, 6/10/2019		128,712
	100,000	BA Credit Card Trust, Series 04A1, 4.500%, 6/17/2016, (EUR)		132,540
	50,000	Capital One Multi-Asset Execution Trust, Series 2004-B7, Class B7, 0.700%, 8/17/2017, (EUR)(c)		64,554
	50,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		83,986
	45,000	Continental Resources, Inc., 4.500%, 4/15/2023, 144A		43,763
	45,000	HCA, Inc., 8.360%, 4/15/2024		50,850
	150,000	HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR)(b)		213,079


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		United States – continued
$	50,000	International Lease Finance Corp., 5.875%, 8/15/2022	$	49,562
	45,000	iStar Financial, Inc., 3.875%, 7/01/2016		43,200
	50,000	JPMorgan Chase & Co., EMTN, 0.611%, 10/12/2015, (EUR)(c)		63,679
	50,000	JPMorgan Chase & Co., EMTN, 4.375%, 1/30/2014, (EUR)		66,566
	50,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		68,382
	15,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		23,122
	50,000	Pfizer, Inc., 4.550%, 5/15/2017, (EUR)		73,606
	75,000	Sprint Nextel Corp., 6.000%, 11/15/2022		73,500
	165,000	U.S. Treasury Note, 0.250%, 11/30/2013(d)		165,097
	45,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		44,212
	45,000	US Airways Pass Through Trust, Series 2013-1, Class A, 3.950%, 5/15/2027		43,313
	100,000	Wachovia Corp., EMTN, 4.375%, 11/27/2018, (EUR)		142,310
	50,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		67,198

				1,641,231

		Total Non-Convertible Bonds (Identified Cost $17,071,716)		15,915,599

Convertible Bonds – 0.2%
		United States – 0.2%
	20,000	Intel Corp., 2.950%, 12/15/2035 (Identified Cost $20,907)		21,763

		Total Bonds and Notes (Identified Cost $17,092,623)		15,937,362


Shares
Preferred Stocks – 0.1%
		Non-Captive Diversified – 0.1%
	326	iStar Financial, Inc., Series J, 4.500% (Identified Cost $16,300)		17,604


Principal Amount (‡)
Short-Term Investments – 0.7%
$	116,693	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $116,693 on 7/01/2013 collateralized by $125,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $122,656 including accrued interest(e) (Identified Cost $116,693)		116,693

		Total Investments – 98.5% (Identified Cost $17,225,616)(a)	$	16,071,659
		Other assets less liabilities – 1.5%		249,030

		Net Assets – 100.0%	$	16,320,689

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

(†)

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

Futures contracts are valued at their most recent settlement price.

Credit default swap agreements are valued ay mid prices (between the bid and the ask price) supplied by an independent pricing service, if available, or prices 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 June 30, 2013, the net unrealized depreciation on investments based on a cost of $17,315,701 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	$	196,137
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,440,179	)

Net unrealized depreciation	$	(1,244,042	)

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

(c)	Variable rate security. Rate as of June 30, 2013 is disclosed.

(d)	All or a portion of this security has been pledged as initial margin for open futures contracts.

(e)

144A

EMTN	Euro Medium Term Note

MTN	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

NZD	New Zealand Dollar

PHP	Philippine Peso

PLN	Polish Zloty

SEK	Swedish Krona

SGD	Singapore Dollar

THB	Thailand Baht

TRY	Turkish Lira

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 June 30, 2013, 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		7/05/2013	Brazilian Real		330,000	$	147,792	$	3,169
Sell¹		9/27/2013	British Pound		122,000		185,451		2,876
Buy²		9/18/2013	Canadian Dollar		430,000		408,098		(7,289	)
Buy¹		9/18/2013	Euro		215,000		279,950		(4,663	)
Buy³		9/20/2013	Malaysian Ringgit		290,000		91,316		209
Sell¹		9/24/2013	Philippine Peso		3,900,000		90,184		(2,524	)
Buy¹		9/11/2013	South Korean Won		630,000,000		549,826		(10,348	)
Buy⁴		9/11/2013	South Korean Won		104,700,000		91,376		(1,716	)
Sell¹		9/24/2013	Thai Baht		4,300,000		138,051		(1,282	)
Sell⁴		9/17/2013	Turkish Lira		224,000		114,759		4,198

Total								$	(17,370	)

At June 30, 2013, the Fund had the following open forward foreign cross currency contracts:


Settlement Date	Deliver/Units of Currency		Receive/Units of Currency		Unrealized Appreciation (Depreciation)
7/03/2013	Japanese Yen	4,694,702	Singapore Dollar¹	62,000	$	1,580
8/02/2013	Japanese Yen	20,669,560	Thai Baht⁴	6,200,000		(8,841	)
10/03/2013	Japanese Yen	4,813,984	Singapore Dollar¹	62,000		365
9/04/2013	Malaysian Ringgit	150,000	Japanese Yen⁴	4,506,600		(1,829	)
9/04/2013	Malaysian Ringgit	430,000	Japanese Yen⁴	14,327,600		8,964
7/03/2013	Singapore Dollar	62,000	Japanese Yen¹	4,815,063		(366	)
9/24/2013	South Korean Won	187,000,000	Japanese Yen⁴	15,599,322		(5,784	)

Total					$	(5,911	)

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.

Futures Contracts

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

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

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

At June 30, 2013, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
German Euro BOBL		9/06/2013		5	$	814,833	$	(6,452	)

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 June 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
United States	$	—	$	1,597,918	$	43,313	$	1,641,231
All Other Non-Convertible Bonds*		—		14,274,368		—		14,274,368

Total Non-Convertible Bonds		—		15,872,286		43,313		15,915,599

Convertible Bonds*		—		21,763		—		21,763

Total Bonds and Notes		—		15,894,049		43,313		15,937,362

Preferred Stocks*		17,604		—		—		17,604
Short-Term Investments		—		116,693		—		116,693

Total Investments		17,604		16,010,742		43,313		16,071,659

Forward Foreign Currency Contracts (unrealized appreciation)		—		21,361		—		21,361

Total	$	17,604	$	16,032,103	$	43,313	$	16,093,020

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(44,642	)	$	—	$	(44,642	)
Futures Contracts (unrealized depreciation)		(6,452	)		—			—		(6,452	)

Total	$	(6,452	)	$	(44,642	)	$	—	$	(51,094	)

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

For the period ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.

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 and/or June 30, 2013

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 June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
United States	$	—	$	—	$	—	$	(1,687	)	$	45,000	$	—	$	—	$	—	$	43,313	$	(1,687	)

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 exchange 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 June 30, 2013, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage their duration without having to buy or sell portfolio securities. During the period ended June 30, 2013, the Fund used futures contracts to manage duration.

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of June 30, 2013, the fair value of derivative positions subject to these provisions 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	$	(11,193	)	$	—
Credit Suisse International		(5,008	)		—
UBS AG		(7,289	)		—

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Fund’s claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of June 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $46,869 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $25,717.

The following is a summary of derivative instruments for the Fund, as of June 30, 2013:


Asset Derivatives	Interest Rate Contracts			Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	—		$	21,361

Liability Derivatives	Interest Rate Contracts			Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	—		$	(44,642	)
Futures (unrealized depreciation)		(6,452	)		—

Industry Summary at June 30, 2013 (Unaudited)


Treasuries	61.2	%
Government Guaranteed	6.0
Wirelines	3.2
Banking	3.0
Sovereigns	2.8
Media Non-Cable	2.0
Automotive	2.0
Other Investments, less than 2% each	17.6
Short-Term Investments	0.7

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

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2013 (Unaudited)


Euro	38.2	%
Japanese Yen	24.1
British Pound	10.6
United States Dollar	6.4
Mexican Peso	3.3
Canadian Dollar	2.8
Norwegian Krone	2.1
Other, less than 2% each	11.0

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

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Investment Grade Bond Fund


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 92.7% of Net Assets
Non-Convertible Bonds – 87.7%
		ABS Car Loan – 0.8%
$	277,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class B, 5.740%, 8/20/2014, 144A	$	278,031
	21,683,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class B, 6.740%, 5/20/2016, 144A		23,351,897
	20,999,250	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		22,437,069
	18,620,000	Chesapeake Funding LLC, Series 2009-2A, Class B, 1.943%, 9/15/2021, 144A(b)		18,684,034
	16,736,000	Chesapeake Funding LLC, Series 2009-2A, Class C, 1.943%, 9/15/2021, 144A(b)		16,776,133
	5,481,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		5,379,479

				86,906,643

		ABS Credit Card – 0.3%
	19,182,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		20,207,527
	14,465,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		14,839,007
	2,324,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019		2,552,724

				37,599,258

		ABS Other – 1.1%
	1,272,468	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		1,285,571
	4,940,276	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		5,053,013
	22,735,078	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		23,467,716
	20,427,267	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		20,813,282
	38,695,034	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		44,150,221
	15,235,893	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		15,557,599
	4,287,110	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		4,340,025
	10,249,648	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		10,894,607

				125,562,034

		Aerospace & Defense – 0.8%
	2,100,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,100,000
	78,795,000	Textron, Inc., 5.950%, 9/21/2021		86,824,920

				88,924,920


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Airlines – 2.7%
$	5,215,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A	$	5,201,963
	12,000,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		11,340,000
	18,340,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		18,523,400
	57,977	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		58,557
	608,348	Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019		641,807
	794,940	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		884,371
	8,369,500	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		9,373,840
	1,699,087	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,852,005
	3,095,792	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		3,297,018
	52,594,416	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		58,379,802
	11,158,179	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		11,827,669
	24,373,290	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		27,968,350
	18,418,281	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		21,549,389
	3,065,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		3,187,600
	1,735,318	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,961,777
	12,273,549	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		13,408,853
	29,029,607	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		33,746,918
	2,420,207	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		2,662,228
	18,071,151	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		19,381,310
	5,499,714	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		5,678,454
	22,780,759	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		24,375,412
	546,191	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		628,120
	15,830,279	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		17,888,215
	9,930,000	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		9,830,700

				303,647,758

		Automotive – 1.0%
	36,651,000	Cummins, Inc., 5.650%, 3/01/2098		34,713,811
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		6,110,114


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Automotive – continued
$	2,426,000	Ford Motor Co., 6.375%, 2/01/2029	$	2,570,987
	125,000	Ford Motor Co., 6.500%, 8/01/2018		141,603
	255,000	Ford Motor Co., 6.625%, 2/15/2028		270,903
	5,074,000	Ford Motor Co., 6.625%, 10/01/2028		5,531,944
	3,243,000	Ford Motor Co., 7.400%, 11/01/2046		3,820,971
	4,823,000	Ford Motor Co., 7.450%, 7/16/2031		5,774,168
	240,000	Ford Motor Co., 7.500%, 8/01/2026		277,545
	5,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		5,332,120
	40,126,000	Ford Motor Credit Co. LLC, 6.625%, 8/15/2017		45,414,326
	924,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		1,001,719
	2,370,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,343,337

				113,303,548

		Banking – 14.1%
	22,547,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		29,230,269
	1,634,000	Ally Financial, Inc., 6.750%, 12/01/2014		1,719,785
	2,510,000	Ally Financial, Inc., 7.500%, 12/31/2013		2,572,750
	2,285,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,730,575
	7,200,000	American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017		8,273,837
	35,878,000	Associates Corp. of North America, 6.950%, 11/01/2018		42,490,351
	11,400,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)		4,700,294
	3,590,000	Bank of America Corp., 5.420%, 3/15/2017		3,844,761
	9,805,000	Bank of America Corp., 6.000%, 9/01/2017		10,990,944
	11,100,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		11,835,519
	5,000,000	Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD)		4,599,153
	2,393,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,875,848
	17,249,000	Bank of America NA, 5.300%, 3/15/2017		18,707,989
	1,056,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		1,142,296
	7,110,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		6,491,669


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
	337,230,000,000	Barclays Financial LLC, EMTN, 8.250%, 10/27/2014, (IDR)	$	33,197,023
	2,173,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		2,347,392
	370,000	BNP Paribas/Australia, 7.000%, 5/24/2016, (AUD)		361,473
	8,994,000	Capital One Financial Corp., 6.150%, 9/01/2016		10,036,513
	2,770,000	Citigroup, Inc., 3.375%, 3/01/2023		2,649,821
	17,000,000	Citigroup, Inc., 3.500%, 5/15/2023		15,268,244
	51,425,000	Citigroup, Inc., 4.450%, 1/10/2017		55,065,376
	1,660,000	Citigroup, Inc., 4.500%, 1/14/2022		1,729,436
	2,700,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		2,428,665
	10,000,000	Citigroup, Inc., 5.375%, 8/09/2020		11,057,990
	2,740,000	Citigroup, Inc., 5.875%, 2/22/2033		2,634,318
	5,445,000	Citigroup, Inc., 6.125%, 5/15/2018		6,233,098
	8,705,000	Citigroup, Inc., 6.125%, 8/25/2036		8,522,970
	44,910,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		36,306,803
	2,398,000	Citigroup, Inc., EMTN, 1.469%, 11/30/2017, (EUR)(b)		2,949,681
	4,625,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.375%, 1/19/2017		4,857,309
	27,045,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022		27,234,829
	86,800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		81,435,352
	1,174,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		1,181,278
	112,330,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		115,066,808
	6,645,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		7,210,184
	4,467,000	HBOS PLC, 6.000%, 11/01/2033, 144A		4,121,120
	1,000,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		1,058,837
	700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		668,500
	36,745,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		27,344,543
	2,950,000	JPMorgan Chase & Co., EMTN, 1.053%, 5/30/2017, (GBP)(b)		4,195,159
	12,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		1,164,816


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
	16,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)	$	1,584,040
	100,000	Keybank NA, 6.950%, 2/01/2028		121,664
	9,787,000	Lloyds TSB Bank PLC, EMTN, 4.570%, 10/13/2015, (CAD)		9,699,339
	81,622,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		87,018,602
	6,479,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		6,977,624
	4,300,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		4,656,070
	103,309,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		101,693,557
	9,780,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		4,185,762
	3,132,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		4,283,442
	11,641,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		13,397,895
	40,126,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		42,913,192
	2,652,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		2,994,543
	78,200,000	Morgan Stanley, 2.125%, 4/25/2018		74,839,824
	4,250,000	Morgan Stanley, 3.450%, 11/02/2015		4,385,422
	53,869,000	Morgan Stanley, 3.750%, 2/25/2023		51,514,009
	14,023,000	Morgan Stanley, 3.800%, 4/29/2016		14,584,775
	30,000,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		27,165,700
	4,585,000	Morgan Stanley, 4.875%, 11/01/2022		4,529,526
	56,867,000	Morgan Stanley, 5.500%, 7/24/2020		61,239,162
	5,900,000	Morgan Stanley, 5.750%, 1/25/2021		6,404,167
	151,076,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		123,971,307
	60,800,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		60,383,132
	550,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		921,597
	5,400,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		5,796,290
	24,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		23,478,321
	9,410,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		8,694,078
	3,800,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		3,651,313


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	38,206,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019	$	41,064,993
	5,187,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		5,879,231
	9,400,000	Morgan Stanley, Series F, MTN, 0.727%, 10/18/2016(b)		9,099,849
	9,044,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		10,034,689
	2,239,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		3,637,280
	2,875,000	National City Bank of Indiana, 4.250%, 7/01/2018		3,073,205
	8,638,000	National City Corp., 6.875%, 5/15/2019		10,332,154
	35,900,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		34,161,363
	5,250,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		6,703,451
	6,150,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		8,365,376
	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)		1,938,856
	700,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		754,530
	16,175,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		17,063,282
	1,000,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		1,331,288
	1,800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		1,908,421
	1,400,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		1,427,926
	8,100,000	Santander US Debt SAU, 3.724%, 1/20/2015, 144A		8,175,816
	30,886,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		32,608,512
	3,300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		3,712,203

				1,570,890,356

		Brokerage – 1.5%
	55,355,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		55,642,016
	13,100,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(c)		13,405,269
	43,310,000	Jefferies Group LLC, 5.125%, 1/20/2023		42,976,036
	19,498,000	Jefferies Group LLC, 6.250%, 1/15/2036		18,815,570
	8,760,000	Jefferies Group LLC, 6.450%, 6/08/2027		8,628,600
	1,693,000	Jefferies Group LLC, 6.875%, 4/15/2021		1,861,948


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Brokerage – continued
$	23,835,000	Jefferies Group LLC, 8.500%, 7/15/2019	$	28,721,175

				170,050,614

		Building Materials – 1.1%
	6,640,000	Masco Corp., 4.800%, 6/15/2015		6,806,000
	10,942,000	Masco Corp., 5.850%, 3/15/2017		11,543,810
	6,616,000	Masco Corp., 6.125%, 10/03/2016		7,145,280
	6,058,000	Masco Corp., 6.500%, 8/15/2032		6,027,710
	28,539,000	Masco Corp., 7.125%, 3/15/2020		31,820,985
	5,725,000	Masco Corp., 7.750%, 8/01/2029		6,320,062
	9,300,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		3,729,003
	4,949,000	Owens Corning, Inc., 6.500%, 12/01/2016		5,524,494
	41,379,000	Owens Corning, Inc., 7.000%, 12/01/2036		44,278,013
	1,037,000	USG Corp., 6.300%, 11/15/2016		1,057,740

				124,253,097

		Chemicals – 0.0%
	1,700,000	Methanex Corp., 5.250%, 3/01/2022		1,782,032
	2,349,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		2,525,356

				4,307,388

		Commercial Mortgage-Backed Securities – 3.5%
	2,477,877	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		2,713,075
	33,167,701	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		36,512,199
	12,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		13,287,852
	52,326,248	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.871%, 6/15/2039(b)		58,151,677
	34,381,273	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.954%, 9/15/2039(b)		38,337,526
	6,711,090	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		7,493,791
	57,694,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		66,202,423
	69,500,000	Extended Stay America Trust, Series 2013, Class 7-ESH7, 3.902%, 12/05/2031, 144A		66,424,834
	23,544,272	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		26,368,596


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Commercial Mortgage-Backed Securities – continued
$	21,524,263	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049	$	23,831,104
	15,928,923	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 6.003%, 6/15/2049(b)		17,825,994
	3,131,798	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 6.061%, 6/15/2038(b)		3,475,992
	1,311,441	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,451,048
	9,786,870	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.982%, 8/12/2045, 144A(b)		10,677,700
	6,851,000	Vornado DP LLC, Series 2010-VNO, Class D, 6.356%, 9/13/2028, 144A		7,502,544
	3,621,142	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		3,999,903
	6,222,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		6,905,673
	4,250,000	WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.722%, 3/15/2044, 144A(b)		4,030,619

				395,192,550

		Construction Machinery – 0.2%
	12,074,000	Case New Holland, Inc., 7.750%, 9/01/2013		12,149,463
	6,787,000	Toro Co., 6.625%, 5/01/2037(c)		6,768,410
	400,000	United Rentals North America, Inc., 8.375%, 9/15/2020		433,000

				19,350,873

		Consumer Products – 0.2%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		8,195,402
	11,754,000	Snap-on, Inc., 6.700%, 3/01/2019		13,773,349

				21,968,751

		Diversified Manufacturing – 0.2%
	1,395,000	Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018		1,652,294
	1,181,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		1,215,333
	11,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		18,758,046

				21,625,673

		Electric – 1.9%
	33,118,493	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		34,746,499
	10,331,144	Bruce Mansfield Unit, 6.850%, 6/01/2034		11,286,878
	17,435,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		19,211,435


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	$	12,070,013
	3,200,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		3,296,000
	1,000,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		1,330,598
	900,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		1,221,273
	979,000	Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013		982,950
	4,491,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		5,220,316
	40,453,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		37,358,426
	9,007,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		9,019,565
	7,921,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		10,409,700
	3,600,000	Iberdrola Finance Ireland Ltd., 3.800%, 9/11/2014, 144A		3,692,988
	7,210,570	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(c)		7,379,240
	50,026,000	Southwestern Electric Power Co., 6.450%, 1/15/2019		58,038,064
	2,850,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		2,130,375

				217,394,320

		Entertainment – 0.0%
	3,616,000	Viacom, Inc., 6.125%, 10/05/2017		4,163,567

		Financial Other – 1.0%
	66,384,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		69,912,841
	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		36,955,344

				106,868,185

		Food & Beverage – 0.0%
	2,450,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		4,115,318

		Government Guaranteed – 0.5%
	12,910,000	Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)		12,142,667
	11,311,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)		10,244,971
	4,000,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)		3,735,628
	31,142,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		26,759,841

				52,883,107


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Government Owned—No Guarantee – 1.0%
$	3,720,000	Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A	$	4,129,200
	36,975,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		43,353,187
	58,060,000	DP World Ltd., 6.850%, 7/02/2037, 144A		59,946,950
	26,030,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		2,558,415
	27,800,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		2,730,702
	1,000,000	Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A		1,257,394

				113,975,848

		Health Insurance – 0.0%
	1,569,000	CIGNA Corp., 7.875%, 5/15/2027		1,992,806
	1,174,000	CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d)		1,545,324

				3,538,130

		Healthcare – 1.2%
	7,692,000	Boston Scientific Corp., 6.000%, 1/15/2020		8,706,398
	7,374,000	Covidien International Finance S.A., 6.000%, 10/15/2017		8,545,028
	9,459,000	Express Scripts, Inc., 7.250%, 6/15/2019		11,673,617
	9,278,000	HCA, Inc., 5.750%, 3/15/2014		9,463,560
	802,000	HCA, Inc., 5.875%, 3/15/2022		823,053
	52,905,000	HCA, Inc., 5.875%, 5/01/2023		53,037,262
	3,729,000	HCA, Inc., 6.375%, 1/15/2015		3,906,127
	3,127,000	HCA, Inc., 6.500%, 2/15/2016		3,369,343
	357,000	HCA, Inc., 6.750%, 7/15/2013		357,000
	2,936,000	HCA, Inc., 7.050%, 12/01/2027		2,877,280
	2,241,000	HCA, Inc., 7.190%, 11/15/2015		2,420,280
	4,119,000	HCA, Inc., 7.500%, 12/15/2023		4,283,760
	1,282,000	HCA, Inc., 7.500%, 11/06/2033		1,320,460
	3,807,000	HCA, Inc., 7.690%, 6/15/2025		4,111,560
	4,164,000	HCA, Inc., 8.360%, 4/15/2024		4,705,320
	1,199,000	HCA, Inc., MTN, 7.580%, 9/15/2025		1,270,940


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	3,068,000	HCA, Inc., MTN, 7.750%, 7/15/2036	$	3,083,340
	2,256,000	Owens & Minor, Inc., 6.350%, 4/15/2016		2,447,164
	2,200,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,892,000

				128,293,492

		Home Construction – 0.1%
	2,006,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015(e)		682,040
	9,200,000	Pulte Group, Inc., 6.000%, 2/15/2035		8,464,000
	3,567,000	Pulte Group, Inc., 6.375%, 5/15/2033		3,335,145

				12,481,185

		Independent Energy – 0.8%
	1,065,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		1,144,875
	1,015,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,101,275
	9,787,000	EQT Corp., 8.125%, 6/01/2019		11,931,851
	60,038,000	Equitable Resources, Inc., 6.500%, 4/01/2018		68,089,936
	7,240,000	Newfield Exploration Co., 5.625%, 7/01/2024		7,022,800

				89,290,737

		Industrial Other – 0.0%
	4,893,000	Worthington Industries, Inc., 6.500%, 4/15/2020		5,267,187

		Life Insurance – 0.8%
	7,100,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)		11,554,654
	6,910,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		7,769,673
	2,036,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		2,244,356
	600,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)		898,881
	5,900,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		7,828,488
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		17,288,640
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		10,474,698
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		6,710,590
	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		3,324,021
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		18,821,211


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Life Insurance – continued
$	4,732,000	Unum Group, 7.125%, 9/30/2016	$	5,472,497

				92,387,709

		Local Authorities – 2.7%
	59,530,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		62,805,538
	800,000	City of Madrid Spain, 4.550%, 6/16/2036, (EUR)		750,854
	7,448,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		6,087,500
	99,450,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		91,151,813
	68,930,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		69,571,242
	17,930,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		17,682,310
	13,590	Province of Alberta, 5.930%, 9/16/2016, (CAD)		14,058
	489,000	Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)		608,858
	29,791,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		24,598,677
	26,518,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		25,220,589

				298,491,439

		Lodging – 0.5%
	52,516,000	Choice Hotels International, Inc., 5.700%, 8/28/2020		55,666,960
	100,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		111,567

				55,778,527

		Media Cable – 1.0%
	17,832,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		18,803,375
	13,630,000	Time Warner Cable, Inc., 4.125%, 2/15/2021		13,364,692
	4,101,000	Time Warner Cable, Inc., 5.850%, 5/01/2017		4,518,515
	64,548,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		73,885,191

				110,571,773

		Media Non-Cable – 0.5%
	5,000,000	Clear Channel Communications, Inc., 9.000%, 3/01/2021		4,750,000
	358,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		23,432,755
	4,482,000	News America, Inc., 8.150%, 10/17/2036		5,684,023
	5,000,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		5,175,000


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Media Non-Cable – continued
$	6,250,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021	$	6,375,000
	10,870,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		11,413,500

				56,830,278

		Metals & Mining – 2.2%
	15,000,000	Alcoa, Inc., 5.400%, 4/15/2021		14,601,195
	15,060,000	Alcoa, Inc., 5.870%, 2/23/2022		14,653,455
	45,700,000	Alcoa, Inc., 5.900%, 2/01/2027		42,747,597
	5,505,000	Alcoa, Inc., 5.950%, 2/01/2037		4,907,394
	5,804,000	Alcoa, Inc., 6.750%, 1/15/2028		5,767,632
	430,000	ArcelorMittal, 6.000%, 3/01/2021		427,850
	6,885,000	ArcelorMittal, 6.125%, 6/01/2018		7,091,550
	4,085,000	ArcelorMittal, 6.750%, 2/25/2022		4,187,125
	47,920,000	ArcelorMittal, 7.250%, 3/01/2041		44,805,200
	19,365,000	ArcelorMittal, 7.500%, 10/15/2039		18,396,750
	20,625,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		18,150,000
	4,500,000	Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		3,465,000
	24,155,000	Plains Exploration & Production Co., 6.500%, 11/15/2020		25,609,252
	1,943,000	United States Steel Corp., 6.050%, 6/01/2017		2,020,720
	4,612,000	United States Steel Corp., 6.650%, 6/01/2037		3,885,610
	31,210,000	United States Steel Corp., 7.000%, 2/01/2018		32,770,500
	3,655,000	Vale Overseas Ltd., 6.875%, 11/21/2036		3,700,644

				247,187,474

		Mortgage Related – 0.0%
	55,085	FHLMC, 5.000%, 12/01/2031		58,977
	8,105	FNMA, 6.000%, 7/01/2029		9,013

				67,990

		Non-Captive Consumer – 2.5%
	90,196,000	SLM Corp., 5.500%, 1/25/2023		85,884,992
	62,425(††)	SLM Corp., 6.000%, 12/15/2043		1,425,215


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
$	7,371,000	SLM Corp., MTN, 3.875%, 9/10/2015	$	7,445,101
	2,270,000	SLM Corp., MTN, 4.625%, 9/25/2017		2,235,950
	6,550,000	SLM Corp., MTN, 6.250%, 1/25/2016		6,943,000
	8,895,000	SLM Corp., MTN, 7.250%, 1/25/2022		9,339,750
	641,000	SLM Corp., MTN, 8.000%, 3/25/2020		693,882
	5,616,000	SLM Corp., Series A, MTN, 0.576%, 1/27/2014(b)		5,566,613
	15,792,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		15,317,340
	19,496,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		16,181,680
	29,081,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		32,279,910
	4,893,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		4,880,767
	87,676,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		86,032,075

				274,226,275

		Non-Captive Diversified – 2.7%
	5,543,000	Ally Financial, Inc., 8.000%, 12/31/2018		6,277,448
	3,500,000	General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		3,415,233
	10,350,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 4/15/2015, (AUD)		9,841,915
	1,874,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD)		1,792,809
	1,365,000	General Electric Capital Corp., GMTN, 3.100%, 1/09/2023		1,289,469
	35,580,000	General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		26,874,824
	14,225,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		11,723,312
	51,370,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		41,230,205
	36,850,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		30,005,738
	10,247,000	General Electric Capital Corp., Series A, MTN, 0.577%, 5/13/2024(b)		9,216,982
	26,931,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		21,776,108
	210,000	International Lease Finance Corp., 3.875%, 4/15/2018		197,400
	35,005,000	International Lease Finance Corp., 5.875%, 4/01/2019		35,355,050
	548,000	International Lease Finance Corp., 5.875%, 8/15/2022		543,205
	26,200,000	International Lease Finance Corp., 6.250%, 5/15/2019		26,920,500


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	60,419,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A	$	66,762,995
	1,473,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		1,483,311
	1,415,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		1,439,763

				296,146,267

		Oil Field Services – 0.6%
	5,965,000	Nabors Industries, Inc., 6.150%, 2/15/2018		6,654,029
	22,583,000	Nabors Industries, Inc., 9.250%, 1/15/2019		28,019,338
	23,338,000	Rowan Cos., Inc., 7.875%, 8/01/2019		28,058,204
	587,000	Transocean Ltd., 7.375%, 4/15/2018		672,626

				63,404,197

		Paper – 1.1%
	4,365,000	Celulosa Arauco y Constitucion S.A., 7.250%, 7/29/2019		4,993,268
	23,225,000	Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A		25,898,221
	715,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		893,149
	2,672,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,402,709
	644,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		830,374
	1,031,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,440,196
	7,049,000	International Paper Co., 8.700%, 6/15/2038		9,567,009
	5,270,000	Mead Corp. (The), 7.550%, 3/01/2047(c)		5,559,391
	5,068,000	Westvaco Corp., 8.200%, 1/15/2030		5,997,623
	26,007,000	Weyerhaeuser Co., 6.875%, 12/15/2033		29,712,763
	7,374,000	Weyerhaeuser Co., 7.375%, 10/01/2019		8,708,569
	18,254,000	Weyerhaeuser Co., 7.375%, 3/15/2032		21,913,361

				118,916,633

		Pipelines – 3.2%
	650,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		683,296
	528,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		594,504
	3,328,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		4,157,887
	14,300,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		15,323,937


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Pipelines – continued
$	17,765,000	Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020	$	19,726,114
	7,461,000	Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021		8,455,894
	55,614,000	Kinder Morgan Energy Partners LP, 5.950%, 2/15/2018		64,448,228
	303,000	Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016		324,542
	27,207,950	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		28,501,307
	26,165,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		25,380,050
	635,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		558,800
	13,790,000	NiSource Finance Corp., 6.125%, 3/01/2022		15,562,898
	24,110,000	NiSource Finance Corp., 6.400%, 3/15/2018		28,007,020
	21,614,000	NiSource Finance Corp., 6.800%, 1/15/2019		25,575,846
	9,899,000	Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017		11,452,589
	47,594,000	Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018		56,985,438
	1,404,000	Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019		1,717,496
	1,880,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,135,505
	15,683,000	Plains All American Pipeline LP, 6.500%, 5/01/2018		18,508,685
	4,125,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		4,700,429
	19,574,000	Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A		22,290,871

				355,091,336

		Property & Casualty Insurance – 0.5%
	2,740,000	Fidelity National Financial, Inc., 5.500%, 9/01/2022		2,903,929
	3,083,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		3,543,372
	9,038,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		9,653,208
	1,889,000	MBIA Insurance Corp., 11.537%, 1/15/2033, 144A(b)(e)		1,615,095
	14,575,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		14,647,875
	7,609,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		8,319,041
	13,521,000	Willis North America, Inc., 7.000%, 9/29/2019		15,529,031
	2,212,000	XL Group PLC, 6.250%, 5/15/2027		2,527,073


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Property & Casualty Insurance – continued
$	1,463,000	XL Group PLC, 6.375%, 11/15/2024	$	1,660,449

				60,399,073

		Property Trust – 0.4%
	36,192,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		42,742,680

		Railroads – 0.1%
	9,787,000	Canadian Pacific Railway Co., 7.250%, 5/15/2019		12,001,358
	237,000	Missouri Pacific Railroad Co., 4.750%, 1/01/2030(c)		227,875
	1,701,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		1,445,850
	191,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		177,630

				13,852,713

		Real Estate Operations/Development – 0.1%
	10,276,000	First Industrial LP, 5.950%, 5/15/2017		10,850,007

		Refining – 0.1%
	7,700,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		7,822,345

		REITs—Apartments – 0.3%
	12,243,000	Camden Property Trust, 5.000%, 6/15/2015		13,102,005
	16,491,000	Camden Property Trust, 5.700%, 5/15/2017		18,338,520

				31,440,525

		REITs—Diversified – 0.2%
	4,140,000	Duke Realty LP, 5.950%, 2/15/2017		4,594,080
	19,574,000	Duke Realty LP, 6.500%, 1/15/2018		22,508,710

				27,102,790

		REITs—Healthcare – 0.1%
	5,972,000	Health Care REIT, Inc., 6.500%, 3/15/2041		6,626,537

		REITs—Office Property – 0.3%
	20,817,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		22,754,792
	11,306,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		13,274,205

				36,028,997

		REITs—Shopping Centers – 0.1%
	4,893,000	Equity One, Inc., 6.000%, 9/15/2017		5,444,935


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		REITs—Single Tenant – 0.3%
$	5,862,000	Realty Income Corp., 5.750%, 1/15/2021	$	6,455,000
	25,529,000	Realty Income Corp., 6.750%, 8/15/2019		30,118,195

				36,573,195

		REITs—Warehouse/Industrials – 0.6%
	3,873,000	ProLogis LP, 5.625%, 11/15/2015		4,194,711
	11,179,000	ProLogis LP, 5.625%, 11/15/2016		12,486,216
	10,889,000	ProLogis LP, 5.750%, 4/01/2016		11,954,086
	9,698,000	ProLogis LP, 6.625%, 5/15/2018		11,162,398
	18,869,000	ProLogis LP, 7.375%, 10/30/2019		22,707,841

				62,505,252

		Restaurants – 0.1%
	10,320,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		10,051,907

		Retailers – 0.4%
	7,996,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		7,016,490
	8,139,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		6,348,420
	8,656,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		6,405,440
	10,467,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		11,755,236
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		8,098,587

				39,624,173

		Sovereigns – 1.2%
	44,750,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		18,450,714
	24,178,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		11,106,483
	52,555,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		56,098,258
	33,600,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		35,616,000
	1,415,381,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		8,563,298
	391,985,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		2,398,388
	820,777,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		5,419,473

				137,652,614


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Supermarkets – 0.3%
$	4,130,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028	$	4,956,000
	1,120,000	Delhaize Group S.A., 5.700%, 10/01/2040		1,063,995
	3,269,000	Kroger Co. (The), 6.400%, 8/15/2017		3,772,622
	6,595,000	New Albertson’s, Inc., 7.450%, 8/01/2029		5,177,075
	7,875,000	New Albertson’s, Inc., 8.000%, 5/01/2031		6,260,625
	979,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		675,510
	17,290,000	SUPERVALU, Inc., 6.750%, 6/01/2021, 144A		16,079,700

				37,985,527

		Supranational – 0.9%
	11,745,000	European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL)		5,265,735
	9,640,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		9,367,816
	410,030,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		39,974,310
	12,982,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		10,803,591
	15,070,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		11,959,445
	58,420,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		23,762,293

				101,133,190

		Technology – 2.0%
	4,600,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		3,484,500
	1,028,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		1,178,139
	1,507,000	Avnet, Inc., 6.625%, 9/15/2016		1,687,864
	56,271,000	Corning, Inc., 7.000%, 5/15/2024		69,356,089
	7,487,000	Corning, Inc., 7.250%, 8/15/2036		9,118,545
	7,051,000	Equifax, Inc., 7.000%, 7/01/2037		8,183,306
	112,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		114,940
	70,969,000	Ingram Micro, Inc., 5.250%, 9/01/2017		75,473,970
	7,795,000	Intuit, Inc., 5.750%, 3/15/2017		8,660,557
	19,078,000	KLA-Tencor Corp., 6.900%, 5/01/2018		22,208,910
	1,502,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		1,555,177


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Technology – continued
$	2,115,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A	$	2,491,851
	5,603,000	Tyco Electronics Group S.A., 6.550%, 10/01/2017		6,486,033
	561,000	Xerox Corp., 6.350%, 5/15/2018		642,951
	7,110,000	Xerox Corp., 6.750%, 2/01/2017		8,043,358

				218,686,190

		Textile – 0.0%
	3,755,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023		4,331,978

		Transportation Services – 0.7%
	8,436,000	Erac USA Finance Co., 6.375%, 10/15/2017, 144A		9,795,605
	2,824,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		3,186,048
	51,504,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		60,646,011

				73,627,664

		Treasuries – 21.9%
	106,195,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		99,604,387
	206,210,000	Canadian Government, 2.250%, 8/01/2014, (CAD)		198,351,393
	372,145,000	Canadian Government, 2.500%, 6/01/2015, (CAD)		362,435,331
	90,055,000	Canadian Government, 2.750%, 9/01/2016, (CAD)		88,998,350
	156,655,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		154,886,915
	194,485,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		202,987,824
	4,159,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		4,245,723
	183,949,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		194,775,703
	45,023,516	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		62,504,401
	66,038,126	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		89,742,039
	29,854,296	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		41,638,306
	23,183,488	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		32,715,244
	1,130,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		1,487,190
	1,130,000	Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		1,533,964
	1,120,000	Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		1,602,740


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Treasuries – continued
	1,890,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)	$	16,946,572
	109,763,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		94,111,298
	974,276,000		Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		175,664,320
	802,302,000		Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		140,678,733
	18,786,446		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		20,875,351
	4,599,829		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		5,526,338
	43,375,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		50,355,822
	6,000,000		Singapore Government Bond, 1.375%, 10/01/2014, (SGD)		4,802,821
	227,965,000		U.S. Treasury Bond, 2.750%, 11/15/2042		196,548,687
	235,390,000		U.S. Treasury Bond, 2.875%, 5/15/2043		208,320,150

					2,451,339,602

			Wireless – 0.8%
	559,910,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		41,848,027
	31,416,000		Cellco Partnership/Verizon Wireless Capital LLC, 8.500%, 11/15/2018		40,803,007
	6,373,000		Sprint Capital Corp., 6.875%, 11/15/2028		6,118,080
	2,594,000		Sprint Capital Corp., 6.900%, 5/01/2019		2,697,760
	612,000		Sprint Capital Corp., 8.750%, 3/15/2032		673,200
	91,000		Sprint Nextel Corp., 6.000%, 12/01/2016		96,005

					92,236,079

			Wirelines – 4.5%
	406,000		Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		484,706
	2,936,000		BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		2,817,841
	62,040,000		CenturyLink, Inc., 6.450%, 6/15/2021		64,676,700
	4,990,000		CenturyLink, Inc., Series G, 6.875%, 1/15/2028		4,865,250
	2,708,000		CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,572,600
	111,506,000		Deutsche Telekom International Finance BV, 6.000%, 7/08/2019		131,043,524
	24,103,000		Embarq Corp., 7.995%, 6/01/2036		25,432,184
	825,000		Level 3 Financing, Inc., 7.000%, 6/01/2020		822,938


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
$	200,000	Level 3 Financing, Inc., 9.375%, 4/01/2019	$	216,000
	5,200,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		2,155,646
	8,450,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		9,811,713
	18,850,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		24,235,770
	200,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		272,045
	300,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		390,983
	1,698,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,876,290
	2,755,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		2,644,800
	4,370,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		4,807,000
	3,469,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		3,416,965
	333,000	Qwest Corp., 6.500%, 6/01/2017		376,846
	14,480,000	Qwest Corp., 6.875%, 9/15/2033		14,009,400
	4,668,000	Qwest Corp., 7.200%, 11/10/2026		4,691,340
	9,077,000	Qwest Corp., 7.250%, 9/15/2025		10,149,348
	9,474,000	Qwest Corp., 7.250%, 10/15/2035		9,521,370
	46,411,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		42,085,680
	23,660,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		22,096,689
	4,200,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		4,020,656
	525,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		538,177
	975,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		1,005,170
	14,375,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		15,782,212
	1,700,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		2,531,833
	2,700,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		3,894,139
	2,100,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		2,928,394
	8,800,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		13,761,393
	14,137,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		14,528,298
	54,665,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		56,934,349


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
$	2,642,000	Verizon New England, Inc., 7.875%, 11/15/2029	$	3,291,129
	2,095,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		2,196,507

				506,885,885

		Total Non-Convertible Bonds (Identified Cost $9,072,581,733)		9,805,898,295

Convertible Bonds – 4.2%
		Automotive – 0.6%
	34,827,000	Ford Motor Co., 4.250%, 11/15/2016		62,928,036

		Independent Energy – 0.4%
	34,700,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		32,683,062
	11,225,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		11,140,813

				43,823,875

		Life Insurance – 0.7%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		82,029,375

		Media Non-Cable – 0.0%
	389,506	Liberty Media LLC, 3.500%, 1/15/2031		199,622

		Metals & Mining – 0.2%
	17,800,000	United States Steel Corp., 2.750%, 4/01/2019		17,566,375

		REITs - Warehouse/Industrials – 0.3%
	27,359,000	ProLogis LP, 3.250%, 3/15/2015		31,582,546

		Technology – 2.0%
	35,120,000	Intel Corp., 2.950%, 12/15/2035		38,214,950
	137,016,000	Intel Corp., 3.250%, 8/01/2039		174,609,765
	11,515,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		12,774,453
	30,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		46,575
	85,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		135,787

				225,781,530

		Wirelines – 0.0%
	2,926,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		3,405,132

		Total Convertible Bonds (Identified Cost $379,162,746)		467,316,491


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Municipals – 0.8%
		District of Columbia – 0.2%
$	14,680,000	Metropolitan Washington Airports Authority, 7.462%, 10/01/2046	$	17,015,588

		Illinois – 0.5%
	530,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		508,715
	24,640,000	State of Illinois, 5.100%, 6/01/2033		22,864,934
	33,395,000	State of Illinois, Series B, 5.520%, 4/01/2038		29,656,764

				53,030,413

		Michigan – 0.0%
	2,345,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		2,015,012

		Ohio – 0.0%
	5,075,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047		4,091,516

		Virginia – 0.1%
	13,845,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		10,395,933

		Total Municipals (Identified Cost $88,206,297)		86,548,462

		Total Bonds and Notes (Identified Cost $9,539,950,776)		10,359,763,248

Senior Loans – 1.4%
		Non-Captive Diversified – 0.7%
	28,074,826	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(b)		28,238,502
	17,539,056	AWAS Finance Luxembourg S.A.R.L., Term Loan B, 3.500%, 6/10/2016(b)		17,525,902
	40,375,000	Flying Fortress, Inc., New Term Loan, 3.500%, 6/30/2017(b)		40,274,063

				86,038,467

		Media Cable – 0.3%
	31,755,000	CSC Holdings, Inc., New Term Loan B, 2.695%, 4/17/2020(b)		31,358,062

		Chemicals – 0.2%
	21,878,361	Tronox Pigments (Netherlands) B.V., 2013 Term Loan, 4.500%, 3/19/2020(b)		21,947,934

		Supermarket – 0.1%
	9,233,158	Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(b)		9,162,616

		Healthcare – 0.1%
	6,535,874	Hologic, Inc., Term Loan B, 4.500%, 8/01/2019(b)		6,547,704

		Total Senior Loans (Identified Cost $155,075,965)		155,054,783


Shares		Description	Value (†)
Common Stocks – 2.2%
		Electronic Equipment, Instruments & Components – 2.2%
	17,550,000	Corning, Inc. (Identified Cost $226,654,590)	$	249,736,500

Preferred Stocks – 0.2%
		Independent Energy – 0.0%
	43,031	Chesapeake Energy Corp., 5.000%		3,725,194

		Metals & Mining – 0.1%
	340,285	ArcelorMittal, 6.000%		6,387,150

		REITs—Diversified – 0.1%
	258,873	Weyerhaeuser Co., Series A, 6.375%		13,205,112

		Total Preferred Stocks (Identified Cost $25,066,559)		23,317,456


Principal Amount
Short-Term Investments – 0.9%
$	397,203	Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $397,204 on 7/01/2013 collateralized by $455,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $419,184 including accrued interest(f)		397,203
	102,677,467	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $102,677,467 on 7/01/2013 collateralized by $106,420,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $104,424,625; $245,000 U.S. Treasury Bond, 5.250% due 2/15/2029 valued at $315,646 including accrued interest(f)		102,677,467

		Total Short-Term Investments (Identified Cost $103,074,670)		103,074,670

		Total Investments – 97.4% (Identified Cost $10,049,822,560)(a)		10,890,946,657
		Other assets less liabilities – 2.6%		285,696,599

		Net Assets – 100.0%	$	11,176,643,256

(‡)	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 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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $10,087,607,695 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	$	1,008,227,217
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(204,888,255	)

Net unrealized appreciation	$	803,338,962

(b)	Variable rate security. Rate as of June 30, 2013 is disclosed.

(c)	Illiquid security. At June 30, 2013, the value of these securities amounted to $69,298,769 or 0.6% of net assets.

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

(e)	Non-income producing security.

(f)

144A

ABS	Asset-Backed Securities

AGMC	Assured Guaranty Municipal Corp.

EMTN	Euro Medium Term Note

FHLMC

Federal Home Loan Mortgage Corp.

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 June 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	56,461,176	$	69,100,858	(a)	$	125,562,034
Airlines		—		3,187,600		300,460,158	(a)		303,647,758
Non-Captive Consumer		1,425,215		272,801,060		—			274,226,275
All Other Non-Convertible Bonds*		—		9,102,462,228		—			9,102,462,228

Total Non-Convertible Bonds		1,425,215		9,434,912,064		369,561,016			9,805,898,295

Convertible Bonds*		—		467,316,491		—			467,316,491
Municipals*		—		86,548,462		—			86,548,462

Total Bonds and Notes		1,425,215		9,988,777,017		369,561,016			10,359,763,248

Senior Loans*		—		155,054,783		—			155,054,783
Common Stocks*		249,736,500		—		—			249,736,500
Preferred Stocks*		23,317,456		—		—			23,317,456
Short-Term Investments		—		103,074,670		—			103,074,670

Total	$	274,479,171	$	10,246,906,470	$	369,561,016		$	10,890,946,657

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

(a)	Valued using broker-dealer bid prices.

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 and/or June 30, 2013:

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 June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	5,642,124	$	—	$	—	$	—		$	—	$	—		$	—	$	(5,642,124	)	$	—	$	—
ABS Other		—		—		540		(1,743,318	)		4,500,000		(3,834,632	)		70,178,268		—			69,100,858		(1,743,318	)
Airlines		—		294,804		856,577		(2,168,569	)		45,485,000		(19,557,458	)		275,549,804		—			300,460,158		(2,168,569	)
Banking		38,219,714		—		—		—			—		—			—		(38,219,714	)		—		—
Electric		1,889,250		—		—		785,750			—		(2,675,000	)		—		—			—		—

Total	$	45,751,088	$	294,804	$	857,117	$	(3,126,137	)	$	49,985,000	$	(26,067,090	)	$	345,728,072	$	(43,861,838	)	$	369,561,016	$	(3,911,887	)

Debt securities valued at $345,728,072 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price securities.

Debt securities valued at $43,861,838 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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 June 30, 2013 (Unaudited)


Treasuries	21.9	%
Banking	14.1
Wirelines	4.5
Technology	4.0
Commercial Mortgage-Backed Securities	3.5
Non-Captive Diversified	3.4
Pipelines	3.2
Local Authorities	2.9
Airlines	2.7
Non-Captive Consumer	2.5
Metals & Mining	2.5
Electronic Equipment, Instruments & Components	2.2
Other Investments, less than 2% each	29.1
Short-Term Investments	0.9

Total Investments	97.4
Other assets less liabilities	2.6

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2013 (Unaudited)


United States Dollar	66.9	%
Canadian Dollar	13.3
New Zealand Dollar	4.4
Euro	3.9
Australian Dollar	3.1
Norwegian Krone	2.9
Other, less than 2% each	2.9

Total Investments	97.4
Other assets less liabilities	2.6

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)
Bonds and Notes – 93.4% 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	$	2,160,829
	910,000	Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, 1.520%, 3/16/2020, 144A		911,858
	1,275,000	Credit Acceptance Auto Loan Trust, Series 2013-1A, Class A, 1.210%, 10/15/2020, 144A		1,265,177
	1,971,358	First Investors Auto Owner Trust, Series 2012-2A, Class A2, 1.470%, 5/15/2018, 144A		1,982,307
	915,242	First Investors Auto Owner Trust, Series 2013-1A, Class A2, 0.900%, 10/15/2018, 144A		910,388
	1,565,000	Prestige Auto Receivables Trust, Series 2013-1A, Class A2, 1.090%, 2/15/2018, 144A		1,561,451
	634,898	SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 6/15/2016, 144A		637,255
	5,067,547	Tidewater Auto Receivables Trust, Series 2012-AA, Class A2, 1.210%, 8/15/2015, 144A		5,065,272
	3,000,000	Tidewater Auto Receivables Trust, Series 2012-AA, Class A3, 1.990%, 4/15/2019, 144A		3,008,709

				17,503,246

		ABS Credit Card – 0.9%
	3,220,000	GE Capital Credit Card Master Note Trust, Series 2012-7, Class A, 1.760%, 9/15/2022		3,046,049
	3,400,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		3,521,476

				6,567,525

		ABS Home Equity – 0.1%
	374,867	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)		383,173
	252,741	Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 5.700%, 1/25/2028(b)		259,897

				643,070

		ABS Other – 0.6%
	3,000,000	Ally Master Owner Trust, Series 2012-5, Class A, 1.540%, 9/15/2019		2,938,302
	1,250,000	CCG Receivables Trust, Series 2013-1, Class A2, 1.050%, 8/14/2020, 144A		1,248,419

				4,186,721

		ABS Student Loan – 0.3%
	1,829,873	Montana Higher Education Student Assistance Corp., Series 2012-1, Class A1, 0.792%, 9/20/2022(b)		1,848,172

		Collateralized Mortgage Obligations – 32.0%
	225,078	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 0.930%, 5/15/2023(b)		233,941
	147,918	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.080%, 8/15/2023(b)		153,636
	528,198	Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029		593,402


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	947,693	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.593%, 11/15/2032(b)	$	949,791
	3,825,000	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		4,147,268
	6,280,000	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020		6,691,089
	3,631,000	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035		4,041,147
	3,510,000	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035		3,860,063
	7,658,705	Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034		7,968,554
	4,415,756	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 4.599%, 6/15/2048(b)		4,583,541
	5,405,401	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.757%, 12/15/2036(b)		5,664,157
	477,731	Federal Home Loan Mortgage Corp., REMIC, Series 3802, Class BA, 4.500%, 11/15/2028		495,433
	166,767	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 1.550%, 9/25/2022(b)		173,770
	141,327	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.230%, 4/25/2024(b)		147,096
	2,494,000	Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025		2,767,290
	3,723,536	Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034		3,860,614
	6,213,773	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.223%, 8/25/2038(b)		6,099,919
	122,794	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.550%, 4/25/2023(b)		127,496
	2,126,891	FHLMC, 2.879%, 3/01/2038(b)		2,274,885
	1,337,364	FHLMC, 2.969%, 12/01/2034(b)		1,426,701
	1,831,954	FHLMC, 5.214%, 11/01/2038(b)		1,969,391
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,582,948
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,552,882
	3,535,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		3,654,826
	700,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		712,025
	2,590,000	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018		2,621,919
	7,910,000	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		7,903,514
	34,370,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		33,584,852
	18,531,754	FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.543%, 4/25/2019(b)		18,566,001
	1,905,421	FNMA, 2.270%, 9/01/2036(b)		2,014,890
	5,593,375	FNMA, 2.306%, 11/01/2033(b)		5,903,477


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	2,597,728	FNMA, 2.528%, 4/01/2037(b)	$	2,765,246
	1,293,546	FNMA, 2.642%, 10/01/2033(b)		1,374,027
	7,355,877	FNMA, 2.651%, 9/01/2037(b)		7,876,046
	6,156,710	FNMA, 2.659%, 7/01/2037(b)		6,574,398
	658,866	FNMA, 2.758%, 8/01/2035(b)		703,155
	3,341,160	FNMA, 4.723%, 8/01/2038(b)		3,591,541
	909,264	Government National Mortgage Association, Series 1998-19, Class ZB, 6.500%, 7/20/2028		1,043,349
	5,926,130	Government National Mortgage Association, Series 2012-124, Class HT, 7.235%, 7/20/2032(b)		6,856,740
	8,360,233	Government National Mortgage Association, Series 2012-H29, Class HF, 0.698%, 10/20/2062(b)		8,386,493
	13,260,000	Government National Mortgage Association, Series 2013-52, Class KX, 5.330%, 8/16/2051(b)		15,226,727
	8,087,842	Government National Mortgage Association, Series 2013-H02, Class GF, 0.698%, 12/20/2062(b)		8,114,330
	5,243,228	Government National Mortgage Association, Series 2013-H10, Class FA, 0.598%, 3/20/2063(b)		5,222,386
	839,107	NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.543%, 12/07/2020(b)		841,457
	1,603,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		1,673,136
	1,558,055	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.645%, 10/07/2020(b)		1,565,845
	5,800,057	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.755%, 12/08/2020(b)		5,821,517
	127,139	NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 0.755%, 12/08/2020(b)		127,933

				222,090,844

		Commercial Mortgage-Backed Securities – 13.8%
	1,780,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.793%, 4/10/2049(b)		1,994,435
	375,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		418,213
	1,445,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		1,582,158
	1,470,000	Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.340%, 12/10/2049(b)		1,677,695
	3,200,500	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		3,523,226
	1,140,000	COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.484%, 4/15/2047		1,266,588
	1,135,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045		1,085,254
	2,625,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		2,906,718
	5,270,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		5,884,629


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Commercial Mortgage-Backed Securities – continued
$	3,000,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.253%, 2/15/2041(b)	$	3,421,206
	1,000,000	Del Coronado Trust, Series 2013-HDC, Class A, 0.993%, 3/15/2026, 144A(b)		997,440
	1,200,000	Extended Stay America Trust, Series 2013-ESFL, Class A2FL, 0.894%, 12/05/2031, 144A(b)		1,193,969
	7,778,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		8,711,033
	5,000,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		5,526,660
	6,840,000	GS Mortgage Securities Corp. II, Series 2013-KYO, Class A, 1.043%, 11/08/2029, 144A(b)		6,767,017
	3,500,000	JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-JWRZ, Class A, 0.973%, 4/15/2030, 144A(b)		3,490,284
	295,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043		323,991
	2,785,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		3,085,624
	5,000,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		5,535,870
	2,000,000	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040		2,193,750
	3,840,658	LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.866%, 9/15/2045		4,280,775
	1,173,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		1,287,715
	5,364,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		5,935,014
	5,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049		5,600,040
	3,485,000	Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.763%, 4/12/2049(b)		3,775,806
	1,500,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 6.090%, 6/11/2049(b)		1,687,210
	2,684,049	Motel 6 Trust, Series 2012-MTL6, Class A1, 1.500%, 10/05/2025, 144A		2,639,128
	4,410,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048		4,873,469
	3,775,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		4,189,797

				95,854,714

		Hybrid ARMs – 18.0%
	7,134,236	FHLMC, 2.258%, 5/01/2037(b)		7,560,078
	2,881,306	FHLMC, 2.294%, 4/01/2036(b)		3,060,916
	4,549,775	FHLMC, 2.345%, 7/01/2033(b)		4,754,134
	2,224,173	FHLMC, 2.371%, 6/01/2037(b)		2,357,864
	3,167,193	FHLMC, 2.378%, 3/01/2036(b)		3,360,029


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Hybrid ARMs – continued
$	1,086,416	FHLMC, 2.386%, 2/01/2035(b)	$	1,159,669
	6,959,996	FHLMC, 2.409%, 2/01/2036(b)		7,423,438
	2,209,360	FHLMC, 2.412%, 4/01/2035(b)		2,366,945
	3,116,165	FHLMC, 2.424%, 2/01/2036(b)		3,324,105
	3,628,799	FHLMC, 2.485%, 11/01/2036(b)		3,884,048
	3,847,733	FHLMC, 2.741%, 4/01/2037(b)		4,105,446
	1,222,235	FHLMC, 2.759%, 4/01/2037(b)		1,305,658
	4,786,805	FHLMC, 2.902%, 9/01/2035(b)		5,071,524
	1,625,057	FHLMC, 3.500%, 11/01/2038(b)		1,731,391
	3,521,729	FHLMC, 4.956%, 9/01/2038(b)		3,768,989
	650,976	FHLMC, 5.151%, 9/01/2038(b)		693,874
	386,423	FHLMC, 5.280%, 12/01/2037(b)		414,972
	1,061,366	FHLMC, 5.620%, 3/01/2037(b)		1,139,618
	296,419	FNMA, 2.029%, 2/01/2037(b)		309,964
	3,835,891	FNMA, 2.049%, 7/01/2035(b)		4,033,861
	1,321,549	FNMA, 2.306%, 9/01/2034(b)		1,406,664
	858,685	FNMA, 2.310%, 12/01/2034(b)		909,632
	731,515	FNMA, 2.316%, 4/01/2033(b)		779,681
	2,661,693	FNMA, 2.331%, 4/01/2034(b)		2,832,127
	3,163,503	FNMA, 2.343%, 6/01/2036(b)		3,370,541
	4,550,160	FNMA, 2.347%, 8/01/2035(b)		4,787,265
	2,164,661	FNMA, 2.353%, 1/01/2036(b)		2,304,752
	10,444,845	FNMA, 2.356%, 10/01/2034(b)		11,146,324
	2,724,497	FNMA, 2.412%, 6/01/2033(b)		2,873,478
	3,576,548	FNMA, 2.494%, 10/01/2033(b)		3,807,666
	736,277	FNMA, 2.552%, 8/01/2033(b)		781,351
	3,146,471	FNMA, 2.558%, 4/01/2037(b)		3,348,893
	686,843	FNMA, 2.647%, 8/01/2036(b)		736,445


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Hybrid ARMs – continued
$	2,140,606	FNMA, 2.677%, 5/01/2035(b)	$	2,285,420
	2,050,646	FNMA, 2.695%, 2/01/2047(b)		2,187,843
	1,778,650	FNMA, 2.802%, 8/01/2034(b)		1,913,298
	5,679,567	FNMA, 3.232%, 6/01/2037(b)		6,076,391
	3,759,806	FNMA, 3.276%, 6/01/2035(b)		3,994,753
	7,319,623	FNMA, 5.748%, 9/01/2037(b)		7,912,138

				125,281,185

		Mortgage Related – 24.9%
	10,532,265	FHLMC, 2.388%, 3/01/2037(b)		11,196,106
	2,876,053	FHLMC, 2.565%, 9/01/2038(b)		3,039,944
	18,303,067	FHLMC, 3.000%, with various maturities from 2026 to 2027(c)		18,896,609
	1,803,430	FHLMC, 4.000%, with various maturities from 2024 to 2042(c)		1,885,024
	1,639,503	FHLMC, 4.500%, with various maturities from 2025 to 2034(c)		1,726,540
	776,312	FHLMC, 5.500%, 10/01/2023		840,497
	62,800	FHLMC, 6.000%, 11/01/2019		69,264
	2,037,954	FHLMC, 6.500%, with various maturities from 2014 to 2034(c)		2,290,508
	41,549	FHLMC, 7.000%, 2/01/2016		43,617
	1,769	FHLMC, 7.500%, with various maturities from 2014 to 2026(c)		1,937
	2,845	FHLMC, 8.000%, 9/01/2015		2,985
	2,645	FHLMC, 10.000%, 7/01/2019		3,012
	43,487	FHLMC, 11.500%, with various maturities from 2015 to 2020(c)		48,882
	7,398,913	FNMA, 2.470%, 4/01/2037(b)		7,835,309
	6,332,125	FNMA, 2.521%, 7/01/2035(b)		6,722,917
	9,425,439	FNMA, 3.000%, with various maturities from 2027 to 2042(c)		9,693,352
	1,615,571	FNMA, 4.000%, with various maturities in 2019(c)		1,706,768
	3,244,782	FNMA, 4.500%, 1/01/2025		3,440,644
	5,519,177	FNMA, 5.000%, with various maturities from 2037 to 2038(c)		5,970,728
	2,681,101	FNMA, 5.500%, with various maturities from 2018 to 2033(c)		2,906,271
	4,871,890	FNMA, 6.000%, with various maturities from 2017 to 2022(c)		5,348,196


Principal Amount		Description	Value (†)
Bonds and Notes – continued
		Mortgage Related – continued
$	800,154	FNMA, 6.500%, with various maturities from 2017 to 2037(c)	$	902,592
	30,796	FNMA, 7.000%, 12/01/2022		31,019
	173,001	FNMA, 7.500%, with various maturities from 2015 to 2032(c)		197,610
	11,900	FNMA, 8.000%, with various maturities from 2015 to 2016(c)		12,491
	5,823,162	GNMA, 1.966%, 2/20/2061(b)		6,094,976
	4,941,750	GNMA, 2.094%, 2/20/2063(b)		5,213,136
	5,451,669	GNMA, 2.368%, 3/20/2063(b)		5,855,970
	3,589,746	GNMA, 2.587%, 2/20/2063(b)		3,868,497
	4,828,553	GNMA, 4.479%, 2/20/2062		5,261,303
	5,058,529	GNMA, 4.521%, 12/20/2061		5,566,557
	2,543,515	GNMA, 4.528%, 3/20/2062		2,804,416
	7,293,667	GNMA, 4.532%, 12/20/2062		8,059,385
	2,573,284	GNMA, 4.560%, 3/20/2062		2,835,841
	12,826,879	GNMA, 4.583%, 11/20/2062		14,199,804
	1,505,092	GNMA, 4.599%, 4/20/2063		1,670,954
	4,480,283	GNMA, 4.604%, 6/20/2062		4,956,989
	1,535,520	GNMA, 4.616%, 8/20/2061		1,691,541
	9,127,878	GNMA, 4.659%, 2/20/2062		10,095,770
	2,059,745	GNMA, 4.698%, 7/20/2061		2,270,698
	4,728,967	GNMA, 4.700%, 8/20/2061		5,220,453
	1,729,701	GNMA, 4.808%, 8/20/2062		1,916,121
	34,842	GNMA, 6.000%, 12/15/2031		39,191
	149,079	GNMA, 6.500%, 5/15/2031		177,078
	150,586	GNMA, 7.000%, 10/15/2028		176,179

				172,787,681

		Treasuries – 0.3%
	2,245,000	U.S. Treasury Note, 1.875%, 4/30/2014		2,276,569

		Total Bonds and Notes (Identified Cost $644,840,524)		649,039,727


Principal Amount		Description	Value (†)
Short-Term Investments – 5.5%
$	6,500,000	Federal Home Loan Bank Discount Note, 9/27/2013	$	6,499,363
	2,663,879	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $2,663,879 on 7/01/2013 collateralized by $2,770,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $2,718,063 including accrued interest(d)		2,663,879
	6,000,000	U.S. Treasury Bill, 0.035%, 8/29/2013(e)		5,999,778
	12,200,000	U.S. Treasury Bill, 0.047%, 9/12/2013(e)		12,199,500
	10,675,000	U.S. Treasury Bills, 0.041%-0.058%, 7/11/2013(e)(f)		10,674,936

		Total Short-Term Investments (Identified Cost $38,035,636)		38,037,456

		Total Investments – 98.9% (Identified Cost $682,876,160)(a)		687,077,183
		Other assets less liabilities – 1.1%		7,894,008

		Net Assets – 100.0%	$	694,971,191

(†)

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

At June 30, 2013, the net unrealized appreciation on investments based on a cost of $682,895,872 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	10,883,883
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(6,702,572	)

Net unrealized appreciation	$	4,181,311

(b)	Variable rate security. Rate as of June 30, 2013 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

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;

•

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 June 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
ABS Student Loan	$	—	$	—	$	1,848,172	(a)	$	1,848,172
Collateralized Mortgage Obligations		—		198,507,365		23,583,479	(a)		222,090,844
All Other Bonds and Notes *		—		425,100,711		—			425,100,711

Total Bonds and Notes		—		623,608,076		25,431,651			649,039,727

Short-Term Investments		—		38,037,456		—			38,037,456

Total	$	—	$	661,645,532	$	25,431,651		$	687,077,183

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

(a)	Valued using broker-dealer bid prices.

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 and/or June 30, 2013:

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 June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
ABS Car Loan	$	910,501	$	—	$	—		$	—		$	—	$	—		$	—	$	(910,501	)	$	—	$	—
ABS Student Loan		—		—		—			18,299			—		(1,915,853	)		3,745,726		—			1,848,172		18,299
Collateralized Mortgage Obligations		—		—		(46	)		(437,763	)		15,782,236		(929,981	)		9,169,033		—			23,583,479		(437,763	)
Mortgage Related		1,982,780		—		—			—			—		—			—		(1,982,780	)		—		—

Total	$	2,893,281	$	—	$	(46	)	$	(419,464	)	$	15,782,236	$	(2,845,834	)	$	12,914,759	$	(2,893,281	)	$	25,431,651	$	(419,464	)

Debt securities valued at $12,914,759 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price securities.

Debt securities valued at $2,893,281 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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 June 30, 2013 (Unaudited)


Collateralized Mortgage Obligations	32.0	%
Mortgage Related	24.9
Hybrid ARMs	18.0
Commercial Mortgage-Backed Securities	13.8
ABS Car Loan	2.5
Other Investments, less than 2% each	2.2
Short-Term Investments	5.5

Total Investments	98.9
Other assets less liabilities	1.1

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Mid Cap Growth Fund


Shares		Description	Value (†)
Common Stocks – 97.6% of Net Assets
		Aerospace & Defense – 1.6%
	9,827	TransDigm Group, Inc.	$	1,540,579

		Biotechnology – 6.8%
	16,300	BioMarin Pharmaceutical, Inc.(b)		909,377
	12,530	Onyx Pharmaceuticals, Inc.(b)		1,365,895
	11,316	Pharmacyclics, Inc.(b)		899,282
	16,564	Puma Biotechnology, Inc.(b)		734,945
	4,127	Regeneron Pharmaceuticals, Inc.(b)		928,080
	22,861	TESARO, Inc.(b)		748,469
	10,840	Vertex Pharmaceuticals, Inc.(b)		865,791

				6,451,839

		Building Products – 2.0%
	48,627	Fortune Brands Home & Security, Inc.		1,883,810

		Capital Markets – 2.2%
	12,692	Affiliated Managers Group, Inc.(b)		2,080,726

		Chemicals – 1.9%
	18,340	Westlake Chemical Corp.		1,768,159

		Commercial Banks – 1.8%
	20,222	SVB Financial Group(b)		1,684,897

		Commercial Services & Supplies – 1.6%
	14,134	Stericycle, Inc.(b)		1,560,818

		Construction Materials – 1.9%
	26,813	Eagle Materials, Inc.		1,776,898

		Diversified Financial Services – 1.8%
	36,370	CBOE Holdings, Inc.		1,696,297

		Energy Equipment & Services – 1.7%
	22,148	Oceaneering International, Inc.		1,599,086

		Food Products – 4.0%
	30,597	Green Mountain Coffee Roasters, Inc.(b)		2,296,611
	16,268	Hershey Co. (The)		1,452,407

				3,749,018

		Health Care Equipment & Supplies – 1.1%
	32,657	Insulet Corp.(b)		1,025,756

		Health Care Technology – 1.4%
	15,636	athenahealth, Inc.(b)		1,324,682

		Hotels, Restaurants & Leisure – 5.9%
	3,790	Chipotle Mexican Grill, Inc.(b)		1,380,886
	49,498	Dunkin’ Brands Group, Inc.		2,119,504
	93,396	Melco Crown Entertainment Ltd., Sponsored ADR(b)		2,088,335

				5,588,725


Shares		Description	Value (†)
Common Stocks – continued
		Household Durables – 3.2%
	63,662	KB Home	$	1,249,685
	21,473	Meritage Homes Corp.(b)		931,069
	106,955	Standard Pacific Corp.(b)		890,935

				3,071,689

		Household Products – 1.4%
	21,824	Church & Dwight Co., Inc.		1,346,759

		Internet & Catalog Retail – 1.9%
	8,404	Netflix, Inc.(b)		1,774,000

		Internet Software & Services – 7.5%
	53,870	Angie’s List, Inc.(b)		1,430,248
	39,779	Cornerstone OnDemand, Inc.(b)		1,722,033
	11,997	LinkedIn Corp., Class A(b)		2,139,065
	7,999	MercadoLibre, Inc.		861,972
	14,625	OpenTable, Inc.(b)		935,269

				7,088,587

		Life Sciences Tools & Services – 3.3%
	7,484	Mettler-Toledo International, Inc.(b)		1,505,781
	34,857	PAREXEL International Corp.(b)		1,601,330

				3,107,111

		Machinery – 1.7%
	17,219	Chart Industries, Inc.(b)		1,620,136

		Media – 8.8%
	28,381	Discovery Communications, Inc., Class A(b)		2,191,297
	114,395	Lions Gate Entertainment Corp.(b)		3,142,431
	55,174	Sinclair Broadcast Group, Inc., Class A		1,621,012
	63,939	Starz, Class A (b)		1,413,052

				8,367,792

		Oil, Gas & Consumable Fuels – 6.2%
	29,667	Cabot Oil & Gas Corp.		2,106,950
	65,468	Cheniere Energy, Inc.(b)		1,817,392
	36,531	Cobalt International Energy, Inc.(b)		970,629
	21,713	Gulfport Energy Corp.(b)		1,022,031

				5,917,002

		Pharmaceuticals – 4.1%
	19,806	Actavis, Inc.(b)		2,499,913
	20,887	Jazz Pharmaceuticals PLC(b)		1,435,564

				3,935,477

		Road & Rail – 3.9%
	19,748	J.B. Hunt Transport Services, Inc.		1,426,595
	21,877	Kansas City Southern		2,318,087

				3,744,682


Shares		Description	Value (†)
Common Stocks – continued
		Semiconductors & Semiconductor Equipment – 4.3%
	24,306	Cree, Inc.(b)	$	1,552,181
	82,363	NXP Semiconductors NV(b)		2,551,606

				4,103,787

		Software – 6.3%
	16,548	CommVault Systems, Inc.(b)		1,255,828
	21,320	NetSuite, Inc.(b)		1,955,897
	28,856	ServiceNow, Inc.(b)		1,165,494
	35,348	Splunk, Inc.(b)		1,638,733

				6,015,952

		Specialty Retail – 3.6%
	17,986	Lumber Liquidators Holdings, Inc.(b)		1,400,570
	16,759	Tractor Supply Co.		1,971,026

				3,371,596

		Textiles, Apparel & Luxury Goods – 2.3%
	34,538	Michael Kors Holdings Ltd.(b)		2,142,047

		Trading Companies & Distributors – 1.9%
	36,175	United Rentals, Inc.(b)		1,805,494

		Wireless Telecommunication Services – 1.5%
	19,609	SBA Communications Corp., Class A(b)		1,453,419

		Total Common Stocks (Identified Cost $78,939,735)		92,596,820


Principal Amount
Short-Term Investments – 3.7%
$	3,537,960	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $3,537,960 on 7/01/2013 collateralized by $3,680,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $3,611,000 including accrued interest(c) (Identified Cost $3,537,960)		3,537,960

		Total Investments – 101.3% (Identified Cost $82,477,695)(a)		96,134,780
		Other assets less liabilities – (1.3)%		(1,263,591	)

		Net Assets – 100.0%	$	94,871,189

(†)

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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $82,477,695 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	$	14,577,578
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(920,493	)

Net unrealized appreciation	$	13,657,085

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 June 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	92,596,820	$	—	$	—	$	92,596,820
Short-Term Investments		—		3,537,960		—		3,537,960

Total	$	92,596,820	$	3,537,960	$	—	$	96,134,780

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

For the period ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.

Industry Summary at June 30, 2013 (Unaudited)


Media	8.8	%
Internet Software & Services	7.5
Biotechnology	6.8
Software	6.3
Oil, Gas & Consumable Fuels	6.2
Hotels, Restaurants & Leisure	5.9
Semiconductors & Semiconductor Equipment	4.3
Pharmaceuticals	4.1
Food Products	4.0
Road & Rail	3.9
Specialty Retail	3.6
Life Sciences Tools & Services	3.3
Household Durables	3.2
Textiles, Apparel & Luxury Goods	2.3
Capital Markets	2.2
Building Products	2.0
Other Investments, less than 2% each	23.2
Short-Term Investments	3.7

Total Investments	101.3
Other assets less liabilities	(1.3	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)
Common Stocks – 95.7% of Net Assets
		Aerospace & Defense – 2.4%
	348,255	Hexcel Corp.(b)	$	11,858,083
	138,387	Triumph Group, Inc.		10,953,331

				22,811,414

		Airlines – 0.9%
	289,353	Spirit Airlines, Inc.(b)		9,192,745

		Auto Components – 0.9%
	181,423	Dorman Products, Inc.		8,278,332

		Biotechnology – 6.8%
	79,468	Aegerion Pharmaceuticals, Inc.(b)		5,033,503
	420,783	Alkermes PLC(b)		12,068,057
	82,157	Clovis Oncology, Inc.(b)		5,502,876
	193,577	Cubist Pharmaceuticals, Inc.(b)		9,349,769
	419,088	Emergent Biosolutions, Inc.(b)		6,043,249
	524,896	Exact Sciences Corp.(b)		7,301,303
	265,337	Myriad Genetics, Inc.(b)		7,129,605
	536,473	Neurocrine Biosciences, Inc.(b)		7,178,009
	422,361	NPS Pharmaceuticals, Inc.(b)		6,377,651

				65,984,022

		Capital Markets – 1.8%
	114,631	Artisan Partners Asset Management, Inc.(b)		5,721,233
	257,921	Financial Engines, Inc.		11,758,619

				17,479,852

		Chemicals – 1.2%
	635,235	Flotek Industries, Inc.(b)		11,396,116

		Commercial Banks – 4.0%
	205,546	Bank of the Ozarks, Inc.		8,906,308
	844,746	Boston Private Financial Holdings, Inc.		8,988,098
	105,168	Signature Bank(b)		8,731,047
	68,516	SVB Financial Group(b)		5,708,753
	136,375	Texas Capital Bancshares, Inc.(b)		6,049,595

				38,383,801

		Communications Equipment – 1.0%
	503,058	Ciena Corp.(b)		9,769,386

		Construction & Engineering – 1.0%
	292,223	MasTec, Inc.(b)		9,614,137

		Consumer Finance – 0.8%
	242,167	Encore Capital Group, Inc.(b)		8,018,149

		Distributors – 0.7%
	135,902	Pool Corp.		7,122,624


Shares		Description	Value (†)
Common Stocks – continued
		Diversified Consumer Services – 3.2%
	249,312	Bright Horizons Family Solutions, Inc.(b)	$	8,653,620
	474,624	Grand Canyon Education, Inc.(b)		15,297,131
	585,369	LifeLock, Inc.(b)		6,854,671

				30,805,422

		Diversified Financial Services – 1.1%
	230,049	MarketAxess Holdings, Inc.		10,754,791

		Electrical Equipment – 1.4%
	161,377	Polypore International, Inc.(b)		6,503,493
	342,037	Thermon Group Holdings, Inc.(b)		6,977,555

				13,481,048

		Electronic Equipment, Instruments & Components – 2.8%
	134,919	FEI Co.		9,847,738
	144,295	IPG Photonics Corp.		8,763,035
	183,526	Measurement Specialties, Inc.(b)		8,539,465

				27,150,238

		Energy Equipment & Services – 2.7%
	103,017	Dril-Quip, Inc.(b)		9,301,405
	289,613	Forum Energy Technologies, Inc.(b)		8,812,924
	355,334	Helix Energy Solutions Group, Inc.(b)		8,186,895

				26,301,224

		Food & Staples Retailing – 1.0%
	202,780	Susser Holdings Corp.(b)		9,709,106

		Health Care Equipment & Supplies – 4.9%
	213,246	Abaxis, Inc.		10,131,317
	106,285	Analogic Corp.		7,740,737
	523,626	Endologix, Inc.(b)		6,953,753
	66,223	ICU Medical, Inc.(b)		4,772,029
	294,824	Insulet Corp.(b)		9,260,422
	454,511	Spectranetics Corp.(b)		8,490,266

				47,348,524

		Health Care Providers & Services – 4.8%
	253,034	Acadia Healthcare Co., Inc.(b)		8,367,834
	493,561	BioScrip, Inc.(b)		8,143,756
	334,770	Emeritus Corp.(b)		7,759,969
	376,566	Hanger Orthopedic Group, Inc.(b)		11,910,783
	254,372	Team Health Holdings, Inc.(b)		10,447,058

				46,629,400

		Health Care Technology – 1.8%
	559,673	MedAssets, Inc.(b)		9,928,599
	102,371	Medidata Solutions, Inc.(b)		7,928,634

				17,857,233

		Hotels, Restaurants & Leisure – 3.1%
	82,788	AFC Enterprises, Inc.(b)		2,975,401
	28,949	Noodles & Co.(b)		1,063,876
	558,479	SHFL entertainment, Inc.(b)		9,890,663
	251,450	Texas Roadhouse, Inc.		6,291,279
	150,821	Vail Resorts, Inc.		9,278,508

				29,499,727


Shares		Description	Value (†)
Common Stocks – continued
		Insurance – 1.1%
	290,603	Amtrust Financial Services, Inc.	$	10,374,527

		Internet & Catalog Retail – 1.1%
	334,124	HomeAway, Inc.(b)		10,805,570

		Internet Software & Services – 5.5%
	363,103	Angie’s List, Inc.(b)		9,640,385
	180,033	Cornerstone OnDemand, Inc.(b)		7,793,628
	111,166	CoStar Group, Inc.(b)		14,348,196
	358,082	Dealertrack Technologies, Inc.(b)		12,686,845
	138,058	OpenTable, Inc.(b)		8,828,809

				53,297,863

		IT Services – 1.6%
	216,826	EPAM Systems, Inc.(b)		5,893,331
	375,212	InterXion Holding NV(b)		9,804,289

				15,697,620

		Life Sciences Tools & Services – 1.0%
	200,395	PAREXEL International Corp.(b)		9,206,146

		Machinery – 5.0%
	123,401	Chart Industries, Inc.(b)		11,610,800
	441,959	Manitowoc Co., Inc. (The)		7,915,486
	62,011	Middleby Corp. (The)(b)		10,547,451
	143,877	Proto Labs, Inc.(b)		9,347,688
	174,624	RBC Bearings, Inc.(b)		9,071,717

				48,493,142

		Oil, Gas & Consumable Fuels – 3.4%
	187,811	Diamondback Energy, Inc.(b)		6,257,862
	192,177	Gulfport Energy Corp.(b)		9,045,771
	256,395	Oasis Petroleum, Inc.(b)		9,966,074
	170,044	Rosetta Resources, Inc.(b)		7,230,271

				32,499,978

		Pharmaceuticals – 0.7%
	232,162	Pacira Pharmaceuticals, Inc.(b)		6,732,698

		Professional Services – 5.8%
	224,621	Advisory Board Co. (The)(b)		12,275,538
	220,509	Corporate Executive Board Co. (The)		13,940,579
	221,485	Huron Consulting Group, Inc.(b)		10,241,466
	324,366	On Assignment, Inc.(b)		8,667,060
	327,154	WageWorks, Inc.(b)		11,270,455

				56,395,098

		Road & Rail – 1.2%
	131,487	Genesee & Wyoming, Inc., Class A(b)		11,155,357


Shares		Description	Value (†)
Common Stocks – continued
		Semiconductors & Semiconductor Equipment – 5.1%
	231,918	Cavium, Inc.(b)	$	8,202,940
	180,535	Hittite Microwave Corp.(b)		10,471,030
	223,187	Semtech Corp.(b)		7,818,240
	205,859	Silicon Laboratories, Inc.(b)		8,524,621
	219,533	Ultratech, Inc.(b)		8,061,252
	414,058	Volterra Semiconductor Corp.(b)		5,846,499

				48,924,582

		Software – 8.2%
	308,473	Aspen Technology, Inc.(b)		8,880,938
	106,136	CommVault Systems, Inc.(b)		8,054,661
	157,901	FleetMatics Group PLC(b)		5,247,050
	316,722	Guidewire Software, Inc.(b)		13,318,160
	230,265	Imperva, Inc.(b)		10,371,136
	344,630	QLIK Technologies, Inc.(b)		9,742,690
	171,329	Sourcefire, Inc.(b)		9,517,326
	118,386	Ultimate Software Group, Inc. (The)(b)		13,885,494

				79,017,455

		Specialty Retail – 5.7%
	246,036	Asbury Automotive Group, Inc.(b)		9,866,043
	104,468	Cabela’s, Inc.(b)		6,765,348
	457,054	Chico’s FAS, Inc.		7,797,341
	180,602	Hibbett Sports, Inc.(b)		10,023,411
	74,987	Lumber Liquidators Holdings, Inc.(b)		5,839,238
	165,043	rue21, Inc.(b)		6,867,439
	285,979	Tile Shop Holdings, Inc.(b)		8,281,952

				55,440,772

		Textiles, Apparel & Luxury Goods – 2.0%
	152,503	Oxford Industries, Inc.		9,516,187
	424,726	Tumi Holdings, Inc.(b)		10,193,424

				19,709,611

		Total Common Stocks (Identified Cost $708,993,149)		925,337,710


Principal Amount
Short-Term Investments – 5.0%
$	48,252,790	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $48,252,790 on 7/01/2013 collateralized by $50,160,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $49,219,500 including accrued interest(c) (Identified Cost $48,252,790)		48,252,790

		Total Investments – 100.7% (Identified Cost $757,245,939)(a)		973,590,500
		Other assets less liabilities – (0.7)%		(6,732,161	)

		Net Assets – 100.0%	$	966,858,339

(†)

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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $757,245,939 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	$	224,448,328
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(8,103,767	)

Net unrealized appreciation	$	216,344,561

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;

•

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 June 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	925,337,710	$	—	$	—	$	925,337,710
Short-Term Investments		—		48,252,790		—		48,252,790

Total	$	925,337,710	$	48,252,790	$	—	$	973,590,500

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

For the period ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.

Industry Summary at June 30, 2013 (Unaudited)


Software	8.2	%
Biotechnology	6.8
Professional Services	5.8
Specialty Retail	5.7
Internet Software & Services	5.5
Semiconductors & Semiconductor Equipment	5.1
Machinery	5.0
Health Care Equipment & Supplies	4.9
Health Care Providers & Services	4.8
Commercial Banks	4.0
Oil, Gas & Consumable Fuels	3.4
Diversified Consumer Services	3.2
Hotels, Restaurants & Leisure	3.1
Electronic Equipment, Instruments & Components	2.8
Energy Equipment & Services	2.7
Aerospace & Defense	2.4
Textiles, Apparel & Luxury Goods	2.0
Other Investments, less than 2% each	20.3
Short-Term Investments	5.0

Total Investments	100.7
Other assets less liabilities	(0.7	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Strategic Income Fund


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 72.3% of Net Assets
Non-Convertible Bonds – 63.2%
		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	$	4,374,049

		ABS Home Equity – 0.0%
	4,133,328	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.726%, 4/25/2035(b)		4,111,744

		Aerospace & Defense – 0.4%
	620,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		610,067
	11,800,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		11,800,000
	2,425,000	Ducommun, Inc., 9.750%, 7/15/2018		2,649,312
	8,236,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		8,454,756
	8,636,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		7,153,467
	20,755,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		18,847,574
	5,310,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		4,619,700

				54,134,876

		Airlines – 2.6%
	35,455,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		35,481,970
	5,215,000	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		5,201,962
	14,600,000	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A		13,797,000
	5,400,000	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		5,589,000
	3,280,000	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		3,312,800
	21,015,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		21,225,150
	4,568	Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015		4,568
	643,667	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		650,104
	1,204,549	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		1,246,709
	2,458,307	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		2,538,201
	1,542,834	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		1,600,690
	1,233,941	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		1,382,014
	1,437,966	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,567,383


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Airlines – continued
$	2,033,641	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019	$	2,155,659
	1,844,668	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,964,571
	1,063,631	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,116,813
	10,452,388	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		11,602,151
	18,348,237	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		19,449,131
	16,602,493	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		19,051,361
	14,834,915	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		17,356,851
	3,980,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		4,139,200
	1,246,787	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,409,493
	6,139,845	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		6,707,780
	19,203,323	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		19,395,356
	1,766,305	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		1,881,114
	17,184,954	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		18,387,901
	768,064	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		883,274
	14,522,729	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		15,321,479
	33,943,761	US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A		35,810,668
	47,534,220	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		53,119,491
	14,822,754	US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014		15,638,006
	14,069,606	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		14,773,086
	7,274,752	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		7,893,105
	5,675,691	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		6,016,233
	7,200,000	US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023		7,128,000

				374,798,274

		Automotive – 0.8%
	3,800,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		4,194,250
	19,011,000	Ford Motor Co., 6.375%, 2/01/2029		20,147,173
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,296,087
	74,829,000	Ford Motor Co., 6.625%, 10/01/2028		81,582,542


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Automotive – continued
$	2,365,000	Ford Motor Co., 7.125%, 11/15/2025	$	2,688,459
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,555,410
	6,000,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		6,150,000
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		4,921,009

				122,534,930

		Banking – 7.3%
	1,175,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		1,523,288
	29,332,000	Ally Financial, Inc., 8.000%, 11/01/2031		35,271,730
	20,565,000	Associates Corp. of North America, 6.950%, 11/01/2018		24,355,150
	63,900,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)		26,346,382
	900,000	Bank of America Corp., 5.490%, 3/15/2019		970,416
	265,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		282,560
	1,000,000	Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD)		919,831
	1,500,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%, 12/29/2049		1,670,625
	1,130,000	Barclays Bank PLC, (fixed rate to 12/15/2017, variable rate thereafter), 6.000%, 6/29/2049, (GBP)		1,487,168
	39,890,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		36,420,909
	7,320,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR)		6,845,540
	57,792,000,000	Barclays Financial LLC, EMTN, 3.500%, 11/29/2016, (KRW)		53,338,365
	1,600,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR)		1,999,334
	5,331,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A		5,064,450
	4,000,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		3,598,022
	24,610,000	Citigroup, Inc., 5.875%, 2/22/2033		23,660,792
	8,999,000	Citigroup, Inc., 6.000%, 10/31/2033		8,774,430
	6,060,000	Citigroup, Inc., 6.125%, 8/25/2036		5,933,279
	22,091,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		17,859,131
	3,350,000	Citigroup, Inc., EMTN, 1.469%, 11/30/2017, (EUR)(b)		4,120,697
	3,035,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.375%, 1/19/2017		3,187,445
	17,730,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022		17,854,447


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	400,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036	$	402,480
	34,060,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		34,889,838
	11,000,000	HBOS Capital Funding LP, (fixed rate to 6/30/2014, variable rate thereafter), 6.071%, 6/29/2049, 144A		9,570,000
	32,705,000	HBOS PLC, 6.000%, 11/01/2033, 144A		30,172,652
	50,604,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		53,581,388
	9,090,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		8,680,950
	45,620,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		33,949,055
	260,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		25,237,683
	227,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		22,473,572
	18,500,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 9/29/2049, 144A		13,690,000
	27,555,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		29,376,854
	3,010,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		3,241,650
	1,900,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		2,057,333
	6,700,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		6,595,232
	51,500,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		22,041,589
	3,450,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		4,718,351
	800,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		855,569
	1,235,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		1,394,517
	35,325,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		31,987,612
	55,795,000	Morgan Stanley, 4.875%, 11/01/2022		55,119,936
	74,310,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		60,977,970
	100,265,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		99,577,545
	950,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		1,591,849
	1,000,000	Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR)		1,387,426
	79,700,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		77,644,075
	17,175,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		15,868,309
	10,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		10,959,720


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	6,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019	$	7,093,885
	7,900,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		8,954,294
	12,100,000	Morgan Stanley, Series F, MTN, 0.727%, 10/18/2016(b)		11,713,635
	5,210,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		5,780,709
	2,850,000	RBS Capital Trust A, 2.319%, 12/29/2049, (EUR)(b)		2,301,869
	1,905,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR)		1,611,767
	7,925,000	RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049		5,507,875
	4,050,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049		3,240,000
	2,085,000	RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, 9/29/2049		1,522,050
	930,000	Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR)		799,073
	15,100,000	Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)		13,314,234
	17,700,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		16,842,789
	9,990,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049		8,941,050
	850,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		1,085,321
	7,750,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		10,541,733
	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)		2,526,388
	700,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		754,530
	1,300,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		1,730,674
	1,800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		1,908,421
	1,500,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		1,529,920
	4,140,000	SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR)		5,307,996
	18,054,000	Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 4/29/2049, 144A		17,061,030

				1,069,596,389

		Brokerage – 0.8%
	2,655,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		2,668,766
	43,025,000	Jefferies Group LLC, 5.125%, 1/20/2023		42,693,234
	20,010,000	Jefferies Group LLC, 6.250%, 1/15/2036		19,309,650


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Brokerage – continued
$	15,215,000	Jefferies Group LLC, 6.450%, 6/08/2027	$	14,986,775
	39,040,000	Jefferies Group LLC, 6.875%, 4/15/2021		42,935,880

				122,594,305

		Building Materials – 0.9%
	6,995,000	Masco Corp., 6.500%, 8/15/2032		6,960,025
	5,510,000	Masco Corp., 7.125%, 3/15/2020		6,143,650
	2,630,000	Masco Corp., 7.750%, 8/01/2029		2,903,365
	32,100,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		12,871,073
	35,980,000	Owens Corning, Inc., 7.000%, 12/01/2036		38,500,759
	46,412,000	USG Corp., 6.300%, 11/15/2016		47,340,240
	14,155,000	USG Corp., 9.750%, 1/15/2018		16,065,925

				130,785,037

		Chemicals – 0.4%
	20,070,000	Hercules, Inc., 6.500%, 6/30/2029		17,460,900
	5,200,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		5,304,000
	4,555,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		4,350,025
	23,584,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		16,980,480
	7,789,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		6,698,540
	8,757,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		7,180,740

				57,974,685

		Commercial Mortgage-Backed Securities – 0.2%
	35,060,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(b)		33,705,282

		Construction Machinery – 0.1%
	1,425,000	Joy Global, Inc., 6.625%, 11/15/2036		1,540,335
	13,630,000	United Rentals North America, Inc., 7.625%, 4/15/2022		14,754,475
	525,000	United Rentals North America, Inc., 8.375%, 9/15/2020		568,313

				16,863,123


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Consumer Cyclical Services – 0.0%
$	670,000	ServiceMaster Co. (The), 7.100%, 3/01/2018	$	646,550
	5,500,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		4,675,000

				5,321,550

		Consumer Products – 0.0%
	1,335,000	Visant Corp., 10.000%, 10/01/2017		1,231,538

		Electric – 2.3%
	787,434	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		826,806
	45,322,516	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		47,550,435
	62,180,200	Bruce Mansfield Unit, 6.850%, 6/01/2034		67,932,491
	2,441,011	CE Generation LLC, 7.416%, 12/15/2018		2,459,319
	28,105,000	Edison Mission Energy, 7.625%, 5/15/2027(d)		15,738,800
	42,200,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		41,461,500
	14,800,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		15,244,000
	2,800,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		3,725,675
	500,000	EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		667,095
	100,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		135,697
	250,000	Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013		251,009
	3,570,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		4,149,750
	13,642,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		12,598,414
	1,435,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		1,437,002
	2,732,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		3,590,368
	5,940,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/2020, 144A		6,489,450
	108,541,101	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(e)		91,717,230
	555,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		638,616
	9,600,000	PPL Energy Supply LLC, 4.600%, 12/15/2021		9,769,190
	16,670,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		12,460,825

				338,843,672


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	$	20,015,268
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		27,461,800

				47,477,068

		Food & Beverage – 0.1%
	4,880,000	Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		5,160,600
	4,370,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		4,542,731

				9,703,331

		Government Guaranteed – 0.4%
	72,695,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		62,465,694

		Government Owned - No Guarantee – 0.5%
	19,500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		20,133,750
	70,300,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		6,909,587
	499,300,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		49,044,591

				76,087,928

		Government Sponsored – 0.1%
	1,000,000	EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF)		927,426
	10,807,000	Eksportfinans ASA, 2.000%, 9/15/2015		10,374,720
	9,005,000	Eksportfinans ASA, 2.375%, 5/25/2016		8,622,287

				19,924,433

		Healthcare – 2.3%
	2,795,000	HCA Holdings, Inc., 6.250%, 2/15/2021		2,850,900
	9,960,000	HCA, Inc., 5.875%, 3/15/2022		10,221,450
	108,560,000	HCA, Inc., 5.875%, 5/01/2023		108,831,400
	14,620,000	HCA, Inc., 7.050%, 12/01/2027		14,327,600
	11,104,000	HCA, Inc., 7.190%, 11/15/2015		11,992,320
	20,447,000	HCA, Inc., 7.500%, 12/15/2023		21,264,880
	24,215,000	HCA, Inc., 7.500%, 11/06/2033		24,941,450
	46,148,000	HCA, Inc., 7.690%, 6/15/2025		49,839,840
	32,745,000	HCA, Inc., 8.360%, 4/15/2024		37,001,850
	15,815,000	HCA, Inc., MTN, 7.580%, 9/15/2025		16,763,900


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036	$	9,539,460
	32,559,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		28,000,740

				335,575,790

		Home Construction – 0.7%
	1,350,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023, 144A		1,363,500
	11,265,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015(f)		3,830,100
	13,360,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		12,024,000
	16,075,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		16,316,125
	6,290,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		6,510,150
	11,315,000	KB Home, 7.250%, 6/15/2018		11,993,900
	47,260,000	Pulte Group, Inc., 6.000%, 2/15/2035		43,479,200
	13,190,000	Pulte Group, Inc., 6.375%, 5/15/2033		12,332,650

				107,849,625

		Independent Energy – 0.2%
	1,150,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		1,560,515
	1,375,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		1,478,125
	1,040,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,128,400
	21,470,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		12,237,900
	12,635,000	QEP Resources, Inc., 6.875%, 3/01/2021		13,614,212
	1,975,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		1,928,094
	2,780,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		2,641,000

				34,588,246

		Industrial Other – 0.1%
	7,475,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		7,250,750
	10,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020		10,764,740

				18,015,490

		Life Insurance – 1.1%
	34,562,000	American International Group, Inc., 6.250%, 3/15/2087		35,296,442
	27,655,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		33,739,100


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Life Insurance – continued
$	19,625,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018	$	22,066,546
	2,855,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		2,769,136
	23,200,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A		22,562,000
	1,000,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)		1,498,135
	1,350,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		1,791,264
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		17,288,640
	1,475,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		1,947,000
	8,145,000	MetLife, Inc., 10.750%, 8/01/2069		12,584,025
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		9,294,792
	3,910,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		4,525,391

				165,362,471

		Local Authorities – 1.9%
	86,645,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		91,412,496
	900,000	City of Madrid Spain, 4.550%, 6/16/2036, (EUR)		844,711
	8,095,000	City of Rome Italy, EMTN, 5.345%, 1/27/2048, (EUR)		9,693,904
	3,905,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		3,191,687
	82,840,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		83,610,644
	66,305,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		65,389,044
	26,730,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		25,422,217

				279,564,703

		Media Cable – 0.7%
	3,315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		3,198,975
	25,270,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		26,646,551
	44,800,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		55,981,339
	11,275,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		10,232,408

				96,059,273

		Media Non-Cable – 1.1%
	1,035,000	Clear Channel Communications, Inc., 4.900%, 5/15/2015		957,375
	3,760,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		3,656,600


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Media Non-Cable – continued
$	64,250,000		Clear Channel Communications, Inc., 9.000%, 3/01/2021	$	61,037,500
	90,000,000		Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		5,890,916
	3,995,000		Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A		4,024,963
	28,785,000		Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A		29,072,850
	16,000,000		Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A		16,520,000
	8,335,000		R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		8,501,700
	28,455,000		R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		29,877,750

					159,539,654

			Metals & Mining – 0.9%
	3,949,000		Alcoa, Inc., 5.870%, 2/23/2022		3,842,397
	1,405,000		Alcoa, Inc., 5.950%, 2/01/2037		1,252,477
	4,330,000		Alcoa, Inc., 6.750%, 1/15/2028		4,302,868
	25,271,000		ArcelorMittal, 7.250%, 3/01/2041		23,628,385
	29,695,000		Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		26,131,600
	21,905,000		Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		16,866,850
	4,200,000		Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		4,200,000
	16,135,000		Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		15,332,776
	7,000,000		United States Steel Corp., 6.050%, 6/01/2017		7,280,000
	6,779,000		United States Steel Corp., 6.650%, 6/01/2037		5,711,308
	7,490,000		United States Steel Corp., 6.875%, 4/01/2021		7,265,300
	16,435,000		United States Steel Corp., 7.000%, 2/01/2018		17,256,750

					133,070,711

			Non-Captive Consumer – 3.6%
	22,945,000		SLM Corp., 5.500%, 1/25/2023		21,848,321
	109,950	(††)	SLM Corp., 6.000%, 12/15/2043		2,510,250
	5,700,000		SLM Corp., MTN, 3.875%, 9/10/2015		5,757,302
	7,515,000		SLM Corp., MTN, 4.625%, 9/25/2017		7,402,275
	17,600,000		SLM Corp., MTN, 7.250%, 1/25/2022		18,480,000


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Consumer – continued
$	2,160,000	SLM Corp., MTN, 8.000%, 3/25/2020	$	2,338,200
	3,750,000	SLM Corp., Series A, MTN, 0.576%, 1/27/2014(b)		3,717,023
	41,770,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		43,127,525
	14,465,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		14,030,225
	50,910,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		42,255,300
	90,150,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		100,066,500
	10,120,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		9,892,300
	14,232,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		14,196,420
	800,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		772,000
	248,290,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		243,634,562

				530,028,203

		Non-Captive Diversified – 4.2%
	7,855,000	Aircastle Ltd., 7.625%, 4/15/2020		8,640,500
	32,711,000	Ally Financial, Inc., 8.000%, 12/31/2018		37,045,207
	57,000,000	General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		43,054,103
	79,035,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		65,135,464
	25,320,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		20,322,149
	58,490,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		47,626,476
	15,305,000	General Electric Capital Corp., Series A, MTN, 0.577%, 5/13/2024(b)		13,766,557
	245,797,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		198,748,732
	325,000	International Lease Finance Corp., 3.875%, 4/15/2018		305,500
	2,665,000	International Lease Finance Corp., 5.875%, 4/01/2019		2,691,650
	24,750,000	International Lease Finance Corp., 5.875%, 8/15/2022		24,533,437
	1,995,000	International Lease Finance Corp., 6.250%, 5/15/2019		2,049,862
	20,610,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		22,774,050
	10,245,000	International Lease Finance Corp., 8.250%, 12/15/2020		11,512,819
	2,620,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		2,638,340
	2,222,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		2,260,885


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Non-Captive Diversified – continued
$	4,000,000	iStar Financial, Inc., 3.875%, 7/01/2016	$	3,840,000
	11,995,000	iStar Financial, Inc., 4.875%, 7/01/2018		11,275,300
	23,175,000	iStar Financial, Inc., 5.850%, 3/15/2017		23,638,500
	20,478,000	iStar Financial, Inc., 5.875%, 3/15/2016		20,887,560
	8,300,000	iStar Financial, Inc., 6.050%, 4/15/2015		8,466,000
	19,240,000	iStar Financial, Inc., 7.125%, 2/15/2018		19,961,500
	19,915,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		20,313,300

				611,487,891

		Oil Field Services – 0.3%
	41,550,000	Edgen Murray Corp., 8.750%, 11/01/2020, 144A		41,342,250
	7,170,000	Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A		6,901,125

				48,243,375

		Paper – 0.8%
	14,715,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		18,381,375
	47,875,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		61,730,073
	775,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,082,591
	4,865,000	Westvaco Corp., 7.950%, 2/15/2031		5,616,506
	23,365,000	Westvaco Corp., 8.200%, 1/15/2030		27,650,842
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,249,326

				117,710,713

		Pharmaceuticals – 0.4%
	54,390,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		53,778,113

		Pipelines – 0.9%
	750,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		792,137
	8,935,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		9,574,782
	39,759,324	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		41,649,323
	69,505,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		67,419,850
	3,870,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		3,405,600
	3,065,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		2,635,900


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Pipelines – continued
$	4,168,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A	$	3,636,163

				129,113,755

		Property & Casualty Insurance – 0.5%
	14,855,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		16,491,160
	3,405,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		3,913,455
	12,510,000	MBIA Insurance Corp., 11.537%, 1/15/2033, 144A(b)(f)		10,696,050
	11,200,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		12,245,139
	3,000,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		3,095,124
	1,425,000	XL Group PLC, 6.375%, 11/15/2024		1,617,321
	17,870,000	XL Group PLC, (fixed rate to 4/15/2017, variable rate thereafter), 6.500%, 12/29/2049		17,423,250

				65,481,499

		Railroads – 0.0%
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		980,050

		Retailers – 0.8%
	1,185,000	Dillard’s, Inc., 6.625%, 1/15/2018		1,303,500
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,491,250
	4,187,000	Dillard’s, Inc., 7.130%, 8/01/2018		4,741,777
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,646,250
	425,000	Dillard’s, Inc., 7.875%, 1/01/2023		470,688
	10,270,000	Foot Locker, Inc., 8.500%, 1/15/2022(g)		11,524,046
	3,685,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		3,233,588
	37,064,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		28,909,920
	160,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		130,000
	3,985,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		2,948,900
	12,275,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		13,785,758
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		6,392,299
	37,646,000	Toys R Us, Inc., 7.375%, 10/15/2018		33,975,515

				112,553,491


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Sovereigns – 1.8%
	47,935,000	Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF)	$	50,343,042
	64,132,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		7,730,985
	10,000,000,000	Indonesia Treasury Bond, Series FR47, 10.000%, 2/15/2028, (IDR)		1,204,093
	166,250,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		68,545,947
	56,700,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		26,045,891
	49,120,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)		23,444,462
	18,400,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		19,640,528
	5,226,139,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		31,619,037
	1,605,660,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		9,824,345
	3,112,923,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		20,554,186

				258,952,516

		Supermarkets – 1.0%
	8,336,000	American Stores Co., 7.900%, 5/01/2017		9,190,440
	79,276,000	New Albertson’s, Inc., 7.450%, 8/01/2029		62,231,660
	22,640,000	New Albertson’s, Inc., 7.750%, 6/15/2026		17,857,300
	13,590,000	New Albertson’s, Inc., 8.000%, 5/01/2031		10,804,050
	5,815,000	New Albertson’s, Inc., 8.700%, 5/01/2030		4,782,838
	16,342,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		11,275,980
	34,580,000	SUPERVALU, Inc., 6.750%, 6/01/2021, 144A		32,159,400

				148,301,668

		Supranational – 1.4%
	16,375,000	European Bank for Reconstruction & Development, 6.250%, 2/05/2016, (BRL)		6,853,525
	250,500,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		24,989,426
	128,560,000	European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL)		57,638,391
	60,665,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		58,406,029
	24,450,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		20,347,235
	8,300,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		6,586,821
	72,900,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		29,652,022

				204,473,449


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Technology – 1.2%
	31,237,000	Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR)	$	43,200,850
	93,399,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		70,749,742
	5,845,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		4,383,750
	34,955,000	Amkor Technology, Inc., 6.375%, 10/01/2022		34,343,287
	14,000,000	First Data Corp., 10.625%, 6/15/2021, 144A		13,825,000
	8,015,000	First Data Corp., 11.250%, 1/15/2021, 144A		7,994,963
	475,000	Motorola Solutions, Inc., 6.000%, 11/15/2017		535,857
	2,562,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		2,652,705
	225,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		265,091
	3,615,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A		3,633,075

				181,584,320

		Textile – 0.0%
	2,595,000	Jones Group, Inc. (The), 6.125%, 11/15/2034		2,063,025
	3,450,000	Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		3,467,250

				5,530,275

		Transportation Services – 0.4%
	10,503,000	APL Ltd., 8.000%, 1/15/2024(c)		9,872,820
	6,640,573	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		6,706,979
	6,862,758	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(f)(h)		8,921,585
	5,629,813	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020		5,742,409
	4,736,525	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		4,783,891
	4,744,556	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(f)(h)		6,642,378
	2,349,241	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017		2,513,688
	3,970,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		4,674,679
	4,115,000	Jack Cooper Holdings Corp., 9.250%, 6/01/2020, 144A		4,115,000

				53,973,429

		Treasuries – 15.1%
	80,220,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		75,241,432


Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Treasuries – continued
	272,755,000		Canadian Government, 2.250%, 8/01/2014, (CAD)	$	262,360,381
	201,485,000		Canadian Government, 2.500%, 6/01/2015, (CAD)		196,228,036
	89,045,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		88,039,995
	171,980,000		Canadian Government, 3.750%, 6/01/2019, (CAD)		179,498,913
	25,445,000		Canadian Government, 4.250%, 6/01/2018, (CAD)		26,942,619
	32,535,000		Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		45,167,078
	80,820,000		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		109,829,761
	24,400,000		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		34,031,104
	121,560,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		171,538,689
	1,440,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		1,895,181
	1,440,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		1,954,786
	1,435,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		2,053,510
	16,739,481	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		150,093,555
	75,670,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		64,879,804
	836,485,000		Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)		150,820,269
	1,266,835,000		Norwegian Government Bond, 5.000%, 5/15/2015, (NOK)		222,131,744
	23,580,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		26,201,910
	1,995,000		Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		1,808,836
	6,225,000		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		7,478,855
	43,330,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		50,303,580
	65,300,000		Singapore Government Bond, 1.375%, 10/01/2014, (SGD)		52,270,705
	72,860,000		U.S. Treasury Bond, 2.750%, 11/15/2042		62,819,018
	81,630,000		U.S. Treasury Bond, 2.875%, 5/15/2043		72,242,550
	169,985,000		U.S. Treasury Note, 0.250%, 6/30/2014		170,084,611

					2,225,916,922

			Wireless – 0.7%
	293,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		21,899,005
	31,041,000		Sprint Capital Corp., 6.875%, 11/15/2028		29,799,360


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wireless – continued
$	29,252,000	Sprint Capital Corp., 6.900%, 5/01/2019	$	30,422,080
	6,260,000	Sprint Capital Corp., 8.750%, 3/15/2032		6,886,000
	11,309,000	Sprint Nextel Corp., 6.000%, 12/01/2016		11,930,995

				100,937,440

		Wirelines – 3.9%
	2,825,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(i)		2,599,000
	4,370,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		4,895,547
	21,480,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		22,940,526
	72,320,000	CenturyLink, Inc., 6.450%, 6/15/2021		75,393,600
	765,000	CenturyLink, Inc., 7.650%, 3/15/2042		726,750
	7,410,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		7,224,750
	2,965,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,816,750
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		329,000
	17,900,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		21,552,061
	5,330,000	Embarq Corp., 7.995%, 6/01/2036		5,623,928
	37,225,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		36,852,750
	38,336,000	Frontier Communications Corp., 7.875%, 1/15/2027		37,138,000
	1,120,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		1,865,916
	1,800,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		2,471,129
	28,505,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		28,433,737
	5,965,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		6,352,725
	2,555,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		2,759,400
	500,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		608,586
	16,550,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		19,217,023
	29,750,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		38,250,089
	750,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		1,020,168
	800,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,042,621
	16,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		18,050,175


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	$	40,761,600
	12,463,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		13,709,300
	32,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		31,909,075
	31,060,000	Qwest Corp., 6.875%, 9/15/2033		30,050,550
	3,075,000	Qwest Corp., 7.200%, 11/10/2026		3,090,375
	3,999,000	Qwest Corp., 7.250%, 9/15/2025		4,471,438
	28,906,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		26,212,076
	22,645,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		21,148,754
	5,250,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		5,025,820
	4,350,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		4,775,835
	31,690,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		32,567,147
	18,600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		19,372,156
	3,346,000	Verizon New England, Inc., 7.875%, 11/15/2029		4,168,099
	2,080,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		2,180,780

				577,607,236

		Total Non-Convertible Bonds (Identified Cost $8,901,102,686)		9,308,808,216

Convertible Bonds – 8.1%
		Airlines – 0.0%
	1,255,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		1,304,660

		Automotive – 1.6%
	4,240,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(i)		3,747,100
	125,580,000	Ford Motor Co., 4.250%, 11/15/2016		226,907,362
	8,460,000	Navistar International Corp., 3.000%, 10/15/2014		8,216,775

				238,871,237

		Brokerage – 0.0%
	5,025,000	Jefferies Group LLC, 3.875%, 11/01/2029		5,354,766

		Diversified Manufacturing – 0.3%
	30,570,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		30,952,125


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Diversified Manufacturing – continued
$	16,727,000	Trinity Industries, Inc., 3.875%, 6/01/2036	$	19,612,407

				50,564,532

		Electric – 0.0%
	1,800,000	CMS Energy Corp., 5.500%, 6/15/2029		3,562,875

		Healthcare – 0.5%
	10,700,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(i)		10,733,437
	9,815,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i)		9,710,716
	1,810,000	Illumina, Inc., 0.250%, 3/15/2016, 144A		1,957,063
	2,380,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,573,375
	3,780,000	Omnicare, Inc., 3.250%, 12/15/2035		3,893,400
	20,495,000	Omnicare, Inc., 3.750%, 12/15/2025		37,915,750

				66,783,741

		Home Construction – 0.6%
	52,005,000	Lennar Corp., 3.250%, 11/15/2021, 144A		87,303,394

		Independent Energy – 0.3%
	20,440,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		17,910,550
	24,655,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		23,221,928
	9,196,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		9,127,030

				50,259,508

		Life Insurance – 0.6%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		82,029,375

		Media Non-Cable – 0.0%
	5,778,282	Liberty Media LLC, 3.500%, 1/15/2031		2,961,370

		Metals & Mining – 0.2%
	1,000,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,066,875
	21,845,000	United States Steel Corp., 2.750%, 4/01/2019		21,558,284

				22,625,159

		Non-Captive Diversified – 0.1%
	10,660,000	iStar Financial, Inc., 3.000%, 11/15/2016		12,645,425


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	$	22,446,822

		Technology – 2.9%
	49,215,000	Ciena Corp., 0.875%, 6/15/2017		47,307,919
	7,185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		8,990,231
	6,075,000	Ciena Corp., 4.000%, 3/15/2015, 144A		7,130,531
	2,429,000	Intel Corp., 2.950%, 12/15/2035		2,643,056
	205,005,000	Intel Corp., 3.250%, 8/01/2039		261,253,247
	1,055,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		1,170,391
	52,965,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		82,228,162
	8,550,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		13,658,625
	6,000,000	Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A		9,573,750

				433,955,912

		Wirelines – 0.8%
	3,220,500	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(c)(g)(i)(j)		417,818
	6,000,000	Level 3 Communications, Inc., 6.500%, 10/01/2016		8,186,250
	54,075,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		62,929,782
	32,895,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		38,281,556
	900,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		1,186,128

				111,001,534

		Total Convertible Bonds (Identified Cost $891,246,474)		1,191,670,310

Municipals – 1.0%
		District of Columbia – 0.0%
	3,850,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047		4,387,653

		Illinois – 0.3%
	1,725,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		1,655,724
	47,285,000	State of Illinois, 5.100%, 6/01/2033		43,878,589

				45,534,313

		Michigan – 0.1%
	12,580,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		10,809,742


Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Municipals – continued
		Virginia – 0.6%
$	125,265,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046	$	94,058,983

		Total Municipals (Identified Cost $179,266,554)		154,790,691

		Total Bonds and Notes (Identified Cost $9,971,615,714)		10,655,269,217

Senior Loans – 2.4%
		Airlines – 0.2%
	28,014,971	Delta Air Lines, Inc., New Term Loan B1, 4.000%, 10/18/2018(b)		27,955,018

		Automotive – 0.1%
	11,451,300	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(b)		11,558,713

		Chemicals – 0.2%
	2,000,000	AI Chem & Cy S.C.A., 2nd Lien Term Loan, 8.250%, 4/03/2020(b)		2,000,000
	31,355,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/18/2020(b)		31,982,100

		Total Chemicals		33,982,100

		Consumer Products – 0.1%
	8,589,669	Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)		8,169,377

		Diversified Manufacturing – 0.0%
	6,385,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(b)		6,432,888

		Electric – 0.0%
	4,788,467	Texas Competitive Electric Holdings Company LLC, Non-Extended Term Loan, 3.720%, 10/10/2014(k)		3,426,770

		Food & Beverage – 0.1%
	13,547,054	DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b)		13,885,730

		Healthcare – 0.1%
	20,825,000	Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(b)		20,818,544

		Media Non-Cable – 0.1%
	19,892,721	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/31/2015(b)		15,603,453

		Metals & Mining – 0.3%
	11,532,850	Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b)		11,698,693
	33,501,838	FMG America Finance, Inc., Term Loan, 5.250%, 10/18/2017(b)		33,276,705

		Total Metals & Mining		44,975,398


Principal Amount (‡)		Description	Value (†)
Senior Loans – continued
		Non-Captive Diversified – 0.6%
$	84,000,000	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b)	$	87,920,280

		Oil Field Services – 0.2%
	24,930,164	Frac Tech International LLC, Term Loan B, 8.500%, 5/06/2016(b)		23,953,649

		Other Utility – 0.0%
	1,165,000	Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		1,150,438
	1,298,000	Power Team Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		1,275,285

		Total Other Utility		2,425,723

		Supermarket – 0.1%
	13,849,737	Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(b)		13,743,925

		Technology – 0.1%
	4,159,375	Alcatel-Lucent USA, Inc., USD Term Loan B, 6.250%, 8/01/2016(b)		4,191,236
	9,104,872	Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(b)		9,176,982

		Total Technology		13,368,218

		Wirelines – 0.2%
	17,709,218	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b)		17,664,945
	1,495,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		1,528,637
	2,645,000	Light Tower Fiber LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(b)		2,645,000

				21,838,582

		Total Senior Loans (Identified Cost $348,051,948)		350,058,368


Shares
Common Stocks – 19.7%
		Biotechnology – 0.5%
	930,495	Vertex Pharmaceuticals, Inc.(f)		74,318,636

		Chemicals – 2.3%
	1,364,851	Dow Chemical Co. (The)		43,907,257
	2,000,000	PPG Industries, Inc.		292,820,000

				336,727,257

		Containers & Packaging – 0.1%
	460,656	Owens-Illinois, Inc.(f)		12,801,630
	2,304	Rock-Tenn Co., Class A		230,124

				13,031,754

		Diversified Financial Services – 0.4%
	3,979,932	Bank of America Corp.		51,181,925


Shares		Description	Value (†)
Common Stocks – continued
		Diversified Telecommunication Services – 1.9%
	183,181	FairPoint Communications, Inc.(f)	$	1,529,561
	283,397	Hawaiian Telcom Holdco, Inc.(f)		7,130,269
	200,000	Telecom Italia SpA, Sponsored ADR		1,390,000
	3,871,339	Telecom Italia SpA, Sponsored ADR		21,563,358
	19,550,590	Telefonica S.A., Sponsored ADR(f)		250,443,058

				282,056,246

		Electric Utilities – 0.0%
	94,166	Duke Energy Corp.		6,356,205

		Electronic Equipment, Instruments & Components – 3.1%
	32,000,000	Corning, Inc.		455,360,000

		Food Products – 0.6%
	2,309,175	ConAgra Foods, Inc.		80,659,483

		Household Durables – 0.2%
	477,725	KB Home		9,377,742
	549,450	Lennar Corp., Class A		19,802,178

				29,179,920

		Insurance – 0.8%
	1,510,275	Prudential Financial, Inc.		110,295,383

		Oil, Gas & Consumable Fuels – 1.8%
	846,398	Chesapeake Energy Corp.		17,249,591
	5,351,804	Repsol YPF S.A., Sponsored ADR		113,244,173
	2,134,173	Royal Dutch Shell PLC, ADR		136,160,237
	141,249	Spectra Energy Corp.		4,867,441

				271,521,442

		Pharmaceuticals – 3.6%
	8,514,190	Bristol-Myers Squibb Co.		380,499,151
	2,288	Teva Pharmaceutical Industries, Ltd., Sponsored ADR		89,690
	1,708,077	Valeant Pharmaceuticals International, Inc.(f)		147,031,268

				527,620,109

		REITs - Apartments – 0.3%
	290,904	Apartment Investment & Management Co., Class A		8,738,756
	889,730	Associated Estates Realty Corp.		14,306,858
	460,000	Equity Residential		26,707,600

				49,753,214

		REITs - Regional Malls – 0.1%
	123,159	Simon Property Group, Inc.		19,449,269

		REITs - Shopping Centers – 0.0%
	201,557	DDR Corp.		3,355,924

		Semiconductors & Semiconductor Equipment – 2.4%
	14,733,856	Intel Corp.		356,853,992

		Software – 1.5%
	6,568,091	Microsoft Corp.		226,796,182


Shares		Description	Value (†)
Common Stocks – continued
		Trading Companies & Distributors – 0.1%
	176,859	United Rentals, Inc.(f)	$	8,827,033

		Total Common Stocks (Identified Cost $2,330,573,115)		2,903,343,974

Preferred Stocks – 3.9%
Convertible Preferred Stocks – 3.0%
		Automotive – 1.1%
	2,826,055	General Motors Co., Series B, 4.750%		136,102,809
	657,940	Goodyear Tire & Rubber Co. (The), 5.875%		32,410,124

				168,512,933

		Banking – 0.2%
	19,062	Bank of America Corp., Series L, 7.250%		21,168,351
	8,533	Wells Fargo & Co., Series L, Class A, 7.500%		10,188,402

				31,356,753

		Electric – 0.1%
	380,577	AES Trust III, 6.750%		19,150,635

		Home Construction – 0.1%
	355,000	Hovnanian Enterprises, Inc., 7.250%		10,124,600

		Independent Energy – 0.3%
	52,020	Chesapeake Energy Corp., 4.500%		4,656,830
	59,882	Chesapeake Energy Corp., 5.000%		5,183,985
	24,658	Chesapeake Energy Corp., Series A, 5.750%, 144A		25,289,861
	61,053	SandRidge Energy, Inc., 7.000%		5,231,479
	99,800	SandRidge Energy, Inc., 8.500%		9,555,850

				49,918,005

		Metals & Mining – 0.3%
	2,436,301	ArcelorMittal, 6.000%		45,729,370

		Non-Captive Diversified – 0.2%
	433,535	iStar Financial, Inc., Series J, 4.500%		23,410,890

		Pipelines – 0.1%
	242,297	El Paso Energy Capital Trust I, 4.750%		14,171,951

		REITs - Diversified – 0.1%
	391,776	Weyerhaeuser Co., Series A, 6.375%		19,984,494


Shares		Description	Value (†)
Preferred Stocks – continued
Convertible Preferred Stocks – continued
		REITs - Healthcare – 0.1%
	116,700	Health Care REIT, Inc., Series I, 6.500%	$	7,245,903

		Technology – 0.4%
	58,020	Lucent Technologies Capital Trust I, 7.750%		55,409,100

		Total Convertible Preferred Stocks (Identified Cost $426,913,406)		445,014,634

Non-Convertible Preferred Stocks – 0.9%
		Banking – 0.5%
	45,861	Ally Financial, Inc., Series G, 7.000%, 144A		43,589,450
	35,000	Bank of America Corp., 6.375%		859,250
	847,800	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		23,611,230
	389,800	Countrywide Capital IV, 6.750%		9,741,102

				77,801,032

		Electric – 0.0%
	393	Entergy New Orleans, Inc., 4.750%		38,305

		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(i)		26,999,375

		Home Construction – 0.0%
	208,246	Hovnanian Enterprises, Inc., 7.625%(f)		3,767,170

		Non-Captive Consumer – 0.1%
	101,175	SLM Corp., Series A, 6.970%		4,999,057

		Non-Captive Diversified – 0.0%
	10,425	iStar Financial, Inc., Series G, 7.650%		244,675
	39,300	iStar Financial, Inc., Series F, 7.800%		945,951
	39,200	iStar Financial, Inc., Series E, 7.875%		936,880

				2,127,506

		REITs - Office Property – 0.0%
	1,596	Highwoods Properties, Inc., Series A, 8.625%		1,872,307

		REITs - Warehouse/Industrials – 0.1%
	116,192	ProLogis, Inc., Series Q, 8.540%		7,203,904


Shares		Description	Value (†)
Preferred Stocks – continued
Non-Convertible Preferred Stocks – continued
		Total Non-Convertible Preferred Stocks (Identified Cost $84,691,051)	$	124,808,656

		Total Preferred Stocks (Identified Cost $511,604,457)		569,823,290

Closed End Investment Companies – 0.0%
	681,131	NexPoint Credit Strategies Fund (Identified Cost $10,230,352)		5,360,501


Principal Amount (‡)
Short-Term Investments – 0.5%
$	2,699,059	Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $2,699,061 on 7/01/2013 collateralized by $3,010,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $2,835,377 including accrued interest(l)		2,699,059
	70,959,915	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $70,959,915 on 7/01/2013 collateralized by $75,005,000 Federal Home Loan Mortgage Corp., 1.650% due 11/15/2019 valued at $72,379,825 including accrued interest(l)		70,959,915

		Total Short-Term Investments (Identified Cost $73,658,974)		73,658,974

		Total Investments – 98.8% (Identified Cost $13,245,734,560)(a)		14,557,514,324
		Other assets less liabilities – 1.2%		171,509,817

		Net Assets – 100.0%	$	14,729,024,141

(‡)	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.

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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $13,275,926,882 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	$	1,923,403,317
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(641,815,875	)

Net unrealized appreciation	$	1,281,587,442

(b)	Variable rate security. Rate as of June 30, 2013 is disclosed.

(c)	Illiquid security. At June 30, 2013, the value of these securities amounted to $188,589,131 or 1.3% of net assets.

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

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

(f)	Non-income producing security.

(g)	Fair valued by the Fund’s investment adviser. At June 30, 2013, the value of this security amounted to $11,941,864 or 0.1% of net assets.

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

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

(j)	Convertible dollar-indexed note. Coupon rate is based on MXN denominated par value and is payable in USD.

(k)	Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2013.

(l)

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

USD	U.S. 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 June 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	42,933,970	$	331,864,304	(a)	$	374,798,274
Non-Captive Consumer		2,510,250		527,517,953		—			530,028,203
Retailers		—		101,029,445		11,524,046	(a)		112,553,491
Transportation Services		—		18,662,499		35,310,930	(a)		53,973,429
All Other Non-Convertible Bonds*		—		8,237,454,819		—			8,237,454,819

Total Non-Convertible Bonds		2,510,250		8,927,598,686		378,699,280			9,308,808,216

Convertible Bonds
Wirelines		—		110,583,716		417,818	(b)		111,001,534
All Other Convertible Bonds*		—		1,080,668,776		—			1,080,668,776

Total Convertible Bonds		—		1,191,252,492		417,818			1,191,670,310

Municipals*		—		154,790,691		—			154,790,691
Total Bonds and Notes		2,510,250		10,273,641,869		379,117,098			10,655,269,217

Senior Loans*		—		350,058,368		—			350,058,368
Common Stocks*		2,903,343,974		—		—			2,903,343,974
Preferred Stocks
Convertible Preferred Stocks*		445,014,634		—		—			445,014,634
Non-Convertible Preferred Stocks
Banking		34,211,582		43,589,450		—			77,801,032
Electric		—		38,305		—			38,305
Government Sponsored		—		26,999,375		—			26,999,375
REITs—Office Property		—		1,872,307		—			1,872,307
All Other Non-Convertible Preferred Stocks*		18,097,637		—		—			18,097,637

Total Non-Convertible Preferred Stocks		52,309,219		72,499,437		—			124,808,656

Total Preferred Stocks		497,323,853		72,499,437		—			569,823,290

Closed End Investment Companies		5,360,501		—		—			5,360,501
Short-Term Investments		—		73,658,974		—			73,658,974

Total	$	3,408,538,578	$	10,769,858,648	$	379,117,098		$	14,557,514,324

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

(a)	Valued using broker-dealer bid prices.

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

A preferred stock valued at $10,859,238 was transferred from Level 2 to Level 1 during the period ended June 30, 2013. At June 30, 2013, this security was valued at the last sale 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 June 30, 2013:

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 June 30, 2013		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	165,564	$	1,460,390		$	2,488,933		$	53,430,000	$	(35,845,948	)	$	310,165,365	$	—		$	331,864,304	$	2,488,933
Banking		18,800,082		—		—			—			—		—			—		(18,800,082	)		—		—
Electric		12,874,750		—		—			5,360,250			—		(18,235,000	)		—		—			—		—
Retailers		—		23,026		—			152,670			—		—			11,348,350		—			11,524,046		152,670
Sovereigns		21,173,458		—		—			—			—		—			—		(21,173,458	)		—		—
Transportation Services		8,953,808		—		555,537			6,874,550			—		(3,454,634	)		31,335,477		(8,953,808	)		35,310,930		6,874,550
Convertible Bonds
Wirelines		—		—		(12	)		(83,210	)		1,002,079		(501,039	)		—		—			417,818		(83,210	)

Total	$	61,802,098	$	188,590	$	2,015,915		$	14,793,193		$	54,432,079	$	(58,036,621	)	$	352,849,192	$	(48,927,348	)	$	379,117,098	$	9,432,943

Debt securities valued at $352,849,192 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

Debt securities valued at $48,927,348 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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.

Unfunded Loan Commitments


Borrower	Unfunded Loan Commitment
Power Team Services LLC	$	145,000

Industry Summary at June 30, 2013 (Unaudited)


Treasuries	15.1	%
Banking	8.0
Non-Captive Diversified	5.1
Wirelines	4.9
Technology	4.6
Pharmaceuticals	4.0
Non-Captive Consumer	3.7
Automotive	3.6
Electronic Equipment, Instruments & Components	3.1
Chemicals	2.9
Healthcare	2.9
Airlines	2.8
Electric	2.4
Semiconductors & Semiconductor Equipment	2.4
Other Investments, less than 2% each	32.8
Short-Term Investments	0.5

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2013 (Unaudited)


United States Dollar	70.7	%
Canadian Dollar	6.8
Euro	5.4
New Zealand Dollar	4.1
Australian Dollar	3.0
Norwegian Krone	2.5
Brazilian Real	2.1
Other, less than 2% each	4.2

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Value Fund


Shares		Description	Value (†)
Common Stocks – 96.8% of Net Assets
		Aerospace & Defense – 2.8%
	290,725	Honeywell International, Inc.	$	23,066,122
	326,044	Northrop Grumman Corp.		26,996,443

				50,062,565

		Automobiles – 1.3%
	685,163	General Motors Co.(b)		22,822,779

		Beverages – 2.6%
	526,035	Coca-Cola Enterprises, Inc.		18,495,391
	337,833	PepsiCo, Inc.		27,631,361

				46,126,752

		Capital Markets – 4.4%
	373,729	Ameriprise Financial, Inc.		30,227,201
	507,662	Legg Mason, Inc.		15,742,599
	518,680	State Street Corp.		33,823,123

				79,792,923

		Chemicals – 1.3%
	437,520	E.I. du Pont de Nemours & Co.		22,969,800

		Commercial Banks – 6.0%
	1,110,937	Fifth Third Bancorp		20,052,413
	383,378	PNC Financial Services Group, Inc. (The)		27,955,924
	469,701	US Bancorp		16,979,691
	1,016,659	Wells Fargo & Co.		41,957,517

				106,945,545

		Communications Equipment – 2.6%
	886,339	Cisco Systems, Inc.		21,546,901
	427,380	Motorola Solutions, Inc.		24,672,647

				46,219,548

		Computers & Peripherals – 0.9%
	41,510	Apple, Inc.		16,441,281

		Construction Materials – 1.0%
	354,519	Vulcan Materials Co.		17,162,265

		Consumer Finance – 1.4%
	522,576	Discover Financial Services		24,895,521

		Containers & Packaging – 1.3%
	951,284	Sealed Air Corp.		22,783,252

		Diversified Financial Services – 5.7%
	1,970,527	Bank of America Corp.		25,340,977
	605,560	Citigroup, Inc.		29,048,713
	926,972	JPMorgan Chase & Co.		48,934,852

				103,324,542


Shares		Description	Value (†)
Common Stocks – continued
		Diversified Telecommunication Services – 1.2%
	444,994	Verizon Communications, Inc.	$	22,400,998

		Electric Utilities – 2.2%
	509,768	FirstEnergy Corp.		19,034,737
	261,550	NextEra Energy, Inc.		21,311,094

				40,345,831

		Electrical Equipment – 1.3%
	360,606	Eaton Corp. PLC		23,731,481

		Energy Equipment & Services – 2.2%
	320,675	Schlumberger Ltd.		22,979,570
	337,447	Transocean Ltd.		16,180,584

				39,160,154

		Food & Staples Retailing – 1.3%
	404,572	CVS Caremark Corp.		23,133,427

		Health Care Equipment & Supplies – 2.6%
	335,303	Baxter International, Inc.		23,226,439
	371,799	Covidien PLC		23,363,849

				46,590,288

		Health Care Providers & Services – 2.4%
	390,326	HCA Holdings, Inc.		14,075,156
	455,907	UnitedHealth Group, Inc.		29,852,790

				43,927,946

		Household Products – 1.2%
	291,937	Procter & Gamble Co. (The)		22,476,229

		Independent Power Producers & Energy Traders – 1.7%
	748,476	Calpine Corp.(b)		15,890,145
	560,541	NRG Energy, Inc.		14,966,445

				30,856,590

		Industrial Conglomerates – 1.7%
	1,290,315	General Electric Co.		29,922,405

		Insurance – 5.6%
	488,678	American International Group, Inc.(b)		21,843,906
	669,947	MetLife, Inc.		30,656,775
	260,814	Travelers Cos., Inc. (The)		20,844,255
	910,024	Unum Group		26,727,405

				100,072,341

		Internet & Catalog Retail – 1.3%
	1,039,255	Liberty Interactive Corp., Class A(b)		23,913,257

		Internet Software & Services – 1.8%
	464,297	AOL, Inc.(b)		16,937,555
	17,228	Google, Inc., Class A(b)		15,167,014

				32,104,569


Shares		Description	Value (†)
Common Stocks – continued
		Machinery – 2.5%
	275,738	Dover Corp.	$	21,413,813
	335,524	Illinois Tool Works, Inc.		23,208,195

				44,622,008

		Media – 5.7%
	356,150	CBS Corp., Class B		17,405,050
	610,278	Comcast Corp., Class A		25,558,443
	289,621	DIRECTV(b)		17,846,446
	322,824	Omnicom Group, Inc.		20,295,945
	318,535	Viacom, Inc., Class B		21,676,307

				102,782,191

		Multiline Retail – 2.7%
	399,753	Family Dollar Stores, Inc.		24,908,609
	345,096	Target Corp.		23,763,311

				48,671,920

		Oil, Gas & Consumable Fuels – 9.7%
	422,853	Chevron Corp.		50,040,424
	414,376	CONSOL Energy, Inc.		11,229,590
	205,549	EOG Resources, Inc.		27,066,692
	375,975	ExxonMobil Corp.		33,969,341
	383,147	Hess Corp.		25,475,444
	452,061	Noble Energy, Inc.		27,141,743

				174,923,234

		Pharmaceuticals – 8.3%
	465,349	Bristol-Myers Squibb Co.		20,796,447
	536,646	Forest Laboratories, Inc.(b)		22,002,486
	841,741	Merck & Co., Inc.		39,098,869
	1,438,723	Pfizer, Inc.		40,298,631
	536,411	Sanofi, ADR		27,630,531

				149,826,964

		REITs - Diversified – 1.3%
	823,512	Weyerhaeuser Co.		23,461,857

		Road & Rail – 1.4%
	338,605	Norfolk Southern Corp.		24,599,653

		Semiconductors & Semiconductor Equipment – 1.4%
	697,109	Texas Instruments, Inc.		24,308,191

		Software – 1.9%
	525,382	Microsoft Corp.		18,141,441
	517,242	Oracle Corp.		15,889,674

				34,031,115

		Specialty Retail – 1.5%
	673,772	Lowe’s Cos., Inc.		27,557,275

		Tobacco – 1.4%
	284,478	Philip Morris International, Inc.		24,641,484

		Wireless Telecommunication Services – 1.2%
	754,546	Vodafone Group PLC, Sponsored ADR		21,685,652

		Total Common Stocks (Identified Cost $1,342,703,043)	$	1,739,293,833


Principal Amount		Description	Value (†)
Short-Term Investments – 3.2%
$	56,632,948	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $56,632,948 on 7/01/2013 collateralized by $58,870,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $57,766,188 including accrued interest(c) (Identified Cost $56,632,948)		56,632,948

		Total Investments – 100.0% (Identified Cost $1,399,335,991)(a)		1,795,926,781
		Other assets less liabilities – 0.0%		147,303

		Net Assets – 100.0%	$	1,796,074,084

(†)

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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $1,399,335,991 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	$	408,093,356
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,502,566	)

Net unrealized appreciation	$	396,590,790

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 June 30, 2013, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,739,293,833	$	—	$	—	$	1,739,293,833
Short-Term Investments		—		56,632,948		—		56,632,948

Total	$	1,739,293,833	$	56,632,948	$	—	$	1,795,926,781

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

For the period ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.

Industry Summary at June 30, 2013 (Unaudited)


Oil, Gas & Consumable Fuels	9.7	%
Pharmaceuticals	8.3
Commercial Banks	6.0
Diversified Financial Services	5.7
Media	5.7
Insurance	5.6
Capital Markets	4.4
Aerospace & Defense	2.8
Multiline Retail	2.7
Health Care Equipment & Supplies	2.6
Communications Equipment	2.6
Beverages	2.6
Machinery	2.5
Health Care Providers & Services	2.4
Electric Utilities	2.2
Energy Equipment & Services	2.2
Other Investments, less than 2% each	28.8
Short-Term Investments	3.2

Total Investments	100.0
Other assets less liabilities	—

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:		August 20, 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:		August 20, 2013

By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		August 20, 2013