N-Q/A

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

¹  Counterparty is Credit Suisse International.

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

³  Counterparty is Barclays Bank PLC.

⁴  Counterparty is Deutsche Bank AG.

Fair Value Measurements

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

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of 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

(†)	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. 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. 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.
(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)	It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Fair Value Measurements

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

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

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

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 85.5% of Net Assets
	Non-Convertible Bonds – 73.0%
		ABS Home Equity – 4.7%
$	321,228	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.917%, 9/25/2045(b)	$	313,706
	200,000	Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1, 0.643%, 1/25/2036(b)		158,407
	346,560	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.643%, 7/25/2037, 144A(b)		212,333
	63,200	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.945%, 2/25/2035(b)		61,402
	199,275	Banc of America Mortgage Securities, Inc., Series 2006-B, Class 4A1, 6.145%, 11/20/2046(b)		177,853
	107,509	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		90,812
	332,497	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		222,729
	840,737	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.712%, 4/25/2035(b)		540,426
	358,580	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.463%, 4/25/2035(b)		276,089
	264,008	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035		261,427
	524,669	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 2.639%, 11/20/2035(b)		482,395
	107,690	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		109,596
	448,960	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.151%, 6/19/2035(b)		437,383
	384,085	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.494%, 7/19/2035(b)		344,101
	494,745	GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.263%, 12/25/2046(b)		243,493
	87,872	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.133%, 12/25/2034(b)		74,539
	543,169	GSR Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 2.847%, 5/25/2035(b)		495,643
	206,301	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036		175,774
	121,086	JP Morgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 4.888%, 3/25/2036(b)		100,693
	475,039	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.693%, 1/25/2036(b)(c)		310,483
	197,097	Lehman Mortgage Trust, Series 2006-1, Class 3A5, 5.500%, 2/25/2036		193,502
	318,239	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 2.758%, 3/25/2035(b)		254,723
	591,832	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.353%, 1/25/2047(b)		435,894
	553,195	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		414,899
	123,048	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.862%, 5/25/2036(b)		104,948

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	501,689	Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036	$	391,171
	416,623	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		420,014
	654,938	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 2.217%, 1/25/2047(b)		589,131
	126,399	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.934%, 4/25/2047(b)		108,979
	443,293	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.133%, 8/25/2046(b)		273,213
				8,275,758
		ABS Other – 0.4%
	350,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A		350,634
	296,691	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		321,890
				672,524
		Aerospace & Defense – 1.2%
	1,500,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,242,497
	900,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		817,288
				2,059,785
		Airlines – 0.5%
	30,000	Air Canada, 12.000%, 2/01/2016, 144A		32,813
	345,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		348,450
	13,444	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		13,914
	198,446	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		208,368
	168,101	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		178,187
				781,732
		Banking – 2.5%
	2,100,000	Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)		865,844
	375,000,000	Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)		727,045
	820,000	HBOS PLC, 6.000%, 11/01/2033, 144A		756,507
	900,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		876,784
	65,000	Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR)		55,849
	740,000	Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)		652,486

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	250,000	Societe General S.A., (fixed rate to 9/04/2019, variable rate thereafter), 9.375%, 9/29/2049, (EUR)	$	356,326
				4,290,841
		Building Materials – 2.3%
	1,280,000	HD Supply, Inc., 7.500%, 7/15/2020, 144A		1,296,000
	50,000	Masco Corp., 6.500%, 8/15/2032		49,750
	345,000	Masco Corp., 7.750%, 8/01/2029		380,860
	800,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A		716,000
	900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		360,871
	1,163,000	Ply Gem Industries, Inc., 8.250%, 2/15/2018		1,238,595
				4,042,076
		Chemicals – 3.4%
	1,510,000	Hercules, Inc., 6.500%, 6/30/2029		1,313,700
	850,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		867,000
	420,000	JM Huber Corp., 9.875%, 11/01/2019, 144A		470,400
	601,350	Reichhold Industries, Inc., 9.000%, 5/08/2017, 144A(d)(e)		454,019
	635,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		649,288
	1,600,000	Tronox Finance LLC, 6.375%, 8/15/2020, 144A		1,508,000
	600,000	U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375%, 5/01/2021, 144A		612,000
				5,874,407
		Commercial Mortgage-Backed Securities – 1.3%
	1,690,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(b)		1,624,698
	125,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class AM, 5.464%, 1/15/2049		125,119
	525,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.763%, 4/12/2049(b)		558,808
				2,308,625
		Consumer Cyclical Services – 0.9%
	615,000	ServiceMaster Co. (The), 7.000%, 8/15/2020		583,481
	1,095,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		930,750
				1,514,231

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Consumer Products – 1.1%
$	2,040,000	Visant Corp., 10.000%, 10/01/2017	$	1,881,900
		Electric – 0.7%
	16,636	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		17,468
	819,294	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(d)		692,303
	455,000	Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 12.250%, 3/01/2022, 144A		502,775
				1,212,546
		Environmental – 0.2%
	255,000	ADS Waste Holdings, Inc., 8.250%, 10/01/2020, 144A		260,100
		Food & Beverage – 0.5%
	1,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)		697,784
	600,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		255,787
				953,571
		Gaming – 0.4%
	740,000	MGM Resorts International, 6.750%, 10/01/2020		765,900
		Healthcare – 2.2%
	170,000	HCA, Inc., 7.050%, 12/01/2027		166,600
	640,000	HCA, Inc., 7.500%, 12/15/2023		665,600
	470,000	HCA, Inc., 7.690%, 6/15/2025		507,600
	480,000	HCA, Inc., 8.360%, 4/15/2024		542,400
	820,000	HCA, Inc., MTN, 7.580%, 9/15/2025		869,200
	515,000	HCA, Inc., MTN, 7.750%, 7/15/2036		517,575
	635,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		546,100
				3,815,075
		Home Construction – 4.7%
	845,000	Beazer Homes USA, Inc., 9.125%, 6/15/2018		878,800
	1,200,000	Corp GEO SAB de CV, 8.875%, 3/27/2022, 144A(f)		528,000
	1,625,000	Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A(f)		552,500
	750,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		675,000
	500,000	K. Hovnanian Enterprises, Inc., 9.125%, 11/15/2020, 144A		547,500

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Home Construction – continued
$	1,210,000	KB Home, 7.250%, 6/15/2018	$	1,282,600
	3,135,000	Pulte Group, Inc., 6.000%, 2/15/2035(g)		2,884,200
	495,000	Pulte Group, Inc., 6.375%, 5/15/2033		462,825
	70,000	Standard Pacific Corp., 8.375%, 1/15/2021		79,800
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A(f)		44,000
	1,100,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(f)		242,000
				8,177,225
		Independent Energy – 2.8%
	1,365,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		778,050
	115,000	Halcon Resources Corp., 8.875%, 5/15/2021		111,550
	685,000	Halcon Resources Corp., 9.750%, 7/15/2020		683,288
	4,400,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A		1,276,000
	1,000,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A		315,000
	810,000	SandRidge Energy, Inc., 7.500%, 3/15/2021		773,550
	200,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		190,000
	675,000	SandRidge Energy, Inc., 8.125%, 10/15/2022		668,250
				4,795,688
		Local Authorities – 0.7%
	1,085,000	Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)		1,144,700
		Lodging – 0.1%
	180,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		195,300
		Media Cable – 0.7%
	685,000	Nara Cable Funding II Ltd., 8.500%, 3/01/2020, 144A, (EUR)		944,058
	200,000	Numericable Finance & Co. SCA, 8.750%, 2/15/2019, 144A, (EUR)		277,121
				1,221,179
		Media Non-Cable – 1.2%
	335,000	Clear Channel Communications, Inc., 4.900%, 5/15/2015		309,875
	1,230,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		1,196,175
	50,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A		50,375

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Media Non-Cable – continued
$	335,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A	$	338,350
	230,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A		237,475
				2,132,250
		Metals & Mining – 4.7%
	2,395,000	ArcelorMittal, 7.250%, 3/01/2041		2,239,325
	1,535,000	Arch Coal, Inc., 7.250%, 6/15/2021		1,243,350
	985,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		866,800
	515,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		489,250
	780,000	Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		600,600
	660,000	Inmet Mining Corp., 7.500%, 6/01/2021, 144A		631,950
	200,000	Murray Energy Corp., 8.625%, 6/15/2021, 144A		200,000
	2,375,000	United States Steel Corp., 6.650%, 6/01/2037		2,000,937
				8,272,212
		Non-Captive Consumer – 2.1%
	540,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		538,650
	1,230,000	SLM Corp., 5.500%, 1/25/2023		1,171,211
	2,000,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		1,962,500
				3,672,361
		Non-Captive Diversified – 0.6%
	585,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A		596,700
	435,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		452,400
				1,049,100
		Oil Field Services – 1.6%
	730,000	Basic Energy Services, Inc., 7.750%, 10/15/2022		720,875
	1,745,000	Edgen Murray Corp., 8.750%, 11/01/2020, 144A		1,736,275
	400,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A		400,000
				2,857,150
		Packaging – 1.6%
	2,200,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.000%, 11/15/2020, 144A		2,120,250

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Packaging – continued
$	755,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A	$	717,250
				2,837,500
		Pharmaceuticals – 1.3%
	1,540,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		1,522,675
	530,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		537,950
	145,000	VPII Escrow Corp., 6.750%, 8/15/2018, 144A		148,625
	70,000	VPII Escrow Corp., 7.500%, 7/15/2021, 144A		72,450
				2,281,700
		Pipelines – 0.3%
	615,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		541,200
		Retailers – 1.8%
	40,000	Dillard’s, Inc., 7.000%, 12/01/2028		42,000
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		477,412
	205,000	Dillard’s, Inc., 7.750%, 5/15/2027		222,425
	35,000	Dillard’s, Inc., 7.875%, 1/01/2023		38,763
	1,290,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		1,006,200
	1,440,000	Toys R Us, Inc., 7.375%, 10/15/2018		1,299,600
				3,086,400
		Sovereigns – 0.8%
	1,050,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		432,922
	2,250,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,033,567
				1,466,489
		Supermarkets – 1.2%
	205,000	New Albertson’s, Inc., 7.450%, 8/01/2029		160,925
	1,135,000	New Albertson’s, Inc., 7.750%, 6/15/2026		895,231
	200,000	New Albertson’s, Inc., 8.000%, 5/01/2031		159,000
	180,000	New Albertson’s, Inc., 8.700%, 5/01/2030		148,050
	935,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		645,150
				2,008,356

Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Supranational – 0.5%
	2,000,000		European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL)	$	896,677
			Technology – 2.7%
	2,500,000		Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,893,750
	1,930,000		Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,447,500
	450,000		First Data Corp., 10.625%, 6/15/2021, 144A		444,375
	960,000		Freescale Semiconductor, Inc., 8.050%, 2/01/2020		972,000
					4,757,625
			Textile – 1.3%
	2,605,000		Jones Group, Inc. (The), 6.125%, 11/15/2034		2,070,975
	175,000		Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		175,875
					2,246,850
			Transportation Services – 0.1%
	275,000		APL Ltd., 8.000%, 1/15/2024(e)		258,500
			Treasuries – 11.2%
	930,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		1,312,364
	65,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		85,546
	60,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		81,450
	605,000		Italy Buoni Poliennali Del Tesoro, 5.500%, 11/01/2022, (EUR)		844,930
	55,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		78,706
	246,500	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		2,210,228
	184,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		1,914,631
	229,000	(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		2,058,573
	10,000,000		Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		235,674
	120,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)(g)		3,104,972
	850,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		944,513
	1,525,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		1,770,435
	2,920,000		Spain Government Bond, 4.650%, 7/30/2025, (EUR)(g)		3,699,563

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	19,964,044	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)	$	1,135,697
				19,477,282
		Wireless – 3.0%
	6,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		448,444
	900,000	Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A		337,500
	4,501,000	Sprint Capital Corp., 6.875%, 11/15/2028(g)		4,320,960
	70,000	Sprint Capital Corp., 8.750%, 3/15/2032		77,000
				5,183,904
		Wirelines – 5.7%
	332,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(h)		305,440
	2,590,000	CenturyLink, Inc., 7.650%, 3/15/2042		2,460,500
	1,145,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		1,087,750
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		122,200
	1,105,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		1,106,381
	300,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		361,208
	60,000,000	Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)		29,505
	735,000	Frontier Communications Corp., 9.000%, 8/15/2031		727,650
	605,000	Level 3 Communications, Inc., 8.875%, 6/01/2019		629,200
	1,090,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		1,087,275
	350,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		406,402
	395,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		358,188
	60,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		56,035
	1,125,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		1,235,130
				9,972,864
		Total Non-Convertible Bonds (Identified Cost $128,996,686)		127,241,583
	Convertible Bonds – 12.5%
		Automotive – 0.6%
	530,000	Ford Motor Co., 4.250%, 11/15/2016		957,644

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Brokerage – 1.1%
$	1,714,000	Jefferies Group LLC, 3.875%, 11/01/2029	$	1,826,481
		Construction Machinery – 0.5%
	640,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018		926,000
		Diversified Manufacturing – 0.9%
	1,325,000	Trinity Industries, Inc., 3.875%, 6/01/2036		1,553,562
		Home Construction – 2.0%
	565,000	KB Home, 1.375%, 2/01/2019		586,187
	70,000	Lennar Corp., 2.000%, 12/01/2020, 144A		93,013
	530,000	Lennar Corp., 2.750%, 12/15/2020, 144A		907,294
	415,000	Lennar Corp., 3.250%, 11/15/2021, 144A		696,681
	925,000	Standard Pacific Corp., 1.250%, 8/01/2032		1,179,953
				3,463,128
		Independent Energy – 0.8%
	800,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		753,500
	120,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		119,100
	550,000	Cobalt International Energy, Inc., 2.625%, 12/01/2019		583,344
				1,455,944
		Metals & Mining – 0.8%
	1,235,000	Peabody Energy Corp., 4.750%, 12/15/2066		857,553
	165,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		176,035
	440,000	United States Steel Corp., 2.750%, 4/01/2019		434,225
				1,467,813
		Non-Captive Diversified – 0.2%
	310,000	iStar Financial, Inc., 3.000%, 11/15/2016		367,737
		Oil Field Services – 0.1%
	95,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019, 144A		115,188
		Pharmaceuticals – 0.8%
	315,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		712,884

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Pharmaceuticals – continued
$	285,000	Mylan, Inc., 3.750%, 9/15/2015	$	675,450
				1,388,334
		REITs - Mortgage – 0.4%
	630,000	Redwood Trust, Inc., 4.625%, 4/15/2018		619,369
		Technology – 4.3%
	3,780,000	Ciena Corp., 0.875%, 6/15/2017(g)		3,633,525
	145,000	Ciena Corp., 3.750%, 10/15/2018, 144A		181,431
	40,000	Ciena Corp., 4.000%, 3/15/2015, 144A		46,950
	620,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031		962,550
	1,185,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		1,893,038
	240,000	Nuance Communications, Inc., 2.750%, 11/01/2031		247,200
	80,000	SanDisk Corp., 1.500%, 8/15/2017		106,650
	355,000	Xilinx, Inc., 2.625%, 6/15/2017		507,206
				7,578,550
		Wirelines – 0.0%
	379,000	Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(e)(h)(i)(j)		49,170
		Total Convertible Bonds (Identified Cost $18,682,772)		21,768,920
		Total Bonds and Notes (Identified Cost $147,679,458)		149,010,503
	Senior Loans – 1.9%
		Automotive – 0.3%
	473,813	TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(b)		478,257
		Consumer Products – 0.0%
	9,896	Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b)		9,412
		Healthcare – 0.2%
	430,000	Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(b)		429,867
		Media Non-Cable – 0.1%
	270,050	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/31/2015(b)		211,822

Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Oil Field Services – 0.3%
$	568,257	Frac Tech International LLC, Term Loan B, 8.500%, 5/06/2016(b)	$	545,998
		Other Utility – 0.2%
	235,000	Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		232,062
	95,000	Power Team Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		93,338
				325,400
		Technology – 0.1%
	40,625	Alcatel-Lucent USA, Inc., USD Term Loan B, 6.250%, 8/01/2016(b)		40,936
	88,928	Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(b)		89,632
				130,568
		Wirelines – 0.7%
	1,246,875	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)		1,218,820
	25,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		25,563
				1,244,383
		Total Senior Loans (Identified Cost $3,460,937)		3,375,707
Shares
	Preferred Stocks – 5.4%
	Convertible Preferred Stocks – 3.4%
		Automotive – 1.2%
	39,522	General Motors Co., Series B, 4.750%(g)		1,903,379
	2,500	Goodyear Tire & Rubber Co. (The), 5.875%		123,150
				2,026,529
		Banking – 0.1%
	94	Bank of America Corp., Series L, 7.250%		104,387
		Independent Energy – 0.3%
	390	Chesapeake Energy Corp., 5.000%		33,762
	245	Chesapeake Energy Corp., Series A, 5.750%, 144A		251,278
	3,638	SandRidge Energy, Inc., 7.000%		311,731
				596,771
		Metals & Mining – 0.8%
	21,500	ArcelorMittal, 6.000%		403,555

Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Metals & Mining – continued
	54,082	Cliffs Natural Resources, Inc., 7.000%	$	959,415
				1,362,970
		Non-Captive Diversified – 0.2%
	8,025	iStar Financial, Inc., Series J, 4.500%		433,350
		Pipelines – 0.7%
	20,675	El Paso Energy Capital Trust I, 4.750%		1,209,281
		REITs - Diversified – 0.1%
	4,576	Weyerhaeuser Co., Series A, 6.375%		233,422
		Total Convertible Preferred Stocks (Identified Cost $5,860,302)		5,966,710
	Non-Convertible Preferred Stocks – 2.0%
		Banking – 1.7%
	78,785	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		2,037,380
	965	Ally Financial, Inc., Series G, 7.000%, 144A		917,203
				2,954,583
		Non-Captive Diversified – 0.3%
	12,925	iStar Financial, Inc., Series E, 7.875%		308,907
	7,500	iStar Financial, Inc., Series F, 7.800%		180,525
	550	iStar Financial, Inc., Series G, 7.650%		12,909
				502,341
		Total Non-Convertible Preferred Stocks (Identified Cost $3,279,861)		3,456,924
		Total Preferred Stocks (Identified Cost $9,140,163)		9,423,634
	Common Stocks – 2.2%
		Automobiles – 0.4%
	53,720	Ford Motor Co.		831,048
		Chemicals – 0.1%
	1,087	Ashland, Inc.		90,765
		Diversified Telecommunication Services – 0.0%
	68	FairPoint Communications, Inc.(f)		568
	593	Hawaiian Telcom Holdco, Inc.(f)		14,920
				15,488
		Gas Utilities – 0.6%
	17,600	National Fuel Gas Co.		1,019,920

Shares		Description	Value (†)
	Common Stocks – continued
		Household Durables – 0.5%
	46,500	KB Home	$	912,795
		Oil, Gas & Consumable Fuels – 0.3%
	14,882	Kinder Morgan, Inc.		567,748
		Pharmaceuticals – 0.2%
	6,875	Merck & Co., Inc.		319,344
		Trading Companies & Distributors – 0.1%
	2,696	United Rentals, Inc.(f)		134,557
		Total Common Stocks (Identified Cost $2,778,432)		3,891,665
	Warrants – 0.1%
	10,360	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(e)(f)(i)		—
	22,512	Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(f)		115,261
		Total Warrants (Identified Cost $29,891)		115,261
Principal Amount (‡)
	Short-Term Investments – 4.2%
$	24,569	Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $24,569 on 7/01/2013 collateralized by $30,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $28,260 including accrued interest(k)		24,569
	7,225,972	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013, at 0.000% to be repurchased at $7,225,972 on 7/01/2013 collateralized by $7,640,000 Federal Home Loan Mortgage Corp., 1.650% due 11/15/2019 valued at $7,372,600 including accrued interest(k)		7,225,972
		Total Short-Term Investments (Identified Cost $7,250,541)		7,250,541
		Total Investments – 99.3% (Identified Cost $170,339,422)(a)		173,067,311
		Other assets less liabilities – 0.7%		1,269,160
		Net Assets – 100.0%	$	174,336,471

(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
(†)	Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) 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. 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. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(††)	Amount shown represents units. One unit represents a principal amount of 100.
(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At June 30, 2013, the net unrealized appreciation on investments based on a cost of $170,600,107 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	$	13,602,005
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,134,801	)
Net unrealized appreciation	$	2,467,204

(b)	Variable rate security. Rate as of June 30, 2013 is disclosed.
(c)	The issuer is making partial payments with respect to principal.
(d)	All or a portion of interest payment is paid-in-kind.
(e)	Illiquid security. At June 30, 2013, the value of these securities amounted to $761,689 or 0.4% of net assets.
(f)	Non-income producing security.
(g)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts.
(h)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(i)	Fair valued by the Fund’s investment adviser. At June 30, 2013, the value of these securities amounted to $49,170 or less than 0.1% of net assets.
(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 $39,879,606 or 22.9% of net assets.
ABS	Asset-Backed Securities
EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
AUD	Australian Dollar
BRL	Brazilian Real
CLP	Chilean Peso
COP	Colombian Peso
EUR	Euro
MXN	Mexican Peso
PHP	Philippine Peso
USD	U.S. Dollar
UYU	Uruguayan Peso

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies 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/Sell1	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy		7/31/2013	Euro		2,570,000	$	3,345,624	$	(25,715	)
Sell		7/31/2013	Euro		600,000		781,080		5,314
Sell		7/31/2013	Euro		12,275,000		15,979,584		(971	)
Total								$	(21,372	)

¹  Counterparty is Barclays Bank PLC.

Fair Value Measurements

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

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

• Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); 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
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	32,813	$	748,919	$	781,732
All Other Non-Convertible Bonds*		—		126,459,851		—		126,459,851
Total Non-Convertible Bonds		—		126,492,664		748,919		127,241,583
Convertible Bonds
Wirelines		—		—		49,170		49,170

All Other Convertible Bonds*		—		21,719,750		—		21,719,750
Total Convertible Bonds		—		21,719,750		49,170		21,768,920
Total Bonds and Notes		—		148,212,414		798,089		149,010,503
Senior Loans*		—		3,375,707		—		3,375,707
Preferred Stocks
Convertible Preferred Stocks*		5,966,710		—		—		5,966,710
Non-Convertible Preferred Stocks
Banking		2,037,380		917,203		—		2,954,583
Non-Captive Diversified		502,341		—		—		502,341
Total Non-Convertible Preferred Stocks		2,539,721		917,203		—		3,456,924
Total Preferred Stocks		8,506,431		917,203		—		9,423,634
Common Stocks*		3,891,665		—		—		3,891,665
Warrants**		115,261		—		—		115,261
Short-Term Investments		—		7,250,541		—		7,250,541
Total Investments		12,513,357		159,755,865		798,089		173,067,311
Forward Foreign Currency Contracts (unrealized appreciation)		—		5,314		—		5,314
Total	$	12,513,357	$	159,761,179	$	798,089	$	173,072,625

Liability Valuation Inputs

Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(26,686	)	$	—	$	(26,686	)

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

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2012 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
Airlines	$	—	$	6,665	$	2,368		$	(8,622	)	$	345,000	$	(9,996	)	$	413,504	$	—		$	748,919	$	(8,622	)
Transportation Services		234,438		—		—			—			—		—			—		(234,438	)		—		—
Convertible Bonds
Wirelines		—		—		(8	)		(1,015	)		100,386		(50,193	)		—		—			49,170		(1,015	)
Total	$	234,438	$	6,665	$	2,360		$	(9,637	)	$	445,386	$	(60,189	)	$	413,504	$	(234,438	)	$	798,089	$	(9,637	)

Debt securities valued at $413,504 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.

A debt security valued at $234,438 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.

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	$	(21,372	)	$	20,000

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 $25,314 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $20,000.

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

Asset Derivatives	Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	5,314
Liability Derivatives	Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	(26,686	)

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	$	30,000

Industry Summary at June 30, 2013 (Unaudited)

Treasuries	11.2	%
Technology	7.1
Home Construction	6.7
Wirelines	6.4
Metals & Mining	6.3
ABS Home Equity	4.7
Banking	4.3
Independent Energy	3.9
Chemicals	3.5
Wireless	3.0
Healthcare	2.4
Building Materials	2.3
Pharmaceuticals	2.3
Non-Captive Consumer	2.1
Automotive	2.1
Oil Field Services	2.0
Other Investments, less than 2% each	24.8
Short-Term Investments	4.2
Total Investments	99.3
Other assets less liabilities (including open forward foreign currency contracts)	0.7
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.
(†)	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. 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 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. 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. 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.
(††)	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)	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 $770,316 or 4.7% of net assets.
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

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
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

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 and futures 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 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	)		—

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

Industry Summary at 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.
(†)	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. 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. 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. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(††)	Amount shown represents units. One unit represents a principal amount of 25.
(†††)	Amount shown represents units. One unit represents a principal amount of 100.
(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At 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)	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 $1,630,107,180 or 14.6% of net assets.
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

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
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 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.

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

(†)

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. 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 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.

(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)	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.
(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.
(f)	The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, the value of Rule 144A holdings amounted to $33,839,503 or 4.9% of net assets.
ABS	Asset-Backed Securities
ARMs	Adjustable Rate Mortgages
FHLMC	Federal Home Loan Mortgage Corp.
FNMA	Federal National Mortgage Association
GNMA	Government National Mortgage Association
REMIC	Real Estate Mortgage Investment Conduit

Fair Value Measurements

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
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 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.

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
		Semiconductors & Semiconductor Equipment – 4.3%
	24,306	Cree, Inc.(b)		1,552,181

Shares		Description	Value (†)
	Common Stocks – continued
		Semiconductors & Semiconductor Equipment – continued
	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

(†)

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. 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. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser 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.

(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)	It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Fair Value Measurements

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

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

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

Shares		Description	Value (†)
	Common Stocks – continued
		Hotels, Restaurants & Leisure – continued
	150,821	Vail Resorts, Inc.	$	9,278,508
				29,499,727
		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

(†)	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. 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. 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.
(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)	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.

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*	$	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
		Consumer Cyclical Services – 0.0%
	670,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		646,550

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Consumer Cyclical Services – continued
$	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
		Financial Other – 0.3%
	19,005,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		20,015,268

Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Financial Other – continued
$	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A	$	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.

(†)

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.

(††)	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)	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 $1,936,055,258 or 13.1% of net assets.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ABS	Asset-Backed Securities
AGMC	Assured Guaranty Municipal Corp.
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

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
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 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 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

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	$	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
		Machinery – 2.5%
	275,738	Dover Corp.		21,413,813

Shares		Description	Value (†)
	Common Stocks – continued
		Machinery – continued
	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

	Common Stocks – continued
		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

(†) 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.

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.

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.

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

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

REITs Real Estate Investment Trusts

Fair Value Measurements

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

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

• Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); 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*	$	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:	October 11, 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:	October 11, 2013
By:	/s/ Michael C. Kardok
Name:	Michael C. Kardok
Title:	Treasurer
Date:	October 11, 2013

EX-99.CERT

Exhibit (a)(1)

Loomis Sayles Funds II

Exhibit to SEC Form N-Q

Section 302 Certification

I, Robert J. Blanding, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date: October 11, 2013

/s/ Robert J. Blanding

Robert J. Blanding

Chief Executive Officer

Exhibit (a)(2)

Loomis Sayles Funds II

Exhibit to SEC Form N-Q

Section 302 Certification

I, Michael C. Kardok, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date: October 11, 2013

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer