Loomis Sayles Funds II

N-Q 1 d55534dnq.htm LOOMIS SAYLES FUNDS II Loomis Sayles Funds II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06241

Loomis Sayles Funds II

(Exact name of registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: September 30

Date of reporting period: June 30, 2015

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of June 30, 2015 (Unaudited)

Loomis Sayles Global Equity and Income Fund


Shares		Description	Value (†)

	Common Stocks – 64.1% of Net Assets

		Belgium – 1.6%
	159,976	Anheuser-Busch InBev NV	$	19,251,566


		Brazil – 0.6%
	539,920	Companhia Brasileira de Meios de Pagamento		7,609,692


		Canada – 1.5%
	465,600	CGI Group, Inc., Class A(b)		18,210,216


		China – 3.1%
	280,544	Alibaba Group Holding Ltd., Sponsored ADR(b)		23,080,355
	1,323,000	Hengan International Group Co. Ltd.		15,704,127

				38,784,482


		Denmark – 1.5%
	334,679	Novo Nordisk AS, Class B		18,365,464


		France – 1.2%
	237,457	Thales S.A.		14,347,377


		Germany – 0.7%
	151,581	Brenntag AG		8,697,927


		Hong Kong – 1.6%
	2,960,000	AIA Group Ltd.		19,354,428


		India – 2.8%
	912,885	HCL Technologies Ltd.		13,185,081
	639,281	HDFC Bank Ltd.		12,234,979
	1,117,808	Motherson Sumi Systems Ltd.		9,082,056

				34,502,116


		Italy – 0.7%
	128,369	Luxottica Group S.p.A.		8,538,832


		Japan – 3.2%
	316,500	Asahi Group Holdings Ltd.		10,051,461
	2,219,700	Mitsubishi UFJ Financial Group, Inc.		15,969,546
	329,700	Nomura Research Institute Ltd.		12,892,546

				38,913,553


		Netherlands – 1.6%
	1,198,076	ING Groep NV		19,894,489


		Philippines – 0.7%
	2,138,250	Universal Robina Corp.		9,194,065


		Sweden – 1.1%
	504,394	Atlas Copco AB, A Shares		14,112,090


		Switzerland – 2.4%
	26,676	Geberit AG, (Registered)		8,893,631


Shares		Description	Value (†)

	Common Stocks – continued

		Switzerland – continued
	73,498	Roche Holding AG	$	20,608,209

				29,501,840


		United Kingdom – 2.8%
	4,537,223	Legal & General Group PLC		17,740,822
	448,479	London Stock Exchange Group PLC		16,683,705

				34,424,527


		United States – 37.0%
	89,828	Alexion Pharmaceuticals, Inc.(b)		16,238,208
	113,856	Allergan PLC(b)		34,550,742
	38,603	Amazon.com, Inc.(b)		16,757,176
	44,499	AutoZone, Inc.(b)		29,676,383
	209,242	Comcast Corp., Class A		12,583,814
	230,479	Facebook, Inc., Class A(b)		19,767,031
	91,386	FactSet Research Systems, Inc.		14,851,139
	194,103	Genesee & Wyoming, Inc., Class A(b)		14,786,766
	94,621	Goldman Sachs Group, Inc. (The)		19,755,919
	23,705	Google, Inc., Class C(b)		12,338,690
	34,684	Google, Inc., Class A(b)		18,730,747
	955	Hawaiian Telcom Holdco, Inc.(b)		24,925
	440,357	Jarden Corp.(b)		22,788,475
	382,824	Kinder Morgan, Inc.		14,696,613
	103,574	M&T Bank Corp.		12,939,500
	168,345	Oceaneering International, Inc.		7,843,194
	19,866	Priceline Group, Inc. (The)(b)		22,873,116
	192,930	Schlumberger Ltd.		16,628,637
	72,426	Signet Jewelers Ltd.		9,287,910
	234,123	Texas Instruments, Inc.		12,059,676
	133,748	TransDigm Group, Inc.(b)		30,049,163
	165,482	Travelers Cos., Inc. (The)		15,995,490
	158,544	UnitedHealth Group, Inc.		19,342,368
	167,000	Valeant Pharmaceuticals International, Inc.(b)		37,099,050
	61,604	W.W. Grainger, Inc.		14,578,587
	176,935	Wells Fargo & Co.		9,950,824

				456,194,143

		Total Common Stocks (Identified Cost $665,467,586)		789,896,807


Principal Amount (‡)

	Bonds and Notes – 32.1%

	Non-Convertible Bonds – 31.4%

		Argentina – 0.2%
$	382,136	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A	385,958
	1,755,000	YPF S.A., 8.750%, 4/04/2024, 144A	1,781,325

			2,167,283


Principal Amount (‡)			Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Australia – 0.2%
$	110,000		Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A	$	121,811
	500,000		Macquarie Bank Ltd., 6.625%, 4/07/2021, 144A		572,709
	120,000		Sydney Airport Finance Co., 5.125%, 2/22/2021, 144A		133,368
	95,000		Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A		91,401
	950,000		Telstra Corp. Ltd., 3.125%, 4/07/2025, 144A		923,656

					1,842,945


			Belgium – 0.0%
	350,000		Anheuser-Busch InBev NV, EMTN, 6.500%, 6/23/2017, (GBP)		602,269


			Brazil – 1.4%
	800,000		Banco do Brasil S.A., 3.875%, 10/10/2022		726,000
	600,000		Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A		616,380
	2,203,718		Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		663,362
	800,000		Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		760,000
	6,600	(††)	Brazil Letras do Tesouro Nacional, Zero Coupon, 7/01/2016, (BRL)(c)		1,857,098
	2,250	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2019, (BRL)		633,092
	1,115	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)		304,988
	2,300,000		BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)		617,703
	1,000,000		CIMPOR Financial Operations BV, 5.750%, 7/17/2024, 144A		810,000
	400,000		Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A		369,000
	240,000		Embraer Netherlands Finance Corp., 5.050%, 6/15/2025		239,400
	800,000		Gerdau Trade, Inc., 5.750%, 1/30/2021, 144A		820,000
	226,000		GTL Trade Finance, Inc., 5.893%, 4/29/2024, 144A		220,463
	915,000		Itau Unibanco Holding S.A., 2.850%, 5/26/2018, 144A		907,680
	300,000		Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A		317,025
	100,000		LPG International, Inc., 7.250%, 12/20/2015		102,272
	170,000		Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2022, 144A		130,900
	827,190		Odebrecht Offshore Drilling Finance Ltd., 6.750%, 10/01/2023, 144A		593,509
	2,400,000		Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		717,893


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Brazil – continued
$	1,825,000	Petrobras Global Finance BV, 4.375%, 5/20/2023(c)	$	1,589,958
	320,000	Petrobras Global Finance BV, 5.375%, 1/27/2021		307,776
	775,000	Petrobras Global Finance BV, 5.750%, 1/20/2020		767,901
	300,000	Petrobras Global Finance BV, 6.875%, 1/20/2040		267,258
	800,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A		736,000
	500,000	Tupy Overseas S.A., 6.625%, 7/17/2024, 144A		489,375
	1,106,000	Vale Overseas Ltd., 6.875%, 11/21/2036(c)		1,069,292
	470,000	Vale S.A., 5.625%, 9/11/2042		395,820

				17,030,145


		Canada – 0.5%
	1,085,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		931,675
	3,000,000	Canadian Government, 1.250%, 9/01/2018, (CAD)(c)		2,460,673
	2,065,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(c)		1,669,806
	1,335,000	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)		1,089,634
	600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		541,033

				6,692,821


		Chile – 0.4%
	1,450,000	Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A(c)		1,472,276
	200,000	Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022		208,458
	300,000,000	Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(c)		500,848
	550,000	Corpbanca S.A., 3.125%, 1/15/2018		551,585
	250,000	E.CL S.A., 5.625%, 1/15/2021, 144A		272,586
	800,000	Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A		803,815
	1,120,000	Transelec S.A., 4.250%, 1/14/2025, 144A(c)		1,121,603
	400,000	VTR Finance BV, 6.875%, 1/15/2024, 144A		408,740

				5,339,911


		China – 0.4%
	800,000	Baidu, Inc., 2.250%, 11/28/2017		804,344
	700,000	Baidu, Inc., 3.250%, 8/06/2018		720,426


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	$	414,994
	1,200,000	CNOOC Finance 2013 Ltd., 3.000%, 5/09/2023(c)		1,136,839
	485,000	CNOOC Finance 2015 Australia Pty Ltd., 2.625%, 5/05/2020		478,660
	480,000	CNOOC Finance 2015 USA LLC, 3.500%, 5/05/2025		461,711
	1,000,000	Parkson Retail Group Ltd., 4.500%, 5/03/2018		944,807

				4,961,781


		Colombia – 0.4%
	555,000	Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022, 144A		550,144
	610,000	Ecopetrol S.A., 4.125%, 1/16/2025		562,908
	600,000	Ecopetrol S.A., 5.875%, 9/18/2023(c)		630,000
	490,000	Ecopetrol S.A., 5.875%, 5/28/2045		432,425
	830,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		338,344
	435,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		177,325
	2,140,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		865,787
	1,220,000	Pacific Rubiales Energy Corp., 5.125%, 3/28/2023, 144A		872,300
	580,000	Pacific Rubiales Energy Corp., 5.625%, 1/19/2025, 144A		420,500
	200,000,000	Republic of Colombia, 7.750%, 4/14/2021, (COP)		84,292

				4,934,025


		Dominican Republic – 0.1%
	565,000	Dominican Republic International Bond, 5.500%, 1/27/2025, 144A		566,413
	425,000	Dominican Republic International Bond, 8.625%, 4/20/2027, 144A		507,875

				1,074,288


		France – 0.4%
	425,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		438,812
	15,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		15,450
	200,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		369,787
	435,000	Credit Agricole S.A., 4.375%, 3/17/2025, 144A		417,261
	390,000	Credit Agricole S.A., (fixed rate to 6/23/2026, variable rate thereafter), 7.500%, (GBP)(d)		603,596
	2,080,000	Societe Generale S.A., 4.250%, 4/14/2025, 144A		1,944,862


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		France – continued
	475,000	Societe Generale S.A., (fixed rate to 4/07/2021, variable rate thereafter), 6.750%, (EUR)(d)	$	527,568

				4,317,336


		Germany – 0.1%
	755,000	RWE AG, (fixed rate to 9/28/2015, variable rate thereafter), 4.625%, (EUR)(d)		842,149


		Hong Kong – 0.1%
	355,000	AIA Group Ltd., 3.200%, 3/11/2025, 144A		342,017
	400,000	Hutchison Whampoa International 11 Ltd., 3.500%, 1/13/2017, 144A		412,240

				754,257


		Hungary – 0.2%
	1,330,000	Hungary Government International Bond, 5.375%, 3/25/2024		1,441,387
	980,000	Hungary Government International Bond, 5.750%, 11/22/2023		1,085,350

				2,526,737


		Iceland – 0.1%
	1,000,000	Republic of Iceland, 5.875%, 5/11/2022, 144A(c)		1,129,130


		India – 0.5%
	550,000	Axis Bank Ltd., 3.250%, 5/21/2020, 144A		546,879
	1,155,000	Bharti Airtel International BV, 5.125%, 3/11/2023, 144A(c)		1,205,818
	990,000	Bharti Airtel International BV, 5.350%, 5/20/2024, 144A		1,048,291
	1,400,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		1,439,074
	750,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		808,746
	700,000	State Bank of India/London, 4.125%, 8/01/2017, 144A		727,328

				5,776,136


		Indonesia – 0.8%
	400,000	Gajah Tunggal Tbk PT, 7.750%, 2/06/2018, 144A		337,000
	300,000	Indonesia Government International Bond, 4.125%, 1/15/2025, 144A		294,375
	725,000	Indonesia Government International Bond, 5.125%, 1/15/2045, 144A		691,469
	3,500,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		279,317
	781,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		65,180
	12,100,000,000	Indonesia Treasury Bond, 6.125%, 5/15/2028, (IDR)		745,013


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Indonesia – continued
	24,000,000,000	Indonesia Treasury Bond, 7.875%, 4/15/2019, (IDR)(c)	$	1,784,380
	14,000,000,000	Indonesia Treasury Bond, 8.375%, 3/15/2024, (IDR)(c)		1,050,496
	200,000	Indosat Palapa Co. BV, 7.375%, 7/29/2020, 144A		207,000
	400,000	Listrindo Capital BV, 6.950%, 2/21/2019, 144A		418,000
	2,800,000	Pertamina Persero PT, 4.300%, 5/20/2023, 144A(c)		2,681,000
	545,000	Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR)		612,150
	500,000	TBG Global Pte Ltd., 4.625%, 4/03/2018, 144A		497,500

				9,662,880


		Italy – 0.7%
	440,000	Italy Buoni Poliennali Del Tesoro, 1.500%, 6/01/2025, (EUR)		455,978
	2,860,000	Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(c)		3,558,651
	2,295,000	Italy Buoni Poliennali Del Tesoro, 4.750%, 8/01/2023, 144A, (EUR)(c)		3,067,747
	725,000	UniCredit SpA, EMTN, 6.950%, 10/31/2022, (EUR)		933,702
	870,000	Wind Acquisition Finance S.A., 7.375%, 4/23/2021, 144A		879,787

				8,895,865


		Japan – 0.2%
	900,000	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 1.700%, 3/05/2018, 144A		897,989
	1,165,000	Nomura Holdings, Inc., GMTN, 2.750%, 3/19/2019(c)		1,175,766
	850,000	Softbank Corp., 4.500%, 4/15/2020, 144A		853,188

				2,926,943


		Korea – 0.7%
	3,700,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)		485,786
	400,000	Hana Bank, 4.000%, 11/03/2016, 144A		413,876
	600,000	Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A		621,265
	600,000	Hyundai Steel Co., 4.625%, 4/21/2016, 144A		613,514
	600,000	Industrial Bank of Korea, 2.375%, 7/17/2017, 144A		609,570
	400,000	Kia Motors Corp., 3.625%, 6/14/2016, 144A(c)		408,542
	400,000	Korea Development Bank (The), 4.625%, 11/16/2021		442,836
	400,000	Korea National Oil Corp., 3.125%, 4/03/2017, 144A		410,328


Principal Amount (‡)			Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Korea – continued
	2,589,140,000		Korea Treasury Bond, 2.750%, 9/10/2017, (KRW)(c)	$	2,370,557
	250,000		Lotte Shopping Co. Ltd., 3.375%, 5/09/2017, 144A		257,489
	1,125,000		Minera y Metalurgica del Boleo S.A. de CV, 2.875%, 5/07/2019, 144A(c)		1,135,645
	950,000		Shinhan Bank, 2.250%, 4/15/2020, 144A		938,657
	140,000		SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A		178,346
	200,000		Woori Bank, 5.875%, 4/13/2021, 144A		229,275

					9,115,686


			Luxembourg – 0.2%
	500,000		Altice S.A., 7.750%, 5/15/2022, 144A		483,750
	970,000		ArcelorMittal, 7.500%, 3/01/2041		950,600
	430,000		INEOS Group Holdings S.A., 5.750%, 2/15/2019, (EUR)		484,179
	500,000		Millicom International Cellular S.A., 4.750%, 5/22/2020, 144A		480,765

					2,399,294


			Mexico – 1.3%
	10,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		609,512
	300,000		Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A		298,650
	640,000		Cemex Finance LLC, 6.000%, 4/01/2024, 144A		633,408
	300,000		Cemex SAB de CV, 4.375%, 3/05/2023, 144A, (EUR)		321,495
	10,000,000		Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		542,306
	746,500	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c)		4,945,608
	186,200	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(c)		1,227,297
	395,000	(†††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(c)		2,802,463
	135,113	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		971,403
	196,000		Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)		189,453
	780,000		Petroleos Mexicanos, 4.250%, 1/15/2025, 144A		759,642
	625,000		Petroleos Mexicanos, 5.625%, 1/23/2046, 144A		583,563
	135,000	(†††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)		812,937
	580,000		Southern Copper Corp., 3.875%, 4/23/2025		558,621


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Mexico – continued
$	925,000	Unifin Financiera S.A.P.I. de CV SOFOM ENR, 6.250%, 7/22/2019, 144A	$	914,594

				16,170,952


		Morocco – 0.1%
	965,000	OCP S.A., 4.500%, 10/22/2025, 144A		915,544
	590,000	OCP S.A., 6.875%, 4/25/2044, 144A		615,193

				1,530,737


		Netherlands – 0.0%
	500,000	Shell International Finance BV, 3.250%, 5/11/2025		495,140


		New Zealand – 0.5%
	2,880,935	New Zealand Government Bond, 3.000%, 9/20/2030, (NZD)(c)		2,145,326
	2,340,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)(c)		1,699,394
	2,590,000	New Zealand Government Bond, 5.500%, 4/15/2023, (NZD)		2,019,483
	120,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019		126,000

				5,990,203


		Norway – 0.3%
	13,275,000	Norway Government Bond, 2.000%, 5/24/2023, 144A, (NOK)		1,736,826
	13,760,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)(c)		1,988,065

				3,724,891


		Panama – 0.1%
	680,000	Banco Latinoamericano de Comercio Exterior S.A., 3.250%, 5/07/2020, 144A		676,600
	300,000	Banco Latinoamericano de Comercio Exterior S.A., 3.750%, 4/04/2017, 144A		307,500

				984,100


		Peru – 0.2%
	1,050,000	Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A		1,031,625
	1,050,000	Union Andina de Cementos SAA, 5.875%, 10/30/2021, 144A		1,061,813

				2,093,438


		Philippines – 0.1%
	40,000,000	Philippine Government International Bond, 3.900%, 11/26/2022, (PHP)		878,243
	30,000,000	Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		698,603


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Philippines – continued
$	175,000	Philippine Long Distance Telephone Co., EMTN, 8.350%, 3/06/2017	$	190,750

				1,767,596


		Poland – 0.5%
	17,080,000	Poland Government Bond, 4.000%, 10/25/2023, (PLN)(c)		4,809,655
	3,210,000	Poland Government Bond, 5.500%, 10/25/2019, (PLN)		957,024

				5,766,679


		Portugal – 0.0%
	400,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		403,883
	125,000	EDP Finance BV, EMTN, 2.000%, 4/22/2025, (EUR)		125,741

				529,624


		Singapore – 0.2%
	495,000	BOC Aviation Pte Ltd., 3.000%, 3/30/2020		487,105
	2,000,000	DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A(c)		2,064,334

				2,551,439


		South Africa – 0.5%
	895,000	Eskom Holdings SOC Ltd., 7.125%, 2/11/2025, 144A		905,543
	930,000	MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A		923,025
	500,000	Myriad International Holdings BV, 6.000%, 7/18/2020, 144A		542,125
	285,000	Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR)		326,756
	11,500,000	South Africa Government Bond, 7.750%, 2/28/2023, (ZAR)		924,084
	8,500,000	South Africa Government Bond, Series R186, 10.500%, 12/21/2026, (ZAR)		813,250
	600,000	South Africa Government International Bond, 5.875%, 9/16/2025		664,706
	700,000	Transnet SOC Ltd., 4.000%, 7/26/2022, 144A		672,280

				5,771,769


		Spain – 0.3%
	430,000	Spain Government Bond, 1.600%, 4/30/2025, 144A, (EUR)		451,054
	2,115,000	Spain Government Bond, 4.300%, 10/31/2019, 144A, (EUR)(c)		2,681,883
	800,000	Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)(c)		1,047,976

				4,180,913


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Supranationals – 0.5%
$	840,000	Central American Bank for Economic Integration, 3.875%, 2/09/2017, 144A	$	863,506
	1,115,000	Corporacion Andina de Fomento, 4.375%, 6/15/2022(c)		1,205,500
	1,570,000	European Financial Stability Facility, 1.625%, 7/17/2020, (EUR)(c)		1,861,291
	1,140,000	International Bank for Reconstruction & Development, 2.500%, 3/12/2020, (AUD)		866,602
	70,000,000	International Finance Corp., 7.800%, 6/03/2019, (INR)(c)		1,134,202

				5,931,101


		Sweden – 0.0%
	2,450,000	Sweden Government Bond, 5.000%, 12/01/2020, (SEK)		368,715


		Thailand – 0.2%
	1,010,000	Siam Commercial Bank PCL (The), 3.500%, 4/07/2019, 144A		1,036,933
	950,000	Thai Oil PCL, 3.625%, 1/23/2023, 144A		935,037

				1,971,970


		Turkey – 0.5%
	445,000	Akbank TAS, 4.000%, 1/24/2020, 144A		433,448
	800,000	Arcelik AS, 5.000%, 4/03/2023, 144A		765,296
	545,000	Export Credit Bank of Turkey, 5.000%, 9/23/2021, 144A		548,373
	920,000	TC Ziraat Bankasi AS, 4.250%, 7/03/2019, 144A		918,620
	2,745,000	Turkey Government Bond, 6.300%, 2/14/2018, (TRY)		950,472
	600,000	Turkiye Garanti Bankasi AS, 4.000%, 9/13/2017, 144A		607,082
	490,000	Turkiye Halk Bankasi AS, 4.750%, 2/11/2021, 144A		481,812
	800,000	Turkiye Is Bankasi, 3.875%, 11/07/2017, 144A		806,144
	875,000	Yapi ve Kredi Bankasi, 5.250%, 12/03/2018, 144A		901,250

				6,412,497


		United Arab Emirates – 0.2%
	850,000	DP World Ltd., 3.250%, 5/18/2020, 144A		843,625
	600,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A		636,774
	545,000	Mubadala GE Capital Ltd., 3.000%, 11/10/2019, 144A		540,231

				2,020,630


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United Kingdom – 0.5%
$	600,000	Anglo American Capital PLC, 2.625%, 9/27/2017, 144A	$	603,293
	525,000	Barclays PLC, 3.650%, 3/16/2025		497,338
	400,000	Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 7.000%, (GBP)(d)		613,572
	470,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		881,122
	150,000	Imperial Tobacco Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP)		266,045
	400,000	Lloyds Banking Group PLC, 4.500%, 11/04/2024		400,235
	400,000	Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP)		706,087
	1,130,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023(c)		1,196,593
	250,000	Standard Chartered PLC, EMTN, (fixed rate to 10/21/2020, variable rate thereafter), 4.000%, 10/21/2025, (EUR)		294,544
	130,000	Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR)		143,843
	115,000	Virgin Media Finance PLC, 6.375%, 10/15/2024, 144A, (GBP)		187,922
	100,000	WPP PLC, 6.000%, 4/04/2017, (GBP)		168,950

				5,959,544


		United States – 17.8%
	15,000	21st Century Fox America, Inc., 6.400%, 12/15/2035		17,747
	9,890,000	AbbVie, Inc., 2.500%, 5/14/2020		9,788,538
	45,000	AECOM Technology Corp., 5.750%, 10/15/2022, 144A		45,563
	45,000	AECOM Technology Corp., 5.875%, 10/15/2024, 144A		45,619
	240,000	AES Corp. (The), 4.875%, 5/15/2023		225,600
	975,000	Alcoa, Inc., 5.900%, 2/01/2027		1,031,062
	8,000,000	Ally Financial, Inc., 3.750%, 11/18/2019		7,940,000
	745,000	Ally Financial, Inc., 5.125%, 9/30/2024		746,862
	129,000	Ally Financial, Inc., 8.000%, 12/31/2018		143,996
	1,728,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,069,280
	184,752	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		185,968
	51,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		67,524
	7,145,000	Amgen, Inc., 2.125%, 5/01/2020		6,996,334


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	12,046	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(e)	$	12,046
	495,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		400,950
	925,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		1,056,503
	145,000	Avnet, Inc., 6.000%, 9/01/2015		146,098
	95,000	Avon Products, Inc., 7.700%, 3/15/2043		77,663
	200,000	Bank of America Corp., 5.490%, 3/15/2019		219,031
	115,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		112,654
	50,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		48,500
	15,000	Boston Scientific Corp., 5.125%, 1/12/2017		15,793
	6,320,000	California Resources Corp., 5.000%, 1/15/2020		5,561,600
	670,000	California Resources Corp., 5.500%, 9/15/2021		583,034
	90,000	California Resources Corp., 6.000%, 11/15/2024		77,400
	1,995,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,009,962
	510,000	CenturyLink, Inc., 7.650%, 3/15/2042		461,550
	55,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		52,800
	605,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		548,281
	1,025,000	Chemours Co. (The), 6.625%, 5/15/2023, 144A		992,969
	190,000	Chemours Co. (The), 7.000%, 5/15/2025, 144A		184,300
	5,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		4,338
	20,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		19,500
	95,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		92,625
	1,635,000	Cimarex Energy Co., 4.375%, 6/01/2024		1,614,857
	1,470,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		1,532,475
	155,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		152,675
	265,000	Constellation Brands, Inc., 4.750%, 11/15/2024		265,663
	1,005,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,047,712
	164,506	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		173,965


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	280,000	Continental Resources, Inc., 3.800%, 6/01/2024	$	255,584
	25,000	Continental Resources, Inc., 4.500%, 4/15/2023		24,105
	155,000	Cummins, Inc., 5.650%, 3/01/2098		162,943
	191,836	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		220,131
	42,000	Dillard’s, Inc., 6.625%, 1/15/2018		46,043
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		55,250
	8,000	Dillard’s, Inc., 7.750%, 7/15/2026		9,260
	395,000	DISH DBS Corp., 5.000%, 3/15/2023		365,375
	90,000	DISH DBS Corp., 5.875%, 11/15/2024		86,456
	315,000	DPL, Inc., 6.750%, 10/01/2019, 144A		334,687
	310,000	DR Horton, Inc., 4.375%, 9/15/2022		300,700
	235,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		274,950
	1,121,000	First Data Corp., 10.625%, 6/15/2021		1,241,507
	150,000	Foot Locker, Inc., 8.500%, 1/15/2022(e)		164,155
	25,000	Ford Motor Co., 6.375%, 2/01/2029		29,493
	50,000	Ford Motor Co., 6.625%, 2/15/2028		57,263
	2,105,000	Ford Motor Co., 6.625%, 10/01/2028		2,563,465
	40,000	Ford Motor Co., 7.125%, 11/15/2025		48,869
	835,000	Ford Motor Co., 7.400%, 11/01/2046		1,105,674
	5,000	Ford Motor Co., 7.500%, 8/01/2026		6,231
	5,000,000	Ford Motor Credit Co. LLC, 2.459%, 3/27/2020		4,913,685
	1,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		1,075,088
	905,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		1,043,809
	865,000	Frontier Communications Corp., 6.875%, 1/15/2025		723,356
	205,000	FTS International, Inc., 6.250%, 5/01/2022		150,675
	50,000	General Electric Capital Corp., GMTN, 3.100%, 1/09/2023		49,862
	600,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125% (d)		692,250


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	5,000,000	General Motors Financial Co., Inc., 2.400%, 4/10/2018	$	5,012,430
	240,000	General Motors Financial Co., Inc., 3.450%, 4/10/2022		235,164
	195,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		170,138
	500,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		442,655
	215,000	Genworth Holdings, Inc., 6.500%, 6/15/2034		193,500
	3,435,000	Georgia-Pacific LLC, 7.250%, 6/01/2028(c)		4,390,239
	105,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		135,059
	180,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		243,765
	315,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		454,414
	800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		665,294
	2,295,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,691,916
	3,045,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		3,310,676
	165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		174,900
	70,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.795%, 8/10/2045(f)		71,295
	425,000	Halcon Resources Corp., 8.875%, 5/15/2021		279,438
	410,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		473,469
	1,000,000	HCA Holdings, Inc., 6.250%, 2/15/2021		1,077,500
	20,000	HCA, Inc., 4.750%, 5/01/2023		20,250
	225,000	HCA, Inc., 7.050%, 12/01/2027		235,125
	245,000	HCA, Inc., 7.190%, 11/15/2015		249,900
	90,000	HCA, Inc., 7.500%, 12/15/2023		99,000
	820,000	HCA, Inc., 7.500%, 11/06/2033		889,700
	1,500,000	HCA, Inc., 7.690%, 6/15/2025		1,702,500
	395,000	HCA, Inc., 8.360%, 4/15/2024		466,100
	195,000	HCA, Inc., MTN, 7.580%, 9/15/2025		215,475
	75,000	HCA, Inc., MTN, 7.750%, 7/15/2036		79,875
	855,000	Hecla Mining Co., 6.875%, 5/01/2021		809,044


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	585,000	Hercules, Inc., 6.500%, 6/30/2029	$	532,350
	310,000	Hexion, Inc., 7.875%, 2/15/2023(e)(g)		197,625
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		501,767
	450,000	International Lease Finance Corp., 4.625%, 4/15/2021		454,500
	1,250,000	International Lease Finance Corp., 6.250%, 5/15/2019		1,351,562
	745,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		733,825
	45,000	iStar Financial, Inc., 3.875%, 7/01/2016		45,167
	145,000	iStar Financial, Inc., 4.875%, 7/01/2018		142,644
	3,460,000	iStar Financial, Inc., 5.000%, 7/01/2019		3,412,425
	70,000	iStar Financial, Inc., 5.850%, 3/15/2017		71,838
	200,000	iStar Financial, Inc., 7.125%, 2/15/2018		208,240
	48,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		35,520
	5,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,775
	665,000	Jefferies Group LLC, 5.125%, 4/13/2018		706,154
	30,000	Jefferies Group LLC, 5.125%, 1/20/2023		30,971
	1,070,000	Jefferies Group LLC, 6.250%, 1/15/2036		1,061,015
	685,000	Jefferies Group LLC, 6.450%, 6/08/2027		743,727
	1,410,000	Jefferies Group LLC, 6.875%, 4/15/2021		1,613,907
	15,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		12,788
	110,000	K. Hovnanian Enterprises, Inc., 7.000%, 1/15/2019, 144A		99,550
	165,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		152,625
	1,665,000	KB Home, 8.000%, 3/15/2020		1,831,500
	190,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		198,075
	55,000	Lennar Corp., Series B, 6.500%, 4/15/2016		56,788
	140,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		138,950
	365,000	Level 3 Financing, Inc., 5.375%, 5/01/2025, 144A		351,769
	135,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		143,269


Principal Amount (‡)			Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			United States – continued
$	1,435,000		Level 3 Financing, Inc., 8.625%, 7/15/2020	$	1,533,584
	165,000		Masco Corp., 6.500%, 8/15/2032		174,075
	865,000		Masco Corp., 7.750%, 8/01/2029		999,075
	2,700,000		Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		3,026,209
	825,000		Morgan Stanley, 2.125%, 4/25/2018		830,575
	220,000		Morgan Stanley, 2.500%, 1/24/2019		222,041
	450,000		Morgan Stanley, 3.750%, 2/25/2023		455,013
	725,000		Morgan Stanley, 5.750%, 1/25/2021		826,004
	500,000		Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		397,602
	3,150,000		Morgan Stanley, MTN, 4.100%, 5/22/2023		3,155,887
	600,000		Morgan Stanley, MTN, 6.250%, 8/09/2026		719,272
	100,000		Morgan Stanley, Series F, MTN, 0.725%, 10/18/2016(f)		99,872
	3,000,000		Navient Corp., 5.000%, 10/26/2020		2,940,000
	45,000		Navient Corp., 5.875%, 10/25/2024		42,300
	175,000		Navient LLC, 4.875%, 6/17/2019		173,250
	915,000		Navient LLC, 5.500%, 1/25/2023		869,250
	1,600	(††††)	Navient LLC, 6.000%, 12/15/2043		34,507
	141,000		Navient LLC, MTN, 3.875%, 9/10/2015		141,176
	40,000		Navient LLC, MTN, 4.625%, 9/25/2017		40,650
	60,000		Navient LLC, MTN, 5.500%, 1/15/2019		61,177
	1,130,000		Navient LLC, MTN, 7.250%, 1/25/2022		1,192,150
	10,000		Navient LLC, Series A, MTN, 5.000%, 6/15/2018		9,963
	2,560,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033		2,073,600
	360,000		Navient LLC, Series A, MTN, 8.450%, 6/15/2018		400,068
	2,512,000		New Albertson’s, Inc., 7.450%, 8/01/2029		2,411,520
	245,000		New Albertson’s, Inc., 7.750%, 6/15/2026		238,875
	3,605,000		New Albertson’s, Inc., 8.000%, 5/01/2031		3,568,950


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	2,110,000	New Albertson’s, Inc., 8.700%, 5/01/2030	$	2,141,650
	315,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		267,750
	365,000	Newell Rubbermaid, Inc., 4.000%, 12/01/2024		369,713
	20,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		21,200
	420,000	Old Republic International Corp., 4.875%, 10/01/2024		434,514
	55,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		55,688
	140,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		144,900
	7,000	Owens Corning, 6.500%, 12/01/2016		7,444
	535,000	Owens Corning, 7.000%, 12/01/2036		611,231
	2,965,000	Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A		2,898,287
	540,000	Pulte Group, Inc., 6.000%, 2/15/2035		525,150
	785,000	Pulte Group, Inc., 6.375%, 5/15/2033		794,812
	220,000	Pulte Group, Inc., 7.875%, 6/15/2032		253,000
	255,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		244,163
	1,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,431,787
	650,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		638,625
	400,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		430,000
	60,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		61,800
	560,000	Qwest Corp., 6.875%, 9/15/2033		553,722
	115,000	Qwest Corp., 7.250%, 9/15/2025		130,095
	480,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		516,000
	200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		194,500
	565,000	Range Resources Corp., 5.000%, 8/15/2022		553,700
	1,075,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		1,091,982
	230,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.500%, 4/15/2023		234,094
	80,000	Reynolds American, Inc., 6.750%, 6/15/2017		87,420
	1,970,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		2,093,125


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	970,000	Santander Holdings USA, Inc., 2.650%, 4/17/2020	$	953,617
	25,000	Sealed Air Corp., 4.875%, 12/01/2022, 144A		24,625
	640,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		644,800
	760,000	Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		817,000
	135,000	Springleaf Finance Corp., 5.250%, 12/15/2019		133,144
	330,000	Springleaf Finance Corp., 7.750%, 10/01/2021		358,050
	130,000	Springleaf Finance Corp., 8.250%, 10/01/2023		146,575
	400,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		413,500
	300,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		303,000
	2,349,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,020,140
	2,240,000	Sprint Capital Corp., 8.750%, 3/15/2032		2,178,400
	26,000	Sprint Communications, Inc., 6.000%, 12/01/2016		26,715
	1,720,000	Sprint Communications, Inc., 6.000%, 11/15/2022		1,571,650
	120,000	Sprint Corp., 7.125%, 6/15/2024		111,312
	2,840,000	Sprint Corp., 7.875%, 9/15/2023		2,769,852
	2,910,000	SUPERVALU, Inc., 6.750%, 6/01/2021		2,939,100
	235,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2018, 144A		240,288
	520,000	Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A		520,000
	1,360,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,258,000
	820,000	Textron, Inc., 5.950%, 9/21/2021		938,950
	100,000	THC Escrow Corp. II, 6.750%, 6/15/2023, 144A		102,000
	90,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		73,413
	565,000	Time Warner Cable, Inc., 5.250%, 7/15/2042, (GBP)		816,904
	945,000	Toys R Us, Inc., 7.375%, 10/15/2018		696,937
	171,000	TransDigm, Inc., 6.500%, 7/15/2024		168,863
	185,000	TransDigm, Inc., 6.500%, 5/15/2025, 144A		183,150
	90,000	TRI Pointe Holdings, Inc., 4.375%, 6/15/2019		88,200


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	5,000	TRI Pointe Holdings, Inc., 5.875%, 6/15/2024	$	4,900
	1,080,000	U.S. Treasury Bond, 2.500%, 2/15/2045		950,486
	7,725,000	U.S. Treasury Bond, 3.000%, 5/15/2045		7,570,500
	5,000,000	U.S. Treasury Note, 0.250%, 2/29/2016		5,002,735
	3,785,000	U.S. Treasury Note, 0.250%, 5/15/2016		3,783,819
	7,500,000	U.S. Treasury Note, 0.375%, 3/31/2016(c)		7,507,620
	8,530,000	U.S. Treasury Note, 0.375%, 10/31/2016(c)		8,524,669
	8,520,000	U.S. Treasury Note, 0.500%, 11/30/2016(c)		8,525,325
	5,555,000	U.S. Treasury Note, 1.000%, 3/15/2018(h)		5,568,021
	15,291	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		16,667
	630,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		656,775
	295,000	United Rentals North America, Inc., 7.625%, 4/15/2022		319,337
	1,940,000	United States Steel Corp., 6.650%, 6/01/2037		1,726,600
	770,000	United States Steel Corp., 7.500%, 3/15/2022		791,175
	120,695	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		136,386
	64,862	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		73,294
	458,780	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		477,131
	230,000	USG Corp., 9.750%, 1/15/2018		261,625
	110,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		117,411
	60,000	Weyerhaeuser Co., 6.950%, 10/01/2027		71,086
	315,000	Weyerhaeuser Co., 7.375%, 3/15/2032		393,899
	965,000	Windstream Corp., 7.500%, 4/01/2023		841,962
	125,000	Xerox Corp., 6.750%, 2/01/2017		134,649
	20,000	Xerox Corp., MTN, 7.200%, 4/01/2016		20,912

				219,789,216

		Total Non-Convertible Bonds (Identified Cost $388,646,540)		387,003,035


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Convertible Bonds – 0.7%

		United States – 0.7%
$	495,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020, 144A	$	514,800
	390,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		369,525
	175,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		173,250
	185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		251,831
	530,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i)		698,938
	1,125,000	Intel Corp., 3.250%, 8/01/2039		1,711,406
	175,000	KB Home, 1.375%, 2/01/2019		170,297
	83,000	Macquarie Infrastructure Corp., 2.875%, 7/15/2019		97,784
	2,200,000	Old Republic International Corp., 3.750%, 3/15/2018		2,597,375
	40,000	Omnicare, Inc., 3.750%, 12/15/2025		141,625
	1,450,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A		1,382,938
	40,000	RPM International, Inc., 2.250%, 12/15/2020		46,550
	90,000	Trinity Industries, Inc., 3.875%, 6/01/2036		113,906

		Total Convertible Bonds (Identified Cost $6,807,898)		8,270,225


	Municipals – 0.0%

		United States – 0.0%
	415,000	State of Illinois, 5.100%, 6/01/2033		386,759
	130,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		95,106

		Total Municipals (Identified Cost $451,805)		481,865

		Total Bonds and Notes (Identified Cost $395,906,243)		395,755,125


	Senior Loans – 0.4%

		United States – 0.4%
	1,832,813	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(f)		1,845,990
	1,065,000	Flying Fortress, Inc., New Term Loan, 3.500%, 4/30/2020(f)		1,065,330
	426,300	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(f)		425,234
	23,142	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(f)		23,084
	120,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(f)		118,200


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		United States – continued
$	14,832	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(f)	$	8,788
	900,355	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(f)		901,382

		Total Senior Loans (Identified Cost $4,374,904)		4,388,008


	Preferred Stocks – 0.1%

Shares

	Non-Convertible Preferred Stock – 0.1%

		United States – 0.1%
	341	Ally Financial, Inc., Series G, 7.000% 144A (Identified Cost $75,329)		344,570


	Convertible Preferred Stocks – 0.0%

		United States – 0.0%
	2,585	Alcoa, Inc., Series 1, 5.375%		102,185
	460	Chesapeake Energy Corp., 5.000%		35,305
	100	Chesapeake Energy Corp., Series A, 5.750% 144A		67,391

		Total Convertible Preferred Stocks (Identified Cost $260,516)		204,881

		Total Preferred Stocks (Identified Cost $335,845)		549,451


Principal Amount (‡)

	Short-Term Investments – 2.7%
$	49,525	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2015 at 0.000% to be repurchased at $49,525 on 7/01/2015 collateralized by $49,700 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $50,596 including accrued interest(j)		49,525
	32,964,822	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $32,964,831 on 7/01/2015 collateralized by $34,140,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $33,627,900 including accrued interest(j)		32,964,822

		Total Short-Term Investments (Identified Cost $33,014,347)		33,014,347


		Total Investments – 99.4% (Identified Cost $1,099,098,925)(a)		1,223,603,738
		Other assets less liabilities – 0.6%		7,976,488

		Net Assets – 100.0%	$	1,231,580,226

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

(†)

Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

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

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

As of June 30, 2015, approximately 22% 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.

(††)	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 that will be 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, 2015, the net unrealized appreciation on investments based on a cost of $1,100,062,079 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	$	152,052,148
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(28,510,489	)

Net unrealized appreciation	$	123,541,659

(b)	Non-income producing security.

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

(d)	Perpetual bond with no specified maturity date.

(e)	Fair valued by the Fund’s adviser. At June 30, 2015, the value of these securities amounted to $373,826 or less than 0.1% (includes illiquid securities) of net assets.

(f)	Variable rate security. Rate as of June 30, 2015 is disclosed.

(g)	Illiquid security. At June 30, 2015, the value of this security amounted to $197,625 or less than 0.1% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(h)	A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts.

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

(j)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of June 30, 2015, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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, 2015, the value of Rule 144A holdings amounted to $99,430,335 or 8.1% 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.

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

CLP	Chilean Peso

COP	Colombian Peso

EUR

Euro

GBP	British Pound

IDR	Indonesian Rupiah

INR	Indian Rupee

KRW	South Korean Won

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

PHP	Philippine Peso

PLN	Polish Zloty

SEK	Swedish Krona

TRY	Turkish Lira

ZAR	South African Rand

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. Contracts are traded over-the-counter directly with a counterparty. 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, 2015, 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		9/16/2015	Australian Dollar		1,543,000	$	1,185,612	$	(6,575	)
Sell¹		9/09/2015	Brazilian Real		10,010,000		3,140,770		(24,332	)
Buy¹		9/16/2015	British Pound		3,740,000		5,873,266		86,476
Sell¹		9/08/2015	Canadian Dollar		2,895,000		2,315,748		(9,095	)
Buy²		9/16/2015	Euro		24,250,000		27,063,797		(407,016	)
Sell³		7/14/2015	Indonesian Rupiah		28,200,000,000		2,110,510		16,989
Sell³		7/14/2015	Indonesian Rupiah		11,400,000,000		853,185		(6,545	)
Buy¹		9/16/2015	Japanese Yen		2,276,500,000		18,619,363		399,900
Sell⁴		9/17/2015	Mexican Peso		107,500,000		6,802,732		106,102
Sell¹		9/16/2015	New Zealand Dollar		8,162,000		5,495,423		156,354
Sell⁴		9/16/2015	Norwegian Krone		4,200,000		534,741		(1,855	)
Sell³		9/16/2015	Polish Zloty		24,720,000		6,561,153		195,174
Sell⁴		7/28/2015	Swedish Krona		3,100,000		374,143		(18,316	)

Total								$	487,261

At June 30, 2015, the Fund had the following open forward cross currency contracts:

Settlement Date

Deliver/Units of Currency

Receive/Units of Currency

Unrealized
Appreciation
(Depreciation)

7/28/2015

Norwegian Krone

14,180,000

Euro

1,667,293

51,919

¹	Counterparty is Credit Suisse International

²	Counterparty is Morgan Stanley & Co.

³	Counterparty is Citibank N.A.

⁴	Counterparty is UBS 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, 2015, at value:

Global Equity and Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*
Belgium	$	—	$	19,251,566	$	—	$	19,251,566
China		23,080,355		15,704,127		—		38,784,482
Denmark		—		18,365,464		—		18,365,464
France		—		14,347,377		—		14,347,377
Germany		—		8,697,927		—		8,697,927
Hong Kong		—		19,354,428		—		19,354,428
India		12,234,979		22,267,137		—		34,502,116
Italy		—		8,538,832		—		8,538,832
Japan		—		38,913,553		—		38,913,553
Netherlands		—		19,894,489		—		19,894,489
Philippines		—		9,194,065		—		9,194,065
Sweden		—		14,112,090		—		14,112,090
Switzerland		—		29,501,840		—		29,501,840
United Kingdom		—		34,424,527		—		34,424,527
All Other Common Stocks*		482,014,051		—		—		482,014,051

Total Common Stocks		517,329,385		272,567,422		—		789,896,807

Bonds and Notes
Non-Convertible Bonds
United States		34,507		219,184,412		570,297		219,789,216
All Other Non-Convertible Bonds*		—		167,213,819		—		167,213,819

Total Non-Convertible Bonds		34,507		386,398,231		570,297		387,003,035

Convertible Bonds*		—		8,270,225		—		8,270,225
Municipals*		—		481,865		—		481,865

Total Bonds and Notes		34,507		395,150,321		570,297		395,755,125

Senior Loans*		—		4,388,008		—		4,388,008
Preferred Stocks
Non-Convertible Preferred Stock*		344,570		—		—		344,570
Convertible Preferred Stocks
United States		102,185		35,305		67,391		204,881

Total Preferred Stocks		446,755		35,305		67,391		549,451

Short-Term Investments		—		33,014,347		—		33,014,347

Total Investments		517,810,647		705,155,403		637,688		1,223,603,738

Forward Foreign Currency Contracts (unrealized appreciation)		—		1,012,914		—		1,012,914

Total	$	517,810,647	$	706,168,317	$	637,688	$	1,224,616,652

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(473,734	)	$	—	$	(473,734	)

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

A preferred stock valued at $45,080 was transferred from Level 1 to Level 2 during the period ended June 30, 2015. At September 31, 2014, this security was valued at the last sale price. At June 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair values as of September 30, 2014 and/or June 30, 2015:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2014		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, 2015		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015
Bonds and Notes
Non-Convertible Bonds
Korea	$	4,567,994	$	—	$	18,693	$	(43,564	)	$	—	$	(911,424	)	$	—	$	(3,631,699	)	$	—	$	—
United States		2,546,713		1,466		7,648		(19,544	)		—		(122,731	)		—		(1,843,255	)		570,297		(4,382	)
Preferred Stocks
Convertible Preferred Stocks
United States		—		—		—		(43,547	)		—		—			110,938		—			67,391		(43,547	)

Total	$	7,114,707	$	1,466	$	26,341	$	(106,655	)	$	—	$	(1,034,155	)	$	110,938	$	(5,474,954	)	$	637,688	$	(47,929	)

A preferred stock valued at $110,938 was transferred from Level 2 to Level 3 during the period ended June 30, 2015. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At June 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

Debt securities valued at $5,474,954 were transferred from Level 3 to Level 2 during the period ended June 30, 2015. At September 30, 2014, 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. At June 30, 2015, 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.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. 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, 2015, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The following is a summary of derivative instruments for the Fund, as of June 30, 2015:


Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	1,012,914


Liabilities	Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(473,734	)

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.

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, 2015, 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
Morgan Stanley & Co.	$	(407,016	)	$	327,766

Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

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 Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2015:


Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
$	1,340,680	$	416,196

These amounts include cash received as collateral of $530,000.

Industry Summary at June 30, 2015 (Unaudited)


Pharmaceuticals	10.4	%
Treasuries	8.3
Internet Software & Services	5.9
Banks	5.8
Banking	4.4
Insurance	4.3
IT Services	4.3
Aerospace & Defense	3.7
Internet & Catalog Retail	3.3
Specialty Retail	3.2
Beverages	2.4
Government Owned - No Guarantee	2.1
Other Investments, less than 2% each	38.6
Short-Term Investments	2.7

Total Investments	99.4
Other assets less liabilities (including forward foreign currency contracts)	0.6

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2015 (Unaudited)


United States Dollar	67.5	%
Euro	7.2
British Pound	3.3
Japanese Yen	3.2
Indian Rupee	2.9
Hong Kong Dollar	2.9
Swiss Franc	2.4
Canadian Dollar	2.1
Other, less than 2% each	7.9

Total Investments	99.4
Other assets less liabilities (including forward foreign currency contracts)	0.6

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2015 (Unaudited)

Loomis Sayles Growth Fund


Shares		Description	Value (†)

	Common Stocks – 98.3% of Net Assets

		Air Freight & Logistics – 6.0%
	829,310	Expeditors International of Washington, Inc.	$	38,235,338
	354,488	United Parcel Service, Inc., Class B		34,353,432

				72,588,770


		Beverages – 10.1%
	940,855	Coca-Cola Co. (The)		36,909,742
	381,601	Monster Beverage Corp.(b)		51,142,166
	633,233	SABMiller PLC, Sponsored ADR		33,073,759

				121,125,667


		Biotechnology – 2.3%
	178,540	Amgen, Inc.		27,409,461


		Capital Markets – 4.0%
	146,414	Greenhill & Co., Inc.		6,051,290
	869,995	SEI Investments Co.		42,655,855

				48,707,145


		Communications Equipment – 8.8%
	2,333,676	Cisco Systems, Inc.		64,082,743
	678,295	QUALCOMM, Inc.		42,481,616

				106,564,359


		Consumer Finance – 1.2%
	180,952	American Express Co.		14,063,589


		Energy Equipment & Services – 2.8%
	389,766	Schlumberger Ltd.		33,593,932


		Food Products – 3.8%
	3,517,771	Danone, Sponsored ADR		45,555,134


		Health Care Equipment & Supplies – 4.2%
	375,158	Varian Medical Systems, Inc.(b)		31,637,074
	172,866	Zimmer Biomet Holdings, Inc.		18,882,153

				50,519,227


		Hotels, Restaurants & Leisure – 2.5%
	338,233	Yum! Brands, Inc.		30,468,029


		Household Products – 3.0%
	463,630	Procter & Gamble Co. (The)		36,274,411


		Internet & Catalog Retail – 6.2%
	170,739	Amazon.com, Inc.(b)		74,116,093


		Internet Software & Services – 13.0%
	451,329	Alibaba Group Holding Ltd., Sponsored ADR(b)		37,130,837
	775,918	Facebook, Inc., Class A(b)		66,546,607
	49,645	Google, Inc., Class A(b)		26,810,286


Shares		Description	Value (†)

	Common Stocks – continued

		Internet Software & Services – continued
	49,770	Google, Inc., Class C(b)	$	25,905,783

				156,393,513


		IT Services – 5.6%
	126,406	Automatic Data Processing, Inc.		10,141,553
	845,014	Visa, Inc., Class A		56,742,690

				66,884,243


		Pharmaceuticals – 8.6%
	326,551	Merck & Co., Inc.		18,590,548
	405,022	Novartis AG, ADR		39,829,864
	825,853	Novo Nordisk AS, Sponsored ADR		45,223,710

				103,644,122


		Semiconductors & Semiconductor Equipment – 3.3%
	78,053	Altera Corp.		3,996,313
	93,333	Analog Devices, Inc.		5,990,579
	608,214	ARM Holdings PLC, Sponsored ADR		29,966,704

				39,953,596


		Software – 11.5%
	547,156	Autodesk, Inc.(b)		27,398,837
	163,751	FactSet Research Systems, Inc.		26,611,175
	632,023	Microsoft Corp.		27,903,815
	1,415,342	Oracle Corp.		57,038,283

				138,952,110


		Specialty Retail – 1.4%
	248,018	Lowe’s Cos., Inc.		16,609,765

		Total Common Stocks (Identified Cost $1,044,691,364)		1,183,423,166


Principal Amount		Description	Value (†)

	Short-Term Investments – 1.4%
$	17,478,393	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $17,478,398 on 7/01/2015 collateralized by $17,375,000 U.S. Treasury Note, 2.250% due 3/31/2021 valued at $17,831,094 including accrued interest(c) (Identified Cost $17,478,393)		17,478,393


		Total Investments – 99.7% (Identified Cost $1,062,169,757)(a)	$	1,200,901,559
		Other assets less liabilities – 0.3%		3,192,867

		Net Assets – 100.0%	$	1,204,094,426

(†)

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Broker-dealer bid prices may be used to value debt and unlisted 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.

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

At June 30, 2015, the net unrealized appreciation on investments based on a cost of $1,062,169,757 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	$	157,572,346
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(18,840,544	)

Net unrealized appreciation	$	138,731,802

At September 30, 2014, the Fund had a capital loss carryforward of $46,273,472 of which $11,593,528 expires on September 30, 2017 and $34,679,944 expires on September 30, 2018. 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)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of June 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,183,423,166	$	—	$	—	$	1,183,423,166
Short-Term Investments		—		17,478,393		—		17,478,393

Total	$	1,183,423,166	$	17,478,393	$	—	$	1,200,901,559

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

For the period ended June 30, 2015 there were no transfers among Levels 1, 2 and 3.

Industry Summary at June 30, 2015 (Unaudited)


Internet Software & Services	13.0	%
Software	11.5
Beverages	10.1
Communications Equipment	8.8
Pharmaceuticals	8.6
Internet & Catalog Retail	6.2
Air Freight & Logistics	6.0
IT Services	5.6
Health Care Equipment & Supplies	4.2
Capital Markets	4.0
Food Products	3.8
Semiconductors & Semiconductor Equipment	3.3
Household Products	3.0
Energy Equipment & Services	2.8
Hotels, Restaurants & Leisure	2.5
Biotechnology	2.3
Other Investments, less than 2% each	2.6
Short-Term Investments	1.4

Total Investments	99.7
Other assets less liabilities	0.3

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2015 (Unaudited)

Loomis Sayles High Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 83.0% of Net Assets

	Non-Convertible Bonds – 74.8%

		ABS Home Equity – 3.4%
$	212,144	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.923%, 9/25/2045(b)	$	204,285
	300,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 2.750%, 6/17/2031, 144A(b)		294,752
	159,374	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		168,696
	239,874	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		245,406
	145,094	Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034		147,467
	288,695	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.635%, 7/25/2037, 144A(b)		199,349
	184,550	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		189,147
	41,495	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.673%, 2/25/2035(b)		40,461
	98,739	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-9, Class 12A3, 2.781%, 11/25/2034(b)		97,273
	89,581	Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036		90,473
	85,183	Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.614%, 5/25/2035(b)		82,764
	79,716	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		75,099
	478,545	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034		488,847
	255,412	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		171,625
	299,060	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.457%, 4/25/2035(b)		258,903
	245,285	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 2.661%, 11/20/2035(b)		230,612
	62,789	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		63,084
	368,256	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.837%, 6/19/2035(b)		357,376
	285,245	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.080%, 7/19/2035(b)		270,975
	69,568	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.816%, 12/25/2034(b)		67,006
	471,834	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.716%, 9/25/2035(b)		475,304
	164,081	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036		137,366
	87,970	JPMorgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 4.958%, 3/25/2036(b)		69,907
	343,660	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.687%, 1/25/2036(b)		227,917
	133,322	Lehman Mortgage Trust, Series 2006-1, Class 3A5, 5.500%, 2/25/2036		130,137


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		ABS Home Equity – continued
$	465,170	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 2.663%, 3/25/2035(b)	$	406,568
	435,852	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		342,220
	88,043	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.603%, 5/25/2036(b)		79,501
	278,803	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		287,166
	522,378	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.937%, 1/25/2047(b)		469,949
	101,432	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.918%, 4/25/2047(b)		88,689

				6,458,324


		ABS Other – 0.5%
	302,619	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)		300,743
	124,790	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		132,908
	450,000	Springleaf Funding Trust, Series 2014-AA, Class C, 4.450%, 12/15/2022, 144A		450,970

				884,621


		Aerospace & Defense – 2.1%
	125,000	Huntington Ingalls Industries, Inc., 5.000%, 12/15/2021, 144A		127,188
	355,000	KLX, Inc., 5.875%, 12/01/2022, 144A		358,511
	1,500,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,440,000
	900,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		967,500
	620,000	TransDigm, Inc., 6.000%, 7/15/2022		612,250
	515,000	TransDigm, Inc., 6.500%, 7/15/2024		508,562

				4,014,011


		Airlines – 0.1%
	117,433	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		121,043
	180,407	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		182,965

				304,008


		Automotive – 0.9%
	170,000	General Motors Financial Co., Inc., 3.450%, 4/10/2022		166,575
	620,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		618,450
	310,000	Nexteer Automotive Group Ltd., 5.875%, 11/15/2021, 144A		317,750


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Automotive – continued
$	735,000	ZF North America Capital, Inc., 4.750%, 4/29/2025, 144A	$	711,575

				1,814,350


		Banking – 2.0%
	730,000	Ally Financial, Inc., 4.125%, 2/13/2022		700,800
	2,100,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		636,261
	900,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		715,683
	65,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(c)		72,103
	740,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(c)		822,926
	800,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(d)		861,426

				3,809,199


		Brokerage – 0.3%
	535,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		521,625


		Building Materials – 1.8%
	890,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		720,900
	556,000	CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A		574,626
	50,000	Masco Corp., 6.500%, 8/15/2032		52,750
	345,000	Masco Corp., 7.750%, 8/01/2029		398,475
	245,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		260,925
	1,000,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A		764,700
	900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		209,868
	555,000	Vulcan Materials Co., 4.500%, 4/01/2025		553,612

				3,535,856


		Cable Satellite – 4.3%
	795,000	Altice Financing S.A., 6.625%, 2/15/2023, 144A		789,276
	475,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		463,125
	625,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		607,812
	430,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022		423,550
	15,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		15,075
	895,000	DISH DBS Corp., 5.125%, 5/01/2020		905,069


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Cable Satellite – continued
$	1,620,000	DISH DBS Corp., 5.875%, 11/15/2024	$	1,556,212
	155,000	Numericable-SFR, 5.375%, 5/15/2022, 144A, (EUR)		175,394
	515,000	Unitymedia Hessen GmbH & Co.KG/Unitymedia NRW GmbH, 5.000%, 1/15/2025, 144A		511,138
	1,485,000	Unitymedia KabelBW GmbH, 6.125%, 1/15/2025, 144A		1,551,825
	265,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		268,975
	485,000	Virgin Media Finance PLC, 6.375%, 4/15/2023, 144A		501,369
	375,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		376,406
	130,000	Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(e)		132,301

				8,277,527


		Chemicals – 1.6%
	265,000	Braskem Finance Ltd., 6.450%, 2/03/2024		250,425
	535,000	Eagle Spinco, Inc., 4.625%, 2/15/2021		518,950
	1,510,000	Hercules, Inc., 6.500%, 6/30/2029		1,374,100
	1,125,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		1,040,625

				3,184,100


		Consumer Cyclical Services – 1.1%
	515,000	IHS, Inc., 5.000%, 11/01/2022, 144A		511,781
	455,000	Interval Acquisition Corp., 5.625%, 4/15/2023, 144A		460,688
	1,095,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		1,105,950

				2,078,419


		Electric – 1.7%
	520,000	AES Corp. (The), 5.500%, 4/15/2025		495,300
	525,000	Dynegy, Inc., 7.375%, 11/01/2022, 144A		549,937
	1,502,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(d)		1,723,545
	12,063	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		12,848
	175,000	Talen Energy Supply LLC, 6.500%, 6/01/2025, 144A		175,000
	255,000	TerraForm Power Operating LLC, 5.875%, 2/01/2023, 144A		258,825

				3,215,455


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Environmental – 0.2%
$	335,000	GFL Environmental, Inc., 7.875%, 4/01/2020, 144A	$	343,794


		Finance Companies – 5.3%
	740,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.500%, 5/15/2021, 144A		743,700
	685,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 5.000%, 10/01/2021, 144A		704,694
	130,000	Aircastle Ltd., 5.500%, 2/15/2022		132,682
	910,000	CIT Group, Inc., 3.875%, 2/19/2019		903,175
	65,000	CIT Group, Inc., 5.000%, 8/15/2022		64,350
	545,000	CIT Group, Inc., 5.000%, 8/01/2023		536,825
	600,000	iStar Financial, Inc., 4.000%, 11/01/2017		589,500
	505,000	iStar Financial, Inc., 5.000%, 7/01/2019		498,056
	1,015,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		987,087
	585,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		609,863
	870,000	Navient Corp., 5.000%, 10/26/2020		852,600
	200,000	Navient Corp., 5.875%, 3/25/2021		199,874
	435,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		448,050
	540,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		515,700
	750,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		718,125
	445,000	Springleaf Finance Corp., 5.250%, 12/15/2019		438,881
	1,110,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,204,350

				10,147,512


		Financial Other – 0.9%
	695,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019		700,212
	180,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		183,375
	804,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		836,160

				1,719,747


		Food & Beverage – 0.6%
	1,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)		483,419
	600,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		168,377


Principal Amount (‡)			Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Food & Beverage – continued
$	480,000		WhiteWave Foods Co. (The), 5.375%, 10/01/2022	$	506,400

					1,158,196


			Gaming – 1.5%
	100,000		GLP Capital LP/GLP Financing II, Inc., 4.375%, 11/01/2018		102,625
	740,000		GLP Capital LP/GLP Financing II, Inc., 4.875%, 11/01/2020		752,950
	725,000		MGM Resorts International, 6.000%, 3/15/2023		734,062
	1,205,000		MGM Resorts International, 6.750%, 10/01/2020		1,277,300

					2,866,937


			Government Owned - No Guarantee – 0.9%
	530,000		Petrobras Global Finance BV, 6.250%, 3/17/2024		511,699
	129,850	(††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)		781,925
	465,000		Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A		456,863

					1,750,487


			Health Insurance – 0.5%
	1,025,000		WellCare Health Plans, Inc., 5.750%, 11/15/2020		1,066,000


			Healthcare – 5.0%
	360,000		Amsurg Corp., 5.625%, 7/15/2022		363,150
	215,000		BioScrip, Inc., 8.875%, 2/15/2021		182,750
	1,330,000		CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		1,403,150
	560,000		ExamWorks Group, Inc., 5.625%, 4/15/2023		574,202
	155,000		Fresenius Medical Care U.S. Finance II, Inc., 4.125%, 10/15/2020, 144A		156,938
	145,000		Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024, 144A		143,550
	260,000		HCA, Inc., 5.375%, 2/01/2025		264,238
	170,000		HCA, Inc., 7.050%, 12/01/2027		177,650
	655,000		HCA, Inc., 7.500%, 12/15/2023		720,500
	145,000		HCA, Inc., 7.500%, 11/06/2033		157,325
	590,000		HCA, Inc., 7.690%, 6/15/2025		669,650
	480,000		HCA, Inc., 8.360%, 4/15/2024		566,400
	820,000		HCA, Inc., MTN, 7.580%, 9/15/2025		906,100


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Healthcare – continued
$	515,000	HCA, Inc., MTN, 7.750%, 7/15/2036	$	548,475
	305,000	LifePoint Health, Inc., 5.500%, 12/01/2021		314,912
	540,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		534,600
	310,000	Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A		310,000
	635,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		587,375
	225,000	THC Escrow Corp. II, 6.750%, 6/15/2023, 144A		229,500
	720,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		743,400

				9,553,865


		Home Construction – 1.9%
	1,200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(f)		24,120
	750,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		639,375
	2,005,000	Lennar Corp., 4.750%, 5/30/2025		1,944,850
	915,000	TRI Pointe Holdings, Inc., 4.375%, 6/15/2019		896,700
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A(f)		22,100
	900,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(f)		94,500

				3,621,645


		Independent Energy – 7.8%
	235,000	American Energy-Permian Basin LLC/AEPB Finance Corp., 7.125%, 11/01/2020, 144A		159,800
	490,000	Antero Resources Corp., 5.125%, 12/01/2022		463,050
	90,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		84,375
	840,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		779,100
	370,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		332,075
	625,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		592,187
	75,000	California Resources Corp., 5.000%, 1/15/2020		66,000
	845,000	California Resources Corp., 5.500%, 9/15/2021		735,319
	380,000	California Resources Corp., 6.000%, 11/15/2024		326,800
	550,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		477,125
	280,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		273,000


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Independent Energy – continued
$	70,000	Concho Resources, Inc., 5.500%, 10/01/2022	$	69,650
	125,000	Concho Resources, Inc., 5.500%, 4/01/2023		125,000
	335,000	Continental Resources, Inc., 3.800%, 6/01/2024		305,788
	215,000	Continental Resources, Inc., 4.500%, 4/15/2023		207,305
	170,000	Halcon Resources Corp., 8.625%, 2/01/2020, 144A		167,875
	115,000	Halcon Resources Corp., 8.875%, 5/15/2021		75,613
	490,000	Halcon Resources Corp., 9.750%, 7/15/2020		329,525
	220,000	Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.750%, 4/01/2022		209,550
	145,000	Matador Resources Co., 6.875%, 4/15/2023, 144A		148,081
	410,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		379,250
	60,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		57,750
	265,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		254,069
	625,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		634,375
	485,000	Oasis Petroleum, Inc., 7.250%, 2/01/2019		497,125
	400,000	QEP Resources, Inc., 5.250%, 5/01/2023		383,000
	520,000	QEP Resources, Inc., 5.375%, 10/01/2022		502,164
	1,000,000	Rex Energy Corp., 6.250%, 8/01/2022		790,000
	150,000	Rex Energy Corp., 8.875%, 12/01/2020		135,000
	1,025,000	Rice Energy, Inc., 6.250%, 5/01/2022		1,017,312
	155,000	RKI Exploration & Production LLC/RKI Finance Corp., 8.500%, 8/01/2021, 144A		153,450
	1,435,000	Rosetta Resources, Inc., 5.875%, 6/01/2022		1,531,862
	330,000	RSP Permian, Inc., 6.625%, 10/01/2022, 144A		337,425
	330,000	Sanchez Energy Corp., 6.125%, 1/15/2023		295,350
	70,000	Sanchez Energy Corp., 7.750%, 6/15/2021		69,650
	920,000	SM Energy Co., 5.000%, 1/15/2024		871,700
	35,000	SM Energy Co., 6.125%, 11/15/2022, 144A		35,970
	395,000	Southwestern Energy Co., 4.950%, 1/23/2025		399,072


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Independent Energy – continued
$	115,000	Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A	$	110,400
	55,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		53,900
	455,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		447,720

				14,883,762


		Industrial Other – 0.3%
	265,000	AECOM Technology Corp., 5.750%, 10/15/2022, 144A		268,313
	330,000	Transfield Services Ltd., 8.375%, 5/15/2020, 144A		351,450

				619,763


		Integrated Energy – 0.6%
	100,000	Pacific Rubiales Energy Corp., 5.125%, 3/28/2023, 144A		71,500
	800,000	Pacific Rubiales Energy Corp., 5.375%, 1/26/2019, 144A		657,200
	580,000	Pacific Rubiales Energy Corp., 5.625%, 1/19/2025, 144A		420,500

				1,149,200


		Life Insurance – 0.2%
	340,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		345,508


		Media Entertainment – 0.6%
	1,000,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022		1,041,250
	151,000	DreamWorks Animation SKG, Inc., 6.875%, 8/15/2020, 144A		149,490

				1,190,740


		Metals & Mining – 2.4%
	1,395,000	ArcelorMittal, 7.500%, 3/01/2041		1,367,100
	795,000	CONSOL Energy, Inc., 5.875%, 4/15/2022		675,750
	180,000	Constellium NV, 4.625%, 5/15/2021, 144A, (EUR)		183,867
	460,000	Emeco Pty Ltd., 9.875%, 3/15/2019, 144A		335,800
	460,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A		389,850
	175,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		167,344
	270,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		258,187
	1,260,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024(d)		1,174,033

				4,551,931


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Midstream – 3.7%
$	1,015,000	Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.250%, 4/01/2023, 144A	$	1,055,600
	200,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		206,500
	270,000	MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.875%, 12/01/2024		263,925
	55,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		57,200
	405,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		403,987
	445,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		429,425
	295,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		314,032
	385,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022		376,337
	385,000	Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021		392,700
	480,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025, 144A		475,200
	425,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		439,875
	935,000	Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022		892,925
	408,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019, 144A		403,920
	25,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		23,125
	100,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		99,000
	300,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		312,000
	15,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.875%, 2/01/2021		15,563
	355,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019, 144A		368,313
	360,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022, 144A		373,500
	180,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023, 144A		185,400

				7,088,527


		Non-Agency Commercial Mortgage-Backed Securities – 1.9%
	935,000	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.400%, 5/15/2018, 144A(g)(i)		935,000
	1,690,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.795%, 8/10/2045(b)		1,721,270
	805,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.609%, 11/05/2030, 144A(b)		815,883
	125,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)		129,223

				3,601,376


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Oil Field Services – 0.4%
$	285,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A(g)(i)(j)	$	98,325
	435,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A		143,550
	905,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A		294,125
	35,000	Parker Drilling Co., 6.750%, 7/15/2022		30,188
	155,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		124,000
	40,000	Transocean, Inc., 4.300%, 10/15/2022		30,100

				720,288


		Packaging – 0.8%
	755,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		762,550
	775,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		751,750

				1,514,300


		Pharmaceuticals – 1.3%
	1,540,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		1,621,813
	530,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		563,125
	335,000	VRX Escrow Corp., 5.375%, 3/15/2020, 144A		344,631

				2,529,569


		Property & Casualty Insurance – 0.4%
	786,000	Hockey Merger Sub 2, Inc., 7.875%, 10/01/2021, 144A		801,720


		Retailers – 1.7%
	40,000	Dillard’s, Inc., 7.000%, 12/01/2028		44,200
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		503,512
	205,000	Dillard’s, Inc., 7.750%, 5/15/2027		237,288
	35,000	Dillard’s, Inc., 7.875%, 1/01/2023		41,563
	280,000	Family Tree Escrow LLC, 5.750%, 3/01/2023, 144A		292,600
	1,035,000	GameStop Corp., 5.500%, 10/01/2019, 144A		1,063,462
	280,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		278,600
	255,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		249,581
	245,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		242,550


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Retailers – continued
$	520,000	Nine West Holdings, Inc., 6.125%, 11/15/2034	$	236,600

				3,189,956


		Supermarkets – 0.5%
	935,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		794,750
	140,000	SUPERVALU, Inc., 7.750%, 11/15/2022		146,913

				941,663


		Supranational – 2.0%
	30,700,000	European Bank for Reconstruction & Development, GMTN, 6.000%, 3/03/2016, (INR)		479,716
	458,000,000	International Bank for Reconstruction & Development, EMTN, 4.250%, 2/05/2016, (CLP)		723,601
	21,150,000	International Bank for Reconstruction & Development, Series GDIF, 5.000%, 5/24/2017, (INR)		322,557
	100,890,000	International Finance Corp., 7.800%, 6/03/2019, (INR)(d)		1,634,710
	2,175,000	International Finance Corp., GMTN, 10.500%, 4/17/2018, (BRL)		680,916

				3,841,500


		Technology – 4.4%
	1,545,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,595,212
	1,930,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,987,900
	550,000	Blackboard, Inc., 7.750%, 11/15/2019, 144A		517,000
	445,000	BMC Software Finance, Inc., 8.125%, 7/15/2021, 144A		360,450
	60,000	CommScope Technologies Finance LLC, 6.000%, 6/15/2025, 144A		59,775
	75,000	CommScope, Inc., 4.375%, 6/15/2020, 144A		75,750
	330,000	CommScope, Inc., 5.000%, 6/15/2021, 144A		321,750
	430,000	Equinix, Inc., 4.875%, 4/01/2020		434,300
	480,000	Equinix, Inc., 5.375%, 1/01/2022		481,200
	260,000	First Data Corp., 10.625%, 6/15/2021		287,950
	510,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		481,631
	515,000	Micron Technology, Inc., 5.625%, 1/15/2026, 144A		475,731
	215,000	MSCI, Inc., 5.250%, 11/15/2024, 144A		217,688
	515,000	Open Text Corp., 5.625%, 1/15/2023, 144A		509,850
	240,000	Rolta Americas LLC, 8.875%, 7/24/2019, 144A		198,000


Principal Amount (‡)			Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Technology – continued
$	405,000		Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A	$	398,925

					8,403,112


			Transportation Services – 0.4%
	275,000		APL Ltd., 8.000%, 1/15/2024(g)(i)		231,000
	550,000		Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.125%, 6/01/2022, 144A		536,250

					767,250


			Treasuries – 5.6%
	55,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(h)		22,971
	55,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(h)		23,249
	20,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(h)		8,500
	165,000	(††)	Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)(d)		1,054,053
	131,500	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(d)		871,196
	116,500	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		837,584
	184,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)(d)		1,498,984
	10,000,000		Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		232,868
	120,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)(d)		3,020,625
	1,050,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		320,832
	2,250,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		761,314
	2,070,000		U.S. Treasury Note, 0.875%, 5/15/2017		2,079,704

					10,731,880


			Wireless – 1.8%
	100,000		Altice S.A., 7.250%, 5/15/2022, 144A, (EUR)		112,600
	355,000		Altice S.A., 7.625%, 2/15/2025, 144A		333,700
	785,000		Altice S.A., 7.750%, 5/15/2022, 144A		759,488
	6,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		365,707
	6,100,000		America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		375,443
	786,000		Sprint Capital Corp., 6.875%, 11/15/2028		675,960
	370,000		T-Mobile USA, Inc., 6.125%, 1/15/2022		382,025
	180,000		Wind Acquisition Finance S.A., 4.011%, 7/15/2020, 144A, (EUR)(b)		199,168


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Wireless – continued
$	200,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A	$	197,000

				3,401,091

		Wirelines – 1.4%
	705,000	CenturyLink, Inc., 7.650%, 3/15/2042		638,025
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		124,800
	60,000,000	Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)		21,810
	405,000	Frontier Communications Corp., 9.000%, 8/15/2031		368,550
	705,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		699,712
	345,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		353,625
	35,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		38,238
	85,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		95,625
	450,000	Telecom Italia SpA, 5.303%, 5/30/2024, 144A		448,313

				2,788,698

		Total Non-Convertible Bonds (Identified Cost $147,648,628)		143,387,512


	Convertible Bonds – 8.2%

		Building Materials – 0.7%
	645,000	Lennar Corp., 3.250%, 11/15/2021, 144A		1,408,116


		Consumer Cyclical Services – 0.6%
	875,000	Jarden Corp., 1.125%, 3/15/2034		1,018,828
	115,000	Macquarie Infrastructure Corp., 2.875%, 7/15/2019		135,485

				1,154,313


		Consumer Products – 0.4%
	755,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		771,988


		Energy – 0.4%
	945,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		771,356


		Media Entertainment – 0.5%
	1,035,000	Rovi Corp., 0.500%, 3/01/2020, 144A		945,731


		Midstream – 0.9%
	420,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		397,950


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Convertible Bonds – continued

		Midstream – continued
$	1,290,000	Whiting Petroleum Corp., 1.250%, 4/01/2020, 144A	$	1,409,325

				1,807,275


		Pharmaceuticals – 2.6%
	58,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		89,393
	644,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		1,025,570
	844,000	Emergent Biosolutions, Inc., 2.875%, 1/15/2021		1,045,505
	250,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		1,289,062
	285,000	Mylan, Inc., 3.750%, 9/15/2015(d)		1,448,334

				4,897,864


		REITs - Mortgage – 0.0%
	15,000	Redwood Trust, Inc., 4.625%, 4/15/2018		14,381


		Technology – 2.1%
	126,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020, 144A		131,040
	765,000	Ciena Corp., 3.750%, 10/15/2018, 144A		1,041,356
	185,000	MercadoLibre, Inc., 2.250%, 7/01/2019, 144A		234,025
	115,000	Novellus Systems, Inc., 2.625%, 5/15/2041		273,484
	108,000	Nuance Communications, Inc., 1.500%, 11/01/2035		111,578
	475,000	Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A		773,360
	510,000	SunEdison, Inc., 2.375%, 4/15/2022, 144A		677,981
	328,000	SunEdison, Inc., 2.625%, 6/01/2023, 144A		332,100
	370,000	SunEdison, Inc., 3.375%, 6/01/2025, 144A		382,256

				3,957,180

		Total Convertible Bonds (Identified Cost $13,267,964)		15,728,204

		Total Bonds and Notes (Identified Cost $160,916,592)		159,115,716


	Senior Loans – 1.7%

		Consumer Cyclical Services – 0.3%
	496,713	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(b)		456,146


		Media Entertainment – 0.0%
	91,002	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(b)		53,918


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		Other Utility – 0.2%
$	230,300	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)	$	229,725
	12,623	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(b)		12,591
	95,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		93,575

				335,891


		Supermarkets – 0.4%
	548,625	Albertson’s LLC, Term Loan B4, 5.500%, 8/25/2021(b)		550,732
	281,870	New Albertson’s, Inc., Term Loan, 4.750%, 6/27/2021(b)		282,163

				832,895


		Transportation Services – 0.1%
	99,000	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(b)		98,939


		Wirelines – 0.7%
	1,221,875	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)		1,230,660
	159,324	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		157,997

				1,388,657

		Total Senior Loans (Identified Cost $3,209,464)		3,166,446


Shares

	Preferred Stocks – 5.4%

	Convertible Preferred Stocks – 4.4%

		Consumer Non-Cyclical Services – 0.8%
	31,269	Tyson Foods, Inc., 4.750%		1,610,666


		Electric – 0.7%
	5,356	Dominion Resources, Inc., Series B, 6.000%		288,313
	7,126	Dominion Resources, Inc., Series A, 6.125%		381,882
	1,424	Dominion Resources, Inc., 6.375%		66,501
	10,707	NextEra Energy, Inc., 5.889%		660,729

				1,397,425


		Metals & Mining – 1.0%
	41,881	Alcoa, Inc., Series 1, 5.375%		1,655,556
	21,500	ArcelorMittal, 6.000%		335,615

				1,991,171


Shares		Description	Value (†)

	Preferred Stocks – continued

	Convertible Preferred Stocks – continued

		Midstream – 0.2%
	20	Chesapeake Energy Corp., 5.750%, 144A	$	13,613
	605	Chesapeake Energy Corp., 5.750%		411,778

				425,391


		Pharmaceuticals – 1.1%
	1,978	Allergan PLC, Series A, 5.500%		2,062,223


		REITs - Diversified – 0.5%
	1,035	Crown Castle International Corp., Series A, 4.500%		106,812
	14,399	Weyerhaeuser Co., Series A, 6.375%		748,748

				855,560


		REITs - Mortgage – 0.1%
	2,107	iStar Financial, Inc., Series J, 4.500%		120,078

		Total Convertible Preferred Stocks (Identified Cost $8,807,732)		8,462,514


	Non-Convertible Preferred Stocks – 1.0%

		Banking – 0.7%
	32,853	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		868,962
	483	Ally Financial, Inc., Series G, 7.000%, 144A		488,056

				1,357,018


		Finance Companies – 0.3%
	12,925	iStar Financial, Inc., Series E, 7.875%		317,955
	7,500	iStar Financial, Inc., Series F, 7.800%		184,875
	550	iStar Financial, Inc., Series G, 7.650%		13,547

				516,377

		Total Non-Convertible Preferred Stocks (Identified Cost $1,701,534)		1,873,395

		Total Preferred Stocks (Identified Cost $10,509,266)		10,335,909


	Common Stocks – 1.8%

		Aircraft ABS – 0.5%
	100	ECAF I Blocker Ltd.(g)(i)		1,000,000


		Automobiles – 0.9%
	50,658	General Motors Co.		1,688,431


		Oil, Gas & Consumable Fuels – 0.3%
	14,882	Kinder Morgan, Inc.		571,320


Shares		Description	Value (†)

	Common Stocks – continued

		Trading Companies & Distributors – 0.1%
	2,696	United Rentals, Inc.(j)	$	236,224

		Total Common Stocks (Identified Cost $3,413,285)		3,495,975


	Warrants – 0.0%
	22,512	Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(j)		60,782
	10,360	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(g)(i)(j)		—

		Total Warrants (Identified Cost $29,892)		60,782


Principal Amount (‡)

	Short-Term Investments – 7.1%
	13,096,875	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $13,096,878 on 7/01/2015 collateralized by $13,020,000 U.S. Treasury Note, 2.250% due 3/31/2021 valued at $13,361,775 including accrued interest(k)		13,096,875
	44,182	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2015 at 0.000% to be repurchased at $44,182 on 7/01/2015 collateralized by $44,300 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $45,098 including accrued interest(k)		44,182
	460,000	U.S. Treasury Bills, 0.056%, 8/06/2015(l)(m)		460,000

		Total Short-Term Investments (Identified Cost $13,601,031)		13,601,057


		Total Investments – 99.0% (Identified Cost $191,679,530)(a)		189,775,885
		Other assets less liabilities – 1.0%		1,880,661

		Net Assets – 100.0%	$	191,656,546

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

(†)

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

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

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

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

(a)	Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2015, the net unrealized depreciation on investments based on a cost of $191,853,237 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	$	9,965,221
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(12,042,573	)

Net unrealized depreciation	$	(2,077,352	)

(b)	Variable rate security. Rate as of June 30, 2015 is disclosed.

(c)	Perpetual bond with no specified maturity date.

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

(e)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended June 30, 2015, interest payments were made in cash.

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

(g)	Illiquid security. At June 30, 2015, the value of these securities amounted to $2,264,325 or 1.2% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(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 adviser. At June 30, 2015, the value of these securities amounted to $2,264,325 (includes illiquid securities) or 1.2% of net assets.

(j)	Non-income producing security.

(k)

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

(m)	A portion of this security has been pledged as initial margin for open futures contracts.

144A

ABS	Asset-Backed Securities

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

PIK	Payment-in-Kind

REITs

Real Estate Investment Trusts

AUD	Australian Dollar

BRL	Brazilian Real

CLP	Chilean Peso

COP	Colombian Peso

EUR

Euro

INR	Indian Rupee

MXN	Mexican Peso

PHP	Philippine Peso

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts. 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, 2015, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell¹	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell		7/30/2015	Euro		1,300,000	$	1,449,830	$	(44,335	)

¹	Counterparty is Bank of America, N.A.

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular 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. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). 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, commodities 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, 2015, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		9/21/2015		66	$	8,327,344	$	79,157
30 Year U.S. Treasury Bond		9/21/2015		23		3,469,406		96,582

								175,739

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2			Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	132,908		$	751,713	(a)	$	884,621
Non-Agency Commercial Mortgage-Backed Securities		—		2,666,376			935,000	(a)		3,601,376
All Other Non-Convertible Bonds*		—		138,901,515			—			138,901,515

Total Non-Convertible Bonds		—		141,700,799			1,686,713			143,387,512

Convertible Bonds*		—		15,728,204			—			15,728,204

Total Bonds and Notes		—		157,429,003			1,686,713			159,115,716

Senior Loans*		—		3,166,446			—			3,166,446
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		425,391			—			425,391
REITs - Mortgage		—		120,078			—			120,078
All Other Convertible Preferred Stocks*		7,917,045		—			—			7,917,045

Total Convertible Preferred Stocks		7,917,045		545,469			—			8,462,514

Non-Convertible Preferred Stocks*		1,873,395		—			—			1,873,395

Total Preferred Stocks		9,790,440		545,469			—			10,335,909

Common Stocks*		2,495,975		—			1,000,000	(b)		3,495,975
Warrants		60,782		—	(c)		—			60,782
Short-Term Investments		—		13,601,057			—			13,601,057

Total Investments		12,347,197		174,741,975			2,686,713			189,775,885

Futures Contracts (unrealized appreciation)		175,739		—			—			175,739

Total	$	12,522,936	$	174,741,975		$	2,686,713		$	189,951,624

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(44,335	)	$	—	$	(44,335	)

*	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 Fund’s Adviser

(c)	Fair valued at zero using level 2 inputs

A preferred stock valued at $941,666 was transferred from Level 2 to Level 1 during the period ended June 30, 2015. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At June 30, 2015, 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 adviser and approved by the Board of Trustees. Debt securities are valued based on 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 adviser, subject to oversight by Fund management and the Board of Trustees. If the 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 Fund’s adviser pursuant to procedures approved by 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, 2015:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2014		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, 2015		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	447,739	$	—	$	—		$	1,355		$	310,000	$	(7,381	)	$	—	$	—	$	751,713	$	1,355
Airlines		4,985		—		934			(1,031	)		—		(4,888	)		—		—		—		—
Non-Agency Commercial Mortgage-Backed Securities		—		—		—			—			935,000		—			—		—		935,000		—
Convertible Bonds
Wirelines		5,740		—		(1,628	)		1,151			—		(5,263	)		—		—		—		—
Common Stocks
Aircraft ABS		—		—		—			—			1,000,000		—			—		—		1,000,000		—

Total	$	458,464	$	—	$	(694	)	$	1,475		$	2,245,000	$	(17,532	)	$	—	$	—	$	2,686,713	$	1,355

Derivatives

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 its duration without having to buy or sell portfolio securities. During the period ended June 30, 2015, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of June 30, 2015:


Assets	Unrealized appreciation on futures contracts
Exchange-traded/cleared asset derivatives
Interest rate contracts	$	175,739

Liabilities	Unrealized depreciation forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(44,335	)

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 the 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, 2015, 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
Bank of America, N.A.	$	(44,335	)		—

Timing differences may exist between when contacts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

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 Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2015:


Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
$	193,500	$	193,500

Industry Summary at June 30, 2015 (Unaudited)


Independent Energy	7.8	%
Technology	6.5
Treasuries	5.6
Finance Companies	5.6
Healthcare	5.0
Pharmaceuticals	5.0
Midstream	4.8
Cable Satellite	4.3
Metals & Mining	3.4
ABS Home Equity	3.4
Banking	2.7
Building Materials	2.5
Electric	2.4
Wirelines	2.1
Aerospace & Defense	2.1
Supranational	2.0
Consumer Cyclical Services	2.0
Other Investments, less than 2% each	24.7
Short-Term Investments	7.1

Total Investments	99.0
Other assets less liabilities (including forward foreign currency contracts and futures contracts)	1.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2015 (Unaudited)

Loomis Sayles Investment Grade Bond Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 94.2% of Net Assets

	Non-Convertible Bonds – 89.0%

		ABS Car Loan – 0.2%
$	20,999,250	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A	$	21,393,574


		ABS Other – 2.4%
	766,380	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029(b)		772,907
	57,694,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		65,691,196
	2,364,390	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		2,413,905
	57,339,951	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(b)		57,058,985
	44,878,000	John Deere Owner Trust, Series 2015-A, Class A3, 1.320%, 6/17/2019		45,015,686
	11,600,000	John Deere Owner Trust, Series 2015-A, Class A4, 1.650%, 12/15/2021		11,645,078
	1,346,829	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		1,347,150
	34,862,345	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		39,585,182
	12,303,265	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		12,725,107
	3,211,481	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		3,154,070
	7,116,790	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		7,330,237

				246,739,503


		Aerospace & Defense – 1.2%
	2,100,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		1,974,000
	78,795,000	Textron, Inc., 5.950%, 9/21/2021		90,225,081
	11,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		19,845,186
	10,280,000	TransDigm, Inc., 6.500%, 5/15/2025, 144A		10,177,200

				122,221,467


		Airlines – 2.5%
	4,614,033	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		4,798,595
	11,085,144	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		11,158,084
	18,340,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		19,119,450
	260,361	Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019		268,640
	661,290	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		724,509


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Airlines – continued
$	5,438,878	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022	$	6,166,057
	1,338,421	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,469,720
	3,040,289	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		3,230,307
	48,473,423	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		54,047,867
	10,648,202	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		11,313,714
	20,985,469	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		22,401,988
	16,178,997	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		18,727,189
	2,443,708	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		2,578,112
	1,526,122	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,751,225
	10,091,562	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		11,580,067
	21,038,309	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		24,036,268
	2,032,473	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		2,215,396
	13,892,061	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		15,038,156
	19,589,422	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		21,009,655
	249,918	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		272,411
	13,638,616	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		15,820,795
	8,595,631	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		8,939,456
	2,484,238	Virgin Australia Pass Through Trust, Series 2013-1A, 5.000%, 4/23/2025, 144A		2,597,420

				259,265,081


		Automotive – 1.0%
	23,581,000	Cummins, Inc., 5.650%, 3/01/2098		24,789,361
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		6,482,110
	2,680,000	Ford Motor Co., 6.375%, 2/01/2029		3,161,634
	125,000	Ford Motor Co., 6.500%, 8/01/2018		141,622
	255,000	Ford Motor Co., 6.625%, 2/15/2028		292,041
	5,074,000	Ford Motor Co., 6.625%, 10/01/2028		6,179,107
	3,243,000	Ford Motor Co., 7.400%, 11/01/2046		4,294,254
	4,569,000	Ford Motor Co., 7.450%, 7/16/2031		5,838,300


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Automotive – continued
$	240,000	Ford Motor Co., 7.500%, 8/01/2026	$	299,089
	5,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		5,375,440
	40,126,000	Ford Motor Credit Co. LLC, 6.625%, 8/15/2017		44,021,553
	2,370,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,512,200

				103,386,711


		Banking – 14.2%
	22,547,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		28,030,340
	1,468,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,871,700
	7,200,000	American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017		7,871,249
	35,878,000	Associates Corp. of North America, 6.950%, 11/01/2018		41,277,065
	11,400,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		3,453,990
	11,641,000	Bank of America Corp., 2.600%, 1/15/2019		11,767,770
	3,590,000	Bank of America Corp., 5.420%, 3/15/2017		3,803,975
	3,132,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		3,867,734
	25,627,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		25,238,418
	100,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		97,960
	11,000,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		12,075,437
	17,249,000	Bank of America NA, 5.300%, 3/15/2017		18,269,520
	1,056,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		1,148,969
	7,110,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		6,391,319
	2,173,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		2,341,497
	370,000	BNP Paribas/Australia, 7.000%, 5/24/2016, (AUD)		295,919
	8,994,000	Capital One Financial Corp., 6.150%, 9/01/2016		9,493,041
	56,000,000	Citigroup, Inc., 2.500%, 9/26/2018		56,630,672
	17,000,000	Citigroup, Inc., 3.500%, 5/15/2023		16,597,593
	1,660,000	Citigroup, Inc., 4.500%, 1/14/2022		1,788,082
	22,960,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		16,153,255
	2,700,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(b)		2,275,004


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Banking – continued
$	5,445,000	Citigroup, Inc., 6.125%, 5/15/2018	$	6,076,130
	44,910,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		31,890,498
	2,398,000	Citigroup, Inc., EMTN, 1.257%, 11/30/2017, (EUR)(c)		2,666,458
	4,750,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 1.700%, 3/19/2018		4,761,733
	21,855,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.875%, 2/08/2022		22,735,909
	5,265,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.950%, 11/09/2022		5,264,294
	86,800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		72,184,381
	1,174,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		1,324,755
	112,330,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		131,757,249
	6,645,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		7,399,340
	4,467,000	HBOS PLC, 6.000%, 11/01/2033, 144A		4,812,648
	1,000,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		1,108,753
	700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		719,537
	70,245,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		69,070,223
	36,745,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		25,108,292
	2,950,000	JPMorgan Chase & Co., EMTN, 1.068%, 5/30/2017, (GBP)(c)		4,565,659
	16,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,169,233
	100,000	Keybank NA, 6.950%, 2/01/2028		127,642
	9,787,000	Lloyds Bank PLC, EMTN, 4.570%, 10/13/2015, (CAD)		7,901,220
	81,622,000	Lloyds Bank PLC, MTN, 6.500%, 9/14/2020, 144A		94,077,925
	103,309,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		115,790,587
	40,126,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		45,822,287
	78,200,000	Morgan Stanley, 2.125%, 4/25/2018		78,728,476
	4,250,000	Morgan Stanley, 3.450%, 11/02/2015		4,288,535
	1,845,000	Morgan Stanley, 4.350%, 9/08/2026		1,807,879
	30,000,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		23,915,247
	1,455,000	Morgan Stanley, 4.875%, 11/01/2022		1,547,695


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Banking – continued
$	56,867,000	Morgan Stanley, 5.500%, 7/24/2020	$	63,774,862
	5,900,000	Morgan Stanley, 5.750%, 1/25/2021		6,721,964
	151,076,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		109,409,930
	60,800,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		50,864,456
	550,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		922,710
	24,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		19,164,406
	20,695,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		20,733,679
	38,206,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		42,813,414
	2,239,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		3,572,431
	2,875,000	National City Bank of Indiana, 4.250%, 7/01/2018		3,053,348
	8,638,000	National City Corp., 6.875%, 5/15/2019		10,017,713
	35,900,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		38,656,474
	5,250,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		6,079,850
	6,150,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		7,679,776
	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)		1,881,288
	700,000	Santander Central Hispano Issuances Ltd., 7.250%, 11/01/2015		711,607
	16,175,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		16,578,259
	1,800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		1,868,161
	3,300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		3,596,221

				1,445,463,643


		Brokerage – 1.0%
	50,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		51,897,240
	19,498,000	Jefferies Group LLC, 6.250%, 1/15/2036		19,334,275
	8,760,000	Jefferies Group LLC, 6.450%, 6/08/2027		9,511,021
	1,693,000	Jefferies Group LLC, 6.875%, 4/15/2021		1,937,833
	16,875,000	Jefferies Group LLC, 8.500%, 7/15/2019		20,033,207

				102,713,576


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Building Materials – 1.1%
$	10,942,000	Masco Corp., 5.850%, 3/15/2017	$	11,598,520
	6,616,000	Masco Corp., 6.125%, 10/03/2016		6,963,340
	6,058,000	Masco Corp., 6.500%, 8/15/2032		6,391,190
	28,539,000	Masco Corp., 7.125%, 3/15/2020		33,105,240
	5,725,000	Masco Corp., 7.750%, 8/01/2029		6,612,375
	9,300,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		2,168,634
	284,000	Owens Corning, 6.500%, 12/01/2016		302,029
	41,379,000	Owens Corning, 7.000%, 12/01/2036		47,275,011

				114,416,339


		Cable Satellite – 1.1%
	17,832,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		16,232,260
	13,630,000	Time Warner Cable, Inc., 4.125%, 2/15/2021		14,072,225
	2,800,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		2,283,966
	4,101,000	Time Warner Cable, Inc., 5.850%, 5/01/2017		4,379,327
	64,548,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		71,967,986

				108,935,764


		Chemicals – 0.5%
	50,500,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		49,742,500


		Construction Machinery – 0.1%
	6,787,000	Toro Co., 6.625%, 5/01/2037(b)		7,629,830


		Consumer Products – 0.1%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		8,368,793
	6,170,000	Newell Rubbermaid, Inc., 4.000%, 12/01/2024		6,249,667

				14,618,460


		Diversified Manufacturing – 0.1%
	1,395,000	Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018		1,585,985
	11,754,000	Snap-on, Inc., 6.700%, 3/01/2019		13,516,748

				15,102,733


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Electric – 2.3%
$	29,767,079	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A	$	34,601,283
	8,906,393	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		9,097,524
	9,066,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		9,677,701
	30,430,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		30,725,354
	12,285,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		12,792,174
	3,200,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		3,427,206
	4,491,000	Endesa S.A., 7.875%, 2/01/2027		5,841,601
	40,453,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		44,920,063
	9,007,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		10,858,929
	7,921,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		13,931,907
	5,386,008	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(b)		5,921,776
	50,026,000	Southwestern Electric Power Co., 6.450%, 1/15/2019		56,904,225

				238,699,743


		Finance Companies – 5.3%
	66,384,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		75,821,481
	3,500,000	GE Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		2,731,948
	1,874,000	GE Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD)		1,587,483
	35,580,000	General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		24,537,693
	14,225,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		10,012,517
	51,370,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		35,853,224
	5,882,000	General Electric Capital Corp., Series A, MTN, 0.575%, 5/13/2024(c)		5,639,368
	26,931,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		18,366,226
	210,000	International Lease Finance Corp., 3.875%, 4/15/2018		211,050
	18,830,000	International Lease Finance Corp., 4.625%, 4/15/2021		19,018,300
	27,395,000	International Lease Finance Corp., 5.875%, 4/01/2019		29,208,549
	3,063,000	International Lease Finance Corp., 5.875%, 8/15/2022		3,308,040
	12,465,000	International Lease Finance Corp., 6.250%, 5/15/2019		13,477,781
	60,419,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		67,367,185


Principal Amount (‡)			Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Finance Companies – continued
$	90,196,000		Navient LLC, 5.500%, 1/25/2023	$	85,686,200
	62,425	(††)	Navient LLC, 6.000%, 12/15/2043		1,346,299
	2,270,000		Navient LLC, MTN, 4.625%, 9/25/2017		2,306,888
	8,895,000		Navient LLC, MTN, 7.250%, 1/25/2022		9,384,225
	641,000		Navient LLC, MTN, 8.000%, 3/25/2020		714,715
	15,792,000		Navient LLC, Series A, MTN, 5.000%, 6/15/2018		15,732,780
	19,496,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033		15,791,760
	14,625,000		Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		14,003,437
	19,727,000		Springleaf Finance Corp., 5.250%, 12/15/2019		19,455,754
	48,535,000		Springleaf Finance Corp., 7.750%, 10/01/2021		52,660,475
	19,414,000		Springleaf Finance Corp., 8.250%, 10/01/2023		21,889,285

					546,112,663


			Government Guaranteed – 0.4%
	12,910,000		Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)		10,511,056
	4,000,000		Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)		3,293,995
	31,142,000		Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		22,800,447

					36,605,498


			Government Owned – No Guarantee – 0.6%
	3,720,000		Abu Dhabi National Energy Co. PJSC, 6.500%, 10/27/2036, 144A		4,503,060
	36,975,000		Abu Dhabi National Energy Co. PJSC, 7.250%, 8/01/2018, 144A		42,316,039
	12,575,000		Pertamina Persero PT, 6.450%, 5/30/2044, 144A		12,386,375
	7,565,000		Petrobras Global Finance BV, 5.625%, 5/20/2043		5,846,988
	1,000,000		Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A		1,295,310

					66,347,772


			Health Insurance – 0.0%
	1,569,000		Cigna Corp., 7.875%, 5/15/2027		2,088,171
	1,174,000		CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d)		1,569,450

					3,657,621


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Healthcare – 1.9%
$	7,692,000	Boston Scientific Corp., 6.000%, 1/15/2020	$	8,710,252
	7,374,000	Covidien International Finance S.A., 6.000%, 10/15/2017		8,126,406
	9,459,000	Express Scripts, Inc., 7.250%, 6/15/2019		11,157,288
	6,440,000	HCA, Inc., 4.750%, 5/01/2023		6,520,500
	73,785,000	HCA, Inc., 5.250%, 4/15/2025		76,736,400
	1,055,000	HCA, Inc., 5.375%, 2/01/2025		1,072,196
	802,000	HCA, Inc., 5.875%, 3/15/2022		872,175
	52,905,000	HCA, Inc., 5.875%, 5/01/2023		56,211,562
	2,936,000	HCA, Inc., 7.050%, 12/01/2027		3,068,120
	4,119,000	HCA, Inc., 7.500%, 12/15/2023		4,530,900
	1,282,000	HCA, Inc., 7.500%, 11/06/2033		1,390,970
	3,807,000	HCA, Inc., 7.690%, 6/15/2025		4,320,945
	4,164,000	HCA, Inc., 8.360%, 4/15/2024		4,913,520
	1,199,000	HCA, Inc., MTN, 7.580%, 9/15/2025		1,324,895
	3,068,000	HCA, Inc., MTN, 7.750%, 7/15/2036		3,267,420
	2,200,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		2,035,000

				194,258,549


		Home Construction – 0.1%
	9,200,000	Pulte Group, Inc., 6.000%, 2/15/2035		8,947,000
	3,567,000	Pulte Group, Inc., 6.375%, 5/15/2033		3,611,587

				12,558,587


		Independent Energy – 0.9%
	8,105,000	Continental Resources, Inc., 3.800%, 6/01/2024		7,398,236
	610,000	Continental Resources, Inc., 4.500%, 4/15/2023		588,167
	9,787,000	EQT Corp., 8.125%, 6/01/2019		11,455,997
	60,038,000	Equitable Resources, Inc., 6.500%, 4/01/2018		65,803,509
	7,240,000	Newfield Exploration Co., 5.625%, 7/01/2024		7,312,400

				92,558,309


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Integrated Energy – 0.1%
$	7,700,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A	$	8,303,126


		Life Insurance – 1.2%
	3,920,000	American International Group, Inc., 4.125%, 2/15/2024		4,067,682
	1,475,000	American International Group, Inc., 4.875%, 6/01/2022		1,617,953
	1,515,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		1,670,268
	600,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(e)		1,012,681
	5,900,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		7,356,375
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		17,300,700
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		11,269,605
	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		40,697,144
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		7,287,098
	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		3,360,832
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		19,087,417
	4,732,000	Unum Group, 7.125%, 9/30/2016		5,053,606

				119,781,361


		Local Authorities – 2.0%
	7,448,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		5,074,442
	37,829,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		30,304,628
	152,895,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		129,031,507
	17,930,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		14,608,980
	6,166	Province of Alberta, 5.930%, 9/16/2016, (CAD)		5,115
	489,000	Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)		544,900
	29,791,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		20,406,345

				199,975,917


		Lodging – 0.6%
	52,516,000	Choice Hotels International, Inc., 5.700%, 8/28/2020		56,585,990
	100,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		105,515

				56,691,505


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Media Entertainment – 0.4%
$	4,482,000	21st Century Fox America, Inc., 8.150%, 10/17/2036	$	6,205,024
	358,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		19,414,567
	5,000,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		4,525,000
	1,805,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		1,863,663
	4,445,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		5,017,294
	3,616,000	Viacom, Inc., 6.125%, 10/05/2017		3,944,969

				40,970,517


		Metals & Mining – 2.4%
	1,632,848	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(f)		963,380
	15,000,000	Alcoa, Inc., 5.400%, 4/15/2021		15,721,800
	15,060,000	Alcoa, Inc., 5.870%, 2/23/2022		16,189,500
	45,700,000	Alcoa, Inc., 5.900%, 2/01/2027		48,327,750
	5,505,000	Alcoa, Inc., 5.950%, 2/01/2037		5,491,238
	5,804,000	Alcoa, Inc., 6.750%, 1/15/2028		6,456,950
	430,000	ArcelorMittal, 6.250%, 3/01/2021		450,425
	4,085,000	ArcelorMittal, 7.000%, 2/25/2022		4,401,588
	47,920,000	ArcelorMittal, 7.500%, 3/01/2041		46,961,600
	19,365,000	ArcelorMittal, 7.750%, 10/15/2039		19,268,175
	20,625,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		19,284,375
	15,701,000	Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc., 6.500%, 11/15/2020		16,603,807
	4,612,000	United States Steel Corp., 6.650%, 6/01/2037		4,104,680
	31,210,000	United States Steel Corp., 7.000%, 2/01/2018		33,316,675
	3,655,000	Vale Overseas Ltd., 6.875%, 11/21/2036		3,533,691
	4,893,000	Worthington Industries, Inc., 6.500%, 4/15/2020		5,539,859

				246,615,493


		Midstream – 2.5%
	650,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		622,956
	525,000	Energy Transfer Partners LP, 4.150%, 10/01/2020		539,574


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Midstream – continued
$	3,328,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A	$	3,919,279
	14,300,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		15,485,999
	14,660,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		13,666,726
	3,105,000	Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020		3,375,495
	7,461,000	Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021		8,261,774
	303,000	Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016		309,705
	8,715,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		8,932,875
	85,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		90,100
	1,745,000	NiSource Finance Corp., 6.125%, 3/01/2022		2,015,751
	8,900,000	NiSource Finance Corp., 6.400%, 3/15/2018		9,974,221
	21,614,000	NiSource Finance Corp., 6.800%, 1/15/2019		24,915,431
	46,655,000	ONEOK Partners LP, 4.900%, 3/15/2025		46,150,800
	9,899,000	Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017		10,852,125
	47,594,000	Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018		53,760,802
	1,404,000	Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019		1,642,867
	1,880,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,009,630
	15,683,000	Plains All American Pipeline LP/PAA Finance Corp., 6.500%, 5/01/2018		17,655,984
	4,125,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		4,393,335
	19,574,000	Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A		21,329,005
	8,405,000	Williams Partners LP, 3.350%, 8/15/2022		7,954,013

				257,858,447


		Mortgage Related – 0.0%
	29,806	FHLMC, 5.000%, 12/01/2031		33,163
	4,760	FNMA, 6.000%, 7/01/2029		5,457

				38,620


		Non-Agency Commercial Mortgage-Backed Securities – 2.3%
	11,450,000	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 2.686%, 12/15/2027, 144A(c)		11,477,205
	1,588,139	Column Canada Issuer Corp., Series 2006-WEM, Class A1, 4.591%, 1/15/2022, (CAD)		1,286,532


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
	3,514,000	Column Canada Issuer Corp., Series 2006-WEM, Class A2, 4.934%, 1/15/2022, (CAD)	$	2,910,205
	9,785,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV3, 3.136%, 10/15/2031, 144A(b)(c)		9,793,904
	8,515,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV4, 4.336%, 10/15/2031, 144A(b)(c)		8,538,161
	45,750,121	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.890%, 6/15/2039(c)		48,223,190
	23,914,111	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 6.147%, 9/15/2039(c)		25,413,908
	6,711,090	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(c)		7,121,104
	69,500,000	Extended Stay America Trust, Series 2013, Class 7-ESH7, 3.902%, 12/05/2031, 144A		70,165,741
	8,822,041	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		7,129,466
	27,000,000	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)		22,037,534
	9,786,870	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.989%, 8/12/2045, 144A(c)		10,426,217
	6,851,000	Vornado DP LLC, Series 2010-VNO, Class D, 6.356%, 9/13/2028, 144A		7,874,649
	2,125,000	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.722%, 3/15/2044, 144A(c)		2,261,306

				234,659,122


		Oil Field Services – 0.3%
	5,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023		4,966,120
	23,338,000	Rowan Cos., Inc., 7.875%, 8/01/2019		26,435,653
	587,000	Transocean Ltd., 7.375%, 4/15/2018		607,545

				32,009,318


		Packaging – 0.1%
	5,735,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		5,778,012


		Paper – 1.1%
	4,365,000	Celulosa Arauco y Constitucion S.A., 7.250%, 7/29/2019		5,042,457
	23,225,000	Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A		25,925,580
	644,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		872,138
	1,031,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,487,304
	7,049,000	International Paper Co., 8.700%, 6/15/2038		9,659,167
	5,270,000	Mead Corp. (The), 7.550%, 3/01/2047(b)		6,206,437
	5,068,000	Westvaco Corp., 8.200%, 1/15/2030		6,835,105


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Paper – continued
$	26,007,000	Weyerhaeuser Co., 6.875%, 12/15/2033	$	31,190,117
	7,374,000	Weyerhaeuser Co., 7.375%, 10/01/2019		8,728,795
	13,539,000	Weyerhaeuser Co., 7.375%, 3/15/2032		16,930,140

				112,877,240


		Property & Casualty Insurance – 0.4%
	2,740,000	Fidelity National Financial, Inc., 5.500%, 9/01/2022		2,882,466
	9,038,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		10,568,739
	4,245,000	Loews Corp., 2.625%, 5/15/2023		4,058,946
	1,889,000	MBIA Insurance Corp., 11.535%, 1/15/2033, 144A(c)(g)		897,275
	6,555,000	Old Republic International Corp., 4.875%, 10/01/2024		6,781,515
	7,609,000	Sirius International Group, 6.375%, 3/20/2017, 144A		7,999,304
	2,212,000	XLIT Ltd., 6.250%, 5/15/2027		2,586,480
	1,463,000	XLIT Ltd., 6.375%, 11/15/2024		1,724,241

				37,498,966


		Railroads – 0.1%
	9,787,000	Canadian Pacific Railway Co., 7.250%, 5/15/2019		11,554,904
	237,000	Missouri Pacific Railroad Co., 4.750%, 1/01/2030(b)		226,729
	1,701,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		1,586,436
	191,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)		189,474

				13,557,543


		Real Estate Operations/Development – 0.3%
	10,276,000	First Industrial LP, 5.950%, 5/15/2017		11,033,238
	18,869,000	ProLogis LP, 7.375%, 10/30/2019		22,336,896

				33,370,134


		REITs - Apartments – 0.2%
	16,491,000	Camden Property Trust, 5.700%, 5/15/2017		17,690,935


		REITs - Diversified – 0.2%
	380,000	Duke Realty LP, 5.950%, 2/15/2017		407,070
	18,243,000	Duke Realty LP, 6.500%, 1/15/2018		20,381,791

				20,788,861


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		REITs - Health Care – 0.1%
$	5,972,000	Health Care REIT, Inc., 6.500%, 3/15/2041	$	7,052,394


		REITs - Office Property – 0.3%
	20,817,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		22,224,021
	11,306,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		12,911,316

				35,135,337


		REITs - Shopping Centers – 0.1%
	4,893,000	Equity One, Inc., 6.000%, 9/15/2017		5,315,051


		REITs - Single Tenant – 0.4%
	8,690,000	Realty Income Corp., 5.750%, 1/15/2021		9,775,789
	22,701,000	Realty Income Corp., 6.750%, 8/15/2019		26,275,091

				36,050,880


		Restaurants – 0.1%
	10,320,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		10,527,380


		Retailers – 0.4%
	1,696,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		1,659,960
	5,979,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		4,424,460
	5,446,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		4,111,730
	10,467,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		12,288,614
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		9,480,337
	3,755,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023		4,421,512

				36,386,613


		Sovereigns – 0.4%
	33,600,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		37,938,768


		Supermarkets – 0.6%
	23,950,000	Albertsons Holdings LLC/Saturn Acquisition Merger Sub, Inc., 7.750%, 10/15/2022, 144A		25,446,875
	1,120,000	Delhaize Group S.A., 5.700%, 10/01/2040		1,136,690
	3,269,000	Kroger Co. (The), 6.400%, 8/15/2017		3,599,150
	6,595,000	New Albertson’s, Inc., 7.450%, 8/01/2029		6,331,200
	7,875,000	New Albertson’s, Inc., 8.000%, 5/01/2031		7,796,250


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Supermarkets – continued
$	989,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028	$	840,650
	17,290,000	SUPERVALU, Inc., 6.750%, 6/01/2021		17,462,900

				62,613,715


		Supranational – 0.4%
	9,640,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		8,454,662
	12,982,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		9,359,028
	58,420,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		18,053,435

				35,867,125


		Technology – 1.4%
	4,600,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		4,749,500
	1,028,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		1,141,516
	1,507,000	Avnet, Inc., 6.625%, 9/15/2016		1,592,024
	7,487,000	Corning, Inc., 7.250%, 8/15/2036		9,441,159
	7,051,000	Equifax, Inc., 7.000%, 7/01/2037		8,407,408
	70,969,000	Ingram Micro, Inc., 5.250%, 9/01/2017		75,934,346
	7,795,000	Intuit, Inc., 5.750%, 3/15/2017		8,340,260
	16,735,000	KLA-Tencor Corp., 5.650%, 11/01/2034		16,804,969
	1,502,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		1,651,318
	1,833,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		2,294,876
	5,603,000	Tyco Electronics Group S.A., 6.550%, 10/01/2017		6,216,988
	561,000	Xerox Corp., 6.350%, 5/15/2018		625,204
	7,110,000	Xerox Corp., 6.750%, 2/01/2017		7,658,828

				144,858,396


		Transportation Services – 0.7%
	8,436,000	Erac USA Finance Co., 6.375%, 10/15/2017, 144A		9,273,391
	2,824,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		3,436,500
	51,504,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		62,955,915

				75,665,806


Principal Amount (‡)			Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Treasuries – 27.9%
	372,145,000		Canadian Government, 0.250%, 5/01/2017, (CAD)	$	296,735,730
	312,405,000		Canadian Government, 1.000%, 8/01/2016, (CAD)		251,307,186
	209,501,000		Canadian Government, 1.250%, 9/01/2018, (CAD)		171,837,786
	61,795,000		Canadian Government, 1.750%, 9/01/2019, (CAD)		51,676,749
	90,055,000		Canadian Government, 2.750%, 9/01/2016, (CAD)		73,940,995
	156,655,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		126,674,820
	4,159,000		Canadian Government, 4.000%, 6/01/2016, (CAD)		3,433,523
	2,755,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		19,548,519
	2,965,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		20,723,572
	7,555,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		54,317,121
	1,925,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		14,591,727
	23,970,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		195,275,244
	36,850,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		26,761,828
	109,763,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		79,878,837
	290,574,000		Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		41,969,968
	974,276,000		Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		132,259,074
	416,760,000		Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		60,214,111
	43,590,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		13,319,128
	23,848,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		8,069,247
	1,040,764,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		5,486,203
	391,985,000		Republic of Iceland, 7.250%, 10/26/2022, (ISK)		2,104,534
	1,195,394,000		Republic of Iceland, 8.750%, 2/26/2019, (ISK)		6,691,993
	53,645,000		U.S. Treasury Bond, 2.500%, 2/15/2045		47,211,892
	235,715,000		U.S. Treasury Bond, 3.000%, 5/15/2045		231,000,700
	282,105,000		U.S. Treasury Note, 0.375%, 3/31/2016		282,391,619
	110,000,000		U.S. Treasury Note, 0.375%, 4/30/2016		110,077,330
	125,000,000		U.S. Treasury Note, 0.500%, 6/30/2016		125,205,125


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Treasuries – continued
$	250,000,000	U.S. Treasury Note, 0.500%, 1/31/2017	$	249,922,000
	150,000,000	U.S. Treasury Note, 0.500%, 3/31/2017		149,847,600

				2,852,474,161


		Wireless – 0.5%
	559,910,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		34,127,169
	58,200,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		3,582,098
	6,373,000	Sprint Capital Corp., 6.875%, 11/15/2028		5,480,780
	612,000	Sprint Capital Corp., 8.750%, 3/15/2032		595,170
	1,609,000	Sprint Communications, Inc., 6.000%, 11/15/2022		1,470,224
	985,000	Sprint Corp., 7.125%, 6/15/2024		913,686

				46,169,127


		Wirelines – 4.5%
	33,710,000	AT&T, Inc., 2.625%, 12/01/2022		31,670,950
	26,815,000	AT&T, Inc., 3.000%, 2/15/2022		26,174,309
	406,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		423,615
	2,936,000	BellSouth Telecommunications LLC, 5.850%, 11/15/2045		2,998,114
	62,040,000	CenturyLink, Inc., 6.450%, 6/15/2021		62,505,300
	4,990,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		4,790,400
	2,708,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,454,125
	24,103,000	Embarq Corp., 7.995%, 6/01/2036		26,722,996
	825,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		875,531
	5,200,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		1,555,434
	8,450,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		8,761,045
	18,850,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		21,379,523
	2,755,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		2,706,788
	4,370,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		4,697,750
	3,469,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		3,573,070
	333,000	Qwest Corp., 6.500%, 6/01/2017		360,027


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Wirelines – continued
$	14,480,000	Qwest Corp., 6.875%, 9/15/2033	$	14,317,679
	4,668,000	Qwest Corp., 7.200%, 11/10/2026		4,706,945
	9,077,000	Qwest Corp., 7.250%, 9/15/2025		10,268,447
	9,474,000	Qwest Corp., 7.250%, 10/15/2035		9,710,405
	46,411,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		45,163,008
	23,660,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		24,251,500
	4,200,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		4,410,311
	525,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		574,288
	975,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		1,078,103
	14,375,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		17,654,541
	4,100,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		7,118,767
	9,100,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		15,733,216
	2,100,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		3,642,060
	14,137,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		11,962,460
	54,665,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		49,292,599
	32,509,000	Verizon Communications, Inc., 2.450%, 11/01/2022		30,518,929
	2,642,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,371,855
	2,095,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		2,236,155

				457,660,245

		Total Non-Convertible Bonds (Identified Cost $8,903,260,909)		9,084,608,038


	Convertible Bonds – 4.3%

		Consumer Products – 0.0%
	3,905,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044, 144A		4,307,703


		Midstream – 0.4%
	34,700,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		32,878,250
	11,225,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		11,112,750

				43,991,000


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Convertible Bonds – continued

		Property & Casualty Insurance – 0.9%
$	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018	$	86,085,272


		Technology – 3.0%
	35,120,000	Intel Corp., 2.950%, 12/15/2035		42,253,750
	137,016,000	Intel Corp., 3.250%, 8/01/2039		208,435,590
	11,515,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		16,329,710
	371,793	Liberty Media LLC, 3.500%, 1/15/2031		328,335
	44,755,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A		42,685,081

				310,032,466

		Total Convertible Bonds (Identified Cost $343,064,691)		444,416,441


	Municipals – 0.9%

		District of Columbia – 0.2%
	14,680,000	Metropolitan Washington Airports Authority, 7.462%, 10/01/2046		19,406,373


		Illinois – 0.5%
	24,640,000	State of Illinois, 5.100%, 6/01/2033		22,963,248
	33,395,000	State of Illinois, Series B, 5.520%, 4/01/2038		29,092,388

				52,055,636


		Michigan – 0.0%
	2,275,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		1,926,402


		Ohio – 0.1%
	5,075,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047		3,921,503


		Virginia – 0.1%
	13,605,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		9,953,146

		Total Municipals (Identified Cost $87,721,157)		87,263,060

		Total Bonds and Notes (Identified Cost $9,334,046,757)		9,616,287,539


	Senior Loans – 0.4%

		Finance Companies – 0.3%
	22,076,802	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(c)		22,069,958
	13,851,506	AWAS Finance Luxembourg S.a.r.l., Term Loan B, 3.500%, 6/10/2016(c)		13,840,009

				35,909,967


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		Supermarkets – 0.1%
$	9,003,549	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(c)	$	9,013,813

		Total Senior Loans (Identified Cost $44,923,597)		44,923,780

Shares

	Common Stocks – 4.0%

		Automobiles – 0.6%
	4,063,816	Ford Motor Co.		60,997,878


		Electronic Equipment, Instruments & Components – 3.4%
	17,550,000	Corning, Inc.		346,261,500

		Total Common Stocks (Identified Cost $261,481,587)		407,259,378


	Preferred Stocks – 0.2%

		Metals & Mining – 0.1%
	340,285	ArcelorMittal, 6.000%		5,311,849


		Midstream – 0.0%
	43,031	Chesapeake Energy Corp., 5.000%		3,302,629


		REITs - Diversified – 0.1%
	258,873	Weyerhaeuser Co., Series A, 6.375%		13,461,396

		Total Preferred Stocks (Identified Cost $25,066,559)		22,075,874


Principal Amount

	Short-Term Investments – 0.3%
$	88,760	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2015 at 0.000%, to be repurchased at $88,760 on 7/01/2015 collateralized by $89,000 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $90,604 including accrued interest(h)		88,760
	25,253,107	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $25,253,114 on 7/01/2015 collateralized by $5,770,000 Federal Home Loan Bank, 2.500% due 7/05/2022 valued at $5,755,575; $7,000,000 Federal National Mortgage Association, 2.635% due 9/13/2023 valued at $6,947,500; 13,255,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at 13,056,175 including accrued interest(h)		25,253,107

		Total Short-Term Investments (Identified Cost $25,341,867)		25,341,867


		Total Investments – 99.1% (Identified Cost $9,690,860,367)(a)		10,115,888,438
		Other assets less liabilities – 0.9%		95,910,159

		Net Assets – 100.0%	$	10,211,798,597

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

(†)

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

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

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may be used to value debt and unlisted 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 rates determined based on information provided by an independent pricing service.

(††)	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 that will be 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, 2015, the net unrealized appreciation on investments based on a cost of $9,724,225,382 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	$	854,359,289
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(462,696,233	)

Net unrealized appreciation	$	391,663,056

(b)	Illiquid security. At June 30, 2015, the value of these securities amounted to $100,199,643 or 1.0% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(c)	Variable rate security. Rate as of June 30, 2015 is disclosed.

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

(e)	Perpetual bond with no specified maturity date.

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

(g)	Non-income producing security.

(h)

144A

ABS	Asset-Backed Securities

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

PIK	Payment-in-Kind

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	131,802,254	$	114,937,249	(a)	$	246,739,503
Airlines		—		223,668,288		35,596,793	(a)		259,265,081
Finance Companies		1,346,299		544,766,364		—			546,112,663
Health Insurance		—		2,088,171		1,569,450	(a)		3,657,621
Non-Agency Commercial Mortgage-Backed Securities		—		216,327,057		18,332,065	(a)		234,659,122
All Other Non-Convertible Bonds*		—		7,794,174,048		—			7,794,174,048

Total Non-Convertible Bonds		1,346,299		8,912,826,182		170,435,557			9,084,608,038

Convertible Bonds*		—		444,416,441		—			444,416,441
Municipals*		—		87,263,060		—			87,263,060

Total Bonds and Notes		1,346,299		9,444,505,683		170,435,557			9,616,287,539

Senior Loans*		—		44,923,780		—			44,923,780
Common Stocks*		407,259,378		—		—			407,259,378
Preferred Stocks		18,773,245		3,302,629		—			22,075,874
Short-Term Investments		—		25,341,867		—			25,341,867

Total	$	427,378,922	$	9,518,073,959	$	170,435,557		$	10,115,888,438

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

(a)	Valued using broker-dealer bid prices.

A preferred stock valued at $4,217,042 was transferred from Level 1 to Level 2 during the period ended June 30, 2015. At September 31, 2014, this security was valued at the last sale price. At June 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of March 31, 2015 and/or June 30, 2015:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2014		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, 2015		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015
Bonds and Notes
Non-Convertible Bonds

ABS Other	$	121,211,469	$	—	$	133,610	$	(859,652	)	$	—	$	(5,548,178	)	$	—	$	—		$	114,937,249	$	(527,166	)
Airlines		272,473,977		96,039		783,925		(1,767,037	)		—		(9,658,698	)		—		(226,331,413	)		35,596,793		(418,633	)
Health Insurance		—		2,865		—		(49,508	)		—		—			1,616,093		—			1,569,450		(49,508	)
Metals & Mining		1,720,500		8,836		376		553,716			—		(2,283,428	)		—		—			—		—
Non-Agency Commercial Mortgage-Backed Securities		—		—		—		(115	)		18,332,180		—			—		—			18,332,065		(114	)

Total	$	395,405,946	$	107,740	$	917,911	$	(2,122,596	)	$	18,332,180	$	(17,490,304	)	$	1,616,093	$	(226,331,413	)	$	170,435,557	$	(995,421	)

A debt security valued at $1,616,093 was transferred from Level 2 to Level 3 during the period ended June 30, 2015. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

Debt securities valued at $226,331,413 were transferred from Level 3 to Level 2 during the period ended June 30, 2015. At September 30, 2014, 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. At June 30, 2015, 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, 2015 (Unaudited)


Treasuries	27.9	%
Banking	14.2
Finance Companies	5.6
Wirelines	4.5
Technology	4.4
Electronic Equipment, Instruments & Components	3.4
Midstream	2.9
Airlines	2.5
Local Authorities	2.5
Metals & Mining	2.5
ABS Other	2.4
Electric	2.3
Non-Agency Commercial Mortgage-Backed Securities	2.3
Other Investments, less than 2% each	21.4
Short-Term Investments	0.3

Total Investments	99.1
Other assets less liabilities	0.9

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2015 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 97.8% of Net Assets

		ABS Car Loan – 1.3%
$	1,165,000	Credit Acceptance Auto Loan Trust, Series 2013-2A, Class A, 1.500%, 4/15/2021, 144A	$	1,169,190
	2,695,000	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A		2,703,861
	1,045,000	First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A		1,046,499
	3,500,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		3,511,847
	2,120,000	Tidewater Auto Receivables Trust, Series 2014-AA, Class A3, 1.400%, 7/15/2018, 144A		2,120,827

				10,552,224


		ABS Home Equity – 0.4%
	2,936,363	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060		2,917,144


		Agency Commercial Mortgage-Backed Securities – 11.6%
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,562,122
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,667,601
	4,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021		4,199,764
	6,625,000	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021		6,812,302
	3,535,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		3,663,734
	700,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		720,198
	2,590,000	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018		2,658,050
	7,910,000	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		8,059,396
	34,370,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		34,426,470
	1,893,340	FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.537%, 4/25/2019(b)		1,885,623
	2,253,692	FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 0.511%, 11/25/2021(b)		2,256,345
	302,793	Government National Mortgage Association, Series 2003-72, Class Z, 5.366%, 11/16/2045(b)		328,159
	206,086	Government National Mortgage Association, Series 2003-88, Class Z, 4.898%, 3/16/2046(b)		220,359
	13,260,000	Government National Mortgage Association, Series 2013-52, Class KX, 3.941%, 8/16/2051(b)		14,127,080

				90,587,203


		Collateralized Mortgage Obligations – 16.7%
	137,729	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 1.760%, 5/15/2023(b)		137,834
	88,789	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.590%, 8/15/2023(b)		90,268


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	331,908	Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029	$	365,926
	306,152	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.586%, 11/15/2032(b)		307,234
	1,971,844	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		2,083,305
	3,063,562	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020		3,187,850
	2,911,256	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035		3,277,830
	3,510,000	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035		3,910,010
	2,205,525	Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034		2,263,961
	5,034,733	Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038		5,552,873
	2,604,175	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 4.023%, 6/15/2048(b)		2,682,392
	3,294,812	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.317%, 12/15/2036(b)		3,445,971
	122,681	Federal Home Loan Mortgage Corp., REMIC, Series 3802, Class BA, 4.500%, 11/15/2028		125,182
	950,190	Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 2.286%, 6/15/2043(b)		891,665
	103,624	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 2.010%, 9/25/2022(b)		106,476
	87,469	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.730%, 4/25/2024(b)		89,215
	22,024	Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 3.741%, 8/25/2042(b)		21,955
	1,966,770	Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033		2,223,630
	1,357,532	Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034		1,415,285
	1,490,422	Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025		1,636,116
	1,552,424	Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 0.247%, 7/25/2037(b)		1,457,430
	3,157,932	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.699%, 8/25/2038(b)		3,204,213
	5,412,360	Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1.187%, 7/25/2043(b)		5,227,555
	75,116	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.670%, 4/25/2023(b)		76,437
	13,339	FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.342%, 3/25/2044(b)		13,798
	1,510,734	Government National Mortgage Association, Series 2010-H20, Class AF, 0.512%, 10/20/2060(b)		1,506,419
	1,368,517	Government National Mortgage Association, Series 2010-H24, Class FA, 0.532%, 10/20/2060(b)		1,365,659
	1,254,813	Government National Mortgage Association, Series 2011-H06, Class FA, 0.632%, 2/20/2061(b)		1,257,152
	2,687,416	Government National Mortgage Association, Series 2012-124, Class HT, 7.217%, 7/20/2032(b)		3,067,992
	6,549,502	Government National Mortgage Association, Series 2012-H15, Class FA, 0.632%, 5/20/2062(b)		6,570,892


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	1,445,612	Government National Mortgage Association, Series 2012-H18, Class NA, 0.702%, 8/20/2062(b)	$	1,453,968
	7,514,615	Government National Mortgage Association, Series 2012-H29, Class HF, 0.682%, 10/20/2062(b)		7,540,909
	7,127,244	Government National Mortgage Association, Series 2013-H02, Class GF, 0.682%, 12/20/2062(b)		7,152,517
	5,281,687	Government National Mortgage Association, Series 2013-H08, Class FA, 0.532%, 3/20/2063(b)		5,262,235
	4,297,446	Government National Mortgage Association, Series 2013-H10, Class FA, 0.582%, 3/20/2063(b)		4,295,074
	13,552,440	Government National Mortgage Association, Series 2013-H22, Class FT, 0.900%, 4/20/2063(b)		13,753,314
	8,031,671	Government National Mortgage Association, Series 2014-H14, Class FA, 0.682%, 7/20/2064(b)		8,008,524
	5,551,571	Government National Mortgage Association, Series 2014-H15, Class FA, 0.682%, 7/20/2064(b)		5,569,519
	11,303,392	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		11,321,410
	3,991,001	Government National Mortgage Association, Series 2015-H11, Class FA, 0.432%, 4/20/2065(b)		3,989,193
	497,918	NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.524%, 12/07/2020(b)		498,465
	1,603,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		1,644,716
	1,131,131	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.635%, 10/07/2020(b)		1,136,879
	1,656,992	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.744%, 12/08/2020(b)		1,668,978
	104,455	NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 0.745%, 12/08/2020(b)		105,182

				130,963,408


		Hybrid ARMs – 17.5%
	1,428,592	FHLMC, 2.129%, 6/01/2037(b)		1,510,065
	4,098,611	FHLMC, 2.274%, 9/01/2035(b)		4,360,339
	3,015,237	FHLMC, 2.345%, 7/01/2033(b)		3,213,240
	1,558,593	FHLMC, 2.345%, 4/01/2036(b)		1,654,711
	1,906,277	FHLMC, 2.377%, 9/01/2038(b)		2,035,973
	401,701	FHLMC, 2.388%, 9/01/2038(b)		429,528
	1,186,796	FHLMC, 2.389%, 11/01/2038(b)		1,266,994
	7,372,513	FHLMC, 2.399%, 3/01/2037(b)		7,870,689
	969,024	FHLMC, 2.400%, 4/01/2037(b)		1,033,136
	4,934,839	FHLMC, 2.407%, 2/01/2036(b)		5,264,300
	2,526,001	FHLMC, 2.424%, 2/01/2036(b)		2,701,261
	2,262,564	FHLMC, 2.477%, 3/01/2036(b)		2,404,934


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Hybrid ARMs – continued
$	800,119	FHLMC, 2.478%, 12/01/2034(b)	$	855,477
	3,169,595	FHLMC, 2.484%, 4/01/2037(b)		3,398,646
	748,950	FHLMC, 2.487%, 2/01/2035(b)		805,521
	1,837,885	FHLMC, 2.523%, 3/01/2038(b)		1,964,304
	761,034	FHLMC, 2.727%, 11/01/2038(b)		809,432
	711,196	FHLMC, 2.805%, 3/01/2037(b)		769,851
	1,321,425	FHLMC, 3.572%, 9/01/2038(b)		1,393,647
	168,434	FHLMC, 5.260%, 12/01/2037(b)		178,130
	263,432	FNMA, 1.859%, 2/01/2037(b)		277,304
	2,845,214	FNMA, 1.921%, 7/01/2035(b)		2,982,544
	5,851,147	FNMA, 2.028%, 9/01/2037(b)		6,276,976
	506,754	FNMA, 2.155%, 8/01/2035(b)		539,541
	4,526,299	FNMA, 2.155%, 4/01/2037(b)		4,799,512
	1,291,317	FNMA, 2.162%, 8/01/2034(b)		1,380,873
	4,308,603	FNMA, 2.171%, 7/01/2035(b)		4,590,875
	924,430	FNMA, 2.219%, 10/01/2033(b)		985,789
	1,576,323	FNMA, 2.274%, 9/01/2036(b)		1,684,840
	2,341,240	FNMA, 2.282%, 4/01/2037(b)		2,497,502
	3,885,688	FNMA, 2.289%, 11/01/2033(b)		4,139,975
	848,262	FNMA, 2.298%, 9/01/2034(b)		903,830
	794,195	FNMA, 2.310%, 12/01/2034(b)		846,222
	1,556,429	FNMA, 2.310%, 1/01/2036(b)		1,665,177
	3,841,225	FNMA, 2.348%, 8/01/2035(b)		4,070,526
	8,279,556	FNMA, 2.366%, 10/01/2034(b)		8,843,507
	5,914,136	FNMA, 2.368%, 4/01/2034(b)		6,304,574
	4,091,769	FNMA, 2.379%, 9/01/2037(b)		4,349,127
	2,120,067	FNMA, 2.384%, 6/01/2036(b)		2,269,962
	2,726,918	FNMA, 2.412%, 10/01/2033(b)		2,911,375


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Hybrid ARMs – continued
$	5,517,704	FNMA, 2.423%, 3/01/2037(b)	$	5,947,340
	2,039,809	FNMA, 2.429%, 6/01/2033(b)		2,158,539
	4,990,632	FNMA, 2.431%, 6/01/2037(b)		5,351,593
	1,643,809	FNMA, 2.445%, 2/01/2047(b)		1,763,682
	1,794,611	FNMA, 2.448%, 4/01/2034(b)		1,909,769
	524,432	FNMA, 2.456%, 4/01/2033(b)		562,163
	918,154	FNMA, 2.464%, 2/01/2037(b)		980,971
	4,927,425	FNMA, 2.549%, 7/01/2037(b)		5,250,816
	459,752	FNMA, 2.558%, 8/01/2033(b)		492,908
	610,412	FNMA, 2.666%, 8/01/2036(b)		655,195
	1,572,622	FNMA, 2.677%, 5/01/2035(b)		1,692,478
	2,813,661	FNMA, 3.174%, 6/01/2035(b)		3,011,298
	977,889	FNMA, 4.630%, 8/01/2038(b)		1,043,191

				137,060,152


		Mortgage Related – 20.1%
	153,936	FHLMC, 3.000%, 10/01/2026		159,636
	1,099,363	FHLMC, 4.000%, with various maturities from 2024 to 2042(c)		1,161,965
	891,738	FHLMC, 4.500%, with various maturities from 2025 to 2034(c)		956,050
	393,209	FHLMC, 5.500%, 10/01/2023		430,338
	35,609	FHLMC, 6.000%, 11/01/2019		37,933
	842,622	FHLMC, 6.500%, with various maturities from 2017 to 2034(c)		979,684
	6,524	FHLMC, 7.000%, 2/01/2016		6,567
	572	FHLMC, 7.500%, 6/01/2026		655
	153	FHLMC, 8.000%, 9/01/2015		154
	1,727	FHLMC, 10.000%, 7/01/2019		1,885
	26,177	FHLMC, 11.500%, 4/01/2020		26,684
	202,189	FNMA, 3.000%, 3/01/2042		202,010
	3,079,676	FNMA, 5.000%, with various maturities from 2037 to 2038(c)		3,416,187
	1,509,127	FNMA, 5.500%, with various maturities from 2018 to 2033(c)		1,681,162


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Mortgage Related – continued
$	2,462,670	FNMA, 6.000%, with various maturities from 2017 to 2022(c)	$	2,722,864
	350,492	FNMA, 6.500%, with various maturities from 2017 to 2037(c)		399,324
	20,659	FNMA, 7.000%, 12/01/2022		20,723
	134,445	FNMA, 7.500%, with various maturities from 2015 to 2032(c)		156,846
	948	FNMA, 8.000%, with various maturities from 2015 to 2016(c)		954
	4,972,988	GNMA, 1.863%, 2/20/2061(b)		5,233,279
	3,844,039	GNMA, 2.068%, 2/20/2063(b)		4,066,536
	4,706,303	GNMA, 2.343%, 3/20/2063(b)		5,036,582
	2,746,285	GNMA, 2.557%, 2/20/2063(b)		2,950,579
	4,596,110	GNMA, 4.479%, 2/20/2062		4,961,289
	4,679,351	GNMA, 4.521%, 12/20/2061		5,040,021
	6,994,137	GNMA, 4.532%, 12/20/2062		7,640,157
	18,272,999	GNMA, 4.556%, 12/20/2061		19,668,636
	2,372,037	GNMA, 4.560%, 3/20/2062		2,557,165
	12,331,289	GNMA, 4.583%, 11/20/2062		13,441,833
	1,518,311	GNMA, 4.599%, 4/20/2063		1,665,706
	4,345,151	GNMA, 4.604%, 6/20/2062		4,714,363
	1,470,137	GNMA, 4.616%, 8/20/2061		1,574,479
	1,868,449	GNMA, 4.639%, 3/20/2062		2,020,109
	7,932,196	GNMA, 4.659%, 2/20/2062		8,588,340
	3,673,037	GNMA, 4.689%, 2/20/2062		3,964,816
	1,959,115	GNMA, 4.698%, 7/20/2061		2,094,564
	8,204,018	GNMA, 4.700%, with various maturities in 2061(c)		8,783,589
	1,796,517	GNMA, 4.717%, 3/20/2061		1,914,212
	1,523,741	GNMA, 4.808%, 8/20/2062		1,643,305
	816,912	GNMA, 5.167%, 4/20/2061		876,900
	21,609	GNMA, 6.000%, 12/15/2031		25,226
	101,106	GNMA, 6.500%, 5/15/2031		119,283


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Mortgage Related – continued
$	101,539	GNMA, 7.000%, 10/15/2028	$	116,972
	4,864,580	Government National Mortgage Association, Series 2015-H04, Class FL, 0.652%, 2/20/2065(b)		4,864,074
	7,382,648	Government National Mortgage Association, Series 2015-H05, Class FA, 0.482%, 4/20/2061(b)		7,384,176
	16,408,393	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		16,531,160
	7,515,673	Government National Mortgage Association, Series 2015-H12, Class FL, 0.412%, 5/20/2065(b)		7,526,135

				157,365,107


		Non-Agency Commercial Mortgage-Backed Securities – 7.0%
	1,290,000	A10 Securitization LLC, Series 2014-1, Class A1, 1.720%, 4/15/2033, 144A		1,286,629
	1,780,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.783%, 4/10/2049(b)		1,862,188
	319,986	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		337,838
	3,700,000	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 1.586%, 12/15/2027, 144A(b)		3,701,310
	3,215,000	CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class A, 1.134%, 6/15/2031, 144A(b)		3,208,097
	3,040,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV1, 2.036%, 10/15/2031, 144A(b)(d)		3,040,000
	2,981,147	GP Portfolio Trust, Series 2014-GPP, Class A, 1.136%, 2/15/2027, 144A(b)		2,976,523
	4,532,695	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		4,765,399
	4,163,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		4,418,084
	`5,535,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.086%, 10/15/2029, 144A(b)		5,500,102
	248,913	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB15, Class A4, 5.814%, 6/12/2043(b)		255,685
	2,380,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.166%, 7/15/2031, 144A(b)		2,374,959
	1,630,236	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040		1,722,116
	1,076,824	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		1,122,374
	4,535,000	Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.861%, 4/12/2049(b)		4,541,553
	849,654	PFP III Ltd., Series 2014-1, Class A, 1.356%, 6/14/2031, 144A(b)		848,663
	3,420,000	Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.236%, 4/15/2032, 144A(b)		3,402,483
	3,700,000	Starwood Retail Property Trust, Inc., 1.402%, 11/15/2027, 144A(b)		3,674,437
	3,833,863	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048		3,978,614


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	1,440,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046	$	1,532,511

				54,549,565


		Sovereigns – 0.3%
	1,955,000	U.S. Department of Housing and Urban Development, Series 4, 1.880%, 8/01/2019		1,955,919


		Treasuries – 22.9%
	19,145,000	U.S. Treasury Note, 0.625%, 5/31/2017		19,142,013
	8,375,000	U.S. Treasury Note, 0.750%, 3/31/2018		8,332,472
	31,080,000	U.S. Treasury Note, 0.875%, 10/15/2017		31,150,427
	30,745,000	U.S. Treasury Note, 0.875%, 1/15/2018		30,754,592
	12,805,000	U.S. Treasury Note, 1.000%, 12/15/2017		12,860,023
	13,400,000	U.S. Treasury Note, 1.125%, 6/15/2018		13,450,250
	23,950,000	U.S. Treasury Note, 1.250%, 1/31/2020		23,628,160
	4,860,000	U.S. Treasury Note, 1.500%, 5/31/2020		4,833,421
	21,810,000	U.S. Treasury Note, 1.625%, 3/31/2019		22,070,695
	2,385,000	U.S. Treasury Note, 1.625%, 8/31/2019		2,404,192
	10,050,000	U.S. Treasury Note, 1.625%, 12/31/2019		10,091,617

				178,717,862

		Total Bonds and Notes (Identified Cost $766,002,982)		764,668,584


	Short-Term Investments – 1.0%
	7,682,656	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $7,682,658 on 7/01/2015 collateralized by $7,735,000 U.S. Treasury Note, 2.000% due 2/28/2021 valued at $7,840,676 including accrued interest(e) (Identified Cost $7,682,656)		7,682,656

		Total Investments – 98.8% (Identified Cost $773,685,638)(a)		772,351,240
		Other assets less liabilities – 1.2%		9,684,657

		Net Assets – 100.0%	$	782,035,897

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Debt securities and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may 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.

(a)	Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2015, the net unrealized depreciation on investments based on a cost of $773,740,084 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	5,655,470
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(7,044,314	)

Net unrealized depreciation	$	(1,388,844	)

At September 30, 2014, the Fund had a short-term capital loss carryforward of $3,476,934 with no expiration date and a long-term capital loss carryforward of $8,321,892 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of June 30, 2015 is disclosed.

(c)

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

(d)	Illiquid security. At June 30, 2015, the value of this security amounted to $3,040,000 or 0.4% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(e)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of June 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

144A

ARMs	Adjustable Rate Mortgages

FHLMC

Federal Home Loan Mortgage Corp.

FNMA	Federal National Mortgage Association

GNMA	Government National Mortgage Association

REMIC

Real Estate Mortgage Investment Conduit

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Agency Commercial Mortgage-Backed Securities	$	—	$	76,460,123	$	14,127,080	(a)	$	90,587,203
Collateralized Mortgage Obligations		—		130,442,988		520,420	(a)		130,963,408
Non-Agency Commercial Mortgage-Backed Securities		—		51,509,565		3,040,000	(a)		54,549,565
All Other Non-Convertible Bonds*		—		488,568,408		—			488,568,408

Total Bonds and Notes		—		746,981,084		17,687,500			764,668,584

Short-Term Investments		—		7,682,656		—			7,682,656

Total	$	—	$	754,663,740	$	17,687,500		$	772,351,240

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

(a)	Valued using broker-dealer bid prices.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2014 and/or June 30, 2015:

Asset Valuation inputs


Investments in Securities	Balance as of September 30, 2014		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, 2015		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015
Bonds and Notes
ABS Car Loan	$	2,694,542	$	—	$	—	$	—		$	—	$	—		$	—	$	(2,694,542	)	$	—	$	—
ABS Home Equity		160,459		—		1,376		1,136			—		(162,971	)		—		—			—		—
Agency Commercial Mortgage-Backed Securities		14,488,062		—		—		(360,982	)		—		—			—		—			14,127,080		(360,982	)
Collateralized Mortgage Obligations		604,116		—		5		(86	)		—		(83,615	)		—		—			520,420		25
Non-Agency Commercial Mortgage-Backed Securities		—		—		—		(3,950	)		3,043,950		—			—		—			3,040,000		(3,950	)

Total	$	17,947,179	$	—	$	1,381	$	(363,882	)	$	3,043,950	$	(246,586	)	$	—	$	(2,694,542	)	$	17,687,500	$	(364,907	)

A debt security valued at $2,694,542 was transferred from Level 3 to Level 2 during the period ended June 30, 2015. At September 30, 2014, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2015, 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.

Industry Summary at June 30, 2015 (Unaudited)


Treasuries	22.9	%
Mortgage Related	20.1
Hybrid ARMs	17.5
Collateralized Mortgage Obligations	16.7
Agency Commercial Mortgage-Backed Securities	11.6
Non-Agency Commercial Mortgage-Backed Securities	7.0
Other Investments, less than 2% each	2.0
Short-Term Investments	1.0

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2015 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)

	Common Stocks – 96.8% of Net Assets

		Aerospace & Defense – 1.6%
	304,142	DigitalGlobe, Inc.(b)	$	8,452,106
	229,734	Hexcel Corp.		11,426,969

				19,879,075


		Air Freight & Logistics – 1.9%
	336,749	Echo Global Logistics, Inc.(b)		10,998,222
	282,138	XPO Logistics, Inc.(b)		12,746,995

				23,745,217


		Airlines – 0.5%
	103,907	Spirit Airlines, Inc.(b)		6,452,625


		Auto Components – 0.7%
	165,369	Gentherm, Inc.(b)		9,080,412


		Banks – 4.3%
	324,744	Bank of the Ozarks, Inc.		14,857,038
	249,952	Pinnacle Financial Partners, Inc.		13,589,890
	347,443	PrivateBancorp, Inc.		13,835,180
	681,520	Talmer Bancorp, Inc., Class A		11,415,460

				53,697,568


		Biotechnology – 8.2%
	286,242	Acorda Therapeutics, Inc.(b)		9,540,446
	454,724	Amicus Therapeutics, Inc.(b)		6,434,345
	94,866	Anacor Pharmaceuticals, Inc.(b)		7,345,474
	177,029	Chimerix, Inc.(b)		8,178,740
	437,073	Emergent Biosolutions, Inc.(b)		14,401,555
	394,186	Insys Therapeutics, Inc.(b)		14,159,161
	815,868	MiMedx Group, Inc.(b)		9,455,910
	154,286	Neurocrine Biosciences, Inc.(b)		7,368,699
	51,960	Receptos, Inc.(b)		9,874,998
	116,416	TESARO, Inc.(b)		6,844,097
	220,059	Zafgen, Inc.(b)		7,620,643

				101,224,068


		Building Products – 3.5%
	206,690	Apogee Enterprises, Inc.		10,880,162
	173,148	Caesarstone Sdot-Yam Ltd.		11,867,564
	449,118	NCI Building Systems, Inc.(b)		6,768,208
	272,631	Trex Co., Inc.(b)		13,476,150

				42,992,084


		Capital Markets – 2.1%
	246,985	Artisan Partners Asset Management, Inc.		11,474,923
	342,365	HFF, Inc., Class A		14,286,892

				25,761,815


		Commercial Services & Supplies – 1.0%
	368,838	Healthcare Services Group, Inc.		12,190,096


Shares		Description	Value (†)

	Common Stocks – continued

		Communications Equipment – 0.6%
	304,808	Ciena Corp.(b)	$	7,217,853


		Consumer Finance – 0.9%
	253,680	Encore Capital Group, Inc.(b)		10,842,283


		Distributors – 1.1%
	186,570	Pool Corp.		13,093,483


		Diversified Consumer Services – 3.1%
	230,714	2U, Inc.(b)		7,426,683
	255,156	Bright Horizons Family Solutions, Inc.(b)		14,748,017
	648,127	Nord Anglia Education, Inc.(b)		15,892,074

				38,066,774


		Diversified Financial Services – 1.2%
	158,773	MarketAxess Holdings, Inc.		14,729,371


		Electronic Equipment, Instruments & Components – 1.9%
	139,167	FEI Co.		11,541,119
	138,124	IPG Photonics Corp.(b)		11,764,712

				23,305,831


		Energy Equipment & Services – 0.8%
	137,859	Dril-Quip, Inc.(b)		10,373,890


		Food Products – 0.8%
	508,551	Freshpet, Inc.(b)		9,459,049


		Health Care Equipment & Supplies – 3.6%
	374,795	Cynosure, Inc., Class A(b)		14,459,591
	268,089	Inogen, Inc.(b)		11,956,770
	229,304	LDR Holding Corp.(b)		9,917,398
	353,153	Quidel Corp.(b)		8,104,861

				44,438,620


		Health Care Providers & Services – 6.4%
	264,269	Acadia Healthcare Co., Inc.(b)		20,700,191
	76,427	Adeptus Health, Inc., Class A(b)		7,259,801
	249,775	Amsurg Corp.(b)		17,471,761
	151,130	ExamWorks Group, Inc.(b)		5,909,183
	195,372	Magellan Health, Inc.(b)		13,689,716
	220,456	Team Health Holdings, Inc.(b)		14,402,390

				79,433,042


		Health Care Technology – 1.1%
	246,827	Medidata Solutions, Inc.(b)		13,407,643


		Hotels, Restaurants & Leisure – 6.4%
	275,787	Dave & Buster’s Entertainment, Inc.(b)		9,953,153
	337,335	Diamond Resorts International, Inc.(b)		10,642,919
	530,888	Krispy Kreme Doughnuts, Inc.(b)		10,224,903
	206,425	Popeyes Louisiana Kitchen, Inc.(b)		12,383,436
	246,561	Texas Roadhouse, Inc.		9,228,778
	146,264	Vail Resorts, Inc.		15,972,029


Shares		Description	Value (†)

	Common Stocks – continued

		Hotels, Restaurants & Leisure – continued
	259,456	Zoe’s Kitchen, Inc.(b)	$	10,622,128

				79,027,346


		Internet & Catalog Retail – 0.8%
	265,143	Wayfair, Inc., Class A(b)		9,979,983


		Internet Software & Services – 7.3%
	280,351	comScore, Inc.(b)		14,931,494
	307,751	Criteo S.A., Sponsored ADR(b)		14,670,490
	136,215	Dealertrack Technologies, Inc.(b)		8,552,940
	203,368	Demandware, Inc.(b)		14,455,398
	547,996	Endurance International Group Holdings, Inc.(b)		11,321,597
	210,925	Envestnet, Inc.(b)		8,527,698
	340,644	Q2 Holdings, Inc.(b)		9,623,193
	352,948	Wix.com Ltd.(b)		8,336,632

				90,419,442


		IT Services – 3.4%
	272,277	Cardtronics, Inc.(b)		10,087,863
	127,952	EPAM Systems, Inc.(b)		9,114,021
	236,869	Euronet Worldwide, Inc.(b)		14,614,817
	318,817	InterXion Holding NV(b)		8,815,290

				42,631,991


		Life Sciences Tools & Services – 1.7%
	240,874	Cambrex Corp.(b)		10,584,004
	250,079	INC Research Holdings, Inc., Class A(b)		10,033,169

				20,617,173


		Machinery – 2.7%
	116,945	Middleby Corp. (The)(b)		13,124,738
	176,709	Proto Labs, Inc.(b)		11,924,323
	112,445	RBC Bearings, Inc.(b)		8,069,053

				33,118,114


		Media – 0.9%
	281,861	IMAX Corp.(b)		11,350,542


		Oil, Gas & Consumable Fuels – 1.7%
	140,374	Diamondback Energy, Inc.(b)		10,581,392
	188,423	PDC Energy, Inc.(b)		10,107,010

				20,688,402


		Pharmaceuticals – 2.3%
	258,358	Impax Laboratories, Inc.(b)		11,863,799
	191,898	Tetraphase Pharmaceuticals, Inc.(b)		9,103,641
	149,838	ZS Pharma, Inc.(b)		7,850,013

				28,817,453


		Professional Services – 2.3%
	187,033	CEB, Inc.		16,283,093
	166,185	Huron Consulting Group, Inc.(b)		11,647,907

				27,931,000


Shares		Description	Value (†)

	Common Stocks – continued

		Road & Rail – 0.8%
	135,146	Genesee & Wyoming, Inc., Class A(b)	$	10,295,422


		Semiconductors & Semiconductor Equipment – 5.6%
	189,217	Cavium, Inc.(b)		13,020,022
	384,722	Inphi Corp.(b)		8,794,745
	703,394	Intersil Corp.		8,799,459
	319,797	MKS Instruments, Inc.		12,133,098
	264,600	Monolithic Power Systems, Inc.		13,417,866
	241,039	Silicon Laboratories, Inc.(b)		13,018,516

				69,183,706


		Software – 7.3%
	168,039	Ellie Mae, Inc.(b)		11,727,442
	325,157	FleetMatics Group PLC(b)		15,227,102
	348,785	Guidewire Software, Inc.(b)		18,461,190
	195,041	Imperva, Inc.(b)		13,204,276
	255,996	Proofpoint, Inc.(b)		16,299,265
	94,311	Ultimate Software Group, Inc. (The)(b)		15,499,070

				90,418,345


		Specialty Retail – 4.7%
	180,349	Asbury Automotive Group, Inc.(b)		16,343,226
	324,612	Boot Barn Holdings, Inc.(b)		10,387,584
	128,064	Mattress Firm Holding Corp.(b)		7,805,501
	204,010	Monro Muffler Brake, Inc.		12,681,262
	115,357	Restoration Hardware Holdings, Inc.(b)		11,262,304

				58,479,877


		Textiles, Apparel & Luxury Goods – 2.6%
	156,589	Columbia Sportswear Co.		9,467,371
	142,029	Oxford Industries, Inc.		12,420,436
	228,374	Steven Madden Ltd.(b)		9,769,840

				31,657,647


		Thrifts & Mortgage Finance – 1.0%
	438,860	Essent Group Ltd.(b)		12,002,821

		Total Common Stocks (Identified Cost $916,218,200)		1,196,010,063


Principal Amount		Description	Value (†)

	Short-Term Investments – 3.2%
$	40,079,151	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $40,079,162 on 7/01/2015 collateralized by $41,505,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $40,882,425 including accrued interest(c) (Identified Cost $40,079,151)		40,079,151


		Total Investments – 100.0% (Identified Cost $956,297,351)(a)	$	1,236,089,214
		Other assets less liabilities – (0.0)%		(490,433	)

		Net Assets – 100.0%	$	1,235,598,781

(†)

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

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

At June 30, 2015, the net unrealized appreciation on investments based on a cost of $956,297,351 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	$	290,534,065
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(10,742,202	)

Net unrealized appreciation	$	279,791,863

At September 30, 2014, late-year ordinary and post-October capital loss deferrals were $5,935,433. 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)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of June 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,196,010,063	$	—	$	—	$	1,196,010,063
Short-Term Investments		—		40,079,151		—		40,079,151

Total	$	1,196,010,063	$	40,079,151	$	—	$	1,236,089,214

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

For the period ended June 30, 2015, there were no transfers among Levels 1, 2 and 3.

Industry Summary at June 30, 2015 (Unaudited)


Biotechnology	8.2	%
Internet Software & Services	7.3
Software	7.3
Health Care Providers & Services	6.4
Hotels, Restaurants & Leisure	6.4
Semiconductors & Semiconductor Equipment	5.6
Specialty Retail	4.7
Banks	4.3
Health Care Equipment & Supplies	3.6
Building Products	3.5
IT Services	3.4
Diversified Consumer Services	3.1
Machinery	2.7
Textiles, Apparel & Luxury Goods	2.6
Pharmaceuticals	2.3
Professional Services	2.3
Capital Markets	2.1
Other Investments, less than 2% each	21.0
Short-Term Investments	3.2

Total Investments	100.0
Other assets less liabilities	(0.0	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2015 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund


Principal Amount		Description	Value (†)

	Short-Term Investments – 100.0%
$	10,000,000	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2015 at 0.010% to be repurchased at $10,000,003 on 7/01/2015 collateralized by $9,740,000 U.S. Treasury Note, 2.625% due 11/15/2020 valued at $10,202,650 including accrued interest(b) (Identified Cost $10,000,000)	$	10,000,000


		Total Investments – 100.0% (Identified Cost $10,000,000)(a)		10,000,000
		Other assets less liabilities – 0.0%		3

		Net Assets – 100.0%	$	10,000,003

(†)	Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

(a)	The aggregate cost for federal income tax purposes was $10,000,000.

(b)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of June 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Short-Term Investments	$	—	$	10,000,000	$	—	$	10,000,000

PORTFOLIO OF INVESTMENTS – as of June 30, 2015 (Unaudited)

Loomis Sayles Strategic Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 72.8% of Net Assets

	Non-Convertible Bonds – 66.1%

		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	$	4,170,622


		ABS Home Equity – 0.0%
	2,568,485	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.632%, 4/25/2035(b)		2,615,079


		ABS Other – 0.4%
	22,750,119	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(c)(d)		22,750,119
	8,271,488	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(c)(d)		8,271,488
	42,000,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(c)(d)(g)		31,294,200
	12,725,359	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A		12,600,650

				74,916,457


		Aerospace & Defense – 0.7%
	620,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		486,469
	11,800,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		11,092,000
	2,425,000	Ducommun, Inc., 9.750%, 7/15/2018		2,555,465
	16,246,000	KLX, Inc., 5.875%, 12/01/2022, 144A		16,406,673
	8,236,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		8,812,520
	22,548,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		21,646,080
	20,755,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		22,311,625
	5,310,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		4,407,300
	24,513,000	TransDigm, Inc., 6.500%, 7/15/2024		24,206,588
	17,765,000	TransDigm, Inc., 6.500%, 5/15/2025, 144A		17,587,350

				129,512,070


		Airlines – 3.0%
	13,620,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		11,695,316
	4,614,033	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		4,798,595
	2,285,000	Allegiant Travel Co., 5.500%, 7/15/2019		2,302,138
	179,895,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		181,244,213


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Airlines – continued
$	13,486,925	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027	$	13,575,669
	4,933,692	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		5,106,372
	10,425,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		10,785,497
	2,823,638	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		2,924,979
	21,015,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		21,908,138
	283,816	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		294,090
	954,674	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		1,009,568
	529,569	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		542,808
	801,871	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		909,081
	1,132,729	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,243,850
	1,128,292	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		1,203,324
	1,811,595	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,924,820
	1,063,631	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,083,521
	9,633,400	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		10,741,240
	17,509,643	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		18,603,996
	14,294,792	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		15,259,690
	13,031,294	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		15,083,723
	3,173,232	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		3,347,760
	1,096,484	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,258,216
	5,048,305	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		5,792,930
	814,665	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		852,303
	14,777,529	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		15,848,900
	351,439	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		383,069
	9,585,000	United Airlines Pass Through Trust, Series 2014-1, Class B, 4.750%, 10/11/2023		9,738,168
	10,375,000	United Airlines Pass Through Trust, Series 2014-2, Class B, 4.625%, 3/03/2024		10,582,500
	9,905,714	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		10,586,632
	40,645,067	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		46,843,440


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Airlines – continued
$	12,151,440	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026	$	13,731,127
	6,295,953	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		7,114,426
	2,400,341	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		2,442,347
	6,961,722	US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023		7,135,765
	48,950,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		50,296,125
	5,315,572	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		5,479,025
	8,594,870	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		8,716,745

				522,390,106


		Automotive – 1.1%
	19,011,000	Ford Motor Co., 6.375%, 2/01/2029		22,427,543
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,397,217
	74,829,000	Ford Motor Co., 6.625%, 10/01/2028		91,126,607
	2,365,000	Ford Motor Co., 7.125%, 11/15/2025		2,889,394
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,676,146
	29,265,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		30,374,143
	6,000,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		6,523,500
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,275,620
	25,345,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		25,281,637

				186,971,807


		Banking – 7.6%
	1,175,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		1,460,755
	2,000,000	Ally Financial, Inc., 5.125%, 9/30/2024		2,005,000
	28,582,000	Ally Financial, Inc., 8.000%, 12/31/2018		31,904,657
	29,332,000	Ally Financial, Inc., 8.000%, 11/01/2031		35,125,070
	20,565,000	Associates Corp. of North America, 6.950%, 11/01/2018		23,659,703
	63,900,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		19,360,522
	3,450,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		4,260,435
	7,045,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		6,938,177


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Banking – continued
$	265,000	Bank of America Corp., MTN, 4.250%, 10/22/2026	$	259,595
	1,500,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(e)		1,582,500
	10,000,000	Bank of Nova Scotia, 2.462%, 3/14/2019, (CAD)		8,274,700
	39,890,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		35,857,908
	57,792,000,000	Barclays Financial LLC, EMTN, 3.500%, 11/29/2016, (KRW)		53,094,344
	1,600,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, (EUR)(e)		1,862,334
	36,445,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		25,640,477
	4,000,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)(d)		3,370,376
	22,091,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		15,686,773
	3,350,000	Citigroup, Inc., EMTN, 1.257%, 11/30/2017, (EUR)(b)		3,725,036
	3,000,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 1.700%, 3/19/2018		3,007,410
	14,330,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.875%, 2/08/2022		14,907,599
	3,450,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.950%, 11/09/2022		3,449,538
	25,000,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		21,099,680
	400,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		451,364
	34,060,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		39,950,609
	32,705,000	HBOS PLC, 6.000%, 11/01/2033, 144A		35,235,647
	50,604,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		56,107,337
	9,090,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		9,343,702
	82,585,000	Intesa Sanpaolo SpA, 3.875%, 1/15/2019		84,966,091
	40,305,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		39,158,081
	45,620,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		31,172,684
	227,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		16,588,494
	27,555,000	Lloyds Bank PLC, MTN, 6.500%, 9/14/2020, 144A		31,760,031
	18,500,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 144A(e)		18,407,500
	6,700,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		7,509,481
	800,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		913,568


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Banking – continued
$	36,195,000	Morgan Stanley, 4.350%, 9/08/2026	$	35,466,757
	35,325,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		28,160,203
	10,540,000	Morgan Stanley, 4.875%, 11/01/2022		11,211,482
	185,000,000	Morgan Stanley, 5.000%, 9/30/2021, (AUD)		148,392,583
	74,310,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		53,815,642
	100,265,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		83,880,340
	950,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		1,593,772
	79,700,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		63,377,725
	46,735,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		46,822,348
	10,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		11,987,860
	53,095,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		43,642,475
	1,905,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, (EUR)(e)		2,114,869
	4,050,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%(e)		4,511,700
	930,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(e)		1,031,626
	15,100,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(e)		16,792,143
	24,985,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		26,457,416
	17,700,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		19,059,041
	9,990,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(e)		10,674,315
	850,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		984,357
	7,750,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		9,677,767
	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)		2,451,375
	700,000	Santander Central Hispano Issuances Ltd., 7.250%, 11/01/2015		711,607
	1,800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		1,868,161
	18,054,000	Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 144A(e)		18,482,782

				1,331,265,524


		Brokerage – 0.9%
	5,000,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		4,875,000


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Brokerage – continued
$	22,540,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A	$	22,508,444
	43,025,000	Jefferies Group LLC, 5.125%, 1/20/2023		44,417,719
	20,010,000	Jefferies Group LLC, 6.250%, 1/15/2036		19,841,976
	15,215,000	Jefferies Group LLC, 6.450%, 6/08/2027		16,519,428
	39,040,000	Jefferies Group LLC, 6.875%, 4/15/2021		44,685,769

				152,848,336


		Building Materials – 0.6%
	19,945,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		16,155,450
	6,995,000	Masco Corp., 6.500%, 8/15/2032		7,379,725
	5,510,000	Masco Corp., 7.125%, 3/15/2020		6,391,600
	2,630,000	Masco Corp., 7.750%, 8/01/2029		3,037,650
	2,000,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		2,130,000
	32,100,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		7,485,285
	35,980,000	Owens Corning, 7.000%, 12/01/2036		41,106,718
	14,155,000	USG Corp., 9.750%, 1/15/2018		16,101,313

				99,787,741


		Cable Satellite – 1.1%
	850,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		826,625
	975,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A		949,406
	3,315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		3,331,575
	4,360,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		4,256,450
	17,679,000	DISH DBS Corp., 5.875%, 11/15/2024		16,982,889
	11,620,000	Intelsat Jackson Holdings S.A., 5.500%, 8/01/2023		10,289,510
	3,995,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018		3,780,269
	28,785,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021		24,035,475
	16,000,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023		13,280,000
	25,270,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		23,002,984
	4,835,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		3,943,919


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Cable Satellite – continued
$	135,000	Time Warner Cable, Inc., 5.875%, 11/15/2040	$	130,698
	44,800,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		53,566,292
	11,275,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		9,219,050
	7,000,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		7,105,000
	20,300,000	VTR Finance BV, 6.875%, 1/15/2024, 144A		20,743,555

				195,443,697


		Chemicals – 2.2%
	19,810,000	Aruba Investments, Inc., 8.750%, 2/15/2023, 144A		20,206,200
	99,610,000	Chemours Co. (The), 6.625%, 5/15/2023, 144A		96,497,187
	18,370,000	Chemours Co. (The), 7.000%, 5/15/2025, 144A		17,818,900
	85,854,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		87,141,810
	20,000,000	Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A		20,100,000
	20,070,000	Hercules, Inc., 6.500%, 6/30/2029		18,263,700
	26,164,000	Hexion, Inc., 7.875%, 2/15/2023(c)(d)		16,679,550
	6,010,000	Hexion, Inc., 8.875%, 2/01/2018		5,424,025
	16,660,000	Hexion, Inc., 9.000%, 11/15/2020		11,995,200
	8,757,000	Hexion, Inc., 9.200%, 3/15/2021(c)(d)		6,326,933
	90,205,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		88,851,925
	885,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		818,625

				390,124,055


		Construction Machinery – 0.1%
	1,425,000	Joy Global, Inc., 6.625%, 11/15/2036		1,690,405
	5,105,000	United Rentals North America, Inc., 5.750%, 11/15/2024		5,028,425
	11,655,000	United Rentals North America, Inc., 7.625%, 4/15/2022		12,616,537

				19,335,367


		Consumer Cyclical Services – 0.0%
	670,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		703,500
	5,500,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		5,555,000

				6,258,500


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Consumer Products – 0.2%
$	11,545,000	Avon Products, Inc., 7.700%, 3/15/2043	$	9,438,037
	33,945,000	Newell Rubbermaid, Inc., 4.000%, 12/01/2024		34,383,298

				43,821,335


		Electric – 2.2%
	5,093,000	AES Corp. (The), 4.875%, 5/15/2023		4,787,420
	23,940,000	AES Corp. (The), 5.500%, 3/15/2024		23,042,250
	10,185,000	AES Corp. (The), 5.500%, 4/15/2025		9,701,212
	40,736,120	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		47,351,706
	53,605,030	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		54,755,393
	1,680,384	CE Generation LLC, 7.416%, 12/15/2018		1,621,571
	38,368,000	DPL, Inc., 6.750%, 10/01/2019, 144A		40,766,000
	9,300,000	Dynegy, Inc., 7.375%, 11/01/2022, 144A		9,741,750
	56,530,000	Dynegy, Inc., 7.625%, 11/01/2024, 144A		59,780,475
	53,785,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		54,307,037
	42,200,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		43,942,185
	14,800,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		15,850,830
	3,570,000	Endesa S.A., 7.875%, 2/01/2027		4,643,624
	13,642,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		15,148,431
	1,435,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		1,730,050
	2,732,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		4,805,198
	555,000	Enersis S.A., 7.400%, 12/01/2016		595,906
	570,999	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		608,114

				393,179,152


		Finance Companies – 5.3%
	19,005,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		21,706,846
	57,000,000	General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		39,309,964
	79,035,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		55,630,177
	25,320,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		17,671,863


Principal Amount (‡)			Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Finance Companies – continued
	215,797,000		General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)	$	147,167,819
	325,000		International Lease Finance Corp., 3.875%, 4/15/2018		326,625
	1,435,000		International Lease Finance Corp., 4.625%, 4/15/2021		1,449,350
	2,085,000		International Lease Finance Corp., 5.875%, 4/01/2019		2,223,027
	24,940,000		International Lease Finance Corp., 5.875%, 8/15/2022		26,935,200
	950,000		International Lease Finance Corp., 6.250%, 5/15/2019		1,027,188
	20,610,000		International Lease Finance Corp., 7.125%, 9/01/2018, 144A		22,980,150
	10,245,000		International Lease Finance Corp., 8.250%, 12/15/2020		12,165,938
	11,995,000		iStar Financial, Inc., 4.875%, 7/01/2018		11,800,081
	14,060,000		iStar Financial, Inc., 5.000%, 7/01/2019		13,866,675
	23,175,000		iStar Financial, Inc., 5.850%, 3/15/2017		23,783,344
	19,240,000		iStar Financial, Inc., 7.125%, 2/15/2018		20,032,688
	19,915,000		Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		20,761,387
	1,875,000		Navient Corp., 5.875%, 10/25/2024		1,762,500
	19,155,000		Navient Corp., MTN, 6.125%, 3/25/2024		18,340,913
	23,020,000		Navient LLC, 4.875%, 6/17/2019		22,789,800
	22,945,000		Navient LLC, 5.500%, 1/25/2023		21,797,750
	109,950	(††)	Navient LLC, 6.000%, 12/15/2043		2,371,255
	7,515,000		Navient LLC, MTN, 4.625%, 9/25/2017		7,637,119
	7,780,000		Navient LLC, MTN, 5.500%, 1/15/2019		7,932,644
	17,600,000		Navient LLC, MTN, 7.250%, 1/25/2022		18,568,000
	2,160,000		Navient LLC, MTN, 8.000%, 3/25/2020		2,408,400
	14,465,000		Navient LLC, Series A, MTN, 5.000%, 6/15/2018		14,410,756
	50,910,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033		41,237,100
	49,850,000		Navient LLC, Series A, MTN, 8.450%, 6/15/2018		55,398,305
	55,730,000		Springleaf Finance Corp., 5.250%, 12/15/2019		54,963,712
	137,545,000		Springleaf Finance Corp., 7.750%, 10/01/2021		149,236,325


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Finance Companies – continued
$	55,015,000	Springleaf Finance Corp., 8.250%, 10/01/2023	$	62,029,412
	10,120,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		10,461,550
	800,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		839,000

				931,022,863


		Food & Beverage – 0.2%
	25,280,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		29,577,600
	4,880,000	Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		5,246,000

				34,823,600


		Government Owned - No Guarantee – 0.2%
	22,160,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		21,827,600
	26,120,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		20,188,148

				42,015,748


		Government Sponsored – 0.0%
	1,000,000	EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF)		1,101,770


		Healthcare – 3.4%
	2,160,000	BioScrip, Inc., 8.875%, 2/15/2021		1,836,000
	2,795,000	HCA Holdings, Inc., 6.250%, 2/15/2021		3,011,612
	186,520,000	HCA, Inc., 5.250%, 4/15/2025		193,980,800
	9,960,000	HCA, Inc., 5.875%, 3/15/2022		10,831,500
	108,560,000	HCA, Inc., 5.875%, 5/01/2023		115,345,000
	14,620,000	HCA, Inc., 7.050%, 12/01/2027		15,277,900
	20,447,000	HCA, Inc., 7.500%, 12/15/2023		22,491,700
	24,215,000	HCA, Inc., 7.500%, 11/06/2033		26,273,275
	46,148,000	HCA, Inc., 7.690%, 6/15/2025		52,377,980
	32,745,000	HCA, Inc., 8.360%, 4/15/2024		38,639,100
	15,815,000	HCA, Inc., MTN, 7.580%, 9/15/2025		17,475,575
	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036		10,108,980
	955,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		933,513
	1,495,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		1,480,050


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Healthcare – continued
$	29,130,000	Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A	$	29,130,000
	32,559,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		30,117,075
	25,530,000	THC Escrow Corp. II, 6.750%, 6/15/2023, 144A		26,040,600

				595,350,660


		Home Construction – 0.8%
	3,075,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		2,982,750
	13,360,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		11,389,400
	29,735,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		27,504,875
	3,620,000	KB Home, 4.750%, 5/15/2019		3,592,850
	11,315,000	KB Home, 7.250%, 6/15/2018		12,276,775
	5,865,000	Lennar Corp., 4.500%, 6/15/2019		5,982,300
	47,260,000	Pulte Group, Inc., 6.000%, 2/15/2035		45,960,350
	13,190,000	Pulte Group, Inc., 6.375%, 5/15/2033		13,354,875
	10,305,000	TRI Pointe Holdings, Inc., 4.375%, 6/15/2019		10,098,900
	195,000	TRI Pointe Holdings, Inc., 5.875%, 6/15/2024		191,100

				133,334,175


		Independent Energy – 2.0%
	7,550,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		7,078,125
	6,930,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		6,427,575
	15,000,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		14,062,500
	1,705,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		1,615,488
	4,945,000	California Resources Corp., 5.000%, 1/15/2020		4,351,600
	81,805,000	California Resources Corp., 5.500%, 9/15/2021		71,186,711
	11,240,000	California Resources Corp., 6.000%, 11/15/2024		9,666,400
	1,310,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		1,136,425
	55,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		53,625
	7,190,000	Continental Resources, Inc., 3.800%, 6/01/2024		6,563,025
	540,000	Continental Resources, Inc., 4.500%, 4/15/2023		520,673


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Independent Energy – continued
$	19,290,000	Eclipse Resources Corp., 8.875%, 7/15/2023, 144A	$	18,683,329
	2,990,000	Halcon Resources Corp., 9.250%, 2/15/2022		1,936,025
	9,700,000	Halcon Resources Corp., 9.750%, 7/15/2020		6,523,250
	1,940,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023		1,915,750
	1,545,000	Oasis Petroleum, Inc., 7.250%, 2/01/2019		1,583,625
	7,170,000	Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A		7,340,287
	3,000,000	QEP Resources, Inc., 5.250%, 5/01/2023		2,872,500
	12,635,000	QEP Resources, Inc., 6.875%, 3/01/2021		13,108,812
	14,844,000	Rex Energy Corp., 6.250%, 8/01/2022		11,726,760
	2,343,000	Rex Energy Corp., 8.875%, 12/01/2020		2,108,700
	6,250,000	Rice Energy, Inc., 6.250%, 5/01/2022		6,203,125
	18,510,000	RKI Exploration & Production LLC/RKI Finance Corp., 8.500%, 8/01/2021, 144A		18,324,900
	1,975,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		2,098,438
	9,210,000	RSP Permian, Inc., 6.625%, 10/01/2022, 144A		9,417,225
	17,508,000	Sanchez Energy Corp., 6.125%, 1/15/2023		15,669,660
	9,520,000	Sanchez Energy Corp., 7.750%, 6/15/2021		9,472,400
	765,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		323,366
	8,241,000	SM Energy Co., 5.000%, 1/15/2024		7,808,347
	22,844,000	SM Energy Co., 6.125%, 11/15/2022, 144A		23,476,779
	801,000	SM Energy Co., 6.500%, 11/15/2021		835,043
	2,522,000	SM Energy Co., 6.500%, 1/01/2023		2,585,050
	6,283,000	Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A		6,031,680
	45,515,000	Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A		39,939,412
	10,845,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		10,628,100

				343,274,710


		Industrial Other – 0.2%
	7,875,000	AECOM Technology Corp., 5.750%, 10/15/2022, 144A		7,973,438
	8,215,000	AECOM Technology Corp., 5.875%, 10/15/2024, 144A		8,327,956


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Industrial Other – continued
$	11,370,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A	$	7,276,800
	6,880,000	Transfield Services Ltd., 8.375%, 5/15/2020, 144A		7,327,200

				30,905,394


		Integrated Energy – 0.0%
	5,385,000	Pacific Rubiales Energy Corp., 5.125%, 3/28/2023, 144A		3,850,275
	3,125,000	Pacific Rubiales Energy Corp., 5.625%, 1/19/2025, 144A		2,265,625

				6,115,900


		Life Insurance – 1.0%
	11,135,000	American International Group, Inc., 4.125%, 2/15/2024		11,554,500
	4,190,000	American International Group, Inc., 4.875%, 6/01/2022		4,596,082
	1,764,000	American International Group, Inc., 6.250%, 3/15/2087		1,942,681
	1,933,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		2,559,292
	4,300,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		4,740,694
	23,200,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(e)		24,258,616
	1,000,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(e)		1,687,802
	1,350,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		1,683,238
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		17,300,700
	1,225,000	Genworth Financial, Inc., (fixed rate to 11/15/2016, variable rate thereafter), 6.150%, 11/15/2066		747,250
	3,695,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		3,223,888
	27,200,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		24,080,432
	10,990,000	Genworth Holdings, Inc., 6.500%, 6/15/2034		9,891,000
	1,475,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,072,375
	8,145,000	MetLife, Inc., 10.750%, 8/01/2069		13,194,900
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		30,242,360
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		10,093,310
	3,910,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		4,575,506

				168,444,626


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Local Authorities – 0.9%
	3,905,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)	$	2,660,540
	95,480,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		78,375,633
	82,840,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		69,910,527

				150,946,700


		Media Entertainment – 0.9%
	111,590,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		6,051,596
	64,250,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		58,146,250
	33,370,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		30,116,425
	7,180,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		7,269,750
	17,950,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		18,578,250
	27,185,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		27,320,925
	2,410,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		2,488,325
	3,730,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		4,009,750
	5,925,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		6,687,844

				160,669,115


		Metals & Mining – 1.7%
	7,924,756	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(f)		4,675,606
	2,000,000	AK Steel Corp., 7.625%, 10/01/2021		1,630,000
	3,949,000	Alcoa, Inc., 5.870%, 2/23/2022		4,245,175
	5,075,000	Alcoa, Inc., 5.900%, 2/01/2027		5,366,813
	1,405,000	Alcoa, Inc., 5.950%, 2/01/2037		1,401,488
	4,330,000	Alcoa, Inc., 6.750%, 1/15/2028		4,817,125
	25,271,000	ArcelorMittal, 7.500%, 3/01/2041		24,765,580
	30,695,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		28,699,825
	8,705,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		8,373,487
	8,625,000	Cliffs Natural Resources, Inc., 4.800%, 10/01/2020		4,096,875
	3,980,000	Cliffs Natural Resources, Inc., 4.875%, 4/01/2021		1,870,600
	46,334,000	Cliffs Natural Resources, Inc., 6.250%, 10/01/2040		20,386,960


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Metals & Mining – continued
$	20,408,000	Emeco Pty Ltd., 9.875%, 3/15/2019, 144A	$	14,897,840
	26,350,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A		22,331,625
	12,315,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		11,776,219
	14,645,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		15,779,988
	51,000,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		54,570,000
	4,200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		4,084,500
	16,135,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		13,176,701
	11,719,000	United States Steel Corp., 6.650%, 6/01/2037		10,429,910
	7,490,000	United States Steel Corp., 6.875%, 4/01/2021		7,490,000
	16,435,000	United States Steel Corp., 7.000%, 2/01/2018		17,544,362
	10,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,322,010

				293,732,689


		Midstream – 0.4%
	750,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		856,567
	8,935,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		9,676,042
	23,179,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		23,758,475
	505,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		535,300
	24,335,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2018, 144A		24,882,538
	3,185,492	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		3,217,346

				62,926,268


		Non-Agency Commercial Mortgage-Backed Securities – 0.9%
	4,199,406	Column Canada Issuer Corp., Series 2006-WEM, Class A1, 4.591%, 1/15/2022, (CAD)		3,401,889
	2,785,000	Column Canada Issuer Corp., Series 2006-WEM, Class A2, 4.934%, 1/15/2022, (CAD)		2,306,466
	27,879,541	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR1, 1.886%, 5/13/2031, 144A(b)(c)(d)		27,681,262
	12,902,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR2, 2.386%, 5/13/2031, 144A(b)(c)(d)		12,802,835
	8,622,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR3, 2.836%, 5/13/2031, 144A(b)(c)(d)		8,556,447
	16,080,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR4, 3.936%, 5/13/2031, 144A(b)(c)(d)		15,960,911
	35,060,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.795%, 8/10/2045(b)		35,708,715


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
	16,191,723	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)	$	13,085,219
	30,100,000	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(c)(d)		30,118,060

				149,621,804


		Oil Field Services – 0.6%
	19,335,000	FTS International, Inc., 6.250%, 5/01/2022		14,211,225
	7,120,000	Global Marine, Inc., 7.000%, 6/01/2028		5,304,400
	5,636,000	Hercules Offshore, Inc., 6.750%, 4/01/2022, 144A(c)(d)(g)		1,944,420
	952,000	Hercules Offshore, Inc., 7.500%, 10/01/2021, 144A(c)(d)(g)		328,440
	6,101,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A(c)(d)(g)		2,104,845
	1,053,000	Hercules Offshore, Inc., 10.250%, 4/01/2019, 144A(c)(d)(g)		367,234
	17,482,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A		5,769,060
	40,403,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A		13,130,975
	18,385,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		14,708,000
	12,020,000	Precision Drilling Corp., 5.250%, 11/15/2024		10,457,400
	594,000	Precision Drilling Corp., 6.500%, 12/15/2021		576,180
	2,590,000	Precision Drilling Corp., 6.625%, 11/15/2020		2,538,200
	500,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		315,000
	39,300,000	Transocean, Inc., 4.300%, 10/15/2022		29,573,250
	1,500,000	Transocean, Inc., 6.500%, 11/15/2020		1,389,375
	1,320,000	Transocean, Inc., 6.800%, 3/15/2038		986,700
	4,355,000	Transocean, Inc., 6.875%, 12/15/2021		3,919,500

				107,624,204


		Packaging – 0.1%
	1,180,000	Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc., 6.000%, 6/15/2017, 144A		1,180,000
	10,055,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		10,130,413
	1,705,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		1,653,850

				12,964,263


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Paper – 0.7%
$	14,715,000	Georgia-Pacific LLC, 7.250%, 6/01/2028	$	18,807,094
	47,875,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		64,834,767
	775,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,118,003
	4,865,000	Westvaco Corp., 7.950%, 2/15/2031		6,256,297
	23,365,000	Westvaco Corp., 8.200%, 1/15/2030		31,511,885
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,364,735

				125,892,781


		Property & Casualty Insurance – 0.4%
	14,855,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		17,154,584
	7,375,000	Loews Corp., 2.625%, 5/15/2023		7,051,761
	12,510,000	MBIA Insurance Corp., 11.535%, 1/15/2033, 144A(b)(g)		5,942,250
	6,555,000	Old Republic International Corp., 4.875%, 10/01/2024		6,781,515
	11,200,000	Sirius International Group, 6.375%, 3/20/2017, 144A		11,774,504
	3,000,000	Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(e)		3,135,000
	17,870,000	XL Group PLC, (fixed rate to 4/15/2017, variable rate thereafter), 6.500%(e)		15,290,108
	1,425,000	XLIT Ltd., 6.375%, 11/15/2024		1,679,455

				68,809,177


		Railroads – 0.3%
	90,000,000	Hellenic Railways Organization S.A., EMTN, 0.247%, 5/24/2016, (EUR)(b)(c)(d)		53,303,745
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)(d)		1,075,345

				54,379,090


		Restaurants – 0.0%
	1,330,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		2,165,516


		Retailers – 0.7%
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,674,125
	4,187,000	Dillard’s, Inc., 7.130%, 8/01/2018		4,720,842
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,736,250
	425,000	Dillard’s, Inc., 7.875%, 1/01/2023		504,688
	10,270,000	Foot Locker, Inc., 8.500%, 1/15/2022(c)		11,239,116


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Retailers – continued
$	5,930,000	GameStop Corp., 5.500%, 10/01/2019, 144A	$	6,093,075
	7,490,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		7,330,837
	27,224,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		20,145,760
	2,510,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		1,895,050
	25,795,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		25,537,050
	12,275,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		14,411,267
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		7,482,930
	3,910,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		1,779,050
	24,860,000	Toys R Us, Inc., 7.375%, 10/15/2018		18,334,250

				124,884,290


		Sovereigns – 1.8%
	317,570,000	Portugal Government International Bond, 5.125%, 10/15/2024, 144A		323,946,806


		Supermarkets – 1.4%
	47,456,000	Albertsons Holdings LLC/Saturn Acquisition Merger Sub, Inc., 7.750%, 10/15/2022, 144A		50,422,000
	79,276,000	New Albertson’s, Inc., 7.450%, 8/01/2029		76,104,960
	25,595,000	New Albertson’s, Inc., 7.750%, 6/15/2026		24,955,125
	24,085,000	New Albertson’s, Inc., 8.000%, 5/01/2031		23,844,150
	5,815,000	New Albertson’s, Inc., 8.700%, 5/01/2030		5,902,225
	16,342,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		13,890,700
	34,580,000	SUPERVALU, Inc., 6.750%, 6/01/2021		34,925,800
	23,400,000	SUPERVALU, Inc., 7.750%, 11/15/2022		24,555,375

				254,600,335


		Supranational – 0.4%
	16,375,000	European Bank for Reconstruction & Development, 6.250%, 2/05/2016, (BRL)		5,058,232
	250,500,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		18,367,056
	24,450,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		17,626,577
	72,900,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		22,528,166

				63,580,031


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Technology – 1.7%
$	6,475,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024	$	5,471,375
	2,255,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		1,961,850
	94,454,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		97,523,755
	5,845,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		6,020,350
	34,955,000	Amkor Technology, Inc., 6.375%, 10/01/2022		35,391,937
	9,100,000	First Data Corp., 10.625%, 6/15/2021		10,078,250
	5,210,000	First Data Corp., 11.250%, 1/15/2021		5,783,100
	50,531,000	First Data Corp., 11.750%, 8/15/2021		56,847,375
	56,340,000	KLA-Tencor Corp., 4.650%, 11/01/2024		56,309,238
	15,170,000	KLA-Tencor Corp., 5.650%, 11/01/2034		15,233,426
	2,562,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		2,816,696
	195,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		244,136
	1,400,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019		1,445,500

				295,126,988


		Transportation Services – 0.2%
	10,503,000	APL Ltd., 8.000%, 1/15/2024(c)(d)		8,822,520
	4,938,659	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(c)		4,938,659
	6,862,758	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(c)(g)(h)		8,990,213
	2,580,717	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020(c)		2,580,717
	2,270,768	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016(c)		2,270,768
	4,744,556	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(c)(g)(h)		6,215,368
	1,864,358	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017(c)		1,864,358
	3,970,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		4,852,730

				40,535,333


		Treasuries – 15.7%
	201,485,000	Canadian Government, 0.250%, 5/01/2017, (CAD)		160,657,267
	352,975,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		283,942,812
	317,256,000	Canadian Government, 1.250%, 2/01/2016, (CAD)		255,001,178


Principal Amount (‡)			Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Treasuries – continued
	29,490,000		Canadian Government, 1.250%, 9/01/2018, (CAD)	$	24,188,411
	80,645,000		Canadian Government, 1.750%, 9/01/2019, (CAD)		67,440,269
	89,045,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		72,003,826
	6,710,000		Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)		4,263,628
	1,010,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(i)		477,671
	1,100,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(i)		459,427
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(i)		1,690,870
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(i)		1,712,810
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(i)		1,708,797
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(i)		1,672,899
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(i)		1,704,650
	5,970,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(i)		2,537,374
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2042, (EUR)(i)		1,711,249
	9,710,000	(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		62,820,348
	9,930,439	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		65,789,766
	4,250,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		30,156,518
	7,740,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		54,097,959
	27,224,481	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		195,732,023
	3,035,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		23,005,657
	21,700,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		176,782,344
	252,700,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		183,520,051
	175,365,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		137,084,091
	458,725,000		Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		66,257,385
	836,485,000		Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		113,553,790
	658,049,000		Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		95,075,909
	162,850,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		49,759,577
	55,925,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		18,922,872


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Treasuries – continued
	49,120,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)	$	15,682,031
	3,842,906,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		20,257,198
	1,605,660,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		8,620,653
	4,496,156,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		25,170,147
	93,535,000	U.S. Treasury Bond, 2.500%, 2/15/2045		82,318,283
	187,065,000	U.S. Treasury Bond, 3.000%, 5/15/2045		183,323,700
	95,000,000	U.S. Treasury Note, 0.375%, 4/30/2016		95,066,785
	35,075,000	U.S. Treasury Note, 0.500%, 6/30/2016		35,132,558
	150,000,000	U.S. Treasury Note, 0.500%, 3/31/2017		149,847,600

				2,769,150,383


		Wireless – 0.6%
	293,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		17,858,693
	134,600,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		8,284,372
	31,041,000	Sprint Capital Corp., 6.875%, 11/15/2028		26,695,260
	6,260,000	Sprint Capital Corp., 8.750%, 3/15/2032		6,087,850
	21,052,000	Sprint Communications, Inc., 6.000%, 11/15/2022		19,236,265
	8,200,000	Sprint Corp., 7.125%, 6/15/2024		7,606,320
	23,641,000	Sprint Corp., 7.250%, 9/15/2021		23,049,975

				108,818,735


		Wirelines – 3.5%
	4,370,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		4,248,277
	7,545,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		7,061,915
	72,320,000	CenturyLink, Inc., 6.450%, 6/15/2021		72,862,400
	765,000	CenturyLink, Inc., 7.650%, 3/15/2042		692,325
	7,410,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		7,113,600
	2,965,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,687,031
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		336,000
	10,703,000	Consolidated Communications, Inc., 6.500%, 10/01/2022, 144A		10,315,016


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Wirelines – continued
	17,900,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)	$	21,652,051
	5,330,000	Embarq Corp., 7.995%, 6/01/2036		5,909,371
	37,225,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		38,714,000
	16,755,000	Frontier Communications Corp., 6.250%, 9/15/2021		15,247,050
	18,725,000	Frontier Communications Corp., 6.875%, 1/15/2025		15,658,781
	38,336,000	Frontier Communications Corp., 7.875%, 1/15/2027		35,460,800
	1,120,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		1,815,001
	25,745,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		25,551,912
	11,690,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		12,406,012
	4,667,000	Oi S.A., 5.750%, 2/10/2022, 144A		4,042,789
	16,550,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		17,159,207
	29,750,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		33,742,218
	42,460,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		41,716,950
	12,463,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		13,397,725
	32,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		33,366,850
	31,060,000	Qwest Corp., 6.875%, 9/15/2033		30,711,817
	3,075,000	Qwest Corp., 7.200%, 11/10/2026		3,100,655
	3,999,000	Qwest Corp., 7.250%, 9/15/2025		4,523,909
	39,171,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		38,117,692
	22,645,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		23,211,125
	7,200,000	Telecom Italia SpA, EMTN, 5.250%, 3/17/2055, (EUR)		8,122,887
	5,250,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		5,512,889
	4,350,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		5,342,418
	31,690,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		26,815,474
	18,600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		16,772,018
	29,552,000	Verizon Communications, Inc., 2.450%, 11/01/2022		27,742,945
	3,346,000	Verizon New England, Inc., 7.875%, 11/15/2029		4,270,336


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Wirelines – continued
$	2,080,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028	$	2,220,144
	3,760,000	Windstream Corp., 7.500%, 4/01/2023		3,280,600
	1,225,000	Windstream Services LLC, 7.500%, 6/01/2022		1,076,469

				621,978,659

		Total Non-Convertible Bonds (Identified Cost $11,956,650,330)		11,631,382,461


	Convertible Bonds – 5.6%

		Building Materials – 0.8%
	19,486,000	KB Home, 1.375%, 2/01/2019		18,962,314
	52,005,000	Lennar Corp., 3.250%, 11/15/2021, 144A		113,533,415
	9,592,000	Ryland Group, Inc. (The), 0.250%, 6/01/2019		9,256,280

				141,752,009


		Chemicals – 0.0%
	4,305,000	RPM International, Inc., 2.250%, 12/15/2020		5,009,944


		Consumer Cyclical Services – 0.1%
	20,848,000	Jarden Corp., 1.125%, 3/15/2034		24,274,890


		Consumer Products – 0.1%
	13,670,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044, 144A		15,079,719


		Diversified Manufacturing – 0.1%
	16,727,000	Trinity Industries, Inc., 3.875%, 6/01/2036		21,170,109


		Healthcare – 0.1%
	15,025,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i)		19,814,219


		Media Entertainment – 0.2%
	27,795,000	Rovi Corp., 0.500%, 3/01/2020, 144A		25,397,681


		Midstream – 0.7%
	63,121,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		54,757,467
	49,165,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		46,583,838
	12,006,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		11,885,940

				113,227,245


Principal Amount (‡)			Description	Value (†)

	Bonds and Notes – continued

	Convertible Bonds – continued

			Pharmaceuticals – 0.1%
$	1,195,000		BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018	$	1,841,794
	1,655,000		BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		2,635,587
	1,810,000		Illumina, Inc., 0.250%, 3/15/2016		4,719,575
	1,910,000		Omnicare, Inc., 3.250%, 12/15/2035		2,374,369
	2,047,000		Omnicare, Inc., 3.750%, 12/15/2025		7,247,659

					18,818,984


			Property & Casualty Insurance – 0.5%
	5,025,000		Jefferies Group LLC, 3.875%, 11/01/2029		5,128,641
	72,915,000		Old Republic International Corp., 3.750%, 3/15/2018		86,085,272

					91,213,913


			Technology – 2.9%
	7,680,000	(††††)	Alcatel-Lucent, Series ALU, 0.125%, 1/30/2020, (EUR)		38,408,407
	7,520,000		Brocade Communications Systems, Inc., 1.375%, 1/01/2020, 144A		7,820,800
	68,075,000		Ciena Corp., 0.875%, 6/15/2017		68,330,281
	7,185,000		Ciena Corp., 3.750%, 10/15/2018, 144A		9,780,581
	2,429,000		Intel Corp., 2.950%, 12/15/2035		2,922,391
	205,005,000		Intel Corp., 3.250%, 8/01/2039		311,863,856
	11,570,000		JDS Uniphase Corp., 0.625%, 8/15/2033		11,360,294
	1,055,000		Lam Research Corp., Series B, 1.250%, 5/15/2018		1,496,122
	5,515,515		Liberty Media LLC, 3.500%, 1/15/2031		4,870,818
	39,460,000		Nuance Communications, Inc., 1.500%, 11/01/2035		40,767,113
	10,415,000		Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A		9,933,306

					507,553,969

			Total Convertible Bonds (Identified Cost $764,113,557)		983,312,682


	Municipals – 1.1%

			District of Columbia – 0.0%
	3,850,000		Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		4,870,404


			Illinois – 0.3%
	47,285,000		State of Illinois, 5.100%, 6/01/2033		44,067,256


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Municipals – continued

		Michigan – 0.1%
$	12,220,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034	$	10,347,529


		Puerto Rico – 0.2%
	63,900,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035		43,132,500


		Virginia – 0.5%
	123,115,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		90,068,472

		Total Municipals (Identified Cost $229,139,030)		192,486,161

		Total Bonds and Notes (Identified Cost $12,949,902,917)		12,807,181,304


	Loan Participations – 0.1%

		ABS Other – 0.1%
	14,489,059	Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039(b)(c)(d)(j) (Identified Cost $14,597,727)		14,597,727


	Senior Loans – 3.0%

		Automotive – 0.2%
	22,249,577	IBC Capital Ltd., 1st Lien Term Loan, 4.750%, 9/09/2021(b)		21,637,714
	5,948,124	IBC Capital Ltd., 2nd Lien Term Loan, 8.000%, 9/09/2022(b)		5,769,680

				27,407,394


		Chemicals – 0.3%
	4,764,557	Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(b)		4,049,873
	5,646,017	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(b)		5,630,152
	6,147,386	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(b)		6,098,699
	31,355,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/20/2020(b)		31,355,000

				47,133,724


		Construction Machinery – 0.2%
	44,338,165	Onsite U.S. Finco LLC, Term Loan, 5.500%, 7/30/2021(b)		42,897,175


		Consumer Cyclical Services – 0.4%
	42,462,500	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(b)		38,994,588
	43,000,000	SourceHov LLC, 2014 2nd Lien Term Loan, 11.500%, 4/30/2020(b)		37,625,000

				76,619,588


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		Consumer Products – 0.1%
$	14,471,289	Visant Corp., New Term Loan, 7.000%, 9/23/2021(b)	$	13,940,627


		Diversified Manufacturing – 0.2%
	9,956,035	Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(b)		8,014,608
	21,863,132	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/19/2020(b)		18,146,400

				26,161,008


		Finance Companies – 0.4%
	61,668,221	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/19/2017(b)		63,826,608


		Financial Other – 0.1%
	21,130,042	DBRS Ltd., Term Loan, 6.250%, 3/04/2022(b)		21,130,042


		Industrial Other – 0.0%
	4,813,380	Eastman Kodak Co., Exit Term Loan, 7.250%, 9/03/2019(b)		4,807,363


		Media Entertainment – 0.0%
	6,703,449	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(b)		3,971,793


		Natural Gas – 0.1%
	10,139,640	Southcross Holdings Borrower LP, Term Loan B, 6.000%, 8/04/2021(b)		9,835,450


		Oil Field Services – 0.1%
	2,618,182	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(b)		2,094,545
	5,440,563	Paragon Offshore Finance Co., Term Loan B, 3.750%, 7/18/2021(b)		3,944,408
	2,955,330	Petroleum Geo-Services ASA, New Term Loan B, 3.250%, 3/19/2021(b)		2,657,344
	2,760,596	UTEX Industries, Inc., 2nd Lien Term Loan 2014, 8.250%, 5/22/2022(b)		2,332,704

				11,029,001


		Other Utility – 0.0%
	1,298,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		1,278,530


		Property & Casualty Insurance – 0.0%
	2,250,800	CGSC of Delaware Holding Corp., 2nd Lien Term Loan C, 8.250%, 10/16/2020(b)		1,924,434


		Retailers – 0.1%
	14,228,094	J.C. Penney Corp., Inc., New Term Loan, 5.000%, 6/20/2019(b)		14,183,702
	2,877,865	Toys ‘R’ Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(b)		2,732,188

				16,915,890


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		Supermarkets – 0.3%
$	28,550,893	Albertson’s LLC, Term Loan B4, 5.500%, 8/25/2021(b)	$	28,660,528
	17,994,819	New Albertson’s, Inc., Term Loan, 4.750%, 6/27/2021(b)		18,013,534
	13,505,323	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(b)		13,520,719

				60,194,781


		Technology – 0.1%
	4,070,400	Aptean, Inc., 2nd Lien Term Loan, 8.500%, 2/26/2021(b)		3,917,760
	9,507,380	IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(b)		8,723,021

				12,640,781


		Transportation Services – 0.0%
	4,375,520	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(b)		4,372,807


		Wireless – 0.0%
	3,384,615	Asurion LLC, New 2nd Lien Term Loan, 8.500%, 3/03/2021(b)		3,434,335


		Wirelines – 0.4%
	39,062,000	CWC Cayman Finance Ltd., Unsecured Term Loan, 6.500%, 4/28/2017(b)		39,159,655
	17,392,695	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b)		17,418,784
	14,998,206	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		14,873,271
	1,672,963	LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(b)		1,661,804

				73,113,514

		Total Senior Loans (Identified Cost $533,204,377)		522,634,845


Shares

	Common Stocks – 19.8%

		Airlines – 0.0%
	38,455	United Continental Holdings, Inc.(g)		2,038,500


		Automobiles – 2.0%
	15,608,933	Ford Motor Co.		234,290,084
	3,379,086	General Motors Co.		112,624,937

				346,915,021


		Banks – 0.4%
	3,979,932	Bank of America Corp.		67,738,443


		Chemicals – 0.4%
	1,364,851	Dow Chemical Co. (The)		69,839,426


		Containers & Packaging – 0.1%
	460,656	Owens-Illinois, Inc.(g)		10,567,449


Shares		Description	Value (†)

	Common Stocks – continued

		Diversified Telecommunication Services – 2.0%
	283,397	Hawaiian Telcom Holdco, Inc.(g)	$	7,396,661
	607,219	Level 3 Communications, Inc.(g)		31,982,225
	3,346,339	Telecom Italia SpA, Sponsored ADR		33,965,341
	19,550,590	Telefonica S.A., Sponsored ADR		277,618,378

				350,962,605


		Electric Utilities – 0.0%
	94,166	Duke Energy Corp.		6,650,003


		Electronic Equipment, Instruments & Components – 3.6%
	32,000,000	Corning, Inc.		631,360,000


		Food Products – 0.6%
	2,309,175	ConAgra Foods, Inc.		100,957,131


		Household Durables – 0.2%
	477,725	KB Home		7,930,235
	549,450	Lennar Corp., Class A		28,043,928

				35,974,163


		Insurance – 0.8%
	1,510,275	Prudential Financial, Inc.		132,179,268


		IT Services – 1.8%
	2,000,000	International Business Machines Corp.		325,320,000


		Multi-Utilities – 0.0%
	73,618	CMS Energy Corp.		2,343,997


		Oil, Gas & Consumable Fuels – 1.3%
	846,398	Chesapeake Energy Corp.		9,454,266
	5,351,804	Repsol YPF S.A., Sponsored ADR		94,191,750
	2,134,173	Royal Dutch Shell PLC, ADR		121,669,203
	160,839	SandRidge Energy, Inc.(g)		141,056
	141,249	Spectra Energy Corp.		4,604,717

				230,060,992


		Pharmaceuticals – 3.2%
	8,514,190	Bristol-Myers Squibb Co.		566,534,202
	2,288	Teva Pharmaceutical Industries Ltd., Sponsored ADR		135,221

				566,669,423


		REITs - Apartments – 0.2%
	290,904	Apartment Investment & Management Co., Class A		10,743,085
	460,000	Equity Residential		32,278,200

				43,021,285


		REITs - Diversified – 0.0%
	227,043	NexPoint Residential Trust, Inc.		3,049,187


		REITs - Regional Malls – 0.1%
	123,159	Simon Property Group, Inc.		21,308,970


		REITs - Shopping Centers – 0.0%
	201,557	DDR Corp.		3,116,071


Shares		Description	Value (†)

	Common Stocks – continued

		REITs - Shopping Centers – continued
	61,579	WP GLIMCHER, Inc.	$	833,164

				3,949,235


		Semiconductors & Semiconductor Equipment – 3.0%
	17,300,541	Intel Corp.		526,195,954


		Trading Companies & Distributors – 0.1%
	176,859	United Rentals, Inc.(g)		15,496,386

		Total Common Stocks (Identified Cost $2,645,407,595)		3,492,597,438


	Preferred Stocks – 2.0%

	Convertible Preferred Stocks – 1.7%

		Banking – 0.2%
	19,062	Bank of America Corp., Series L, 7.250%		21,196,944
	8,533	Wells Fargo & Co., Series L, Class A, 7.500%		10,026,275

				31,223,219


		Communications – 0.0%
	10,483	Cincinnati Bell, Inc., 6.750%		513,982


		Electric – 0.1%
	380,577	AES Trust III, 6.750%		19,352,340


		Energy – 0.1%
	242,297	El Paso Energy Capital Trust I, 4.750%		13,517,750
	85,072	SandRidge Energy, Inc., 7.000%		1,807,780
	69,304	SandRidge Energy, Inc., 8.500%		1,589,660

				16,915,190


		Metals & Mining – 0.6%
	891,682	Alcoa, Inc., Series 1, 5.375%		35,248,189
	4,549,323	ArcelorMittal, 6.000%		71,014,932
	250,639	Cliffs Natural Resources, Inc., 7.000%		1,115,344

				107,378,465


		Midstream – 0.5%
	172,972	Chesapeake Energy Corp., 4.500%		12,298,309
	231,033	Chesapeake Energy Corp., 5.000%		17,731,783
	38,539	Chesapeake Energy Corp., Series A, 5.750%, 144A		25,971,818
	43,178	Chesapeake Energy Corp., 5.750%, 144A		29,388,026

				85,389,936


Shares		Description	Value (†)

	Preferred Stocks – continued

	Convertible Preferred Stocks – continued

		REITs - Diversified – 0.1%
	29,153	Crown Castle International Corp., Series A, 4.500%	$	3,008,590
	391,776	Weyerhaeuser Co., Series A, 6.375%		20,372,352

				23,380,942


		REITs - Health Care – 0.1%
	116,700	Health Care REIT, Inc., Series I, 6.500%		6,936,648


		REITs - Hotels – 0.0%
	167,167	FelCor Lodging Trust, Inc., Series A, 1.950%		4,124,010


		REITs - Mortgage – 0.0%
	38,767	iStar Financial, Inc., Series J, 4.500%		2,209,331

		Total Convertible Preferred Stocks (Identified Cost $355,384,475)		297,424,063


	Non-Convertible Preferred Stocks – 0.3%

		Banking – 0.2%
	22,952	Ally Financial, Inc., Series G, 7.000%, 144A		23,192,280
	35,000	Bank of America Corp., 6.375%		879,900
	389,800	Countrywide Capital IV, 6.750%		9,885,328

				33,957,508


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


		Finance Companies – 0.0%
	39,200	iStar Financial, Inc., Series E, 7.875%		964,320
	39,300	iStar Financial, Inc., Series F, 7.800%		968,745
	10,425	iStar Financial, Inc., Series G, 7.650%		256,768
	101,175	SLM Corp., Series A, 6.970%		5,033,456

				7,223,289


		Home Construction – 0.0%
	208,246	Hovnanian Enterprises, Inc., 7.625%(g)		2,786,331


		REITs - Office Property – 0.0%
	1,596	Highwoods Properties, Inc., Series A, 8.625%		1,899,240


Shares		Description	Value (†)

	Preferred Stocks – continued

	Non-Convertible Preferred Stocks – continued

		REITs - Warehouse/Industrials – 0.1%
	116,192	ProLogis, Inc., Series Q, 8.540%	$	7,690,458

		Total Non-Convertible Preferred Stocks (Identified Cost $32,219,429)		53,595,144

		Total Preferred Stocks (Identified Cost $387,603,904)		351,019,207


	Closed-End Investment Companies – 0.0%
	681,131	NexPoint Credit Strategies Fund (Identified Cost $10,230,352)		4,992,690


Principal Amount (‡)

	Short-Term Investments – 1.6%
$	3,039,630	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2015 at 0.000% to be repurchased at $3,039,630 on 7/01/2015 collateralized by $3,045,600 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $3,100,481 including accrued interest(k)		3,039,630
	277,966,309	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $277,966,387 on 7/01/2015 collateralized by $35,915,000 U.S. Treasury Note, 2.000% due 2/28/2021 valued at $36,405,671; $239,695,000 U.S. Treasury Note, 2.250% due 3/31/2021 valued at $245,986,994; $1,030,000 U.S. Treasury Note, 4.000% due 8/15/2018 valued at $1,142,013 including accrued interest(k)		277,966,309

		Total Short-Term Investments (Identified Cost $281,005,939)		281,005,939


		Total Investments – 99.3% (Identified Cost $16,821,952,811)(a)		17,474,029,150
		Other assets less liabilities – 0.7%		116,602,181

		Net Assets – 100.0%	$	17,590,631,331

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

(†)

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

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

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

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

(†††)

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

(††††)

Amount shown represents units. One unit represents a principal amount of 4.02.

(a)	Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2015, the net unrealized appreciation on investments based on a cost of $16,844,891,899 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	$	1,954,432,182
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,325,294,931	)

Net unrealized appreciation	$	629,137,251

(b)	Variable rate security. Rate as of June 30, 2015 is disclosed.

(c)	Fair valued by the Fund’s adviser. At June 30, 2015, the value of these securities amounted to $304,455,656 or 1.7% (includes illiquid securities) of net assets.

(d)	Illiquid security. At June 30, 2015, the value of these securities amounted to $266,356,457 or 1.5% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(e)	Perpetual bond with no specified maturity date.

(f)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended June 30, 2015, interest payments were made in additional debt securities.

(g)	Non-income producing security.

(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)

The Fund may invest in loans to corporate, governmental or other borrowers. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan.

(k)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of June 30, 2015, the Fund had investments in a repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.


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, 2015, the value of Rule 144A holdings amounted to $3,370,041,733 or 19.2% of net assets.
ABS		Asset-Backed 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.
EMTN		Euro Medium Term Note
GMTN		Global Medium Term Note
GO		General Obligation
MBIA		Municipal Bond Investors Assurance Corp.
MTN		Medium Term Note
PIK		Payment-in-Kind
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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	74,916,457	(a)	$	74,916,457
Airlines		—		441,499,445		80,890,661	(b)		522,390,106
Finance Companies		2,371,255		928,651,608		—			931,022,863
Non-Agency Commercial Mortgage-Backed Securities		—		119,503,744		30,118,060	(b)		149,621,804
Retailers		—		113,645,174		11,239,116	(c)		124,884,290
Transportation Services		—		13,675,250		26,860,083	(c)		40,535,333
All Other Non-Convertible Bonds*		—		9,788,011,608		—			9,788,011,608

Total Non-Convertible Bonds		2,371,255		11,404,986,829		224,024,377			11,631,382,461

Convertible Bonds*		—		983,312,682		—			983,312,682
Municipals*		—		192,486,161		—			192,486,161

Total Bonds and Notes		2,371,255		12,580,785,672		224,024,377			12,807,181,304

Loan Participations*		—		—		14,597,727			14,597,727
Senior Loans*		—		522,634,845		—			522,634,845
Common Stocks*		3,492,597,438		—		—			3,492,597,438
Preferred Stocks
Convertible Preferred Stocks
Energy		13,517,750		3,397,440		—			16,915,190
Midstream		12,298,309		47,119,809		25,971,818	(b)		85,389,936
REITs - Mortgage		—		2,209,331		—			2,209,331
All Other Convertible Preferred Stocks*		192,909,606		—		—			192,909,606

Total Convertible Preferred Stocks		218,725,665		52,726,580		25,971,818			297,424,063

Non-Convertible Preferred Stocks
Electric		—		38,318		—			38,318
REITs - Office Property		—		1,899,240		—			1,899,240
REITs - Warehouse/Industrials		—		7,690,458		—			7,690,458
All Other Non-Convertible Preferred Stocks*		43,967,128		—		—			43,967,128

Total Non-Convertible Preferred Stocks		43,967,128		9,628,016		—			53,595,144

Total Preferred Stocks		262,692,793		62,354,596		25,971,818			351,019,207

Closed-End Investment Companies		4,992,690		—		—			4,992,690
Short-Term Investments		—		281,005,939		—			281,005,939

Total	$	3,762,654,176	$	13,446,781,052	$	264,593,922		$	17,474,029,150

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

(a)	Valued using broker-dealer bid prices ($12,600,650) or fair valued by the Fund’s adviser ($62,315,807).

(b)	Valued using broker-dealer bid prices.

(c)	Fair valued by the Fund’s adviser.

Preferred stocks valued at $21,217,832 were transferred from Level 1 to Level 2 during the period ended June 30, 2015. At September 31, 2014, these securities were valued at the last sale price. At June 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service.

A preferred stock valued at $466,429 was transferred from Level 2 to Level 1 during the period ended June 30, 2015. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At June 30, 2015, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2014 and/or June 30, 2015:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2014		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, 2015		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	101		$	(3,409,147	)	$	84,202,992	$	(5,877,489	)	$	—	$	—		$	74,916,457	$	(3,409,147	)
Airlines		270,539,686		134,765		266,091			(2,265,296	)		—		(43,898,440	)		—		(143,886,145	)		80,890,661		(760,635	)
Banking		162,624,689		—		—			—			—		—			—		(162,624,689	)		—		—
Metals & Mining		8,350,160		41,591		2,237			2,687,201			—		(11,081,189	)		—		—			—		—
Non-Agency Commercial Mortgage-Backed Securities		—		—		—			18,060			30,100,000		—			—		—			30,118,060		18,060
Retailers		11,232,004		27,693		—			(20,581	)		—		—			—		—			11,239,116		(20,581	)
Transportation Services		29,689,394		—		332,510			(688,363	)		—		(2,473,458	)		—		—			26,860,083		(311,929	)
Convertible Bonds
Wirelines		53,861		—		(21,838	)		17,377			—		(49,400	)		—		—			—		—
Loan Participations		15,059,064		—		(3,020	)		(55,843	)		—		(402,474	)		—		—			14,597,727		(54,334	)
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		—		—			(14,325,735	)		12,942,584		—			27,354,969		—			25,971,818		(14,325,735	)

Total	$	497,548,858	$	204,049	$	576,081		$	(18,042,327	)	$	127,245,576	$	(63,782,450	)	$	27,354,969	$	(306,510,834	)	$	264,593,922	$	(18,864,301	)

A preferred stock valued at $27,354,969 was transferred from Level 2 to Level 3 during the period ended June 30, 2015. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At June 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

Debt securities valued at $306,510,834 were transferred from Level 3 to Level 2 during the period ended June 30, 2015. At September 30, 2014, 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. At June 30, 2015, 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, 2015 (Unaudited)


Treasuries	15.7	%
Banking	8.0
Finance Companies	5.7
Technology	4.7
Wirelines	3.9
Electronic Equipment, Instruments & Components	3.6
Healthcare	3.5
Pharmaceuticals	3.3
Semiconductors & Semiconductor Equipment	3.0
Airlines	3.0
Chemicals	2.9
Electric	2.3
Metals & Mining	2.3
Diversified Telecommunication Services	2.0
Automobiles	2.0
Independent Energy	2.0
Other Investments, less than 2% each	29.8
Short-Term Investments	1.6

Total Investments	99.3
Other assets less liabilities	0.7

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2015 (Unaudited)


United States Dollar	77.6	%
Canadian Dollar	6.2
New Zealand Dollar	4.0
Mexican Peso	3.7
Australian Dollar	2.8
Other, less than 2% each	5.0

Total Investments	99.3
Other assets less liabilities	0.7

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2015 (Unaudited)

Loomis Sayles Value Fund


Shares		Description	Value (†)

	Common Stocks – 98.3% of Net Assets

		Aerospace & Defense – 4.5%
	254,121	Honeywell International, Inc.	$	25,912,718
	172,029	Northrop Grumman Corp.		27,288,960
	228,405	United Technologies Corp.		25,336,967

				78,538,645


		Automobiles – 2.0%
	629,624	General Motors Co.		20,985,368
	267,227	Harley-Davidson, Inc.		15,058,241

				36,043,609


		Banks – 12.5%
	2,237,827	Bank of America Corp.		38,087,816
	665,629	Citigroup, Inc.		36,769,346
	1,505,779	Fifth Third Bancorp		31,350,319
	750,478	JPMorgan Chase & Co.		50,852,389
	252,359	PNC Financial Services Group, Inc. (The)		24,138,138
	674,764	Wells Fargo & Co.		37,948,727

				219,146,735


		Beverages – 1.4%
	258,782	PepsiCo, Inc.		24,154,712


		Capital Markets – 3.8%
	209,614	Ameriprise Financial, Inc.		26,187,077
	346,343	Legg Mason, Inc.		17,847,055
	293,272	State Street Corp.		22,581,944

				66,616,076


		Chemicals – 1.2%
	326,696	E.I. du Pont de Nemours & Co.		20,892,209


		Communications Equipment – 2.6%
	852,191	Cisco Systems, Inc.		23,401,165
	342,370	QUALCOMM, Inc.		21,442,633

				44,843,798


		Construction Materials – 1.4%
	297,923	Vulcan Materials Co.		25,004,677


		Consumer Finance – 2.7%
	236,867	American Express Co.		18,409,303
	503,105	Discover Financial Services		28,988,910

				47,398,213


		Containers & Packaging – 1.7%
	596,638	Sealed Air Corp.		30,655,260


		Diversified Telecommunication Services – 1.3%
	474,636	Verizon Communications, Inc.		22,122,784


Shares		Description	Value (†)

	Common Stocks – continued

		Electric Utilities – 1.1%
	195,719	NextEra Energy, Inc.	$	19,186,334


		Electrical Equipment – 1.5%
	391,526	Eaton Corp. PLC		26,424,090


		Electronic Equipment, Instruments & Components – 0.9%
	893,432	Knowles Corp.(b)		16,171,119


		Energy Equipment & Services – 2.2%
	557,832	Halliburton Co.		24,025,824
	313,578	National Oilwell Varco, Inc.		15,139,546

				39,165,370


		Food & Staples Retailing – 1.2%
	205,539	CVS Health Corp.		21,556,930


		Food Products – 1.4%
	584,812	Mondelez International, Inc., Class A		24,059,166


		Health Care Equipment & Supplies – 1.6%
	372,848	Medtronic PLC		27,628,037


		Health Care Providers & Services – 4.9%
	280,112	Express Scripts Holding Co.(b)		24,913,161
	251,884	HCA Holdings, Inc.(b)		22,850,917
	317,894	UnitedHealth Group, Inc.		38,783,068

				86,547,146


		Independent Power & Renewable Electricity Producers – 0.8%
	772,892	Calpine Corp.(b)		13,904,327


		Insurance – 7.1%
	481,945	American International Group, Inc.		29,793,840
	585,772	FNF Group		21,667,706
	520,509	MetLife, Inc.		29,143,299
	209,665	Travelers Cos., Inc. (The)		20,266,219
	655,483	Unum Group		23,433,517

				124,304,581


		Internet & Catalog Retail – 1.3%
	820,355	Liberty Interactive Corp., Class A(b)		22,764,851


		Machinery – 3.0%
	144,730	Illinois Tool Works, Inc.		13,284,767
	290,493	Ingersoll-Rand PLC		19,585,038
	297,034	Pentair PLC		20,421,087

				53,290,892


		Media – 4.8%
	494,220	Comcast Corp., Class A		29,722,391
	308,313	Liberty Global PLC, Class A(b)		16,670,484
	278,597	Omnicom Group, Inc.		19,359,705
	299,048	Viacom, Inc., Class B		19,330,463

				85,083,043


Shares		Description	Value (†)

	Common Stocks – continued

		Multi-Utilities – 1.0%
	358,329	PG&E Corp.	$	17,593,954


		Oil, Gas & Consumable Fuels – 6.3%
	300,750	Chevron Corp.		29,013,352
	278,166	Hess Corp.		18,603,742
	904,871	Marathon Oil Corp.		24,015,276
	386,755	Royal Dutch Shell PLC, ADR		22,048,903
	279,801	Valero Energy Corp.		17,515,543

				111,196,816


		Pharmaceuticals – 10.4%
	70,778	Allergan PLC(b)		21,478,292
	406,850	Eli Lilly & Co.		33,967,907
	518,080	Merck & Co., Inc.		29,494,294
	1,248,789	Pfizer, Inc.		41,871,895
	624,375	Sanofi, ADR		30,925,294
	437,619	Teva Pharmaceutical Industries Ltd., Sponsored ADR		25,863,283

				183,600,965


		REITs - Diversified – 1.1%
	632,746	Weyerhaeuser Co.		19,931,499


		Road & Rail – 1.5%
	298,886	Norfolk Southern Corp.		26,110,681


		Software – 3.7%
	860,637	Microsoft Corp.		37,997,124
	1,166,120	Symantec Corp.		27,112,290

				65,109,414


		Specialty Retail – 1.1%
	284,349	Lowe’s Cos., Inc.		19,042,853


		Technology Hardware, Storage & Peripherals – 2.5%
	166,691	Apple, Inc.		20,907,219
	865,740	EMC Corp.		22,846,878

				43,754,097


		Textiles, Apparel & Luxury Goods – 1.4%
	189,749	Ralph Lauren Corp.		25,115,178


		Tobacco – 1.2%
	254,876	Philip Morris International, Inc.		20,433,409


		Wireless Telecommunication Services – 1.2%
	590,051	Vodafone Group PLC, Sponsored ADR		21,507,359

		Total Common Stocks (Identified Cost $1,348,188,320)		1,728,898,829


Principal Amount		Description	Value (†)

	Short-Term Investments – 1.7%
$	29,655,988	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $29,655,996 on 7/01/2015 collateralized by $29,480,000 U.S. Treasury Note, 2.250% due 3/31/2021 valued at $30,253,850 including accrued interest(c) (Identified Cost $29,655,988)	$	29,655,988


		Total Investments – 100.0% (Identified Cost $1,377,844,308)(a)		1,758,554,817
		Other assets less liabilities – (0.0)%		(751,456	)

		Net Assets – 100.0%	$	1,757,803,361


Shares

	Common Stocks Sold Short – (0.1)%

		Chemicals – (0.1)%
	65,339	Chemours Co. (The)(b)(d)(e) (Proceeds $1,387,370)	$	(1,045,424	)

(†)

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

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

At June 30, 2015, the net unrealized appreciation on investments based on a cost of $1,377,844,308 (excludes proceeds received from short sales of $(1,387,370)) 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
Investment securities	$	431,524,063
Securities sold short		341,946
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value
Investment securities	$	(50,813,554	)
Securities sold short		—

Net unrealized appreciation	$	380,052,455

(b)	Non-income producing security.

(c)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Fund’s ability to dispose of the underlying securities. As of June 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

(d)	When-issued security. When-issued refers to a transaction made conditionally because a security, although authorized, has not been issued.

(e)	During the period ended June 30, 2015, the Fund received shares of this security as part of a corporate action. The Fund sold its shares on a when-issued basis prior to receiving them. This transaction is presented as a short sale.


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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,728,898,829	$	—	$	—	$	1,728,898,829
Short-Term Investments		—		29,655,988		—		29,655,988

Total	$	1,728,898,829	$	29,655,988	$	—	$	1,758,554,817

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Common Stocks Sold Short*	$	(1,045,424	)	$	—	$	—	$	(1,045,424	)

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

For the period ended June 30, 2015 there were no transfers among Levels 1, 2 and 3.

Industry Summary at June 30, 2015 (Unaudited)


Banks	12.5	%
Pharmaceuticals	10.4
Insurance	7.1
Oil, Gas & Consumable Fuels	6.3
Health Care Providers & Services	4.9
Media	4.8
Aerospace & Defense	4.5
Capital Markets	3.8
Software	3.7
Machinery	3.0
Consumer Finance	2.7
Communications Equipment	2.6
Technology Hardware, Storage & Peripherals	2.5
Energy Equipment & Services	2.2
Automobiles	2.0
Other Investments, less than 2% each*	25.3
Short-Term Investments	1.7

Total Investments	100.0
Other assets less liabilities	(0.0	)

Net Assets	100.0	%

*	Net of securities sold short.

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/ David Giunta

Name:		David Giunta
Title:		Chief Executive Officer
Date:		August 20, 2015

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/ David Giunta

Name:		David Giunta
Title:		Chief Executive Officer
Date:		August 20, 2015

By:		/s/ Michael C. Kardok

Name:		Michael C. Kardok
Title:		Treasurer
Date:		August 20, 2015