Loomis Sayles Funds II

0001193125-16-484389.txt : 20160229 0001193125-16-484389.hdr.sgml : 20160229 20160229121134 ACCESSION NUMBER: 0001193125-16-484389 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20151231 FILED AS OF DATE: 20160229 DATE AS OF CHANGE: 20160229 EFFECTIVENESS DATE: 20160229 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LOOMIS SAYLES FUNDS II CENTRAL INDEX KEY: 0000872649 IRS NUMBER: 043113285 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-06241 FILM NUMBER: 161465885 BUSINESS ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 BUSINESS PHONE: 617-449-2810 MAIL ADDRESS: STREET 1: 399 BOYLSTON STREET STREET 2: 12TH FLOOR CITY: BOSTON STATE: MA ZIP: 02116 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS I DATE OF NAME CHANGE: 20031119 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS DATE OF NAME CHANGE: 20031015 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS II DATE OF NAME CHANGE: 20030718

0000872649 S000006697 Loomis Sayles Value Fund

C000018225 Class Y LSGIX

C000034548 Class A LSVRX

C000049398 Class B LSVBX

C000049399 Class C LSCVX

C000082997 Admin Class LSAVX

C000125483 Class N LSVNX

0000872649 S000006698 Loomis Sayles Global Equity and Income Fund

C000018226 Class Y LSWWX

C000027670 Class A LGMAX

C000027671 Class C LGMCX

0000872649 S000006699 Loomis Sayles Growth Fund

C000018227 Class A LGRRX

C000018228 Class B LGRBX

C000018229 Class C LGRCX

C000018230 Class Y LSGRX

C000125484 Class N LGRNX

0000872649 S000006700 Loomis Sayles High Income Fund

C000018231 Class A NEFHX

C000018232 Class B NEHBX

C000018233 Class C NEHCX

C000069253 Class Y NEHYX

0000872649 S000006701 Loomis Sayles Investment Grade Bond Fund

C000018234 Class A LIGRX

C000018235 Class B LGBBX

C000018236 Class C LGBCX

C000018238 Class Y LSIIX

C000082998 Admin Class LIGAX

C000125485 Class N LGBNX

0000872649 S000006702 Loomis Sayles Limited Term Government and Agency Fund

C000018239 Class A NEFLX

C000018240 Class B NELBX

C000018241 Class C NECLX

C000018242 Class Y NELYX

0000872649 S000006705 Loomis Sayles Small Cap Growth Fund

C000018249 Institutional Class LSSIX

C000018250 Retail Class LCGRX

C000125486 Class N LSSNX

0000872649 S000006706 Loomis Sayles Strategic Income Fund

C000018251 Class A NEFZX

C000018252 Class B NEZBX

C000018253 Class C NECZX

C000018254 Class Y NEZYX

C000082999 Admin Class NEZAX

C000125487 Class N NEZNX

0000872649 S000049859 Loomis Sayles Small/Mid Cap Growth Fund

C000157445 Institutional Class LSMIX

N-Q 1 d149400dnq.htm LOOMIS SAYLES FUNDS II Loomis Sayles Funds II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06241

Loomis Sayles Funds II

(Exact name of registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: September 30

Date of reporting period: December 31, 2015

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of December 31, 2015 (Unaudited)

Loomis Sayles Global Equity and Income Fund


Shares		Description	Value (†)
	Common Stocks – 62.1% of Net Assets
		Belgium – 1.7%
	192,125	Anheuser-Busch InBev SA/NV	$	23,909,406

		Canada – 1.5%
	523,500	CGI Group, Inc., Class A(b)		20,959,673

		China – 3.1%
	370,320	Alibaba Group Holding Ltd., Sponsored ADR(b)		30,095,906
	1,487,500	Hengan International Group Co. Ltd.		13,964,840

				44,060,746

		Denmark – 1.1%
	264,006	Novo Nordisk AS, Class B		15,285,474

		France – 1.5%
	281,881	Thales S.A.		21,098,702

		Germany – 0.6%
	168,490	Brenntag AG		8,779,629

		Hong Kong – 1.5%
	3,578,000	AIA Group Ltd.		21,378,835

		India – 2.2%
	1,127,051	HCL Technologies Ltd.		14,535,502
	790,931	HDFC Bank Ltd.		16,234,778

				30,770,280

		Ireland – 0.8%
	30,752,091	Governor & Co. of the Bank of Ireland (The)(b)		11,260,009

		Italy – 0.7%
	144,332	Luxottica Group S.p.A.		9,405,402

		Japan – 3.0%
	355,800	Asahi Group Holdings Ltd.		11,138,105
	2,495,800	Mitsubishi UFJ Financial Group, Inc.		15,459,606
	407,770	Nomura Research Institute Ltd.		15,659,902

				42,257,613

		Netherlands – 1.4%
	1,462,811	ING Groep NV		19,791,884

		Philippines – 0.7%
	2,404,140	Universal Robina Corp.		9,486,819

		Sweden – 1.7%
	480,549	Assa Abloy AB		10,059,190
	567,120	Atlas Copco AB, A Shares		13,908,498

				23,967,688


Shares		Description	Value (†)
	Common Stocks – continued
		Switzerland – 2.0%
	35,570	Geberit AG, (Registered)	$	12,047,646
	59,533	Roche Holding AG		16,497,094

				28,544,740

		United Kingdom – 2.8%
	4,877,354	Legal & General Group PLC		19,245,557
	504,251	London Stock Exchange Group PLC		20,401,025

				39,646,582

		United States – 35.8%
	137,674	Alexion Pharmaceuticals, Inc.(b)		26,261,316
	125,542	Allergan PLC(b)		39,231,875
	25,483	Alphabet, Inc., Class C(b)		19,338,539
	37,285	Alphabet, Inc., Class A(b)		29,008,103
	25,232	Amazon.com, Inc.(b)		17,054,056
	50,032	AutoZone, Inc.(b)		37,119,241
	344,964	Comcast Corp., Class A		19,466,319
	259,140	Facebook, Inc., Class A(b)		27,121,592
	102,751	FactSet Research Systems, Inc.		16,704,230
	231,225	Genesee & Wyoming, Inc., Class A(b)		12,414,470
	111,262	Goldman Sachs Group, Inc. (The)		20,052,750
	955	Hawaiian Telcom Holdco, Inc.(b)		23,741
	643,049	Jarden Corp.(b)		36,730,959
	106,207	LyondellBasell Industries NV, Class A		9,229,388
	116,455	M&T Bank Corp.		14,112,017
	25,809	Mettler-Toledo International, Inc.(b)		8,752,606
	19,128	Priceline Group, Inc. (The)(b)		24,387,244
	216,922	Schlumberger Ltd.		15,130,310
	31,858	Sherwin-Williams Co. (The)		8,270,337
	184,764	Starwood Hotels & Resorts Worldwide, Inc.		12,800,450
	263,238	Texas Instruments, Inc.		14,428,075
	154,187	TransDigm Group, Inc.(b)		35,224,020
	186,060	Travelers Cos., Inc. (The)		20,998,732
	178,260	UnitedHealth Group, Inc.		20,970,506
	356,751	Wells Fargo & Co.		19,392,984

				504,223,860

		Total Common Stocks (Identified Cost $753,150,915)		874,827,342


Principal Amount
	Bonds and Notes – 31.5%
	Non-Convertible Bonds – 30.7%
		Argentina – 0.2%
$	382,136	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		390,734
	1,755,000	YPF S.A., 8.750%, 4/04/2024, 144A		1,702,350

				2,093,084


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Australia – 0.1%
$	110,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A	$	119,273
	500,000	Macquarie Bank Ltd., 6.625%, 4/07/2021, 144A		560,141
	95,000	Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A		89,055
	120,000	Sydney Airport Finance Co. Pty Ltd., 5.125%, 2/22/2021, 144A		130,037
	950,000	Telstra Corp. Ltd., 3.125%, 4/07/2025, 144A(c)		911,212

				1,809,718

		Belgium – 0.1%
	350,000	Anheuser-Busch InBev SA/NV, EMTN, 6.500%, 6/23/2017, (GBP)		552,150
	440,000	Solvay Finance (America) LLC, 3.400%, 12/03/2020, 144A		436,464

				988,614

		Brazil – 0.9%
	600,000	Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A		605,100
	2,293,302	Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		540,867
	800,000	Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		696,000
	6,600(††)	Brazil Letras do Tesouro Nacional, Zero Coupon, 7/01/2016, (BRL)(c)		1,556,587
	2,250(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2019, (BRL)		461,007
	1,115(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)		210,455
	2,300,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)		484,272
	1,000,000	CIMPOR Financial Operations BV, 5.750%, 7/17/2024, 144A		665,000
	400,000	Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A		328,500
	240,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		218,400
	800,000	Gerdau Trade, Inc., 5.750%, 1/30/2021, 144A		634,000
	226,000	GTL Trade Finance, Inc., 5.893%, 4/29/2024, 144A		160,460
	915,000	Itau Unibanco Holding S.A., 2.850%, 5/26/2018, 144A		870,165
	1,825,000	Petrobras Global Finance BV, 4.375%, 5/20/2023(c)		1,204,500
	320,000	Petrobras Global Finance BV, 5.375%, 1/27/2021		238,400
	775,000	Petrobras Global Finance BV, 5.750%, 1/20/2020		608,375
	1,125,000	Petrobras Global Finance BV, 6.850%, 6/05/2115		728,437


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Brazil – continued
$	300,000	Petrobras Global Finance BV, 6.875%, 1/20/2040	$	195,000
	600,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A		192,000
	500,000	Tupy Overseas S.A., 6.625%, 7/17/2024, 144A		436,250
	1,106,000	Vale Overseas Ltd., 6.875%, 11/21/2036(c)		773,138
	470,000	Vale S.A., 5.625%, 9/11/2042		310,834

				12,117,747

		Canada – 0.5%
	1,085,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		826,277
	495,000	Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A		496,663
	5,065,000	Canadian Government, 1.250%, 9/01/2018, (CAD)(c)		3,732,660
	1,335,000	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)(c)		976,479
	185,000	Magna International, Inc., 1.900%, 11/24/2023, (EUR)		202,536
	600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		479,883

				6,714,498

		Chile – 0.4%
	1,450,000	Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A(c)		1,457,399
	200,000	Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022		203,556
	300,000,000	Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(c)		435,672
	1,160,000	CODELCO, Inc., 4.500%, 9/16/2025, 144A(c)		1,092,356
	550,000	Corpbanca S.A., 3.125%, 1/15/2018		535,950
	250,000	E.CL S.A., 5.625%, 1/15/2021, 144A		269,848
	800,000	Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A		756,250
	1,120,000	Transelec S.A., 4.250%, 1/14/2025, 144A(c)		1,097,365
	400,000	VTR Finance BV, 6.875%, 1/15/2024, 144A		368,000

				6,216,396

		China – 0.3%
	800,000	Baidu, Inc., 2.250%, 11/28/2017		800,090
	700,000	Baidu, Inc., 3.250%, 8/06/2018		708,966
	400,000	China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A		414,852


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		China – continued
$	1,200,000	CNOOC Finance 2013 Ltd., 3.000%, 5/09/2023(c)	$	1,123,161
	485,000	CNOOC Finance 2015 Australia Pty Ltd., 2.625%, 5/05/2020(c)		474,114
	480,000	CNOOC Finance 2015 USA LLC, 3.500%, 5/05/2025(c)		456,886
	1,000,000	Parkson Retail Group Ltd., 4.500%, 5/03/2018		886,155

				4,864,224

		Colombia – 0.2%
	555,000	Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022, 144A		500,887
	610,000	Ecopetrol S.A., 4.125%, 1/16/2025		488,000
	600,000	Ecopetrol S.A., 5.875%, 9/18/2023(c)		552,000
	490,000	Ecopetrol S.A., 5.875%, 5/28/2045		347,900
	1,265,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		389,079
	2,140,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		643,648
	1,220,000	Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A		244,000
	580,000	Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A		116,000
	200,000,000	Republic of Colombia, 7.750%, 4/14/2021, (COP)		64,105

				3,345,619

		Dominican Republic – 0.1%
	1,410,000	Dominican Republic International Bond, 5.500%, 1/27/2025, 144A		1,357,125
	425,000	Dominican Republic International Bond, 8.625%, 4/20/2027, 144A		493,000

				1,850,125

		France – 0.3%
	425,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		430,313
	15,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		15,075
	200,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		345,257
	435,000	Credit Agricole S.A., 4.375%, 3/17/2025, 144A		421,719
	390,000	Credit Agricole S.A., (fixed rate to 6/23/2026, variable rate thereafter), 7.500% , (GBP)(d)		564,158
	1,065,000	Societe Generale S.A., 4.250%, 4/14/2025, 144A(c)		1,010,365
	1,015,000	Societe Generale S.A., 4.750%, 11/24/2025, 144A		982,151


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)	$	527,067

				4,296,105

		Hong Kong – 0.1%
	355,000	AIA Group Ltd., 3.200%, 3/11/2025, 144A		342,654
	400,000	Hutchison Whampoa International 11 Ltd., 3.500%, 1/13/2017, 144A		406,771

				749,425

		Hungary – 0.2%
	1,330,000	Hungary Government International Bond, 5.375%, 3/25/2024		1,456,350
	980,000	Hungary Government International Bond, 5.750%, 11/22/2023		1,096,522

				2,552,872

		Iceland – 0.1%
	1,000,000	Republic of Iceland, 5.875%, 5/11/2022, 144A(c)		1,134,289

		India – 0.4%
	550,000	Axis Bank Ltd., 3.250%, 5/21/2020, 144A		551,622
	1,155,000	Bharti Airtel International BV, 5.125%, 3/11/2023, 144A(c)		1,195,633
	990,000	Bharti Airtel International BV, 5.350%, 5/20/2024, 144A		1,039,288
	1,400,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		1,430,785
	750,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		811,084
	700,000	State Bank of India/London, 4.125%, 8/01/2017, 144A		720,630

				5,749,042

		Indonesia – 0.6%
	300,000	Indonesia Government International Bond, 4.125%, 1/15/2025, 144A		287,502
	525,000	Indonesia Government International Bond, 4.750%, 1/08/2026, 144A		518,642
	725,000	Indonesia Government International Bond, 5.125%, 1/15/2045, 144A		655,651
	3,500,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		261,227
	781,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		61,193
	12,100,000,000	Indonesia Treasury Bond, 6.125%, 5/15/2028, (IDR)		689,169
	24,000,000,000	Indonesia Treasury Bond, 7.875%, 4/15/2019, (IDR)(c)		1,692,936
	14,000,000,000	Indonesia Treasury Bond, 8.375%, 3/15/2024, (IDR)(c)		987,566


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Indonesia – continued
$	400,000	Listrindo Capital BV, 6.950%, 2/21/2019, 144A	$	410,000
	1,400,000	Pertamina Persero PT, 4.300%, 5/20/2023, 144A(c)		1,272,641
	545,000	Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR)		586,000
	500,000	TBG Global Pte Ltd., 4.625%, 4/03/2018, 144A		487,500

				7,910,027

		Italy – 0.6%
	440,000	Italy Buoni Poliennali Del Tesoro, 1.500%, 6/01/2025, (EUR)		478,490
	2,860,000	Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(c)		3,459,899
	2,295,000	Italy Buoni Poliennali Del Tesoro, 4.750%, 8/01/2023, 144A, (EUR)(c)		3,135,995
	725,000	UniCredit SpA, EMTN, 6.950%, 10/31/2022, (EUR)		920,696
	870,000	Wind Acquisition Finance S.A., 7.375%, 4/23/2021, 144A		822,150

				8,817,230

		Jamaica – 0.1%
	665,000	Jamaica Government International Bond, 6.750%, 4/28/2028		660,012

		Japan – 0.3%
	900,000	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 1.700%, 3/05/2018, 144A(c)		892,508
	940,000	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 2.150%, 9/14/2018, 144A(c)		937,309
	1,165,000	Nomura Holdings, Inc., GMTN, 2.750%, 3/19/2019(c)		1,171,285
	850,000	SoftBank Group Corp., 4.500%, 4/15/2020, 144A		845,750

				3,846,852

		Korea – 0.6%
	3,700,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)(c)		429,705
	600,000	Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A		611,135
	600,000	Hyundai Steel Co., 4.625%, 4/21/2016, 144A		604,373
	600,000	Industrial Bank of Korea, 2.375%, 7/17/2017, 144A(c)		603,752
	400,000	KEB Hana Bank, 4.000%, 11/03/2016, 144A		407,777
	400,000	Kia Motors Corp., 3.625%, 6/14/2016, 144A(c)		403,276
	400,000	Korea Development Bank (The), 4.625%, 11/16/2021(c)		438,592
	400,000	Korea National Oil Corp., 3.125%, 4/03/2017, 144A		406,140


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)	$	2,248,621
	1,125,000	Minera y Metalurgica del Boleo S.A. de CV, 2.875%, 5/07/2019, 144A(c)		1,132,468
	950,000	Shinhan Bank, 2.250%, 4/15/2020, 144A(c)		936,311
	140,000	SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A		179,200
	200,000	Woori Bank, 5.875%, 4/13/2021, 144A		224,162

				8,625,512

		Luxembourg – 0.1%
	970,000	ArcelorMittal, 7.750%, 3/01/2041		655,963
	430,000	INEOS Group Holdings S.A., 5.750%, 2/15/2019, (EUR)		467,302
	500,000	Millicom International Cellular S.A., 4.750%, 5/22/2020, 144A		447,500

				1,570,765

		Mexico – 1.0%
	10,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		550,059
	300,000	Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A		298,875
	640,000	Cemex Finance LLC, 6.000%, 4/01/2024, 144A		548,800
	300,000	Cemex SAB de CV, 4.375%, 3/05/2023, 144A, (EUR)		294,238
	505,000	Cemex SAB de CV, 5.700%, 1/11/2025, 144A		422,306
	10,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		483,517
	746,500(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c)		4,480,966
	186,200(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(c)		1,111,700
	395,000(†††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(c)		2,521,221
	135,113(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)(c)		877,466
	196,000	Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)		177,895
	780,000	Petroleos Mexicanos, 4.250%, 1/15/2025, 144A		682,500
	625,000	Petroleos Mexicanos, 5.625%, 1/23/2046, 144A		478,250
	135,000(†††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)		703,039
	925,000	Unifin Financiera S.A.P.I. de CV SOFOM ENR, 6.250%, 7/22/2019, 144A		851,000

				14,481,832


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Morocco – 0.1%
$	965,000	OCP S.A., 4.500%, 10/22/2025, 144A	$	897,573
	590,000	OCP S.A., 6.875%, 4/25/2044, 144A		577,740

				1,475,313

		Netherlands – 0.1%
	870,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 4.375%, 8/04/2025		882,728
	500,000	Shell International Finance BV, 3.250%, 5/11/2025(c)		487,988

				1,370,716

		New Zealand – 0.4%
	2,898,168	New Zealand Government Bond, 3.000%, 9/20/2030, (NZD)(c)		2,112,508
	2,340,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)(c)		1,707,516
	2,590,000	New Zealand Government Bond, 5.500%, 4/15/2023, (NZD)(c)		2,031,287
	120,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019		120,900

				5,972,211

		Norway – 0.2%
	13,275,000	Norway Government Bond, 2.000%, 5/24/2023, 144A, (NOK)(c)		1,575,157
	13,760,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)(c)		1,749,759

				3,324,916

		Panama – 0.1%
	300,000	Autoridad del Canal de Panama, 4.950%, 7/29/2035, 144A		307,095
	680,000	Banco Latinoamericano de Comercio Exterior S.A., 3.250%, 5/07/2020, 144A		669,800
	300,000	Banco Latinoamericano de Comercio Exterior S.A., 3.750%, 4/04/2017, 144A		303,750

				1,280,645

		Peru – 0.2%
	580,000	Southern Copper Corp., 3.875%, 4/23/2025		520,113
	1,050,000	Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A(c)		981,750
	1,050,000	Union Andina de Cementos SAA, 5.875%, 10/30/2021, 144A		1,013,250

				2,515,113

		Philippines – 0.1%
	40,000,000	Philippine Government International Bond, 3.900%, 11/26/2022, (PHP)		817,129


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Philippines – continued
	30,000,000	Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)	$	647,912
	175,000	Philippine Long Distance Telephone Co., EMTN, 8.350%, 3/06/2017		187,469

				1,652,510

		Poland – 0.4%
	17,080,000	Poland Government Bond, 4.000%, 10/25/2023, (PLN)(c)		4,713,421
	3,210,000	Poland Government Bond, 5.500%, 10/25/2019, (PLN)		921,433

				5,634,854

		Portugal – 0.0%
	400,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		400,920
	225,000	EDP Finance BV, EMTN, 2.000%, 4/22/2025, (EUR)		223,184

				624,104

		Russia – 0.1%
	77,000,000	Russian Federal Bond - OFZ, Series 5081, 6.200%, 1/31/2018, (RUB)		981,064

		Singapore – 0.2%
	495,000	BOC Aviation Pte Ltd., 3.000%, 3/30/2020		486,915
	2,000,000	DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A(c)		2,034,770

				2,521,685

		South Africa – 0.1%
	930,000	MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A		809,100
	500,000	Myriad International Holdings BV, 6.000%, 7/18/2020, 144A		531,965

				1,341,065

		Spain – 0.3%
	430,000	Spain Government Bond, 1.600%, 4/30/2025, 144A, (EUR)		464,502
	2,115,000	Spain Government Bond, 4.300%, 10/31/2019, 144A, (EUR)(c)		2,632,973
	800,000	Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)(c)		1,061,794

				4,159,269

		Supranationals – 0.3%
	840,000	Central American Bank for Economic Integration, 3.875%, 2/09/2017, 144A(c)		853,440
	1,115,000	Corporacion Andina de Fomento, 4.375%, 6/15/2022(c)		1,187,029
	1,140,000	International Bank for Reconstruction & Development, 2.500%, 3/12/2020, (AUD)(c)		822,511


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supranationals – continued
	70,000,000	International Finance Corp., 7.800%, 6/03/2019, (INR)(c)	$	1,084,873

				3,947,853

		Sweden – 0.0%
	2,450,000	Sweden Government Bond, 5.000%, 12/01/2020, (SEK)(c)		356,585

		Switzerland – 0.1%
	1,075,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A		761,100

		Thailand – 0.1%
	1,010,000	Siam Commercial Bank PCL (The), 3.500%, 4/07/2019, 144A(c)		1,023,805
	950,000	Thai Oil PCL, 3.625%, 1/23/2023, 144A(c)		930,887

				1,954,692

		Turkey – 0.3%
	445,000	Akbank TAS, 4.000%, 1/24/2020, 144A		429,296
	800,000	Arcelik AS, 5.000%, 4/03/2023, 144A		729,299
	545,000	Export Credit Bank of Turkey, 5.000%, 9/23/2021, 144A		534,857
	920,000	TC Ziraat Bankasi AS, 4.250%, 7/03/2019, 144A		905,961
	490,000	Turkiye Halk Bankasi AS, 4.750%, 2/11/2021, 144A		466,049
	800,000	Turkiye Is Bankasi, 3.875%, 11/07/2017, 144A		799,400
	875,000	Yapi ve Kredi Bankasi, 5.250%, 12/03/2018, 144A		887,845

				4,752,707

		United Arab Emirates – 0.1%
	850,000	DP World Ltd., 3.250%, 5/18/2020, 144A		843,659
	600,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A		619,380

				1,463,039

		United Kingdom – 0.5%
	600,000	Anglo American Capital PLC, 2.625%, 9/27/2017, 144A		525,000
	525,000	Barclays PLC, 3.650%, 3/16/2025		505,738
	400,000	Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 7.000% , (GBP)(d)		577,886
	470,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		836,605
	295,000	HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)		483,379


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United Kingdom – continued
	150,000	Imperial Tobacco Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP)	$	246,189
	400,000	Lloyds Banking Group PLC, 4.500%, 11/04/2024		406,051
	400,000	Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP)		627,750
	1,130,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023(c)		1,217,027
	950,000	Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2020, variable rate thereafter), 7.500% (d)		986,812
	350,000	Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A		345,382
	250,000	Standard Chartered PLC, EMTN, (fixed rate to 10/21/2020, variable rate thereafter), 4.000%, 10/21/2025, (EUR)		273,954
	130,000	Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR)		133,931
	115,000	Virgin Media Finance PLC, 6.375%, 10/15/2024, 144A, (GBP)		170,415
	100,000	WPP PLC, 6.000%, 4/04/2017, (GBP)		155,371

				7,491,490

		United States – 19.8%
	15,000	21st Century Fox America, Inc., 6.400%, 12/15/2035		17,277
	9,890,000	AbbVie, Inc., 2.500%, 5/14/2020		9,790,566
	45,000	AECOM, 5.750%, 10/15/2022		46,350
	45,000	AECOM, 5.875%, 10/15/2024		45,900
	1,110,000	AES Corp. (The), 4.875%, 5/15/2023		971,250
	635,000	AES Corp. (The), 5.500%, 3/15/2024		566,737
	975,000	Alcoa, Inc., 5.900%, 2/01/2027		894,562
	8,000,000	Ally Financial, Inc., 3.750%, 11/18/2019		7,890,000
	745,000	Ally Financial, Inc., 5.125%, 9/30/2024		762,694
	129,000	Ally Financial, Inc., 8.000%, 12/31/2018		141,255
	1,728,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,995,840
	180,087	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		182,466
	51,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		67,065
	80,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		61,247
	400,000	Antero Resources Corp., 5.125%, 12/01/2022		304,000


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	175,000	Antero Resources Corp., 5.375%, 11/01/2021	$	140,000
	6,901	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(f)		7,022
	495,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		366,300
	925,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		1,036,000
	95,000	Avon Products, Inc., 8.700%, 3/15/2043		68,400
	200,000	Bank of America Corp., 5.490%, 3/15/2019		215,659
	115,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		113,831
	50,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		44,000
	15,000	Boston Scientific Corp., 5.125%, 1/12/2017		15,478
	6,320,000	California Resources Corp., 5.000%, 1/15/2020		2,251,500
	670,000	California Resources Corp., 5.500%, 9/15/2021		211,050
	90,000	California Resources Corp., 6.000%, 11/15/2024		27,450
	1,995,000	CenturyLink, Inc., 6.450%, 6/15/2021		1,945,125
	510,000	CenturyLink, Inc., 7.650%, 3/15/2042		390,150
	55,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		40,975
	605,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		462,825
	1,025,000	Chemours Co. (The), 6.625%, 5/15/2023, 144A		717,500
	190,000	Chemours Co. (The), 7.000%, 5/15/2025, 144A		129,675
	3,210,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		890,968
	315,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		91,350
	495,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		139,590
	190,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		55,100
	95,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		27,075
	100,000	Chesapeake Energy Corp., 7.250%, 12/15/2018		39,500
	780,000	Chevron Corp., 2.419%, 11/17/2020(c)		775,612
	1,635,000	Cimarex Energy Co., 4.375%, 6/01/2024		1,450,490
	500,000	Citizens Financial Group, Inc., 4.300%, 12/03/2025		502,629


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	2,538,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020	$	2,344,477
	155,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		149,575
	90,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		75,600
	265,000	Constellation Brands, Inc., 4.750%, 11/15/2024		270,300
	1,005,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,025,100
	164,506	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		171,909
	280,000	Continental Resources, Inc., 3.800%, 6/01/2024		197,240
	25,000	Continental Resources, Inc., 4.500%, 4/15/2023		17,961
	155,000	Cummins, Inc., 5.650%, 3/01/2098		161,826
	181,325	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		203,537
	42,000	Dillard’s, Inc., 6.625%, 1/15/2018		45,340
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		55,383
	8,000	Dillard’s, Inc., 7.750%, 7/15/2026		9,248
	300,000	Discovery Communications LLC, 1.900%, 3/19/2027, (EUR)		273,610
	395,000	DISH DBS Corp., 5.000%, 3/15/2023		342,662
	1,495,000	DISH DBS Corp., 5.875%, 11/15/2024		1,330,550
	315,000	DPL, Inc., 6.750%, 10/01/2019		315,000
	310,000	DR Horton, Inc., 4.375%, 9/15/2022		308,062
	235,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		266,725
	600,000	Enbridge Energy Partners LP, 5.875%, 10/15/2025		578,257
	575,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		550,894
	150,000	Foot Locker, Inc., 8.500%, 1/15/2022(f)		165,192
	25,000	Ford Motor Co., 6.375%, 2/01/2029		28,160
	50,000	Ford Motor Co., 6.625%, 2/15/2028		55,308
	2,105,000	Ford Motor Co., 6.625%, 10/01/2028		2,430,450
	40,000	Ford Motor Co., 7.125%, 11/15/2025		46,766
	530,000	Ford Motor Co., 7.400%, 11/01/2046		647,806


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	5,000	Ford Motor Co., 7.500%, 8/01/2026	$	5,938
	5,000,000	Ford Motor Credit Co. LLC, 2.459%, 3/27/2020		4,847,450
	1,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		1,050,395
	905,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		1,024,694
	2,370,000	Freeport-McMoRan, Inc., 3.875%, 3/15/2023(c)		1,350,900
	145,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		76,850
	1,685,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		876,200
	865,000	Frontier Communications Corp., 6.875%, 1/15/2025		712,544
	150,000	Frontier Communications Corp., 11.000%, 9/15/2025, 144A		148,500
	205,000	FTS International, Inc., 6.250%, 5/01/2022		57,400
	275,000	Gates Global LLC/Gates Global Co., 6.000%, 7/15/2022, 144A		198,000
	50,000	General Electric Capital Corp., GMTN, 3.100%, 1/09/2023		50,751
	740,700	General Electric Co., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 4.000% (d)(g)		740,700
	5,000,000	General Motors Financial Co., Inc., 2.400%, 4/10/2018		4,975,455
	240,000	General Motors Financial Co., Inc., 3.450%, 4/10/2022		230,222
	195,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		131,625
	500,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		332,500
	215,000	Genworth Holdings, Inc., 6.500%, 6/15/2034		130,075
	3,435,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		4,326,486
	105,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		130,099
	180,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		233,297
	315,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		441,179
	800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		597,725
	2,295,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,682,708
	3,045,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		3,261,956
	165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		174,075
	70,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.795%, 8/10/2045(e)		68,906


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	425,000	Halcon Resources Corp., 8.875%, 5/15/2021	$	108,375
	410,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		464,576
	1,000,000	HCA Holdings, Inc., 6.250%, 2/15/2021		1,057,500
	20,000	HCA, Inc., 4.750%, 5/01/2023		19,800
	225,000	HCA, Inc., 7.050%, 12/01/2027		226,688
	90,000	HCA, Inc., 7.500%, 12/15/2023		96,300
	820,000	HCA, Inc., 7.500%, 11/06/2033		873,300
	1,500,000	HCA, Inc., 7.690%, 6/15/2025		1,616,250
	395,000	HCA, Inc., 8.360%, 4/15/2024		446,350
	195,000	HCA, Inc., MTN, 7.580%, 9/15/2025		210,113
	75,000	HCA, Inc., MTN, 7.750%, 7/15/2036		79,500
	855,000	Hecla Mining Co., 6.875%, 5/01/2021		624,150
	585,000	Hercules, Inc., 6.500%, 6/30/2029		494,325
	310,000	Hexion, Inc., 7.875%, 2/15/2023(f)(h)		81,975
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		489,981
	485,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		492,275
	450,000	International Lease Finance Corp., 4.625%, 4/15/2021		461,250
	1,250,000	International Lease Finance Corp., 6.250%, 5/15/2019		1,339,062
	745,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		722,650
	45,000	iStar, Inc., 3.875%, 7/01/2016		44,888
	145,000	iStar, Inc., 4.875%, 7/01/2018		142,100
	3,460,000	iStar, Inc., 5.000%, 7/01/2019		3,360,525
	70,000	iStar, Inc., 5.850%, 3/15/2017		71,225
	200,000	iStar, Inc., 7.125%, 2/15/2018		207,000
	48,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		29,520
	5,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,225
	665,000	Jefferies Group LLC, 5.125%, 4/13/2018		691,649


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	30,000	Jefferies Group LLC, 5.125%, 1/20/2023	$	29,764
	1,070,000	Jefferies Group LLC, 6.250%, 1/15/2036		988,426
	685,000	Jefferies Group LLC, 6.450%, 6/08/2027		723,946
	1,410,000	Jefferies Group LLC, 6.875%, 4/15/2021		1,577,339
	15,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		10,050
	110,000	K. Hovnanian Enterprises, Inc., 7.000%, 1/15/2019, 144A		73,700
	165,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		102,300
	1,665,000	KB Home, 8.000%, 3/15/2020		1,804,444
	190,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		189,288
	55,000	Lennar Corp., Series B, 6.500%, 4/15/2016		55,688
	140,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		143,150
	330,000	Level 3 Financing, Inc., 5.125%, 5/01/2023, 144A		327,937
	760,000	Level 3 Financing, Inc., 5.375%, 5/01/2025, 144A		756,200
	135,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		141,075
	165,000	Masco Corp., 6.500%, 8/15/2032		166,650
	865,000	Masco Corp., 7.750%, 8/01/2029		960,150
	2,700,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		3,063,690
	410,000	Micron Technology, Inc., 5.250%, 8/01/2023, 144A		367,975
	965,000	Micron Technology, Inc., 5.500%, 2/01/2025		839,550
	1,230,000	Micron Technology, Inc., 5.625%, 1/15/2026, 144A		1,063,950
	1,430,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		1,279,850
	825,000	Morgan Stanley, 2.125%, 4/25/2018		826,101
	220,000	Morgan Stanley, 2.500%, 1/24/2019		221,201
	450,000	Morgan Stanley, 3.750%, 2/25/2023		460,920
	725,000	Morgan Stanley, 5.750%, 1/25/2021		813,994
	500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		367,027
	3,150,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		3,182,133


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			United States – continued
$	600,000		Morgan Stanley, MTN, 6.250%, 8/09/2026	$	702,455
	100,000		Morgan Stanley, Series F, MTN, 0.765%, 10/18/2016(e)		99,794
	25,000		MPLX LP, 4.500%, 7/15/2023, 144A		22,368
	95,000		MPLX LP, 4.875%, 6/01/2025, 144A		85,025
	3,000,000		Navient Corp., 5.000%, 10/26/2020		2,632,500
	95,000		Navient Corp., 5.875%, 10/25/2024		76,000
	175,000		Navient LLC, 4.875%, 6/17/2019		161,000
	915,000		Navient LLC, 5.500%, 1/25/2023		732,000
	1,600	(††††)	Navient LLC, 6.000%, 12/15/2043		26,267
	40,000		Navient LLC, MTN, 4.625%, 9/25/2017		39,400
	60,000		Navient LLC, MTN, 5.500%, 1/15/2019		56,100
	1,130,000		Navient LLC, MTN, 7.250%, 1/25/2022		1,056,550
	10,000		Navient LLC, Series A, MTN, 5.000%, 6/15/2018		9,525
	2,560,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033(l)		1,715,200
	360,000		Navient LLC, Series A, MTN, 8.450%, 6/15/2018		378,900
	1,335,000		Neptune Finco Corp., 10.875%, 10/15/2025, 144A		1,400,081
	4,457,000		New Albertson’s, Inc., 7.450%, 8/01/2029		3,944,445
	525,000		New Albertson’s, Inc., 7.750%, 6/15/2026		483,000
	4,775,000		New Albertson’s, Inc., 8.000%, 5/01/2031		4,345,250
	2,110,000		New Albertson’s, Inc., 8.700%, 5/01/2030		1,993,950
	1,265,000		New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,018,325
	365,000		Newell Rubbermaid, Inc., 4.000%, 12/01/2024		336,941
	50,000		Newfield Exploration Co., 5.625%, 7/01/2024		42,625
	20,000		NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		15,800
	1,970,000		Noble Energy, Inc., 5.625%, 5/01/2021		1,927,028
	135,000		Oasis Petroleum, Inc., 6.875%, 3/15/2022		86,400
	220,000		Oasis Petroleum, Inc., 6.875%, 1/15/2023		136,400


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	290,000	Oasis Petroleum, Inc., 7.250%, 2/01/2019	$	208,075
	420,000	Old Republic International Corp., 4.875%, 10/01/2024		430,401
	60,000	ONEOK Partners LP, 4.900%, 3/15/2025		50,534
	25,000	ONEOK Partners LP, 6.200%, 9/15/2043		19,064
	55,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		56,238
	140,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		142,100
	7,000	Owens Corning, 6.500%, 12/01/2016		7,202
	535,000	Owens Corning, 7.000%, 12/01/2036		586,503
	2,965,000	Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A		2,898,287
	540,000	PulteGroup, Inc., 6.000%, 2/15/2035		529,200
	785,000	PulteGroup, Inc., 6.375%, 5/15/2033		796,775
	220,000	PulteGroup, Inc., 7.875%, 6/15/2032		249,150
	365,000	QEP Resources, Inc., 5.250%, 5/01/2023		259,150
	85,000	QEP Resources, Inc., 5.375%, 10/01/2022		61,200
	255,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		242,888
	1,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,361,700
	650,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		507,000
	400,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		410,000
	60,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		50,850
	476,000	Qwest Corp., 6.875%, 9/15/2033		456,768
	115,000	Qwest Corp., 7.250%, 9/15/2025		122,333
	480,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		454,200
	200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		156,000
	230,000	Range Resources Corp., 4.875%, 5/15/2025, 144A		174,800
	850,000	Range Resources Corp., 5.000%, 8/15/2022		635,375
	220,000	Range Resources Corp., 5.000%, 3/15/2023		163,900
	1,075,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		952,318


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	230,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.500%, 4/15/2023	$	206,809
	80,000	Reynolds American, Inc., 6.750%, 6/15/2017		85,400
	665,000	Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021		611,800
	970,000	Santander Holdings USA, Inc., 2.650%, 4/17/2020(c)		951,636
	25,000	Sealed Air Corp., 4.875%, 12/01/2022, 144A		25,063
	640,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		652,800
	420,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		417,900
	760,000	Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		800,850
	2,675,000	Springleaf Finance Corp., 5.250%, 12/15/2019		2,541,250
	330,000	Springleaf Finance Corp., 7.750%, 10/01/2021		325,050
	130,000	Springleaf Finance Corp., 8.250%, 10/01/2023		131,300
	400,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		405,000
	2,349,000	Sprint Capital Corp., 6.875%, 11/15/2028		1,638,427
	2,240,000	Sprint Capital Corp., 8.750%, 3/15/2032		1,680,000
	26,000	Sprint Communications, Inc., 6.000%, 12/01/2016		25,951
	1,720,000	Sprint Communications, Inc., 6.000%, 11/15/2022		1,212,600
	120,000	Sprint Corp., 7.125%, 6/15/2024		86,550
	2,840,000	Sprint Corp., 7.875%, 9/15/2023		2,132,840
	2,910,000	SUPERVALU, Inc., 6.750%, 6/01/2021		2,633,550
	610,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		507,825
	235,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2018, 144A		217,375
	1,365,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.750%, 3/15/2024, 144A		1,163,662
	520,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		479,700
	100,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		92,750
	1,360,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,101,600
	820,000	Textron, Inc., 5.950%, 9/21/2021		917,617
	90,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		70,630


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
	565,000	Time Warner Cable, Inc., 5.250%, 7/15/2042, (GBP)	$	730,957
	85,000	Time Warner Cable, Inc., 5.500%, 9/01/2041		76,810
	945,000	Toys “R” Us, Inc., 7.375%, 10/15/2018		448,875
	171,000	TransDigm, Inc., 6.500%, 7/15/2024		170,060
	185,000	TransDigm, Inc., 6.500%, 5/15/2025, 144A		179,219
	90,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019		87,975
	5,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 5.875%, 6/15/2024		4,863
	5,000,000	U.S. Treasury Note, 0.250%, 2/29/2016		4,999,610
	3,785,000	U.S. Treasury Note, 0.250%, 5/15/2016		3,782,339
	7,500,000	U.S. Treasury Note, 0.375%, 3/31/2016		7,500,292
	8,530,000	U.S. Treasury Note, 0.375%, 10/31/2016		8,503,676
	25,000,000	U.S. Treasury Note, 0.500%, 6/30/2016		24,994,150
	8,520,000	U.S. Treasury Note, 0.500%, 11/30/2016		8,497,371
	8,490,000	U.S. Treasury Note, 0.625%, 8/31/2017(c)		8,435,613
	2,000,000	U.S. Treasury Note, 0.625%, 11/30/2017		1,983,438
	9,545,000	U.S. Treasury Note, 0.875%, 7/15/2017(c)		9,528,964
	10,255,000	U.S. Treasury Note, 1.000%, 3/15/2018(i)		10,219,343
	10,170,000	U.S. Treasury Note, 1.500%, 7/31/2016(c)		10,221,247
	12,810	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		13,581
	630,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		655,591
	2,635,000	United Rentals North America, Inc., 5.750%, 11/15/2024		2,608,650
	295,000	United Rentals North America, Inc., 7.625%, 4/15/2022		315,266
	1,940,000	United States Steel Corp., 6.650%, 6/01/2037		817,225
	770,000	United States Steel Corp., 7.500%, 3/15/2022		377,300
	116,268	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		128,476
	62,604	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		67,613
	439,449	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		455,928


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	230,000	USG Corp., 9.750%, 1/15/2018	$	255,875
	110,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		115,900
	25,000	Viacom, Inc., 4.375%, 3/15/2043		18,313
	145,000	Viacom, Inc., 5.250%, 4/01/2044		119,640
	30,000	Viacom, Inc., 5.850%, 9/01/2043		26,939
	60,000	Weyerhaeuser Co., 6.950%, 10/01/2027		70,723
	315,000	Weyerhaeuser Co., 7.375%, 3/15/2032		374,845
	625,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		471,875
	555,000	Whiting Petroleum Corp., 6.500%, 10/01/2018		420,412
	55,000	Windstream Services LLC, 7.500%, 6/01/2022		42,213
	1,470,000	Windstream Services LLC, 7.500%, 4/01/2023		1,105,881
	765,000	Windstream Services LLC, 7.750%, 10/01/2021		601,959
	500,000	WPX Energy, Inc., 5.250%, 1/15/2017		467,500
	125,000	Xerox Corp., 6.750%, 2/01/2017		130,991
	20,000	Xerox Corp., MTN, 7.200%, 4/01/2016		20,258

				278,476,112

		Total Non-Convertible Bonds (Identified Cost $461,507,564)		432,451,031

	Convertible Bonds – 0.8%
		United States – 0.8%
	495,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020, 144A		475,200
	190,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		169,931
	565,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		265,550
	185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		229,400
	530,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(j)		708,213
	275,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		135,438
	1,125,000	Intel Corp., 3.250%, 8/01/2039		1,871,016
	440,000	KB Home, 1.375%, 2/01/2019		393,525
	1,015,000	Nuance Communications, Inc., 1.000%, 12/15/2035, 144A		976,303


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		United States – continued
$	2,200,000	Old Republic International Corp., 3.750%, 3/15/2018	$	2,785,750
	1,450,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		1,462,687
	1,290,000	Rovi Corp., 0.500%, 3/01/2020, 144A		1,127,137
	40,000	RPM International, Inc., 2.250%, 12/15/2020		45,525
	90,000	Trinity Industries, Inc., 3.875%, 6/01/2036		107,719

		Total Convertible Bonds (Identified Cost $9,321,649)		10,753,394

	Municipals – 0.0%
		United States – 0.0%
	415,000	State of Illinois, 5.100%, 6/01/2033		392,444
	130,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		100,208

		Total Municipals (Identified Cost $453,103)		492,652

		Total Bonds and Notes (Identified Cost $471,282,316)		443,697,077

	Senior Loans – 0.3%
		United States – 0.3%
	1,823,438	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(e)		1,807,938
	1,065,000	Flying Fortress, Inc., New Term Loan, 3.500%, 4/30/2020(e)		1,061,677
	447,266	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(e)		434,219
	120,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(e)		113,700
	14,410	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(e)		6,539
	900,355	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(e)		887,039

		Total Senior Loans (Identified Cost $4,363,718)		4,311,112


Shares
	Preferred Stocks – 0.1%
	Convertible Preferred Stock – 0.1%
		United States – 0.1%
	2,585	Alcoa, Inc., Series 1, 5.375%		86,106
	460	Chesapeake Energy Corp., 5.000%		7,489
	40	Chesapeake Energy Corp., 5.750%		7,975


Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stock – continued
		United States – continued
	720	Chesapeake Energy Corp., 5.750%		$147,150
	100	Chesapeake Energy Corp., Series A, 5.750% 144A		19,938
	1,976	El Paso Energy Capital Trust I, 4.750%		80,028

		Total Convertible Preferred Stocks (Identified Cost $671,830)		348,686


Principal Amount (‡)
	Short-Term Investments – 0.0%
	$67,110	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2015 at 0.000% to be repurchased at $67,110 on 1/04/2016 collateralized by $67,700 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $68,490 including accrued interest(k) (Identified Cost $67,110)		67,110

		Total Investments – 94.0% (Identified Cost $1,229,535,889)(a)		1,323,251,327
		Other assets less liabilities – 6.0%		84,970,272

		Net Assets – 100.0%		$1,408,221,599

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

(†)

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:

Listed equity securities (including shares of 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 as reported by an independent pricing service. 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.

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.

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 December 31, 2015, securities of the funds included in net assets (reflected at absolute value) were fair valued as follows:

Equity

securities¹

Percentage of
Net Assets

Illiquid
securities²

Percentage of
Net Assets

Other fair
valued securities³

Percentage of
Net Assets

$283,521,241

21.3

1,715,200

0.1

254,189

Less than 0.1

¹	Certain foreign equity securities were 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.

²	Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

³	Fair valued by the Fund’s adviser.

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 December 31, 2015, the net unrealized appreciation on investments based on a cost of $1,230,585,926 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	$	153,798,165
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(61,132,764	)

Net unrealized appreciation	$	92,665,401

(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)	Variable rate security. Rate as of December 31, 2015 is disclosed.

(f)	Fair valued by the Fund’s adviser. At December 31, 2015, the value of these securities amounted to $254,189 or less than 0.1% of net assets.

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

(h)	Illiquid security. At December 31, 2015, the value of these securities amounted to $81,975 or less than 0.1% of net assets.

(i)	A portion of this security has been pledged as collateral for open forward foreign currency contracts.

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

(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 December 31, 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.

(l)	Illiquid security. At December 31, 2015, the value of these securities amounted to $1,715,200 or 0.1% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.


144A		All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2015, the value of Rule 144A holdings amounted to $99,369,121 or 7.1% 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
RUB		New Russian Ruble
SEK		Swedish Krona

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 December 31, 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		3/16/2016	Australian Dollar		1,543,000	$	1,120,454	$	(13,475	)
Sell¹		3/09/2016	Brazilian Real		9,095,000		2,253,264		77,592
Buy¹		3/16/2016	British Pound		3,740,000		5,514,162		(124,618	)
Sell¹		3/08/2016	Canadian Dollar		2,895,000		2,092,584		72,137
Buy²		3/16/2016	Euro		24,250,000		26,400,950		(307,394	)


Sell¹	3/16/2016	Indonesian Rupiah	39,600,000,000	2,823,009		(24,422	)
Buy¹	3/16/2016	Japanese Yen	2,276,500,000	18,971,312		453,547
Sell³	3/16/2016	Mexican Peso	107,500,000	6,206,008		196,040
Sell¹	3/16/2016	New Zealand Dollar	8,162,000	5,558,458		(81,756	)
Sell³	3/16/2016	Norwegian Krone	4,200,000	474,162		9,749
Sell⁴	3/16/2016	Polish Zloty	24,720,000	6,293,171		(94,886	)
Sell³	3/16/2016	Swedish Krona	3,100,000	367,982		(10,763	)

Total					$	151,751

At December 31, 2015, the Fund had the following open forward cross currency contracts:

Settlement Date

Deliver/Units of Currency

Receive/Units of Currency

Unrealized
Appreciation
(Depreciation)

3/16/2016

Norwegian Krone

14,180,000

Euro¹

1,485,159

$16,030

¹	Counterparty is Credit Suisse International

²	Counterparty is Morgan Stanley & Co.

³	Counterparty is UBS AG

⁴	Counterparty is Citibank N.A.

Fair Value Measurements

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

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Common Stocks
Belgium	$	—	$	23,909,406	$	—		$	23,909,406
China		30,095,906		13,964,840		—			44,060,746
Denmark		—		15,285,474		—			15,285,474
France		—		21,098,702		—			21,098,702
Germany		—		8,779,629		—			8,779,629
Hong Kong		—		21,378,835		—			21,378,835
India		16,234,778		14,535,502		—			30,770,280
Ireland		—		11,260,009		—			11,260,009
Italy		—		9,405,402		—			9,405,402
Japan		—		42,257,613		—			42,257,613
Philippines		—		9,486,819		—			9,486,819
Sweden		—		23,967,688		—			23,967,688
Switzerland		—		28,544,740		—			28,544,740
United Kingdom		—		39,646,582		—			39,646,582
All Other Common Stocks*		544,975,417		—		—			525,183,533

Total Common Stocks		591,306,101		283,521,241		—			874,827,342

Bonds and Notes
Non-Convertible Bonds
United States		26,267		278,195,656		254,189	(a)		278,476,112
All Other Non-Convertible Bonds*		—		153,974,919		—			153,974,919


Total Non-Convertible Bonds		26,267		432,170,575		254,189		432,451,031

Convertible Bonds*		—		10,753,394		—		10,753,394
Municipals*		—		492,652		—		492,652

Total Bonds and Notes		26,267		443,416,621		254,189		443,697,077

Senior Loans*		—		4,311,112		—		4,311,112
Convertible Preferred Stocks*		166,134		175,063		7,489		348,686
Short-Term Investments		—		67,110		—		67,110

Total Investments		571,706,618		751,283,031		261,678		1,323,251,327

Forward Foreign Currency Contracts (unrealized appreciation)		—		825,095		—		825,095

Total	$	571,706,618	$	752,108,126	$	261,678	$	1,324,076,422

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(657,314	)	$	—	$	(657,314	)

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

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

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 values as of September 30, 2015 and/or December 31, 2015:


Asset Valuation Inputs
Investments in Securities	Balance as of September 30, 2015		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 December 31, 2015
Bonds and Notes
Non-Convertible Bonds
United States	$	171,786	$	1,559	$	—	$	(83,458	)	$	—	$	—	$	164,300	$	—	$	254,189	$	(83,458	)
Preferred Stocks
Convertible Preferred Stocks
United States		—		—		—		(15,684	)		—		—		23,173		—		7,489		(15,684	)

Total	$	171,786	$	1,559	$	—	$	(99,142	)	$	—	$	—	$	187,473	$	—	$	261,678	$	(99,142	)

A debt security valued at $164,300 was transferred from Level 2 to Level 3 during the period ended December 31, 2015. At September 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. At December 31, 2015, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.

A preferred stock valued at $23,173 was transferred from Level 2 to Level 3 during the period ended December 31, 2015. At September 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. At December 31, 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.

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 December 31, 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 December 31, 2015:


Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	825,095


Liabilities	Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(657,314	)

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 December 31, 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
Citibank N.A.	$	(94,886	)	$	—
Morgan Stanley & Co.		(307,394	)		86,698

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 (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) 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 December 31, 2015:

Maximum Amount

of Loss - Gross

Maximum Amount
of Loss - Net

$911,793

$230,061

These amounts include cash received as collateral of $340,000.

Industry Summary at December 31, 2015 (Unaudited)


Treasuries	10.6	%
Internet Software & Services	7.5
Banks	6.9
Pharmaceuticals	5.8
Insurance	4.4
Aerospace & Defense	4.1
Banking	3.9
IT Services	3.6
Internet & Catalog Retail	2.9
Specialty Retail	2.6
Diversified Financial Services	2.6
Household Durables	2.6
Beverages	2.5
Other Investments, less than 2% each	34.0
Short-Term Investments	0.00

Total Investments	94.0
Other assets less liabilities (including forward foreign currency contracts)	6.0

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2015 (Unaudited)


United States Dollar	64.9	%
Euro	7.6
British Pound	3.4
Japanese Yen	3.0
Hong Kong Dollar	2.5
Indian Rupee	2.3
Canadian Dollar	2.1
Swiss Franc	2.0
Other, less than 2% each	6.2

Total Investments	94.0
Other assets less liabilities (including forward foreign currency contracts)	6.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2015 (Unaudited)

Loomis Sayles Growth Fund


Shares		Description	Value (†)
	Common Stocks – 98.2% of Net Assets
		Air Freight & Logistics – 5.7%
	1,245,296	Expeditors International of Washington, Inc.	$	56,162,849
	531,803	United Parcel Service, Inc., Class B		51,175,403

				107,338,252

		Beverages – 10.6%
	1,632,633	Coca-Cola Co. (The)		70,137,914
	585,947	Monster Beverage Corp.(b)		87,282,665
	713,051	SABMiller PLC, Sponsored ADR		42,733,146

				200,153,725

		Biotechnology – 2.3%
	273,771	Amgen, Inc.		44,441,246

		Capital Markets – 3.4%
	143,502	Greenhill & Co., Inc.		4,105,592
	1,145,783	SEI Investments Co.		60,039,029

				64,144,621

		Communications Equipment – 8.3%
	3,370,360	Cisco Systems, Inc.		91,522,126
	1,314,485	QUALCOMM, Inc.		65,704,533

				157,226,659

		Consumer Finance – 1.0%
	277,471	American Express Co.		19,298,108

		Diversified Financial Services – 1.8%
	209,489	FactSet Research Systems, Inc.		34,056,627

		Energy Equipment & Services – 2.5%
	672,769	Schlumberger Ltd.		46,925,638

		Food Products – 3.7%
	5,177,211	Danone, Sponsored ADR		70,461,842

		Health Care Equipment & Supplies – 2.4%
	573,122	Varian Medical Systems, Inc.(b)		46,308,258

		Health Care Technology – 1.6%
	489,509	Cerner Corp.(b)		29,453,757

		Hotels, Restaurants & Leisure – 2.4%
	617,810	Yum! Brands, Inc.		45,131,021

		Household Products – 3.4%
	821,571	Procter & Gamble Co. (The)		65,240,953

		Internet & Catalog Retail – 6.5%
	181,969	Amazon.com, Inc.(b)		122,991,027

		Internet Software & Services – 15.3%
	967,045	Alibaba Group Holding Ltd., Sponsored ADR(b)		78,591,747


Shares		Description	Value (†)
	Common Stocks – continued
		Internet Software & Services – continued
	71,156	Alphabet, Inc., Class A(b)	$	55,360,080
	71,333	Alphabet, Inc., Class C(b)		54,133,187
	973,299	Facebook, Inc., Class A(b)		101,865,473

				289,950,487

		IT Services – 5.9%
	193,843	Automatic Data Processing, Inc.		16,422,379
	1,220,380	Visa, Inc., Class A		94,640,469

				111,062,848

		Pharmaceuticals – 7.8%
	500,724	Merck & Co., Inc.		26,448,242
	596,076	Novartis AG, Sponsored ADR		51,286,379
	1,212,018	Novo Nordisk AS, Sponsored ADR		70,394,005

				148,128,626

		Semiconductors & Semiconductor Equipment – 2.6%
	143,126	Analog Devices, Inc.		7,917,730
	895,109	ARM Holdings PLC, Sponsored ADR		40,494,731

				48,412,461

		Software – 9.5%
	832,500	Autodesk, Inc.(b)		50,724,225
	949,430	Microsoft Corp.		52,674,376
	2,085,697	Oracle Corp.		76,190,512

				179,589,113

		Specialty Retail – 1.5%
	380,306	Lowe’s Cos., Inc.		28,918,468

		Total Common Stocks (Identified Cost $1,652,299,099)		1,859,233,737


Principal Amount
	Short-Term Investments – 9.1%
$	172,310,202	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2015 at 0.030% to be repurchased at $172,310,776 on 1/04/2016 collateralized by $177,310,000 U.S. Treasury Note, 1.750% due 2/28/2022 valued at $175,758,538 including accrued interest(c) (Identified Cost $172,310,202)		172,310,202

		Total Investments – 107.3% (Identified Cost $1,824,609,301)(a)		2,031,543,939
		Other assets less liabilities – (7.3)%		(138,381,134	)

		Net Assets – 100.0%	$	1,893,162,805

(†)

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 December 31, 2015, the net unrealized appreciation on investments based on a cost of $1,824,609,301 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	$	244,011,970
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(37,077,332	)

Net unrealized appreciation	$	206,934,638

At September 30, 2015, the Fund had a capital loss carryforward of $18,909,834 which expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,859,233,737	$	—	$	—	$	1,859,233,737
Short-Term Investments		—		172,310,202		—		172,310,202

Total	$	1,859,233,737	$	172,310,202	$	—	$	2,031,543,939

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

For the period ended December 31, 2015 there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2015 (Unaudited)


Internet Software & Services	15.3	%
Beverages	10.6
Software	9.5
Communications Equipment	8.3
Pharmaceuticals	7.8
Internet & Catalog Retail	6.5
IT Services	5.9
Air Freight & Logistics	5.7
Food Products	3.7
Household Products	3.4
Capital Markets	3.4
Semiconductors & Semiconductor Equipment	2.6
Energy Equipment & Services	2.5
Health Care Equipment & Supplies	2.4
Hotels, Restaurants & Leisure	2.4
Biotechnology	2.3
Other Investments, less than 2% each	5.9
Short-Term Investments	9.1

Total Investments	107.3
Other assets less liabilities	(7.3	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2015 (Unaudited)

Loomis Sayles High Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 89.9% of Net Assets
	Non-Convertible Bonds – 85.2%
		ABS Home Equity – 2.4%
$	300,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 2.851%, 6/17/2031, 144A(b)	$	287,527
	214,520	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		219,347
	145,469	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		152,110
	120,965	Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034		122,806
	162,708	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		166,689
	37,054	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.650%, 2/25/2035(b)		36,179
	76,451	Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036		77,182
	77,655	Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.626%, 5/25/2035(b)		72,887
	274,569	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.692%, 4/25/2035(b)		220,076
	147,552	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 2.692%, 11/20/2035(b)		137,991
	250,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 4.672%, 11/25/2023(b)		247,661
	234,518	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.197%, 7/19/2035(b)		221,283
	67,795	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.129%, 12/25/2034(b)		65,408
	144,921	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036		118,676
	83,949	JPMorgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 3.740%, 3/25/2036(b)		68,376
	310,103	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.922%, 1/25/2036(b)(c)		199,931
	117,696	Lehman Mortgage Trust, Series 2006-1, Class 3A5, 5.500%, 2/25/2036		111,853
	389,401	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 2.868%, 3/25/2035(b)		335,636
	82,733	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.671%, 5/25/2036(b)		74,863
	254,951	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		253,139
	496,638	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.901%, 1/25/2047(b)		446,864
	96,082	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 1.017%, 4/25/2047(b)		80,690

				3,717,174

		ABS Other – 0.5%
	291,548	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)		283,145


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Other – continued
$	97,609	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A	$	103,669
	450,000	Springleaf Funding Trust, Series 2014-AA, Class C, 4.450%, 12/15/2022, 144A		448,276

				835,090

		Aerospace & Defense – 2.9%
	55,000	Aerojet Rocketdyne Holdings, Inc., 7.125%, 3/15/2021		57,200
	125,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		113,750
	125,000	Huntington Ingalls Industries, Inc., 5.000%, 12/15/2021, 144A		127,344
	115,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		116,725
	770,000	KLX, Inc., 5.875%, 12/01/2022, 144A		731,500
	1,500,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,387,500
	900,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		945,000
	620,000	TransDigm, Inc., 6.000%, 7/15/2022		606,050
	515,000	TransDigm, Inc., 6.500%, 7/15/2024		512,167

				4,597,236

		Airlines – 0.2%
	102,686	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		104,226
	154,105	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		155,261

				259,487

		Automotive – 1.2%
	240,000	Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/2023		246,000
	620,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		554,900
	310,000	Nexteer Automotive Group Ltd., 5.875%, 11/15/2021, 144A		316,200
	735,000	ZF North America Capital, Inc., 4.750%, 4/29/2025, 144A		700,088

				1,817,188

		Banking – 4.1%
	1,985,000	Ally Financial, Inc., 4.625%, 3/30/2025		1,960,188
	2,100,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		520,906
	1,195,000	Commerzbank AG, 8.125%, 9/19/2023, 144A		1,371,514
	395,000	Deutsche Bank AG, 4.500%, 4/01/2025		363,364


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	470,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A	$	462,409
	900,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)(d)		660,648
	1,025,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(d)		1,115,915

				6,454,944

		Brokerage – 0.3%
	535,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		449,400

		Building Materials – 1.2%
	890,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		658,600
	50,000	Masco Corp., 6.500%, 8/15/2032		50,500
	345,000	Masco Corp., 7.750%, 8/01/2029		382,950
	245,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		257,250
	555,000	Vulcan Materials Co., 4.500%, 4/01/2025		549,450

				1,898,750

		Cable Satellite – 5.8%
	795,000	Altice Financing S.A., 6.625%, 2/15/2023, 144A		785,062
	475,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		475,594
	625,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		625,000
	430,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022		434,300
	15,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		15,413
	760,000	CSC Holdings LLC, 5.250%, 6/01/2024		666,900
	75,000	CSC Holdings LLC, 6.750%, 11/15/2021		73,687
	895,000	DISH DBS Corp., 5.125%, 5/01/2020		886,050
	1,620,000	DISH DBS Corp., 5.875%, 11/15/2024		1,441,800
	220,000	Neptune Finco Corp., 10.125%, 1/15/2023, 144A		229,350
	200,000	Neptune Finco Corp., 10.875%, 10/15/2025, 144A		209,750
	150,000	Sirius XM Radio, Inc., 5.750%, 8/01/2021, 144A		154,500
	1,485,000	Unitymedia GmbH, 6.125%, 1/15/2025, 144A		1,467,403
	515,000	Unitymedia Hessen GmbH & Co.KG/Unitymedia NRW GmbH, 5.000%, 1/15/2025, 144A		491,825


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Cable Satellite – continued
$	265,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A	$	264,337
	485,000	Virgin Media Finance PLC, 6.375%, 4/15/2023, 144A		492,275
	375,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		375,000
	130,000	Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(e)		125,450

				9,213,696

		Chemicals – 0.8%
	1,510,000	Hercules, Inc., 6.500%, 6/30/2029		1,275,950

		Construction Machinery – 0.5%
	800,000	United Rentals North America, Inc., 5.750%, 11/15/2024		792,000

		Consumer Cyclical Services – 1.0%
	455,000	Interval Acquisition Corp., 5.625%, 4/15/2023, 144A		451,588
	1,095,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		1,089,525

				1,541,113

		Electric – 1.7%
	520,000	AES Corp. (The), 5.500%, 4/15/2025		453,050
	525,000	Dynegy, Inc., 7.375%, 11/01/2022		456,750
	1,502,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(d)		1,710,402
	10,512	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		10,933

				2,631,135

		Environmental – 0.2%
	335,000	GFL Environmental, Inc., 7.875%, 4/01/2020, 144A		331,650

		Finance Companies – 5.6%
	740,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.500%, 5/15/2021		752,025
	685,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 5.000%, 10/01/2021		705,550
	515,000	Aircastle Ltd., 5.500%, 2/15/2022		527,875
	600,000	iStar, Inc., 4.000%, 11/01/2017		588,300
	505,000	iStar, Inc., 5.000%, 7/01/2019		490,481
	1,015,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		923,650
	585,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		582,806


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Finance Companies – continued
$	870,000		Navient Corp., 5.000%, 10/26/2020	$	763,425
	200,000		Navient Corp., 5.875%, 3/25/2021		178,000
	435,000		Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		435,000
	540,000		Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		522,450
	1,335,000		Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		1,271,588
	1,110,000		Springleaf Finance Corp., 7.750%, 10/01/2021		1,093,350

					8,834,500

			Financial Other – 1.1%
	695,000		Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019(d)		688,745
	180,000		Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		175,950
	804,000		Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		816,060

					1,680,755

			Food & Beverage – 0.3%
	1,800,000		BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)		378,995
	600,000		Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		119,432

					498,427

			Gaming – 0.9%
	725,000		MGM Resorts International, 6.000%, 3/15/2023		719,563
	600,000		MGM Resorts International, 6.750%, 10/01/2020		616,500

					1,336,063

			Government Owned—No Guarantee – 1.3%
	335,000		Petrobras Global Finance BV, 5.625%, 5/20/2043		203,513
	530,000		Petrobras Global Finance BV, 6.250%, 3/17/2024		380,275
	545,000		Petrobras Global Finance BV, 6.750%, 1/27/2041		348,800
	575,000		Petrobras Global Finance BV, 6.875%, 1/20/2040		373,750
	145,000		Petrobras Global Finance BV, 7.250%, 3/17/2044		97,875
	129,850	(††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)(d)		676,219

					2,080,432

			Healthcare – 4.7%
	360,000		Amsurg Corp., 5.625%, 7/15/2022		356,400


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	435,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022	$	412,706
	560,000	ExamWorks Group, Inc., 5.625%, 4/15/2023		557,200
	145,000	Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024, 144A		141,375
	260,000	HCA, Inc., 5.375%, 2/01/2025		256,750
	170,000	HCA, Inc., 7.050%, 12/01/2027		171,275
	655,000	HCA, Inc., 7.500%, 12/15/2023		700,850
	145,000	HCA, Inc., 7.500%, 11/06/2033		154,425
	590,000	HCA, Inc., 7.690%, 6/15/2025		635,725
	480,000	HCA, Inc., 8.360%, 4/15/2024		542,400
	820,000	HCA, Inc., MTN, 7.580%, 9/15/2025		883,550
	515,000	HCA, Inc., MTN, 7.750%, 7/15/2036		545,900
	305,000	LifePoint Health, Inc., 5.500%, 12/01/2021		310,338
	65,000	MEDNAX, Inc., 5.250%, 12/01/2023, 144A		65,325
	235,000	Team Health, Inc., 7.250%, 12/15/2023, 144A		243,225
	310,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		285,975
	675,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		626,062
	705,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		571,050

				7,460,531

		Home Construction – 1.4%
	1,200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(f)		23,220
	750,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		502,500
	800,000	Lennar Corp., 4.750%, 5/30/2025		782,000
	915,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019		894,412
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A(f)		2
	900,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(f)		8,226

				2,210,360

		Independent Energy – 7.0%
	800,000	Antero Resources Corp., 5.125%, 12/01/2022		608,000


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	110,000	Antero Resources Corp., 5.375%, 11/01/2021	$	88,000
	90,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		60,525
	1,260,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		844,200
	370,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		192,400
	650,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		393,250
	75,000	California Resources Corp., 5.000%, 1/15/2020		26,719
	845,000	California Resources Corp., 5.500%, 9/15/2021		266,175
	380,000	California Resources Corp., 6.000%, 11/15/2024		115,900
	1,360,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		377,482
	70,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		20,300
	110,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		31,020
	300,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		87,000
	70,000	Concho Resources, Inc., 5.500%, 10/01/2022		63,700
	125,000	Concho Resources, Inc., 5.500%, 4/01/2023		115,625
	505,000	Continental Resources, Inc., 3.800%, 6/01/2024		355,736
	215,000	Continental Resources, Inc., 4.500%, 4/15/2023		154,469
	690,000	Eclipse Resources Corp., 8.875%, 7/15/2023, 144A		329,475
	170,000	Halcon Resources Corp., 8.625%, 2/01/2020, 144A		117,300
	115,000	Halcon Resources Corp., 8.875%, 5/15/2021		29,325
	490,000	Halcon Resources Corp., 9.750%, 7/15/2020		142,100
	145,000	Matador Resources Co., 6.875%, 4/15/2023		134,850
	410,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		280,850
	180,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		126,000
	585,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		415,350
	60,000	Newfield Exploration Co., 5.625%, 7/01/2024		51,150
	1,295,000	Noble Energy, Inc., 5.875%, 6/01/2022(d)		1,231,933
	625,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		400,000


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	485,000	Oasis Petroleum, Inc., 7.250%, 2/01/2019	$	347,987
	405,000	QEP Resources, Inc., 5.250%, 5/01/2023		287,550
	520,000	QEP Resources, Inc., 5.375%, 10/01/2022		374,400
	1,000,000	Rex Energy Corp., 6.250%, 8/01/2022		200,000
	150,000	Rex Energy Corp., 8.875%, 12/01/2020		23,625
	1,025,000	Rice Energy, Inc., 6.250%, 5/01/2022		738,000
	105,000	RSP Permian, Inc., 6.625%, 10/01/2022, 144A		96,600
	460,000	RSP Permian, Inc., 6.625%, 10/01/2022		423,200
	330,000	Sanchez Energy Corp., 6.125%, 1/15/2023		178,200
	70,000	Sanchez Energy Corp., 7.750%, 6/15/2021		42,700
	920,000	SM Energy Co., 5.000%, 1/15/2024		598,000
	35,000	SM Energy Co., 6.125%, 11/15/2022		25,725
	395,000	Southwestern Energy Co., 4.950%, 1/23/2025		248,850
	115,000	Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A		27,600
	55,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		41,525
	455,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		331,695

				11,044,491

		Industrial Other – 0.2%
	330,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		341,550

		Integrated Energy – 0.2%
	100,000	Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A		20,000
	800,000	Pacific Exploration and Production Corp., 5.375%, 1/26/2019, 144A		152,000
	580,000	Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A		116,000

				288,000

		Life Insurance – 0.2%
	340,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		345,950

		Media Entertainment – 1.3%
	470,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		434,162


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Media Entertainment – continued
$	1,155,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022	$	1,126,125
	481,000	DreamWorks Animation SKG, Inc., 6.875%, 8/15/2020, 144A		473,785

				2,034,072

		Metals & Mining – 2.1%
	1,395,000	ArcelorMittal, 7.750%, 3/01/2041		943,369
	795,000	CONSOL Energy, Inc., 5.875%, 4/15/2022		492,900
	180,000	Constellium NV, 4.625%, 5/15/2021, 144A, (EUR)		150,624
	460,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(f)(g)		27,600
	175,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		109,812
	270,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		168,750
	1,375,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024(d)		787,187
	85,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		44,200
	245,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A		173,460
	440,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		412,500
	200,000	Samarco Mineracao S.A., 5.375%, 9/26/2024, 144A		66,000

				3,376,402

		Midstream – 5.1%
	250,000	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024		200,310
	200,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		191,500
	40,000	Kinder Morgan Energy Partners LP, 3.450%, 2/15/2023		33,218
	60,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		49,747
	75,000	Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042		52,774
	30,000	Kinder Morgan Energy Partners LP, 5.000%, 3/01/2043		22,224
	270,000	MPLX LP, 4.875%, 12/01/2024, 144A		242,325
	365,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		273,750
	570,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		450,300
	445,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		384,987
	295,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		278,056


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Midstream – continued
$	385,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022	$	273,350
	985,000	Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021		906,200
	480,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025, 144A		406,200
	425,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		393,125
	935,000	Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022		691,900
	1,863,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		1,550,948
	95,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		73,150
	640,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		518,400
	300,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		258,750
	15,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.875%, 2/01/2021		13,575
	355,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019, 144A		344,350
	360,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022, 144A		341,100
	180,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		171,900

				8,122,139

		Non-Agency Commercial Mortgage-Backed Securities – 2.2%
	935,000	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.476%, 5/15/2018, 144A(b)(g)		935,000
	1,690,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.795%, 8/10/2045(b)		1,663,589
	805,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 4.453%, 11/05/2030, 144A(b)		804,683
	125,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)		127,332

				3,530,604

		Oil Field Services – 0.3%
	130,000	Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043		78,922
	155,000	Noble Holding International Ltd., 5.250%, 3/15/2042		85,941
	435,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(g)		60,900
	905,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(g)		126,700
	35,000	Parker Drilling Co., 6.750%, 7/15/2022		23,756
	155,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		72,075


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Oil Field Services – continued
$	40,000	Transocean, Inc., 4.300%, 10/15/2022	$	21,200

				469,494

		Packaging – 0.9%
	755,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		771,988
	775,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		658,750

				1,430,738

		Pharmaceuticals – 2.7%
	1,540,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		1,486,100
	530,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		518,075
	265,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		233,200
	55,000	Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A		50,600
	1,880,000	Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A		1,677,900
	335,000	VRX Escrow Corp., 5.375%, 3/15/2020, 144A		315,737

				4,281,612

		Property & Casualty Insurance – 0.5%
	786,000	HUB International Ltd., 7.875%, 10/01/2021, 144A		707,400

		Retailers – 1.4%
	40,000	Dillard’s, Inc., 7.000%, 12/01/2028		44,306
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		502,868
	205,000	Dillard’s, Inc., 7.750%, 5/15/2027(d)		238,420
	35,000	Dillard’s, Inc., 7.875%, 1/01/2023		41,233
	1,035,000	GameStop Corp., 5.500%, 10/01/2019, 144A		1,019,475
	255,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		233,962
	520,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		72,800

				2,153,064

		Supermarkets – 0.6%
	935,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		752,675
	140,000	SUPERVALU, Inc., 7.750%, 11/15/2022		127,050

				879,725


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supranational – 3.3%
	30,700,000	European Bank for Reconstruction & Development, GMTN, 6.000%, 3/03/2016, (INR)	$	463,408
	5,420,000,000	International Bank for Reconstruction & Development, 4.500%, 8/03/2017, (COP)(d)		1,673,208
	496,000,000	International Bank for Reconstruction & Development, EMTN, 4.250%, 2/05/2016, (CLP)(d)		699,241
	21,150,000	International Bank for Reconstruction & Development, Series GDIF, 5.000%, 5/24/2017, (INR)		311,696
	100,890,000	International Finance Corp., 7.800%, 6/03/2019, (INR)(d)		1,563,612
	2,175,000	International Finance Corp., GMTN, 10.500%, 4/17/2018, (BRL)(d)		528,872

				5,240,037

		Technology – 5.8%
	1,545,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,564,312
	1,930,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,939,650
	550,000	Blackboard, Inc., 7.750%, 11/15/2019, 144A		475,750
	60,000	CommScope Technologies Finance LLC, 6.000%, 6/15/2025, 144A		57,750
	75,000	CommScope, Inc., 4.375%, 6/15/2020, 144A		75,563
	330,000	CommScope, Inc., 5.000%, 6/15/2021, 144A		316,388
	480,000	Equinix, Inc., 5.375%, 1/01/2022		492,000
	1,765,000	First Data Corp., 7.000%, 12/01/2023, 144A		1,765,000
	510,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		448,800
	515,000	Micron Technology, Inc., 5.625%, 1/15/2026, 144A		445,475
	515,000	Open Text Corp., 5.625%, 1/15/2023, 144A		509,850
	430,000	Qorvo, Inc., 6.750%, 12/01/2023, 144A		438,600
	275,000	Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A		271,906
	405,000	Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A		402,975

				9,204,019

		Transportation Services – 0.1%
	275,000	APL Ltd., 8.000%, 1/15/2024(g)		203,500

		Treasuries – 8.9%
	55,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(h)		34,016
	55,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(h)		33,680


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Treasuries – continued
	20,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(h)	$	12,383
	107,066	(††)	Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)(d)		624,201
	131,500	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(d)		789,346
	116,500	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)(d)		756,587
	151,030	(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)(d)		1,111,091
	1,050,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		225,592
	2,250,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)(d)		500,474
	15,000		U.S. Treasury Note, 0.875%, 5/15/2017		14,991
	5,000,000		U.S. Treasury Note, 1.000%, 12/31/2017		4,993,750
	5,000,000		U.S. Treasury Note, 1.250%, 12/15/2018		4,989,455

					14,085,566

			Wireless – 2.4%
	100,000		Altice Luxembourg S.A., 7.250%, 5/15/2022, 144A, (EUR)		101,611
	355,000		Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A		306,188
	785,000		Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A		708,462
	6,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		330,036
	6,100,000		America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		337,311
	380,000		Numericable-SFR SAS, 4.875%, 5/15/2019, 144A		376,675
	786,000		Sprint Capital Corp., 6.875%, 11/15/2028		548,235
	370,000		T-Mobile USA, Inc., 6.125%, 1/15/2022		380,175
	515,000		T-Mobile USA, Inc., 6.731%, 4/28/2022		536,888
	200,000		Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A		198,000

					3,823,581

			Wirelines – 1.9%
	705,000		CenturyLink, Inc., 7.650%, 3/15/2042		539,325
	130,000		Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		117,650
	60,000,000		Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)		15,596
	405,000		Frontier Communications Corp., 9.000%, 8/15/2031		340,200


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	340,000	Frontier Communications Corp., 10.500%, 9/15/2022, 144A	$	338,725
	705,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		720,862
	345,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		329,475
	35,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		35,350
	85,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		88,613
	450,000	Telecom Italia SpA, 5.303%, 5/30/2024, 144A		444,375

				2,970,171

		Total Non-Convertible Bonds (Identified Cost $153,642,267)		134,447,996

	Convertible Bonds – 4.7%
		Building Materials – 0.8%
	50,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		44,719
	575,000	Lennar Corp., 3.250%, 11/15/2021, 144A		1,198,515

				1,243,234

		Consumer Cyclical Services – 0.5%
	615,000	Jarden Corp., 1.125%, 3/15/2034		754,528
	25,000	Macquarie Infrastructure Corp., 2.875%, 7/15/2019		27,953

				782,481

		Consumer Products – 0.2%
	870,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		428,475

		Diversified Operations – 0.1%
	160,000	RWT Holdings, Inc., 5.625%, 11/15/2019		147,800

		Energy – 0.3%
	945,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		535,106

		Leisure – 0.6%
	1,035,000	Rovi Corp., 0.500%, 3/01/2020, 144A		904,331

		Metals & Mining – 0.3%
	420,000	RTI International Metals, Inc., 1.625%, 10/15/2019		429,713

		Midstream – 0.8%
	420,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		197,400


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Midstream – continued
$	1,570,000	Whiting Petroleum Corp., 1.250%, 4/01/2020, 144A	$	1,067,600

				1,265,000

		Pharmaceuticals – 0.6%
	58,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		74,458
	644,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		860,545

				935,003

		REITs - Mortgage – 0.0%
	30,000	Redwood Trust, Inc., 4.625%, 4/15/2018		27,938

		Technology – 0.5%
	306,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020, 144A		293,760
	120,000	MercadoLibre, Inc., 2.250%, 7/01/2019		133,725
	340,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		282,625
	81,000	Nuance Communications, Inc., 1.500%, 11/01/2035		86,923

				797,033

		Total Convertible Bonds (Identified Cost $9,354,102)		7,496,114

		Total Bonds and Notes (Identified Cost $162,996,369)		141,944,110

	Senior Loans – 1.8%
		Consumer Cyclical Services – 0.3%
	487,281	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(b)		428,808

		Media Entertainment – 0.0%
	88,413	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(b)		40,117

		Other Utility – 0.2%
	241,747	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		234,695
	95,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		90,012

				324,707

		Supermarkets – 0.3%
	545,875	Albertson’s LLC, Term Loan B4, 5.500%, 8/25/2021(b)		540,624

		Transportation Services – 0.1%
	98,500	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(b)		94,314


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Wirelines – 0.9%
$	1,215,625	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)	$	1,205,292
	159,324	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(b)(g)		154,146

				1,359,438

		Total Senior Loans (Identified Cost $2,909,144)		2,788,008


Shares
	Preferred Stocks – 1.9%
	Convertible Preferred Stocks – 1.6%
		Electric – 0.5%
	5,356	Dominion Resources, Inc., Series B, 6.000%		287,457
	7,126	Dominion Resources, Inc., Series A, 6.125%		378,248
	1,424	Dominion Resources, Inc., 6.375%		68,466

				734,171

		Metals & Mining – 0.3%
	15,526	Alcoa, Inc., Series 1, 5.375%		517,171

		Midstream – 0.1%
	137	Chesapeake Energy Corp., 5.750%		27,314
	988	Chesapeake Energy Corp., 5.750%		201,922
	20	Chesapeake Energy Corp., 5.750%, 144A		4,088

				233,324

		Pharmaceuticals – 0.6%
	860	Allergan PLC, Series A, 5.500%		885,955

		REITs—Mortgage – 0.1%
	2,107	iStar, Inc., Series J, 4.500%		104,718

		Total Convertible Preferred Stocks (Identified Cost $3,194,345)		2,475,339

	Non-Convertible Preferred Stocks – 0.3%
		Finance Companies – 0.3%
	12,925	iStar, Inc., Series E, 7.875%		296,758
	7,500	iStar, Inc., Series F, 7.800%		173,250


Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Finance Companies – continued
	550	iStar, Inc., Series G, 7.650%	$	12,595

				482,603

		Total Non-Convertible Preferred Stocks (Identified Cost $417,822)		482,603

		Total Preferred Stocks (Identified Cost $3,612,167)		2,957,942

	Common Stocks – 0.4%
		Electric Utilities – 0.1%
	1,973	NextEra Energy, Inc.		204,975

		Energy Equipment & Services – 0.0%
	4,625	Hercules Offshore, Inc.(i)		10,036

		Oil, Gas & Consumable Fuels – 0.2%
	14,882	Kinder Morgan, Inc.		222,039

		Trading Companies & Distributors – 0.1%
	2,696	United Rentals, Inc.(i)		195,568

		Total Common Stocks (Identified Cost $914,174)		632,618

	Warrants – 0.0%
	10,360	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(i)(j)(n)		—
	22,512	Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(i)		1,353

		Total Warrants (Identified Cost $29,891)		1,353

	Other Investments – 0.6%
		Aircraft ABS – 0.6%
	100	ECAF I Blocker Ltd.(j)(n) (Identified Cost $1,000,000)		980,000


Principal Amount
	Short-Term Investments – 10.5%
$	38,076	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2015 at 0.000% to be repurchased at $38,076 on 1/04/2016 collateralized by $38,400 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $38,848 including accrued interest(k)		38,076
	16,372,261	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2015 at 0.030% to be repurchased at $16,372,316 on 1/04/2016 collateralized by $16,640,000 U.S. Treasury Note, 2.000% due 10/31/2021 valued at $16,702,400 including accrued interest(k)		16,372,261
	200,000	U.S. Treasury Bills, 0.160%, 1/28/2016(l)(m)		199,983

		Total Short-Term Investments (Identified Cost $16,610,315)		16,610,320

		Total Investments – 105.1% (Identified Cost $188,072,060)(a)		165,914,351
		Other assets less liabilities – (5.1)%		(8,091,429	)

		Net Assets – 100.0%	$	157,822,922

(‡)	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 most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.

As of December 31, 2015, securities of the fund included in net assets (reflected at absolute value) were fair valued as follows:


Illiquid securities¹	Percentage of Net Assets			Other fair valued securities²		Percentage of Net Assets
$1,507,846		1.0	%	$	980,000		0.6	%

¹	Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

²	Fair valued by the Fund’s adviser.

(††)	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 December 31, 2015, the net unrealized depreciation on investments based on a cost of $188,278,047 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	$	4,326,753
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(26,690,449	)

Net unrealized depreciation	$	(22,363,696	)

(b)	Variable rate security. Rate as of December 31, 2015 is disclosed.

(c)	The issuer is making partial payments with respect to principal.

(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 December 31, 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 December 31, 2015, the value of these securities amounted to $1,507,846 or 1.0% 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)	Non-income producing security.

(j)	Fair valued by the Fund’s adviser. At December 31, 2015, the value of this security amounted to $980,000 or 0.6% of net assets.

(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 December 31, 2015, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

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

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

(n)	Illiquid security. At December 31, 2015, the value of these securities amounted to $980,000 or 0.6% of net assets.


144A		All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2015, the value of Rule 144A holdings amounted to $49,211,527 or 31.2% of net assets.
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


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 December 31, 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)
Buy¹		3/01/2016		Euro		1,130,000	$	1,229,730	$	(19,948	)
Sell¹		3/01/2016		Euro		1,300,000		1,414,734		(25,720	)

Total									$	(45,668	)

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. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

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

At December 31, 2015, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		3/21/2016		67	$	8,435,719	$	25,880
30 Year U.S. Treasury Bond		3/21/2016		22		3,382,500		(9,916	)

Total							$	15,964

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	104,226	$	155,261	(a)	$	259,487
Non-Agency Commercial Mortgage-Backed Securities		—		2,595,604		935,000	(a)		3,530,604
All Other Non-Convertible Bonds*		—		130,657,905		—			130,657,905

Total Non-Convertible Bonds		—		133,357,735		1,090,261			134,447,996

Convertible Bonds*		—		7,496,114		—			7,496,114

Total Bonds and Notes		—		140,853,849		1,090,261			141,944,110

Senior Loans*		—		2,788,008		—			2,788,008
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		233,324		—			233,324
REITs—Mortgage		—		104,718		—			104,718
All Other Convertible Preferred Stocks*		2,137,297		—		—			2,137,297

Total Convertible Preferred Stocks		2,137,297		338,042		—			2,475,339

Non-Convertible Preferred Stocks*		482,603		—		—			482,603


Total Preferred Stocks		2,619,900		338,042		—			2,957,942

Common Stocks*		632,618		—		—			632,618
Warrants**		1,353		—		—			1,353
Other Investments*		—		—		980,000	(b)		980,000
Short-Term Investments		—		16,610,320		—			16,610,320

Total Investments		3,253,871		160,590,219		2,070,261			165,914,351

Futures Contracts (unrealized appreciation)		25,880		—		—			25,880

Total	$	3,279,751	$	160,590,219	$	2,070,261		$	165,940,231

Liability Valuation Inputs



Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(45,668	)	$	—	$	(45,668	)
Futures Contracts (unrealized depreciation)		(9,916	)		—			—		(9,916	)

Total	$	(9,916	)	$	(45,668	)	$	—	$	(55,584	)

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

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

(a)	Valued using broker-dealer bid prices.

(b)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.

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


Asset Valuation Inputs
Investments in Securities	Balance as of September 30, 2015		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2015		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2015
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	750,966	$	—	$	—	$	—		$	—	$	—		$	—	$	(750,966	)	$	—	$	—
Airlines		—		—		—		(1,360	)		—		(13,647	)		170,268		—			155,261		(1,360	)
Non-Agency Commercial Mortgage-Backed Securities		935,000		—		—		—			—		—			—		—			935,000		—
Other Investments
Aircraft ABS		1,000,000		—		—		(20,000	)		—		—			—		—			980,000		(20,000	)

Total	$	2,685,966	$	—	$	—	$	(21,360	)	$	—	$	(13,647	)	$	170,268	$	(750,966	)	$	2,070,261	$	(21,360	)

Debt securities valued at $750,966 were transferred from Level 3 to Level 2 during the period ended December 31, 2015. At September 30, 2015, 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 December 31, 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.

A debt security valued at $170,268 was transferred from Level 2 to Level 3 during the period ended December 31, 2015. At September 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. At December 31, 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.

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

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 December 31, 2015, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2015:


Assets	Unrealized appreciation on futures contracts
Exchange-traded/cleared asset derivatives
Interest rate contracts	$	25,880


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(45,668	)	$	—
Exchange-traded/cleared liability derivatives
Interest rate contracts		—			(9,916	)

Total liability derivatives	$	(45,668	)	$	(9,916	)

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 December 31, 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.	$	(45,668	)	$	7,000

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.

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 December 31, 2015:

Maximum Amount

of Loss - Gross

Maximum Amount
of Loss - Net

$201,983

194,983

Industry Summary at December 31, 2015 (Unaudited)


Treasuries	8.9	%
Independent Energy	7.0
Technology	6.3
Midstream	6.0
Finance Companies	5.9
Cable Satellite	5.8
Healthcare	4.7
Banking	4.1
Pharmaceuticals	3.9
Supranational	3.3
Aerospace & Defense	2.9
Wirelines	2.8
Metals & Mining	2.7
Wireless	2.4
ABS Home Equity	2.4
Non-Agency Commercial Mortgage-Backed Securities	2.2
Electric	2.2
Building Materials	2.0
Other Investments, less than 2% each	19.1
Short-Term Investments	10.5

Total Investments	105.1
Other assets less liabilities (including forward foreign currency contracts and futures contracts)	(5.1	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2015 (Unaudited)

Loomis Sayles Investment Grade Bond Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 93.3% of Net Assets
	Non-Convertible Bonds – 86.7%
		ABS Car Loan – 0.1%
$	10,499,625	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A	$	10,534,752

		ABS Other – 2.9%
	57,694,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		62,924,244
	1,983,827	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		2,003,703
	56,456,538	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(b)		56,143,768
	44,878,000	John Deere Owner Trust, Series 2015-A, Class A3, 1.320%, 6/17/2019		44,640,416
	11,600,000	John Deere Owner Trust, Series 2015-A, Class A4, 1.650%, 12/15/2021		11,551,412
	33,960,767	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		38,387,621
	11,991,641	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		12,338,536
	2,972,857	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		2,897,091
	6,484,089	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		6,650,350

				237,537,141

		Aerospace & Defense – 1.4%
	2,100,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		1,407,000
	1,295,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,197,875
	1,530,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039		1,606,500
	78,795,000	Textron, Inc., 5.950%, 9/21/2021		88,175,151
	11,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		18,173,308
	10,280,000	TransDigm, Inc., 6.500%, 5/15/2025, 144A		9,958,750

				120,518,584

		Airlines – 2.3%
	4,413,711	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		4,446,814
	10,805,211	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		10,947,948
	18,340,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		18,706,800
	260,029	Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019		266,036
	656,622	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		698,449


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	1,626,851	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022	$	1,691,925
	47,386,580	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		52,329,001
	2,288,385	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		2,402,804
	1,465,586	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,688,062
	9,538,621	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		10,707,102
	19,181,760	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		21,531,526
	1,921,546	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		2,039,240
	12,873,324	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		13,790,548
	19,082,961	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		20,323,354
	209,376	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		221,968
	13,115,969	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		15,083,364
	8,233,450	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		8,542,204
	2,219,109	Virgin Australia Pass Through Trust, Series 2013-1A, 5.000%, 4/23/2025, 144A		2,286,104

				187,703,249

		Automotive – 1.0%
	23,581,000	Cummins, Inc., 5.650%, 3/01/2098		24,619,413
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		6,371,910
	125,000	Ford Motor Co., 6.500%, 8/01/2018		138,370
	255,000	Ford Motor Co., 6.625%, 2/15/2028		282,071
	2,076,000	Ford Motor Co., 7.400%, 11/01/2046		2,537,445
	240,000	Ford Motor Co., 7.500%, 8/01/2026		285,011
	5,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		5,251,975
	40,126,000	Ford Motor Credit Co. LLC, 6.625%, 8/15/2017		42,769,421
	2,370,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,500,350

				84,755,966

		Banking – 13.5%
	13,021,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		15,787,611
	1,468,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,724,900


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	7,200,000	American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017	$	7,712,215
	11,400,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		2,827,776
	25,627,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		25,225,297
	100,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		98,983
	11,000,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		12,018,050
	25,090,000	Bank of Nova Scotia, 2.130%, 6/15/2020, (CAD)		18,241,157
	1,056,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		1,126,399
	2,173,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		2,320,199
	370,000	BNP Paribas/Australia, 7.000%, 5/24/2016, (AUD)		273,808
	56,000,000	Citigroup, Inc., 2.500%, 9/26/2018		56,486,360
	17,000,000	Citigroup, Inc., 3.500%, 5/15/2023		16,714,689
	1,660,000	Citigroup, Inc., 4.500%, 1/14/2022		1,777,968
	22,960,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		16,147,919
	44,910,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		31,826,712
	21,855,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.875%, 2/08/2022		23,065,417
	5,265,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.950%, 11/09/2022		5,329,359
	86,800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		64,853,156
	1,174,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		1,327,152
	112,330,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		131,306,581
	6,645,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		7,299,818
	700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		715,392
	70,245,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		70,051,335
	36,745,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		25,419,630
	2,950,000	JPMorgan Chase & Co., EMTN, 1.063%, 5/30/2017, (GBP)(c)		4,308,663
	16,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,130,736
	100,000	Keybank NA, 6.950%, 2/01/2028		123,852
	5,100,000	Lloyds Banking Group PLC, 5.300%, 12/01/2045, 144A		5,175,337


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	103,309,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037	$	117,224,722
	40,126,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034(b)		43,869,475
	43,200,000	Morgan Stanley, 2.125%, 4/25/2018		43,257,672
	1,845,000	Morgan Stanley, 4.350%, 9/08/2026		1,851,031
	30,000,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		22,507,624
	56,867,000	Morgan Stanley, 5.500%, 7/24/2020		63,271,077
	5,900,000	Morgan Stanley, 5.750%, 1/25/2021		6,624,231
	151,076,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		108,988,775
	60,800,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		47,035,115
	550,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		849,593
	24,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		17,690,694
	20,695,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		20,906,110
	38,206,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		42,164,103
	2,875,000	National City Bank of Indiana, 4.250%, 7/01/2018		3,012,782
	8,638,000	National City Corp., 6.875%, 5/15/2019		9,758,530
	16,175,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		16,316,903
	1,800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		1,828,552
	3,300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		3,508,092

				1,121,081,552

		Brokerage – 0.9%
	50,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		49,874,073
	19,498,000	Jefferies Group LLC, 6.250%, 1/15/2036		18,011,531
	8,760,000	Jefferies Group LLC, 6.450%, 6/08/2027		9,258,059

				77,143,663

		Building Materials – 1.3%
	10,942,000	Masco Corp., 5.850%, 3/15/2017		11,386,355
	6,616,000	Masco Corp., 6.125%, 10/03/2016		6,814,348
	6,058,000	Masco Corp., 6.500%, 8/15/2032		6,118,580


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – continued
$	28,539,000	Masco Corp., 7.125%, 3/15/2020	$	32,962,545
	5,725,000	Masco Corp., 7.750%, 8/01/2029		6,354,750
	9,300,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		1,263,507
	284,000	Owens Corning, 6.500%, 12/01/2016		292,215
	41,379,000	Owens Corning, 7.000%, 12/01/2036		45,362,473

				110,554,773

		Cable Satellite – 1.3%
	17,832,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		14,282,353
	13,630,000	Time Warner Cable, Inc., 4.125%, 2/15/2021		13,917,266
	2,800,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		2,197,390
	4,101,000	Time Warner Cable, Inc., 5.850%, 5/01/2017		4,290,159
	64,548,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		70,425,224

				105,112,392

		Chemicals – 0.6%
	2,270,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		2,170,007
	50,500,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		48,985,000

				51,155,007

		Construction Machinery – 0.1%
	6,787,000	Toro Co., 6.625%, 5/01/2037(b)		7,595,888

		Consumer Products – 0.1%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		8,307,481

		Diversified Manufacturing – 0.2%
	1,395,000	Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018		1,539,802
	11,754,000	Snap-on, Inc., 6.700%, 3/01/2019		13,251,307

				14,791,109

		Electric – 1.8%
	28,983,432	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		31,048,443
	8,906,393	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		8,946,561
	9,066,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		9,390,291


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – continued
$	30,430,000	EDP Finance BV, 4.125%, 1/15/2020, 144A	$	30,499,989
	2,130,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		2,193,482
	4,491,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		5,618,789
	40,453,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		45,232,158
	9,007,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		10,997,421
	4,294,193	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(b)		4,703,984

				148,631,118

		Finance Companies – 4.2%
	35,063,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		39,270,560
	1,874,000	GE Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD)		1,482,554
	35,580,000	General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		24,551,282
	14,225,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		9,945,003
	51,370,000	General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		35,808,572
	5,305,000	General Electric Capital Corp., Series A, MTN, 0.621%, 5/13/2024(c)		4,902,616
	18,830,000	International Lease Finance Corp., 4.625%, 4/15/2021		19,300,750
	90,196,000	Navient LLC, 5.500%, 1/25/2023		72,156,800
	62,425(††)	Navient LLC, 6.000%, 12/15/2043		1,024,810
	1,785,000	Navient LLC, MTN, 4.625%, 9/25/2017		1,758,225
	8,895,000	Navient LLC, MTN, 7.250%, 1/25/2022		8,316,825
	641,000	Navient LLC, MTN, 8.000%, 3/25/2020		633,308
	15,792,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		15,041,880
	22,116,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)		14,817,720
	14,625,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		13,930,312
	18,597,000	Springleaf Finance Corp., 5.250%, 12/15/2019		17,667,150
	47,260,000	Springleaf Finance Corp., 7.750%, 10/01/2021		46,551,100
	19,414,000	Springleaf Finance Corp., 8.250%, 10/01/2023		19,608,140

				346,767,607


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Government Guaranteed – 0.4%
	12,910,000	Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)	$	9,380,066
	4,000,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)		2,955,120
	31,142,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		22,702,641

				35,037,827

		Government Owned - No Guarantee – 0.8%
	3,720,000	Abu Dhabi National Energy Co. PJSC, 6.500%, 10/27/2036, 144A		4,402,620
	36,975,000	Abu Dhabi National Energy Co. PJSC, 7.250%, 8/01/2018, 144A		40,986,787
	12,575,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		10,924,154
	10,710,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		7,068,600
	8,285,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		5,033,138
	1,000,000	Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A		1,281,451

				69,696,750

		Health Insurance – 0.0%
	1,569,000	Cigna Corp., 7.875%, 5/15/2027		2,061,340
	1,174,000	Cigna Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d)		1,542,063

				3,603,403

		Healthcare – 1.7%
	7,692,000	Boston Scientific Corp., 6.000%, 1/15/2020		8,541,281
	7,374,000	Covidien International Finance S.A., 6.000%, 10/15/2017		7,943,155
	9,459,000	Express Scripts, Inc., 7.250%, 6/15/2019		10,881,719
	6,440,000	HCA, Inc., 4.750%, 5/01/2023		6,375,600
	23,205,000	HCA, Inc., 5.250%, 4/15/2025		23,379,037
	1,055,000	HCA, Inc., 5.375%, 2/01/2025		1,041,813
	802,000	HCA, Inc., 5.875%, 3/15/2022		846,110
	52,905,000	HCA, Inc., 5.875%, 5/01/2023		54,227,625
	4,806,000	HCA, Inc., 7.050%, 12/01/2027		4,842,045
	4,119,000	HCA, Inc., 7.500%, 12/15/2023		4,407,330
	1,592,000	HCA, Inc., 7.500%, 11/06/2033		1,695,480
	3,807,000	HCA, Inc., 7.690%, 6/15/2025		4,102,042


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	4,164,000	HCA, Inc., 8.360%, 4/15/2024	$	4,705,320
	2,480,000	HCA, Inc., MTN, 7.580%, 9/15/2025		2,672,200
	3,068,000	HCA, Inc., MTN, 7.750%, 7/15/2036		3,252,080
	4,785,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		3,875,850

				142,788,687

		Home Construction – 0.2%
	9,200,000	PulteGroup, Inc., 6.000%, 2/15/2035		9,016,000
	3,567,000	PulteGroup, Inc., 6.375%, 5/15/2033		3,620,505
	1,615,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 5.875%, 6/15/2024		1,570,588

				14,207,093

		Independent Energy – 1.1%
	8,105,000	Continental Resources, Inc., 3.800%, 6/01/2024		5,709,381
	610,000	Continental Resources, Inc., 4.500%, 4/15/2023		438,260
	9,787,000	EQT Corp., 8.125%, 6/01/2019		10,571,780
	60,038,000	Equitable Resources, Inc., 6.500%, 4/01/2018		63,103,180
	7,240,000	Newfield Exploration Co., 5.625%, 7/01/2024		6,172,100
	1,225,000	Noble Energy, Inc., 5.625%, 5/01/2021		1,198,279
	460,000	QEP Resources, Inc., 5.250%, 5/01/2023		326,600

				87,519,580

		Integrated Energy – 0.1%
	7,700,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		8,327,127

		Life Insurance – 1.3%
	1,475,000	American International Group, Inc., 4.875%, 6/01/2022		1,592,912
	600,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(e)		945,552
	5,900,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		7,140,528
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		16,983,885
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		11,330,916
	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		40,379,962
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		7,328,327


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – continued
$	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A	$	3,384,304
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		19,041,763

				108,128,149

		Local Authorities – 2.0%
	37,829,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		28,644,233
	152,895,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		120,060,568
	17,930,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		13,572,966
	4,171	Province of Alberta, 5.930%, 9/16/2016, (CAD)		3,084
	489,000	Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)		486,360

				162,767,211

		Lodging – 0.7%
	52,516,000	Choice Hotels International, Inc., 5.700%, 8/28/2020		56,192,120
	100,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		103,828

				56,295,948

		Media Entertainment – 0.4%
	4,482,000	21st Century Fox America, Inc., 8.150%, 10/17/2036		5,948,340
	358,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		17,309,901
	5,000,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		3,487,500
	1,805,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		1,669,625
	4,445,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		4,596,130
	3,616,000	Viacom, Inc., 6.125%, 10/05/2017		3,849,716

				36,861,212

		Metals & Mining – 2.3%
	1,689,997	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(f)(g)(h)(k)		50,700
	15,000,000	Alcoa, Inc., 5.400%, 4/15/2021		14,587,500
	15,060,000	Alcoa, Inc., 5.870%, 2/23/2022		14,683,500
	45,700,000	Alcoa, Inc., 5.900%, 2/01/2027		41,929,750
	5,505,000	Alcoa, Inc., 5.950%, 2/01/2037		4,431,525
	5,804,000	Alcoa, Inc., 6.750%, 1/15/2028		5,513,800


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Metals & Mining – continued
$	430,000	ArcelorMittal, 6.500%, 3/01/2021	$	346,103
	4,085,000	ArcelorMittal, 7.250%, 2/25/2022		3,288,425
	47,920,000	ArcelorMittal, 7.750%, 3/01/2041		32,405,900
	19,365,000	ArcelorMittal, 8.000%, 10/15/2039		13,216,613
	20,625,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		16,293,750
	15,701,000	Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc., 6.500%, 11/15/2020		10,127,145
	4,612,000	United States Steel Corp., 6.650%, 6/01/2037		1,942,805
	31,210,000	United States Steel Corp., 7.000%, 2/01/2018		21,534,900
	3,655,000	Vale Overseas Ltd., 6.875%, 11/21/2036		2,554,991
	4,893,000	Worthington Industries, Inc., 6.500%, 4/15/2020		5,432,497

				188,339,904

		Midstream – 2.5%
	650,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		438,102
	3,328,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		3,749,797
	14,300,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		15,245,816
	14,660,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		12,154,826
	3,105,000	Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020		3,073,990
	7,461,000	Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021		7,426,806
	303,000	Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016		303,000
	8,715,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		8,104,950
	85,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		67,150
	46,655,000	ONEOK Partners LP, 4.900%, 3/15/2025		39,294,614
	9,899,000	Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017		10,540,544
	47,594,000	Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018		52,276,583
	1,404,000	Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019		1,483,486
	1,880,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		1,931,608
	15,683,000	Plains All American Pipeline LP/PAA Finance Corp., 6.500%, 5/01/2018		16,196,195
	525,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		454,199


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Midstream – continued
$	4,125,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A	$	4,194,519
	19,574,000	Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A		20,566,793
	8,405,000	Williams Partners LP, 3.350%, 8/15/2022		6,379,883

				203,882,861

		Mortgage Related – 0.0%
	28,821	FHLMC, 5.000%, 12/01/2031		31,767
	4,269	FNMA, 6.000%, 7/01/2029		4,870

				36,637

		Natural Gas – 0.4%
	1,745,000	NiSource Finance Corp., 6.125%, 3/01/2022		1,997,378
	8,900,000	NiSource Finance Corp., 6.400%, 3/15/2018		9,697,217
	21,614,000	NiSource Finance Corp., 6.800%, 1/15/2019		24,247,471

				35,942,066

		Non-Agency Commercial Mortgage-Backed Securities – 1.7%
	11,450,000	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 2.831%, 12/15/2027, 144A(c)		11,313,555
	537,864	Column Canada Issuer Corp., Series 2006-WEM, Class A1, 4.591%, 1/15/2022, (CAD)		390,036
	3,514,000	Column Canada Issuer Corp., Series 2006-WEM, Class A2, 4.934%, 1/15/2022, (CAD)		2,581,090
	9,785,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV3, 3.281%, 10/15/2031, 144A(b)(c)		9,757,798
	8,515,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV4, 4.481%, 10/15/2031, 144A(b)(c)		8,499,264
	69,500,000	Extended Stay America Trust, Series 2013, Class 7-ESH7, 3.902%, 12/05/2031, 144A		69,544,772
	7,889,293	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		5,737,968
	27,000,000	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)		19,749,006
	9,786,870	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.795%, 8/12/2045, 144A(c)		10,113,529
	2,125,000	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.572%, 3/15/2044, 144A(c)		2,194,710

				139,881,728

		Oil Field Services – 0.3%
	5,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023		3,963,820
	23,338,000	Rowan Cos., Inc., 7.875%, 8/01/2019		22,942,841


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Oil Field Services – continued
$	587,000	Transocean Ltd., 7.375%, 4/15/2018	$	516,560

				27,423,221

		Packaging – 0.1%
	5,735,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		5,849,700

		Paper – 1.3%
	4,365,000	Celulosa Arauco y Constitucion S.A., 7.250%, 7/29/2019		4,898,207
	23,225,000	Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A		25,618,522
	644,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		834,683
	1,031,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,443,986
	7,049,000	International Paper Co., 8.700%, 6/15/2038		9,066,924
	5,270,000	MeadWestvaco Corp., 7.550%, 3/01/2047(b)		6,138,601
	4,273,000	MeadWestvaco Corp., 8.200%, 1/15/2030		5,537,022
	26,007,000	Weyerhaeuser Co., 6.875%, 12/15/2033		29,970,181
	7,374,000	Weyerhaeuser Co., 7.375%, 10/01/2019		8,469,459
	13,539,000	Weyerhaeuser Co., 7.375%, 3/15/2032		16,111,180

				108,088,765

		Property & Casualty Insurance – 0.3%
	2,740,000	Fidelity National Financial, Inc., 5.500%, 9/01/2022		2,908,011
	3,250,000	Loews Corp., 2.625%, 5/15/2023		3,096,759
	1,889,000	MBIA Insurance Corp., 11.581%, 1/15/2033, 144A(c)(h)		354,188
	5,630,000	Old Republic International Corp., 4.875%, 10/01/2024		5,769,427
	7,609,000	Sirius International Group, 6.375%, 3/20/2017, 144A		7,772,692
	2,212,000	XLIT Ltd., 6.250%, 5/15/2027		2,544,583
	1,043,000	XLIT Ltd., 6.375%, 11/15/2024		1,215,822

				23,661,482

		Railroads – 0.2%
	9,787,000	Canadian Pacific Railway Co., 7.250%, 5/15/2019		11,155,193
	237,000	Missouri Pacific Railroad Co., 4.750%, 1/01/2030(b)		232,054
	1,701,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		1,533,766


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Railroads – continued
$	191,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)	$	188,827

				13,109,840

		Real Estate Operations/Development – 0.1%
	10,276,000	First Industrial LP, 5.950%, 5/15/2017		10,786,409

		REITs – Apartments – 0.2%
	16,491,000	Camden Property Trust, 5.700%, 5/15/2017		17,218,781

		REITs – Diversified – 0.0%
	380,000	Duke Realty LP, 5.950%, 2/15/2017		396,753

		REITs – Health Care – 0.1%
	5,972,000	Welltower, Inc., 6.500%, 3/15/2041		6,970,232

		REITs – Office Property – 0.3%
	20,817,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		21,701,993

		REITs – Shopping Centers – 0.1%
	4,893,000	Equity One, Inc., 6.000%, 9/15/2017		5,178,159

		REITs – Single Tenant – 0.4%
	8,690,000	Realty Income Corp., 5.750%, 1/15/2021		9,663,471
	22,701,000	Realty Income Corp., 6.750%, 8/15/2019		25,821,389

				35,484,860

		Restaurants – 0.1%
	10,320,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		9,428,920

		Retailers – 0.4%
	1,255,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		1,242,450
	1,696,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		1,556,080
	5,979,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		3,677,085
	5,446,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,512,670
	10,467,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		12,036,537
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		9,148,600
	3,755,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023		4,243,150

				35,416,572


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Sovereigns – 0.5%
$	33,600,000	Republic of Iceland, 5.875%, 5/11/2022, 144A	$	38,112,110

		Supermarkets – 0.7%
	23,950,000	Albertson’s Holdings LLC/Safeway, Inc., 7.750%, 10/15/2022, 144A		25,431,787
	1,120,000	Delhaize Group, 5.700%, 10/01/2040		1,152,369
	3,269,000	Kroger Co. (The), 6.400%, 8/15/2017		3,510,314
	6,595,000	New Albertson’s, Inc., 7.450%, 8/01/2029		5,836,575
	7,875,000	New Albertson’s, Inc., 8.000%, 5/01/2031		7,166,250
	989,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		796,145
	17,290,000	SUPERVALU, Inc., 6.750%, 6/01/2021		15,647,450

				59,540,890

		Supranational – 0.2%
	9,640,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		7,947,652
	12,982,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		9,349,470

				17,297,122

		Technology – 1.6%
	4,335,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		4,389,187
	1,000,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,005,000
	1,028,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		1,119,262
	1,507,000	Avnet, Inc., 6.625%, 9/15/2016		1,559,448
	7,487,000	Corning, Inc., 7.250%, 8/15/2036		8,644,580
	7,051,000	Equifax, Inc., 7.000%, 7/01/2037		7,940,843
	70,969,000	Ingram Micro, Inc., 5.250%, 9/01/2017		74,137,411
	7,795,000	Intuit, Inc., 5.750%, 3/15/2017		8,167,055
	16,735,000	KLA-Tencor Corp., 5.650%, 11/01/2034		16,305,463
	1,502,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		1,536,426
	1,692,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		2,078,789
	561,000	Xerox Corp., 6.350%, 5/15/2018		599,766
	7,110,000	Xerox Corp., 6.750%, 2/01/2017		7,450,740

				134,933,970


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Transportation Services – 0.7%
$	2,824,000		Erac USA Finance Co., 6.700%, 6/01/2034, 144A	$	3,330,809
	47,741,000		Erac USA Finance Co., 7.000%, 10/15/2037, 144A		58,181,479

					61,512,288

			Treasuries – 26.4%
	372,145,000		Canadian Government, 0.250%, 5/01/2017, (CAD)		268,171,931
	132,000,000		Canadian Government, 0.750%, 9/01/2020, (CAD)		95,482,258
	312,405,000		Canadian Government, 1.000%, 8/01/2016, (CAD)		226,445,648
	209,501,000		Canadian Government, 1.250%, 9/01/2018, (CAD)		154,392,108
	61,795,000		Canadian Government, 1.750%, 9/01/2019, (CAD)		46,507,247
	90,055,000		Canadian Government, 2.750%, 9/01/2016, (CAD)		66,046,625
	4,159,000		Canadian Government, 4.000%, 6/01/2016, (CAD)		3,048,450
	2,755,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		17,532,507
	2,965,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		18,675,053
	7,555,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		49,064,518
	1,925,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		13,059,128
	23,970,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		176,341,426
	36,850,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		26,889,729
	109,763,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		79,767,292
	290,574,000		Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		37,495,770
	974,276,000		Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		115,427,433
	416,760,000		Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		52,996,340
	43,590,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		9,365,308
	23,848,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		5,304,579
	1,040,764,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		5,594,386
	391,985,000		Republic of Iceland, 7.250%, 10/26/2022, (ISK)		2,265,505
	1,195,394,000		Republic of Iceland, 8.750%, 2/26/2019, (ISK)		6,949,031
	82,105,000		U.S. Treasury Note, 0.375%, 3/31/2016		82,108,202
	110,000,000		U.S. Treasury Note, 0.375%, 4/30/2016		109,987,130


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
$	125,000,000	U.S. Treasury Note, 0.500%, 6/30/2016	$	124,970,750
	250,000,000	U.S. Treasury Note, 0.500%, 1/31/2017		249,082,000
	150,000,000	U.S. Treasury Note, 0.500%, 3/31/2017		149,314,500

				2,192,284,854

		Wireless – 0.5%
	559,910,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		30,798,380
	58,200,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		3,218,282
	6,373,000	Sprint Capital Corp., 6.875%, 11/15/2028		4,445,167
	612,000	Sprint Capital Corp., 8.750%, 3/15/2032		459,000
	1,609,000	Sprint Communications, Inc., 6.000%, 11/15/2022		1,134,345
	985,000	Sprint Corp., 7.125%, 6/15/2024		710,431

				40,765,605

		Wirelines – 4.9%
	33,710,000	AT&T, Inc., 2.625%, 12/01/2022		31,960,181
	26,815,000	AT&T, Inc., 3.000%, 2/15/2022		26,286,155
	406,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		382,899
	2,936,000	BellSouth Telecommunications LLC, 5.850%, 11/15/2045		2,860,075
	62,040,000	CenturyLink, Inc., 6.450%, 6/15/2021		60,489,000
	670,000	CenturyLink, Inc., 7.650%, 3/15/2042		512,550
	4,990,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		3,717,550
	4,508,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		3,448,620
	195,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		176,475
	24,103,000	Embarq Corp., 7.995%, 6/01/2036		24,826,090
	265,000	Frontier Communications Corp., 7.875%, 1/15/2027		217,300
	1,365,000	Frontier Communications Corp., 9.000%, 8/15/2031		1,146,600
	825,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		862,125
	5,200,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		922,692
	8,450,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		4,178,281


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
	18,850,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)	$	11,266,879
	2,755,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		2,148,900
	4,370,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		4,479,250
	3,469,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		2,939,978
	333,000	Qwest Corp., 6.500%, 6/01/2017		348,475
	12,308,000	Qwest Corp., 6.875%, 9/15/2033		11,810,708
	9,077,000	Qwest Corp., 7.250%, 9/15/2025		9,655,786
	9,474,000	Qwest Corp., 7.250%, 10/15/2035		9,308,205
	46,411,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		42,814,147
	23,660,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		22,595,300
	525,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		573,224
	975,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		1,089,674
	14,375,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		17,275,127
	4,100,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		6,661,202
	9,100,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		14,916,491
	14,137,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		10,620,272
	54,665,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		43,721,333
	32,509,000	Verizon Communications, Inc., 2.450%, 11/01/2022		30,772,369
	2,642,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,262,460
	2,095,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		2,207,367

				410,453,740

		Total Non-Convertible Bonds (Identified Cost $7,513,153,319)		7,201,122,731

	Convertible Bonds – 5.5%
		Finance Companies – 0.1%
	3,905,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		4,610,341

		Midstream – 0.3%
	45,925,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		21,584,750


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Property & Casualty Insurance – 1.1%
$	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018	$	92,328,619

		Technology – 4.0%
	35,120,000	Intel Corp., 2.950%, 12/15/2035		44,931,650
	137,016,000	Intel Corp., 3.250%, 8/01/2039		227,874,735
	11,515,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		16,488,040
	367,170	Liberty Media LLC, 3.500%, 1/15/2031		325,155
	45,525,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		45,923,344

				335,542,924

		Total Convertible Bonds (Identified Cost $343,608,992)		454,066,634

	Municipals – 1.1%
		District of Columbia – 0.2%
	14,680,000	Metropolitan Washington Airports Authority, 7.462%, 10/01/2046		19,753,114

		Illinois – 0.7%
	24,640,000	State of Illinois, 5.100%, 6/01/2033		23,300,816
	33,395,000	State of Illinois, Series B, 5.520%, 4/01/2038		29,828,748

				53,129,564

		Michigan – 0.0%
	2,275,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		1,962,756

		Ohio – 0.1%
	5,075,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047		4,375,767

		Virginia – 0.1%
	13,605,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		10,487,142

		Total Municipals (Identified Cost $87,800,167)		89,708,343

		Total Bonds and Notes (Identified Cost $7,944,562,478)		7,744,897,708

	Senior Loans – 0.5%
		Finance Companies – 0.4%
	19,598,903	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(c)		19,513,256
	10,740,851	AWAS Finance Luxembourg S.a.r.l., Term Loan B, 3.500%, 6/10/2016(c)		10,691,658

				30,204,914


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)	$	8,870,386

		Total Senior Loans (Identified Cost $39,336,142)		39,075,300


Shares
	Common Stocks – 3.8%
		Automobiles – 0.7%
	4,063,816	Ford Motor Co.		57,259,168

		Electronic Equipment, Instruments & Components – 3.1%
	14,324,579	Corning, Inc.		261,853,304

		Total Common Stocks (Identified Cost $219,251,828)		319,112,472

	Preferred Stocks – 0.2%
		Metals & Mining – 0.0%
	340,285	ArcelorMittal, 6.000%		2,215,255

		Midstream – 0.0%
	43,031	Chesapeake Energy Corp., 5.000%		700,545

		REITs – Diversified – 0.2%
	279,210	Weyerhaeuser Co., Series A, 6.375%		14,038,679

		Total Preferred Stocks (Identified Cost $26,097,136)		16,954,479


Principal Amount (‡)
	Short-Term Investments – 1.0%
$	81,258,059	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2015 at 0.030% to be repurchased at $81,258,330 on 1/04/2016 collateralized by $78,845,000 U.S. Treasury Note, 2.750% due 2/15/2024 valued at $82,885,806 including accrued interest(i) (Identified Cost $81,258,059)		81,258,059

		Total Investments – 98.8% (Identified Cost $8,310,505,643)(a)		8,201,298,018
		Other assets less liabilities – 1.2%		98,208,063

		Net Assets – 100.0%	$	8,299,506,081

(‡)	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.

As of December 31, 2015, securities of the Fund included in net assets (reflected at absolute value) were fair valued as follows:


Illiquid securities¹	Percentage of Net Assets			Other fair valued securities²		Percentage of Net Assets
$153,531,845		1.8	%	$	50,700	Less than 0.1%

¹	Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

²	Fair valued by the Fund’s adviser.

(††)	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 December 31, 2015, the net unrealized depreciation on investments based on a cost of $8,343,680,213 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	$	604,190,390
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(746,572,585	)

Net unrealized depreciation	$	(142,382,195	)

(b)	Illiquid security. At December 31, 2015, the value of these securities amounted to $153,481,145 or 1.8% 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 December 31, 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)	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.

(g)	Fair valued by the Fund’s adviser. At December 31, 2015, the value of this security amounted to $50,700 or less than 0.1% of net assets.

(h)	Non-income producing security.

(i)

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

(k)	Illiquid security. At December 31, 2015, the value of these securities amounted to $50,700 or less than 0.1% of net assets.

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2015, the value of Rule 144A holdings amounted to $1,248,937,693 or 15.0% of net assets.


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
PJSC		Private Joint-Stock Company
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
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 December 31, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	169,054,837	$	68,482,304	(a)	$	237,537,141
Building Materials		—		109,291,266		1,263,507	(a)		110,554,773
Finance Companies		1,024,810		345,742,797		—			346,767,607
Metals & Mining		—		188,289,204		50,700	(b)		188,339,904
Non-Agency Commercial Mortgage-Backed Securities		—		121,624,666		18,257,062	(a)		139,881,728
All Other Non-Convertible Bonds*		—		6,178,041,578		—			6,178,041,578

Total Non-Convertible Bonds		1,024,810		7,112,044,348		88,053,573			7,201,122,731

Convertible Bonds*		—		454,066,634		—			454,066,634
Municipals*		—		89,708,343		—			89,708,343

Total Bonds and Notes		1,024,810		7,655,819,325		88,053,573			7,744,897,708

Senior Loans*		—		39,075,300		—			39,075,300
Common Stocks*		319,112,472		—		—			319,112,472
Preferred Stocks*		16,253,934		—		700,545			16,954,479
Short-Term Investments		—		81,258,059		—			81,258,059

Total	$	336,391,216	$	7,776,152,684	$	88,754,118		$	8,201,298,018

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

(a)	Valued using broker-dealer bid prices.

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

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

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2015		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2015		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2015
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	101,483,141	$	—	$	4,943	$	(447,272	)	$	—	$	(490,683	)	$	12,899,109	$	(44,966,934	)	$	68,482,304	$	(443,986	)
Building Materials		—		612		—		(40,442	)		—		—			1,303,337		—			1,263,507		(40,442	)
Metals & Mining		540,799		2,402		—		(492,501	)		—		—			—		—			50,700		(492,501	)
Non-Agency Commercial Mortgage- Backed Securities		18,273,394		—		—		(16,332	)		—		—			—		—			18,257,062		(16,332	)
Preferred Stocks
Midstream		—		—		—		(1,467,142	)		—		—			2,167,687		—			700,545		(1,467,142	)

Total	$	120,297,334	$	3,014	$	4,943	$	(2,463,689	)	$	—	$	(490,683	)	$	16,370,133	$	(44,966,934	)	$	88,754,118	$	(2,460,403	)

Debt securities valued at $14,202,446 were transferred from Level 2 to Level 3 during the period ended December 31, 2015. At September 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. At December 31, 2015, these securities were 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 securities.

A preferred stock valued at $2,167,687 was transferred from Level 2 to Level 3 during the period ended December 31, 2015. At September 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. At December 31, 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 $44,966,934 were transferred from Level 3 to Level 2 during the period ended December 31, 2015. At September 30, 2015, 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 December 31, 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 December 31, 2015 (Unaudited)


Treasuries	26.4	%
Banking	13.5
Technology	5.6
Wirelines	4.9
Finance Companies	4.7
Electronic Equipment, Instruments & Components	3.1
ABS Other	2.9
Midstream	2.8
Metals & Mining	2.3
Airlines	2.3
Local Authorities	2.0
Other Investments, less than 2% each	27.3
Short-Term Investments	1.0

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2015 (Unaudited)


United States Dollar	70.6	%
Canadian Dollar	12.6
New Zealand Dollar	4.7
Mexican Peso	3.9
Australian Dollar	3.2
Norwegian Krone	2.5
Other, less than 2% each	1.3

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2015 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 99.1% of Net Assets
		ABS Car Loan – 1.5%
$	3,712,655	CPS Auto Receivables Trust, Series 2015-C, Class A, 1.770%, 6/17/2019, 144A	$	3,704,228
	903,989	Credit Acceptance Auto Loan Trust, Series 2013-2A, Class A, 1.500%, 4/15/2021, 144A		903,081
	2,695,000	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A		2,682,327
	1,045,000	First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A		1,043,233
	3,500,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		3,469,503
	1,468,238	Tidewater Auto Receivables Trust, Series 2014-AA, Class A3, 1.400%, 7/15/2018, 144A		1,466,548

				13,268,920

		ABS Home Equity – 0.7%
	3,566,443	Mill City Mortgage Trust, Series 2015-1, Class A1, 2.230%, 6/25/2056, 144A(b)		3,548,739
	2,078,074	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A		2,053,783

				5,602,522

		Agency Commercial Mortgage-Backed Securities – 11.1%
	8,220,000	Federal National Mortgage Association, Series 2015-M17, Class FA, 1.129%, 11/25/2022(b)		8,213,316
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,461,538
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,580,684
	4,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021		4,187,689
	6,625,000	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021		6,800,832
	3,535,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		3,611,866
	700,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		712,019
	2,590,000	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018		2,627,353
	7,910,000	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		7,976,659
	34,370,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		34,143,622
	99,030	FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.772%, 4/25/2019(b)		98,946
	2,146,288	FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 0.522%, 11/25/2021(b)		2,143,483
	233,630	Government National Mortgage Association, Series 2003-72, Class Z, 5.241%, 11/16/2045(b)		249,581
	197,182	Government National Mortgage Association, Series 2003-88, Class Z, 4.897%, 3/16/2046(b)		209,191


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Agency Commercial Mortgage-Backed Securities – continued
$	13,260,000	Government National Mortgage Association, Series 2013-52, Class KX, 3.918%, 8/16/2051(b)	$	13,978,957

				95,995,736

		Collateralized Mortgage Obligations – 14.6%
	119,008	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 1.830%, 5/15/2023(b)		116,563
	78,880	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.610%, 8/15/2023(b)		79,320
	300,498	Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029		328,179
	188,173	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.731%, 11/15/2032(b)		188,641
	1,557,724	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		1,628,814
	2,429,371	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020		2,507,396
	2,422,858	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035		2,675,688
	3,510,000	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035		3,861,000
	1,342,200	Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034		1,362,185
	4,247,670	Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038		4,608,384
	2,333,869	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.700%, 6/15/2048(b)		2,336,820
	2,927,023	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.241%, 12/15/2036(b)		3,027,068
	51,958	Federal Home Loan Mortgage Corp., REMIC, Series 3802, Class BA, 4.500%, 11/15/2028		52,365
	924,594	Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 2.431%, 6/15/2043(b)		934,953
	2,159,982	Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033		2,423,503
	86,703	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 2.000%, 9/25/2022(b)		88,236
	76,944	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.760%, 4/25/2024(b)		77,453
	20,256	Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 3.850%, 8/25/2042(b)		20,218
	1,281,139	Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025		1,393,962
	925,660	Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034		950,676
	1,456,392	Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 0.482%, 7/25/2037(b)		1,368,051
	2,762,733	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.617%, 8/25/2038(b)		2,917,241
	5,412,360	Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1.422%, 7/25/2043(b)		5,168,060
	62,547	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.600%, 4/25/2023(b)		62,899
	12,526	FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.344%, 3/25/2044(b)		13,031
	1,461,742	Government National Mortgage Association, Series 2010-H20, Class AF, 0.522%, 10/20/2060(b)		1,447,129


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	1,294,874	Government National Mortgage Association, Series 2010-H24, Class FA, 0.542%, 10/20/2060(b)	$	1,282,713
	1,190,010	Government National Mortgage Association, Series 2011-H06, Class FA, 0.642%, 2/20/2061(b)		1,184,076
	2,452,336	Government National Mortgage Association, Series 2012-124, Class HT, 7.218%, 7/20/2032(b)		2,771,823
	5,078,078	Government National Mortgage Association, Series 2012-H15, Class FA, 0.642%, 5/20/2062(b)		5,077,996
	1,356,840	Government National Mortgage Association, Series 2012-H18, Class NA, 0.712%, 8/20/2062(b)		1,355,238
	7,063,427	Government National Mortgage Association, Series 2012-H29, Class HF, 0.692%, 10/20/2062(b)		7,052,277
	6,688,307	Government National Mortgage Association, Series 2013-H02, Class GF, 0.692%, 12/20/2062(b)		6,680,264
	5,070,721	Government National Mortgage Association, Series 2013-H08, Class FA, 0.752%, 3/20/2063(b)		4,976,516
	4,036,267	Government National Mortgage Association, Series 2013-H10, Class FA, 0.592%, 3/20/2063(b)		4,010,213
	12,873,963	Government National Mortgage Association, Series 2013-H22, Class FT, 0.960%, 4/20/2063(b)		13,009,716
	7,575,792	Government National Mortgage Association, Series 2014-H14, Class FA, 0.692%, 7/20/2064(b)		7,527,006
	5,211,199	Government National Mortgage Association, Series 2014-H15, Class FA, 0.692%, 7/20/2064(b)		5,154,491
	11,086,077	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		11,029,732
	3,704,909	Government National Mortgage Association, Series 2015-H11, Class FA, 0.442%, 4/20/2065(b)		3,670,439
	8,063,205	Government National Mortgage Association, Series 2015-H19, Class FH, 0.492%, 7/20/2065(b)		8,019,096
	445,211	NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.637%, 12/07/2020(b)		444,036
	1,028,169	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.726%, 10/07/2020(b)		1,033,013
	1,533,351	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.829%, 12/08/2020(b)		1,543,666
	98,213	NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 0.829%, 12/08/2020(b)		98,845

				125,558,991

		Hybrid ARMs – 14.2%
	1,234,362	FHLMC, 2.269%, 6/01/2037(b)		1,281,862
	737,214	FHLMC, 2.390%, 11/01/2038(b)		780,260
	1,243,517	FHLMC, 2.438%, 4/01/2036(b)		1,311,116
	1,313,449	FHLMC, 2.468%, 9/01/2038(b)		1,384,292
	2,459,958	FHLMC, 2.470%, 7/01/2033(b)		2,600,217
	3,136,074	FHLMC, 2.483%, 4/01/2037(b)		3,340,262
	684,955	FHLMC, 2.487%, 2/01/2035(b)		726,477
	2,011,587	FHLMC, 2.487%, 3/01/2036(b)		2,122,452


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Hybrid ARMs – continued
$	1,638,539	FHLMC, 2.494%, 9/01/2038(b)	$	1,737,367
	4,477,246	FHLMC, 2.498%, 2/01/2036(b)		4,733,721
	370,070	FHLMC, 2.506%, 9/01/2038(b)		391,504
	1,133,629	FHLMC, 2.518%, 11/01/2038(b)		1,202,462
	3,171,992	FHLMC, 2.522%, 9/01/2035(b)		3,364,383
	1,778,994	FHLMC, 2.522%, 3/01/2038(b)		1,891,909
	6,593,171	FHLMC, 2.523%, 3/01/2037(b)		6,968,575
	958,815	FHLMC, 2.539%, 4/01/2037(b)		1,015,490
	2,088,690	FHLMC, 2.654%, 2/01/2036(b)		2,217,611
	734,887	FHLMC, 2.699%, 12/01/2034(b)		779,784
	709,806	FHLMC, 2.805%, 3/01/2037(b)		763,372
	150,458	FHLMC, 3.946%, 12/01/2037(b)		157,206
	263,135	FNMA, 1.922%, 2/01/2037(b)		273,792
	2,411,301	FNMA, 2.010%, 7/01/2035(b)		2,511,824
	5,520,453	FNMA, 2.267%, 9/01/2037(b)		5,890,363
	3,982,347	FNMA, 2.278%, 4/01/2037(b)		4,196,104
	3,932,657	FNMA, 2.291%, 7/01/2035(b)		4,147,087
	2,261,299	FNMA, 2.308%, 4/01/2037(b)		2,399,800
	1,376,812	FNMA, 2.328%, 1/01/2036(b)		1,462,666
	744,929	FNMA, 2.332%, 9/01/2034(b)		788,628
	963,463	FNMA, 2.380%, 8/01/2038(b)		1,024,942
	1,537,119	FNMA, 2.395%, 9/01/2036(b)		1,628,339
	496,965	FNMA, 2.405%, 8/01/2035(b)		527,141
	1,175,137	FNMA, 2.406%, 8/01/2034(b)		1,251,062
	3,556,975	FNMA, 2.425%, 11/01/2033(b)		3,755,549
	5,266,322	FNMA, 2.433%, 3/01/2037(b)		5,603,030
	3,587,557	FNMA, 2.444%, 9/01/2037(b)		3,808,120
	1,627,754	FNMA, 2.445%, 2/01/2047(b)		1,737,052


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Hybrid ARMs – continued
$	410,979	FNMA, 2.449%, 4/01/2033(b)	$	435,522
	7,057,687	FNMA, 2.452%, 10/01/2034(b)		7,481,695
	1,736,645	FNMA, 2.453%, 4/01/2034(b)		1,838,627
	902,558	FNMA, 2.454%, 2/01/2037(b)		960,669
	5,425,398	FNMA, 2.456%, 4/01/2034(b)		5,732,672
	1,635,849	FNMA, 2.459%, 6/01/2036(b)		1,739,705
	2,419,853	FNMA, 2.473%, 8/01/2035(b)		2,563,468
	779,826	FNMA, 2.512%, 10/01/2033(b)		827,301
	777,363	FNMA, 2.521%, 12/01/2034(b)		826,164
	4,630,981	FNMA, 2.530%, 6/01/2037(b)		4,922,858
	1,820,201	FNMA, 2.537%, 6/01/2033(b)		1,921,372
	2,392,565	FNMA, 2.538%, 10/01/2033(b)		2,527,939
	4,726,715	FNMA, 2.607%, 7/01/2037(b)		5,017,695
	374,088	FNMA, 2.679%, 8/01/2033(b)		397,406
	518,518	FNMA, 2.766%, 8/01/2036(b)		546,033
	1,470,297	FNMA, 2.817%, 5/01/2035(b)		1,573,164
	894,023	FNMA, 2.861%, 7/01/2041(b)		932,877
	2,443,604	FNMA, 3.223%, 6/01/2035(b)		2,606,240

				122,627,228

		Mortgage Related – 18.6%
	137,351	FHLMC, 3.000%, 10/01/2026		141,796
	987,019	FHLMC, 4.000%, with various maturities from 2024 to 2042(c)		1,043,957
	772,069	FHLMC, 4.500%, with various maturities from 2025 to 2034(c)		828,959
	331,496	FHLMC, 5.500%, 10/01/2023		358,487
	31,107	FHLMC, 6.000%, 11/01/2019		32,832
	462,498	FHLMC, 6.500%, with various maturities from 2017 to 2034(c)		542,461
	827	FHLMC, 7.000%, 2/01/2016		827
	518	FHLMC, 7.500%, 6/01/2026		594
	1,448	FHLMC, 10.000%, 7/01/2019		1,560


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
$	22,764	FHLMC, 11.500%, 4/01/2020	$	23,143
	199,038	FNMA, 3.000%, 3/01/2042		199,438
	2,695,468	FNMA, 5.000%, with various maturities from 2037 to 2038(c)		2,980,708
	1,395,422	FNMA, 5.500%, with various maturities from 2018 to 2033(c)		1,550,324
	2,105,409	FNMA, 6.000%, with various maturities from 2017 to 2022(c)		2,291,850
	321,836	FNMA, 6.500%, with various maturities from 2017 to 2037(c)		365,551
	17,525	FNMA, 7.000%, 12/01/2022		17,570
	102,967	FNMA, 7.500%, with various maturities from 2017 to 2032(c)		115,702
	199	FNMA, 8.000%, 5/01/2016		200
	4,819,987	GNMA, 1.965%, 2/20/2061(b)		4,996,351
	3,670,273	GNMA, 2.084%, 2/20/2063(b)		3,823,352
	4,614,474	GNMA, 2.359%, 3/20/2063(b)		4,854,950
	1,642,069	GNMA, 2.381%, 6/20/2065(b)		1,721,071
	1,356,505	GNMA, 2.453%, 5/20/2065(b)		1,424,424
	2,630,049	GNMA, 2.569%, 2/20/2063(b)		2,779,729
	4,358,944	GNMA, 4.479%, 2/20/2062		4,603,209
	4,583,754	GNMA, 4.521%, 12/20/2061		4,825,651
	6,974,260	GNMA, 4.532%, 12/20/2062		7,447,697
	17,884,035	GNMA, 4.556%, 12/20/2061		18,826,912
	2,267,586	GNMA, 4.560%, 3/20/2062		2,393,458
	12,256,776	GNMA, 4.583%, 11/20/2062		13,058,568
	1,501,673	GNMA, 4.599%, 4/20/2063		1,608,458
	4,347,396	GNMA, 4.604%, 6/20/2062		4,610,007
	1,412,411	GNMA, 4.616%, 8/20/2061		1,479,304
	1,826,254	GNMA, 4.639%, 3/20/2062		1,929,791
	7,347,521	GNMA, 4.659%, 2/20/2062		7,763,363
	9,089,997	GNMA, 4.685%, 8/20/2061		9,500,475
	3,535,422	GNMA, 4.689%, 2/20/2062		3,731,792


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
$	1,851,197	GNMA, 4.698%, 7/20/2061	$	1,936,564
	7,992,791	GNMA, 4.700%, with various maturities in 2061(c)		8,365,681
	1,719,525	GNMA, 4.717%, 3/20/2061		1,793,931
	1,444,006	GNMA, 4.808%, 8/20/2062		1,523,643
	736,261	GNMA, 5.167%, 4/20/2061		775,325
	20,405	GNMA, 6.000%, 12/15/2031		23,562
	91,908	GNMA, 6.500%, 5/15/2031		107,100
	95,703	GNMA, 7.000%, 10/15/2028		108,551
	4,652,165	Government National Mortgage Association, Series 2015-H04, Class FL, 0.662%, 2/20/2065(b)		4,659,227
	6,849,847	Government National Mortgage Association, Series 2015-H05, Class FA, 0.492%, 4/20/2061(b)		6,803,263
	15,433,660	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		15,400,694
	7,125,329	Government National Mortgage Association, Series 2015-H12, Class FL, 0.422%, 5/20/2065(b)		7,036,712

				160,408,774

		Non-Agency Commercial Mortgage-Backed Securities – 5.8%
	1,120,634	A10 Securitization LLC, Series 2014-1, Class A1, 1.720%, 4/15/2033, 144A		1,113,200
	1,780,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.619%, 4/10/2049(b)		1,801,313
	317,896	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		329,260
	3,700,000	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 1.731%, 12/15/2027, 144A(b)		3,676,791
	3,215,000	CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class A, 1.281%, 6/15/2031, 144A(b)		3,203,905
	3,040,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV1, 2.181%, 10/15/2031, 144A(b)(d)		3,034,753
	2,657,466	GP Portfolio Trust, Series 2014-GPP, Class A, 1.281%, 2/15/2027, 144A(b)		2,651,074
	3,349,271	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		3,455,540
	4,219,770	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		4,313,785
	5,535,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.231%, 10/15/2029, 144A(b)		5,497,426
	221,677	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB15, Class A4, 5.814%, 6/12/2043(b)		221,952
	1,651,348	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.311%, 7/15/2031, 144A(b)		1,638,236
	4,115,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.031%, 7/15/2036, 144A(b)		4,099,647


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	1,624,478	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040	$	1,667,182
	1,033,267	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		1,057,713
	314,063	Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.723%, 4/12/2049(b)		313,482
	506,329	PFP III Ltd., Series 2014-1, Class A, 1.515%, 6/14/2031, 144A(b)		503,636
	2,780,105	Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.401%, 4/15/2032, 144A(b)		2,768,096
	3,700,000	Starwood Retail Property Trust, Inc., 1.551%, 11/15/2027, 144A(b)		3,682,529
	3,774,878	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048		3,828,364
	1,393,477	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046		1,443,253

				50,301,137

		Sovereigns – 0.2%
	1,955,000	U.S. Department of Housing and Urban Development, Series 4, 1.880%, 8/01/2019		1,958,011

		Treasuries – 32.4%
	8,375,000	U.S. Treasury Note, 0.750%, 3/31/2018		8,300,086
	23,490,000	U.S. Treasury Note, 0.875%, 10/15/2017		23,419,342
	30,745,000	U.S. Treasury Note, 0.875%, 1/15/2018		30,605,694
	17,195,000	U.S. Treasury Note, 0.875%, 10/15/2018		17,005,580
	21,105,000	U.S. Treasury Note, 1.000%, 12/15/2017		21,076,149
	7,315,000	U.S. Treasury Note, 1.000%, 3/15/2018		7,289,566
	38,250,000	U.S. Treasury Note, 1.125%, 6/15/2018		38,160,342
	24,410,000	U.S. Treasury Note, 1.250%, 10/31/2018		24,375,680
	23,950,000	U.S. Treasury Note, 1.250%, 1/31/2020		23,581,386
	4,860,000	U.S. Treasury Note, 1.500%, 5/31/2020		4,818,044
	21,810,000	U.S. Treasury Note, 1.625%, 3/31/2019		21,946,312
	2,385,000	U.S. Treasury Note, 1.625%, 8/31/2019		2,391,802
	10,050,000	U.S. Treasury Note, 1.625%, 12/31/2019		10,050,392
	17,125,000	U.S. Treasury Note, 1.625%, 7/31/2020		17,043,382
	10,360,000	U.S. Treasury Note, 1.625%, 11/30/2020		10,298,482
	13,545,000	U.S. Treasury Note, 2.125%, 8/31/2020		13,763,521


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Treasuries – continued
$	5,365,000	U.S. Treasury Note, 2.125%, 12/31/2022	$	5,375,269

				279,501,029

		Total Bonds and Notes (Identified Cost $863,636,066)		855,222,348

	Short-Term Investments – 3.0%
	14,797,190	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2015 at 0.030% to be repurchased at $14,797,239 on 1/04/2016 collateralized by $15,230,000 U.S. Treasury Note, 1.750% due 2/28/2022 valued at $15,096,738 including accrued interest(e)		14,797,190
	11,120,000	U.S. Treasury Bills, 0.005%, 1/07/2016(f)		11,119,955

		Total Short-Term Investments (Identified Cost $25,917,185)		25,917,145


Description	Value (†)
Total Investments – 102.1% (Identified Cost $889,553,251)(a)	$	881,139,493
Other assets less liabilities – (2.1)%		(18,175,642	)

Net Assets – 100.0%	$	862,963,851

(†)

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.

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.

As of December 31, 2015, securities of the Fund included in net assets (reflected at absolute value) were fair valued as follows:


Illiquid securities¹	Percentage of Net Assets
$3,034,753		0.4	%

¹	Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(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 December 31, 2015, the net unrealized depreciation on investments based on a cost of $889,684,087 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	$	3,376,613
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,921,207	)

Net unrealized depreciation	$	(8,544,594	)

At September 30, 2015, the Fund had a short-term capital loss carryforward of $2,555,389 with no expiration date and a long-term capital loss carryforward of $7,955,304 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 December 31, 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 December 31, 2015, the value of this security amounted to $3,034,753 or 0.4% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(e)

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


144A		All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2015, the value of Rule 144A holdings amounted to $50,740,735 or 5.9% of net assets.
ABS		Asset-Backed Securities
ARMs		Adjustable Rate Mortgages
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
REMIC		Real Estate Mortgage Investment Conduit

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Agency Commercial Mortgage-Backed Securities	$	—	$	82,016,779	$	13,978,957	(a)	$	95,995,736
Collateralized Mortgage Obligations		—		125,538,773		20,218	(a)		125,558,991
Non-Agency Commercial Mortgage-Backed Securities		—		47,266,384		3,034,753	(a)		50,301,137
All Other Bonds and Notes*		—		583,366,484		—			583,366,484

Total Bonds and Notes		—		838,188,420		17,033,928			855,222,348

Short-Term Investments		—		25,917,145		—			25,917,145

Total	$	—	$	864,105,565	$	17,033,928		$	881,139,493

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

(a)	Valued using broker-dealer bid prices.

For the period ended December 31, 2015, there were no transfers among Levels 1, 2 and 3.

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

Asset Valuation inputs


Investments in Securities	Balance as of September 30, 2015		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2015		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2015
Bonds and Notes
Agency Commercial Mortgage-Backed Securities	$	14,113,679	$	—	$	—	$	(134,722	)	$	—	$	—		$	—	$	—	$	13,978,957	$	(134,722	)
Collateralized Mortgage Obligations		20,837		—		2		(1	)		—		(620	)		—		—		20,218		—
Non-Agency Commercial Mortgage-Backed Securities		3,037,972		—		—		(3,219	)		—		—			—		—		3,034,753		(3,219	)

Total	$	17,172,488	$	—	$	2	$	(137,942	)	$	—	$	(620	)	$	—	$	—	$	17,033,928	$	(137,941	)

Industry Summary at December 31, 2015 (Unaudited)


Treasuries	32.4	%
Mortgage Related	18.6
Collateralized Mortgage Obligations	14.6
Hybrid ARMs	14.2
Agency Commercial Mortgage-Backed Securities	11.1
Non-Agency Commercial Mortgage-Backed Securities	5.8
Other Investments, less than 2% each	2.4
Short-Term Investments	3.0

Total Investments	102.1
Other assets less liabilities	(2.1	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2015 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)
	Common Stocks – 98.1% of Net Assets
		Aerospace & Defense – 1.0%
	239,132	Hexcel Corp.	$	11,107,681

		Auto Components – 1.1%
	254,863	Gentherm, Inc.(b)		12,080,506

		Banks – 6.0%
	365,917	Bank of the Ozarks, Inc.		18,098,255
	260,394	Pinnacle Financial Partners, Inc.		13,373,836
	361,894	PrivateBancorp, Inc.		14,844,892
	168,096	Renasant Corp.		5,784,183
	902,582	Talmer Bancorp, Inc., Class A		16,345,760

				68,446,926

		Biotechnology – 6.5%
	293,294	Acorda Therapeutics, Inc.(b)		12,547,117
	63,967	Anacor Pharmaceuticals, Inc.(b)		7,226,352
	447,878	Emergent Biosolutions, Inc.(b)		17,919,599
	837,865	Ironwood Pharmaceuticals, Inc.(b)		9,710,855
	610,553	Lexicon Pharmaceuticals, Inc.(b)		8,126,461
	186,076	Neurocrine Biosciences, Inc.(b)		10,526,319
	158,010	Portola Pharmaceuticals, Inc.(b)		8,129,615

				74,186,318

		Building Products – 1.9%
	240,209	Apogee Enterprises, Inc.		10,451,494
	282,088	Trex Co., Inc.(b)		10,730,627

				21,182,121

		Capital Markets – 1.9%
	315,418	Artisan Partners Asset Management, Inc.		11,373,973
	350,832	HFF, Inc., Class A		10,900,350

				22,274,323

		Commercial Services & Supplies – 1.4%
	459,731	Healthcare Services Group, Inc.		16,030,820

		Communications Equipment – 0.6%
	317,502	Ciena Corp.(b)		6,569,116

		Construction & Engineering – 1.1%
	303,063	Granite Construction, Inc.		13,004,433

		Distributors – 1.3%
	185,248	Pool Corp.		14,964,334

		Diversified Consumer Services – 2.7%
	265,782	Bright Horizons Family Solutions, Inc.(b)		17,754,238
	674,655	Nord Anglia Education, Inc.(b)		13,682,003

				31,436,241


Shares		Description	Value (†)
	Common Stocks – continued
		Diversified Financial Services – 1.4%
	140,602	MarketAxess Holdings, Inc.	$	15,689,777

		Diversified Telecommunication Services – 0.5%
	172,291	Cogent Communications Holdings, Inc.		5,976,775

		Electronic Equipment, Instruments & Components – 2.3%
	174,924	FEI Co.		13,957,186
	141,511	IPG Photonics Corp.(b)		12,617,121

				26,574,307

		Energy Equipment & Services – 0.9%
	179,488	Dril-Quip, Inc.(b)		10,631,074

		Food Products – 0.6%
	207,904	Snyder’s-Lance, Inc.		7,131,107

		Health Care Equipment & Supplies – 6.2%
	384,091	Cynosure, Inc., Class A(b)		17,157,345
	277,275	Inogen, Inc.(b)		11,115,955
	317,849	Insulet Corp.(b)		12,017,870
	137,542	Integra LifeSciences Holdings Corp.(b)		9,322,597
	317,477	Natus Medical, Inc.(b)		15,254,770
	118,787	Neogen Corp.(b)		6,713,841

				71,582,378

		Health Care Providers & Services – 7.4%
	178,002	Acadia Healthcare Co., Inc.(b)		11,118,005
	328,439	Aceto Corp.		8,861,284
	429,608	AMN Healthcare Services, Inc.(b)		13,339,329
	149,920	Amsurg Corp.(b)		11,393,920
	530,112	Ensign Group, Inc. (The)		11,996,435
	338,020	HealthEquity, Inc.(b)		8,474,161
	548,469	Surgery Partners, Inc.(b)		11,238,130
	185,234	Team Health Holdings, Inc.(b)		8,129,920

				84,551,184

		Health Care Technology – 1.7%
	277,347	Medidata Solutions, Inc.(b)		13,670,433
	189,716	Press Ganey Holdings, Inc.(b)		5,985,540

				19,655,973

		Hotels, Restaurants & Leisure – 5.8%
	374,616	Chuy’s Holdings, Inc.(b)		11,740,465
	345,660	Diamond Resorts International, Inc.(b)		8,817,787
	211,476	Popeyes Louisiana Kitchen, Inc.(b)		12,371,346
	364,132	Texas Roadhouse, Inc.		13,025,002
	99,383	Vail Resorts, Inc.		12,720,030
	280,795	Zoe’s Kitchen, Inc.(b)		7,856,644

				66,531,274

		Internet & Catalog Retail – 0.8%
	189,743	Wayfair, Inc., Class A(b)		9,035,562

		Internet Software & Services – 5.7%
	227,279	comScore, Inc.(b)		9,352,531


Shares		Description	Value (†)
	Common Stocks – continued
		Internet Software & Services – continued
	315,347	Criteo S.A., Sponsored ADR(b)	$	12,487,741
	234,606	Demandware, Inc.(b)		12,661,686
	129,724	LogMeIn, Inc.(b)		8,704,481
	429,633	Q2 Holdings, Inc.(b)		11,329,422
	467,920	Wix.com Ltd.(b)		10,645,180

				65,181,041

		IT Services – 4.7%
	248,807	Blackhawk Network Holdings, Inc.(b)		10,999,758
	188,849	EPAM Systems, Inc.(b)		14,847,308
	242,723	Euronet Worldwide, Inc.(b)		17,580,427
	362,619	InterXion Holding NV(b)		10,932,963

				54,360,456

		Leisure Products – 1.0%
	262,883	Vista Outdoor, Inc.(b)		11,700,922

		Life Sciences Tools & Services – 2.1%
	221,892	Cambrex Corp.(b)		10,448,894
	289,415	INC Research Holdings, Inc., Class A(b)		14,039,522

				24,488,416

		Machinery – 3.0%
	119,817	Middleby Corp. (The)(b)		12,924,660
	227,862	Proto Labs, Inc.(b)		14,512,530
	115,220	RBC Bearings, Inc.(b)		7,442,060

				34,879,250

		Media – 0.9%
	293,581	IMAX Corp.(b)		10,433,869

		Oil, Gas & Consumable Fuels – 1.8%
	150,427	Diamondback Energy, Inc.(b)		10,063,566
	197,671	PDC Energy, Inc.(b)		10,551,678

				20,615,244

		Pharmaceuticals – 2.5%
	303,958	Impax Laboratories, Inc.(b)		12,997,244
	173,412	Intra-Cellular Therapies, Inc.(b)		9,327,832
	197,063	Revance Therapeutics, Inc.(b)		6,731,672

				29,056,748

		Professional Services – 1.7%
	202,871	Advisory Board Co. (The)(b)		10,064,430
	153,938	CEB, Inc.		9,450,254

				19,514,684

		Semiconductors & Semiconductor Equipment – 6.3%
	193,877	Cavium, Inc.(b)		12,739,658
	442,419	Inphi Corp.(b)		11,954,161
	862,211	Intersil Corp.		11,001,812
	327,702	MKS Instruments, Inc.		11,797,272
	209,293	Monolithic Power Systems, Inc.		13,334,057


Shares		Description	Value (†)
	Common Stocks – continued
		Semiconductors & Semiconductor Equipment – continued
	246,961	Silicon Laboratories, Inc.(b)	$	11,987,487

				72,814,447

		Software – 8.4%
	143,462	Blackbaud, Inc.		9,448,407
	569,982	Callidus Software, Inc.(b)		10,584,566
	298,352	FleetMatics Group PLC(b)		15,153,298
	342,191	Guidewire Software, Inc.(b)		20,586,211
	173,979	Imperva, Inc.(b)		11,014,610
	175,327	Proofpoint, Inc.(b)		11,398,008
	96,615	Ultimate Software Group, Inc. (The)(b)		18,889,199

				97,074,299

		Specialty Retail – 3.1%
	184,826	Asbury Automotive Group, Inc.(b)		12,464,665
	243,154	Monro Muffler Brake, Inc.		16,101,658
	90,517	Restoration Hardware Holdings, Inc.(b)		7,191,576

				35,757,899

		Textiles, Apparel & Luxury Goods – 2.8%
	221,227	Columbia Sportswear Co.		10,787,029
	161,767	Oxford Industries, Inc.		10,323,970
	372,570	Steven Madden Ltd.(b)		11,259,065

				32,370,064

		Thrifts & Mortgage Finance – 1.0%
	526,176	Essent Group Ltd.(b)		11,517,993

		Total Common Stocks (Identified Cost $955,275,928)		1,128,407,562


Principal Amount
	Short-Term Investments – 2.5%
$	28,450,751	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2015 at 0.030% to be repurchased at $28,450,846 on 1/04/2016 collateralized by $27,610,000 U.S. Treasury Note, 2.75% due 2/15/2024 valued at $29,025,013 including accrued interest(c) (Identified Cost $28,450,751)		28,450,751


Description	Value (†)
Total Investments – 100.6% (Identified Cost $983,726,679)(a)	$	1,156,858,313
Other assets less liabilities – (0.6)%		(6,809,937	)

Net Assets – 100.0%	$	1,150,048,376

(†)

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 December 31, 2015, the net unrealized appreciation on investments based on a cost of $983,726,679 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	$	204,438,230
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(31,306,596	)

Net unrealized appreciation	$	173,131,634

At September 30, 2015, late-year ordinary and post-October capital loss deferrals were $5,146,367. 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)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,128,407,562	$	—	$	—	$	1,128,407,562
Short-Term Investments		—		28,450,751		—		28,450,751

Total	$	1,128,407,562	$	28,450,751	$	—	$	1,156,858,313

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

For the period ended December 31, 2015, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2015 (Unaudited)


Software	8.4	%
Health Care Providers & Services	7.4
Biotechnology	6.5
Semiconductors & Semiconductor Equipment	6.3
Health Care Equipment & Supplies	6.2
Banks	6.0
Hotels, Restaurants & Leisure	5.8
Internet Software & Services	5.7
IT Services	4.7
Specialty Retail	3.1
Machinery	3.0
Textiles, Apparel & Luxury Goods	2.8
Diversified Consumer Services	2.7
Pharmaceuticals	2.5
Electronic Equipment, Instruments & Components	2.3
Life Sciences Tools & Services	2.1
Other Investments, less than 2% each	22.6
Short-Term Investments	2.5

Total Investments	100.6
Other assets less liabilities	(0.6	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2015 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund


Shares		Description	Value (†)
	Common Stocks – 96.3% of Net Assets
		Aerospace & Defense – 3.5%
	1,619	Astronics Corp.(b)	$	65,910
	2,734	Hexcel Corp.		126,994
	696	TransDigm Group, Inc.(b)		159,001

				351,905

		Airlines – 0.8%
	469	Allegiant Travel Co.		78,712

		Auto Components – 1.4%
	2,296	Drew Industries, Inc.		139,803

		Banks – 4.6%
	2,299	Columbia Banking System, Inc.		74,740
	1,982	First Republic Bank		130,931
	862	Signature Bank(b)		132,205
	3,639	Western Alliance Bancorp(b)		130,495

				468,371

		Biotechnology – 3.7%
	2,945	Acorda Therapeutics, Inc.(b)		125,987
	1,901	Alkermes PLC(b)		150,902
	1,954	Medivation, Inc.(b)		94,456

				371,345

		Capital Markets – 2.6%
	672	Affiliated Managers Group, Inc.(b)		107,358
	2,952	SEI Investments Co.		154,685

				262,043

		Commercial Services & Supplies – 3.0%
	5,263	Healthcare Services Group, Inc.		183,521
	5,148	Ritchie Bros. Auctioneers, Inc.		124,118

				307,639

		Communications Equipment – 1.3%
	737	Palo Alto Networks, Inc.(b)		129,815

		Diversified Consumer Services – 3.0%
	2,175	Bright Horizons Family Solutions, Inc.(b)		145,290
	7,654	Nord Anglia Education, Inc.(b)		155,223

				300,513

		Diversified Financial Services – 2.9%
	1,989	CBOE Holdings, Inc.		129,086
	1,464	MarketAxess Holdings, Inc.		163,368

				292,454

		Diversified Telecommunication Services – 0.8%
	2,216	Cogent Communications Holdings, Inc.		76,873


Shares		Description	Value (†)
	Common Stocks – continued
		Electrical Equipment – 2.6%
	685	Acuity Brands, Inc.	$	160,153
	2,164	Sensata Technologies Holding NV(b)		99,674

				259,827

		Electronic Equipment, Instruments & Components – 2.6%
	1,799	FEI Co.		143,542
	4,183	National Instruments Corp.		120,010

				263,552

		Energy Equipment & Services – 1.6%
	1,570	Dril-Quip, Inc.(b)		92,991
	1,954	Oceaneering International, Inc.		73,314

				166,305

		Food & Staples Retailing – 1.6%
	1,323	Casey’s General Stores, Inc.		159,355

		Health Care Equipment & Supplies – 5.8%
	2,020	Align Technology, Inc.(b)		133,017
	2,894	Cantel Medical Corp.		179,833
	1,503	DexCom, Inc.(b)		123,096
	2,435	West Pharmaceutical Services, Inc.		146,636

				582,582

		Health Care Providers & Services – 6.3%
	1,290	Adeptus Health, Inc., Class A(b)		70,331
	3,522	HealthEquity, Inc.(b)		88,297
	1,765	MEDNAX, Inc.(b)		126,480
	1,624	Team Health Holdings, Inc.(b)		71,277
	2,618	VCA, Inc.(b)		143,990
	1,777	WellCare Health Plans, Inc.(b)		138,979

				639,354

		Health Care Technology – 1.0%
	4,544	HealthStream, Inc.(b)		99,968

		Hotels, Restaurants & Leisure – 6.7%
	3,123	Dave & Buster’s Entertainment, Inc.(b)		130,354
	3,078	Dunkin’ Brands Group, Inc.		131,092
	599	Panera Bread Co., Class A(b)		116,673
	4,441	Texas Roadhouse, Inc.		158,855
	1,104	Vail Resorts, Inc.		141,301

				678,275

		Internet Software & Services – 6.1%
	834	CoStar Group, Inc.(b)		172,380
	1,682	j2 Global, Inc.		138,462
	2,208	SPS Commerce, Inc.(b)		155,024
	1,412	Stamps.com, Inc.(b)		154,769

				620,635

		IT Services – 3.9%
	1,704	ExlService Holdings, Inc.(b)		76,561
	1,852	Gartner, Inc.(b)		167,976


Shares		Description	Value (†)
	Common Stocks – continued
		IT Services – continued
	3,620	Virtusa Corp.(b)	$	149,651

				394,188

		Leisure Products – 1.5%
	2,925	Brunswick Corp.		147,742

		Life Sciences Tools & Services – 1.6%
	2,061	ICON PLC(b)		160,140

		Machinery – 2.4%
	1,281	Middleby Corp. (The)(b)		138,182
	3,299	Sun Hydraulics Corp.		104,677

				242,859

		Media – 2.4%
	1,544	AMC Networks, Inc., Class A(b)		115,306
	3,532	IMAX Corp.(b)		125,527

				240,833

		Oil, Gas & Consumable Fuels – 1.9%
	1,337	Diamondback Energy, Inc.(b)		89,445
	5,399	Parsley Energy, Inc., Class A(b)		99,612

				189,057

		Pharmaceuticals – 2.3%
	2,143	Intra-Cellular Therapies, Inc.(b)		115,272
	803	Jazz Pharmaceuticals PLC(b)		112,870

				228,142

		Professional Services – 0.9%
	1,435	CEB, Inc.		88,095

		Real Estate Management & Development – 1.3%
	834	Jones Lang LaSalle, Inc.		133,323

		Semiconductors & Semiconductor Equipment – 2.4%
	3,119	M/A-COM Technology Solutions Holdings, Inc.(b)		127,536
	2,460	Silicon Laboratories, Inc.(b)		119,408

				246,944

		Software – 9.5%
	2,715	Blackbaud, Inc.		178,810
	3,802	Callidus Software, Inc.(b)		70,603
	3,339	Guidewire Software, Inc.(b)		200,874
	2,884	Paylocity Holding Corp.(b)		116,946
	1,105	Tyler Technologies, Inc.(b)		192,624
	1,008	Ultimate Software Group, Inc. (The)(b)		197,074

				956,931

		Specialty Retail – 1.9%
	2,665	Penske Automotive Group, Inc.		112,836
	1,002	Restoration Hardware Holdings, Inc.(b)		79,609

				192,445


Shares		Description	Value (†)
	Common Stocks – continued
		Textiles, Apparel & Luxury Goods – 2.4%
	1,312	Carter’s, Inc.	$	116,808
	2,553	Columbia Sportswear Co.		124,484

				241,292

		Total Common Stocks (Identified Cost $9,827,596)		9,711,317


Principal Amount
	Short-Term Investments – 4.3%
	$432,415	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2015 at 0.030% to be repurchased at $432,416 on 1/04/2016 collateralized by $445,000 U.S. Treasury Note, 1.750% due 2/28/2022 valued at $441,106 including accrued interest(c) (Identified Cost $432,415)		432,415

		Total Investments – 100.6% (Identified Cost $10,260,011)(a)		10,143,732
		Other assets less liabilities – (0.6)%		(65,196	)

		Net Assets – 100.0%	$	10,078,536

(†)

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 December 31, 2015, the net unrealized depreciation on investments based on a cost of $10,260,011 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	546,457
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(662,736	)

Net unrealized depreciation	$	(116,279	)

At September 30, 2015, the Fund had a short-term capital loss carryforward of $168,511 with no expiration date. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	9,711,317	$	—	$	—	$	9,711,317
Short-Term Investments		—		432,415		—		432,415

Total	$	9,711,317	$	432,415	$	—	$	10,143,732

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

For the period ended December 31, 2015, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2015 (Unaudited)


Software	9.5	%
Hotels, Restaurants & Leisure	6.7
Health Care Providers & Services	6.3
Internet Software & Services	6.1
Health Care Equipment & Supplies	5.8
Banks	4.6
IT Services	3.9
Biotechnology	3.7
Aerospace & Defense	3.5
Commercial Services & Supplies	3.0
Diversified Consumer Services	3.0
Diversified Financial Services	2.9
Electronic Equipment, Instruments & Components	2.6
Capital Markets	2.6
Electrical Equipment	2.6
Semiconductors & Semiconductor Equipment	2.4
Machinery	2.4
Textiles, Apparel & Luxury Goods	2.4
Media	2.4
Pharmaceuticals	2.3
Other Investments, less than 2% each	17.6
Short-Term Investments	4.3

Total Investments	100.6
Other assets less liabilities	(0.6	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2015 (Unaudited)

Loomis Sayles Strategic Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 75.0% of Net Assets
	Non-Convertible Bonds – 68.2%
		ABS Other – 0.5%
$	21,022,262	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(b)(c)	$	21,022,262
	7,643,274	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(b)(c)		7,413,976
	42,000,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(b)(c)(d)		23,100,000
	12,246,506	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A		12,328,222

				63,864,460

		Aerospace & Defense – 0.9%
	620,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		300,210
	11,800,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		7,906,000
	16,246,000	KLX, Inc., 5.875%, 12/01/2022, 144A		15,433,700
	22,548,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		20,856,900
	20,755,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		21,792,750
	5,310,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		3,770,100
	24,513,000	TransDigm, Inc., 6.500%, 7/15/2024		24,378,178
	17,765,000	TransDigm, Inc., 6.500%, 5/15/2025, 144A		17,209,844

				111,647,682

		Airlines – 2.9%
	13,620,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		10,372,245
	3,580,057	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		3,606,908
	161,120,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		159,106,000
	13,146,340	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		13,320,003
	10,288,467	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		10,503,907
	2,675,671	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		2,723,325
	21,015,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		21,435,300
	283,816	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		289,492
	954,674	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		997,635
	529,569	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		533,858


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	536,685	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019	$	568,886
	969,380	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,008,156
	13,656,810	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		14,087,000
	2,971,540	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		3,120,117
	784,101	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		816,876
	294,429	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		312,136
	8,751,460	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		9,222,813
	38,605,988	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		43,142,192
	6,076,796	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		6,562,939
	48,950,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		48,986,713
	4,648,056	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		4,717,777
	7,341,815	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		7,396,879

				362,831,157

		Automotive – 0.5%
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,349,515
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,597,251
	29,265,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		29,676,261
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,250,735
	25,345,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		22,683,775

				60,557,537

		Banking – 5.3%
	16,332,000	Ally Financial, Inc., 8.000%, 11/01/2031		18,863,460
	63,900,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		15,850,430
	7,045,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		6,934,570
	265,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		262,306
	1,500,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(e)		1,526,250
	10,000,000	Bank of Nova Scotia, 2.462%, 3/14/2019, (CAD)		7,396,184
	57,792,000,000	Barclays Financial LLC, EMTN, 3.500%, 11/29/2016, (KRW)		49,901,079


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	36,445,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)	$	25,632,007
	22,091,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		15,655,397
	3,450,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.950%, 11/09/2022		3,492,173
	25,000,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		19,064,284
	9,090,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		9,289,880
	19,245,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		18,934,174
	45,620,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		31,559,220
	227,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		16,042,321
	800,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034(l)		874,634
	36,195,000	Morgan Stanley, 4.350%, 9/08/2026		36,313,322
	35,325,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		26,502,727
	185,000,000	Morgan Stanley, 5.000%, 9/30/2021, (AUD)		141,088,372
	74,310,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		53,608,488
	100,265,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		77,565,392
	950,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		1,467,478
	46,735,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		47,211,744
	10,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		11,707,580
	53,095,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		39,538,258

				676,281,730

		Brokerage – 0.9%
	5,000,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		4,200,000
	22,540,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		19,835,200
	43,025,000	Jefferies Group LLC, 5.125%, 1/20/2023		42,686,135
	20,010,000	Jefferies Group LLC, 6.250%, 1/15/2036		18,484,498
	15,215,000	Jefferies Group LLC, 6.450%, 6/08/2027		16,080,064
	14,360,000	Jefferies Group LLC, 6.875%, 4/15/2021		16,064,245

				117,350,142


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – 0.6%
$	19,945,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A	$	14,759,300
	6,995,000	Masco Corp., 6.500%, 8/15/2032		7,064,950
	4,410,000	Masco Corp., 7.125%, 3/15/2020		5,093,550
	2,630,000	Masco Corp., 7.750%, 8/01/2029		2,919,300
	2,000,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		2,100,000
	32,100,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		4,361,137
	35,980,000	Owens Corning, 7.000%, 12/01/2036		39,443,723

				75,741,960

		Cable Satellite – 1.3%
	850,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		850,000
	975,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A		970,125
	3,315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		3,406,163
	4,360,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		4,338,200
	17,679,000	DISH DBS Corp., 5.875%, 11/15/2024		15,734,310
	11,620,000	Intelsat Jackson Holdings S.A., 5.500%, 8/01/2023		9,121,700
	3,995,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018		2,956,300
	28,785,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021		13,456,987
	16,000,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023		7,240,000
	25,270,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		20,239,741
	4,835,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		3,794,421
	135,000	Time Warner Cable, Inc., 5.875%, 11/15/2040		127,935
	44,800,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		51,695,210
	11,275,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		8,138,257
	7,000,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		6,982,500
	20,300,000	VTR Finance BV, 6.875%, 1/15/2024, 144A		18,676,000

				167,727,849

		Chemicals – 2.6%
	19,810,000	Aruba Investments, Inc., 8.750%, 2/15/2023, 144A		19,116,650


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Chemicals – continued
$	99,610,000	Chemours Co. (The), 6.625%, 5/15/2023, 144A	$	69,727,000
	18,370,000	Chemours Co. (The), 7.000%, 5/15/2025, 144A		12,537,525
	85,854,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		82,072,131
	20,000,000	Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A		17,000,000
	20,070,000	Hercules, Inc., 6.500%, 6/30/2029		16,959,150
	26,164,000	Hexion, Inc., 7.875%, 2/15/2023(b)(c)		6,918,654
	6,010,000	Hexion, Inc., 8.875%, 2/01/2018		4,237,050
	8,757,000	Hexion, Inc., 9.200%, 3/15/2021(b)(c)		3,127,694
	16,660,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		6,372,450
	90,205,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		87,498,850
	885,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		575,250

				326,142,404

		Construction Machinery – 0.1%
	1,425,000	Joy Global, Inc., 6.625%, 11/15/2036		1,013,127
	5,105,000	United Rentals North America, Inc., 5.750%, 11/15/2024		5,053,950
	11,655,000	United Rentals North America, Inc., 7.625%, 4/15/2022		12,455,698

				18,522,775

		Consumer Cyclical Services – 0.0%
	670,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		666,650
	5,500,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		5,472,500

				6,139,150

		Consumer Products – 0.1%
	11,545,000	Avon Products, Inc., 8.700%, 3/15/2043		8,312,400

		Electric – 1.9%
	5,093,000	AES Corp. (The), 4.875%, 5/15/2023		4,456,375
	23,940,000	AES Corp. (The), 5.500%, 3/15/2024		21,366,450
	10,185,000	AES Corp. (The), 5.500%, 4/15/2025		8,873,681
	39,663,702	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		42,489,661
	53,605,030	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		53,846,788


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Electric – continued
$	1,472,717		CE Generation LLC, 7.416%, 12/15/2018	$	1,393,558
	33,816,000		DPL, Inc., 6.750%, 10/01/2019		33,816,000
	19,705,000		Dynegy, Inc., 7.625%, 11/01/2024		16,843,834
	46,995,000		EDP Finance BV, 4.125%, 1/15/2020, 144A		47,103,088
	1,195,000		EDP Finance BV, 4.900%, 10/01/2019, 144A		1,230,616
	3,570,000		Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		4,466,506
	555,000		Enersis S.A., 7.400%, 12/01/2016		579,073
	497,577		Red Oak Power LLC, Series A, 8.540%, 11/30/2019		517,480

					236,983,110

			Finance Companies – 4.5%
	1,097,000		Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		1,228,640
	57,000,000		General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		39,331,733
	79,035,000		General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		55,255,065
	25,320,000		General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		17,649,855
	4,095,000		iStar, Inc., 4.875%, 7/01/2018		4,013,100
	14,060,000		iStar, Inc., 5.000%, 7/01/2019		13,655,775
	23,175,000		iStar, Inc., 5.850%, 3/15/2017		23,580,562
	13,130,000		iStar, Inc., 7.125%, 2/15/2018		13,589,550
	19,915,000		Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		19,840,319
	2,260,000		Navient Corp., 5.875%, 10/25/2024		1,808,000
	19,155,000		Navient Corp., MTN, 6.125%, 3/25/2024		15,611,325
	23,020,000		Navient LLC, 4.875%, 6/17/2019		21,178,400
	22,945,000		Navient LLC, 5.500%, 1/25/2023		18,356,000
	109,950	(††)	Navient LLC, 6.000%, 12/15/2043		1,805,012
	5,910,000		Navient LLC, MTN, 4.625%, 9/25/2017		5,821,350
	7,780,000		Navient LLC, MTN, 5.500%, 1/15/2019		7,274,300
	17,600,000		Navient LLC, MTN, 7.250%, 1/25/2022		16,456,000
	2,160,000		Navient LLC, MTN, 8.000%, 3/25/2020		2,134,080


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Finance Companies – continued
$	14,465,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018	$	13,777,912
	50,910,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(l)		34,109,700
	51,680,000	Springleaf Finance Corp., 5.250%, 12/15/2019		49,096,000
	133,915,000	Springleaf Finance Corp., 7.750%, 10/01/2021		131,906,275
	55,015,000	Springleaf Finance Corp., 8.250%, 10/01/2023		55,565,150
	10,120,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		10,246,500

				573,290,603

		Food & Beverage – 0.0%
	4,880,000	Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		5,142,300

		Government Owned – No Guarantee – 0.3%
	22,160,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		19,250,835
	13,000,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		8,580,000
	26,990,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		16,396,425

				44,227,260

		Healthcare – 2.9%
	2,160,000	BioScrip, Inc., 8.875%, 2/15/2021		1,717,200
	58,675,000	HCA, Inc., 5.250%, 4/15/2025		59,115,062
	9,960,000	HCA, Inc., 5.875%, 3/15/2022		10,507,800
	40,686,000	HCA, Inc., 5.875%, 5/01/2023		41,703,150
	14,620,000	HCA, Inc., 7.050%, 12/01/2027		14,729,650
	20,447,000	HCA, Inc., 7.500%, 12/15/2023		21,878,290
	24,215,000	HCA, Inc., 7.500%, 11/06/2033		25,788,975
	46,148,000	HCA, Inc., 7.690%, 6/15/2025		49,724,470
	32,745,000	HCA, Inc., 8.360%, 4/15/2024		37,001,850
	15,815,000	HCA, Inc., MTN, 7.580%, 9/15/2025		17,040,663
	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036		10,061,520
	955,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		921,575
	1,495,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		1,457,625


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	$	26,872,425
	25,530,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		23,679,075
	32,559,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		26,372,790

				368,572,120

		Home Construction – 0.8%
	3,075,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		2,706,000
	13,360,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		8,951,200
	29,735,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		18,435,700
	3,620,000	KB Home, 4.750%, 5/15/2019		3,511,400
	47,260,000	PulteGroup, Inc., 6.000%, 2/15/2035		46,314,800
	13,190,000	PulteGroup, Inc., 6.375%, 5/15/2033		13,387,850
	10,305,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019		10,073,137
	195,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 5.875%, 6/15/2024		189,638

				103,569,725

		Independent Energy – 1.3%
	7,550,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		5,077,375
	6,930,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		4,643,100
	15,000,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		10,462,500
	1,705,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		1,031,525
	4,945,000	California Resources Corp., 5.000%, 1/15/2020		1,761,656
	81,805,000	California Resources Corp., 5.500%, 9/15/2021		25,768,575
	11,240,000	California Resources Corp., 6.000%, 11/15/2024		3,428,200
	1,310,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		363,604
	55,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		15,675
	7,190,000	Continental Resources, Inc., 3.800%, 6/01/2024		5,064,830
	540,000	Continental Resources, Inc., 4.500%, 4/15/2023		387,968
	19,290,000	Eclipse Resources Corp., 8.875%, 7/15/2023, 144A		9,210,975
	2,990,000	Halcon Resources Corp., 9.250%, 2/15/2022		874,575


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	9,700,000	Halcon Resources Corp., 9.750%, 7/15/2020	$	2,813,000
	1,975,000	Noble Energy, Inc., 5.625%, 5/01/2021		1,931,919
	1,940,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023		1,202,800
	1,545,000	Oasis Petroleum, Inc., 7.250%, 2/01/2019		1,108,538
	7,170,000	Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A		7,008,675
	3,000,000	QEP Resources, Inc., 5.250%, 5/01/2023		2,130,000
	12,635,000	QEP Resources, Inc., 6.875%, 3/01/2021		10,360,700
	14,844,000	Rex Energy Corp., 6.250%, 8/01/2022		2,968,800
	2,343,000	Rex Energy Corp., 8.875%, 12/01/2020		369,023
	6,250,000	Rice Energy, Inc., 6.250%, 5/01/2022		4,500,000
	9,700,000	RSP Permian, Inc., 6.625%, 10/01/2022		8,924,000
	17,908,000	Sanchez Energy Corp., 6.125%, 1/15/2023		9,670,320
	9,520,000	Sanchez Energy Corp., 7.750%, 6/15/2021		5,807,200
	8,241,000	SM Energy Co., 5.000%, 1/15/2024		5,356,650
	22,844,000	SM Energy Co., 6.125%, 11/15/2022		16,790,340
	801,000	SM Energy Co., 6.500%, 11/15/2021		596,745
	2,522,000	SM Energy Co., 6.500%, 1/01/2023		1,853,670
	6,283,000	Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A		1,507,920
	45,515,000	Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A		10,354,662
	10,845,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		8,187,975

				171,533,495

		Industrial Other – 0.1%
	6,880,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		7,120,800

		Integrated Energy – 0.0%
	5,385,000	Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A		1,077,000
	3,125,000	Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A		625,000

				1,702,000


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – 0.9%
$	20,075,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(e)	$	21,580,625
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		16,983,885
	1,225,000	Genworth Financial, Inc., (fixed rate to 11/15/2016, variable rate thereafter), 6.150%, 11/15/2066		330,750
	3,695,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		2,494,125
	27,200,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		18,088,000
	10,990,000	Genworth Holdings, Inc., 6.500%, 6/15/2034		6,648,950
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		30,006,660
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		10,150,416
	2,894,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		3,410,229

				109,693,640

		Local Authorities – 1.1%
	95,480,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		74,664,381
	82,840,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		65,049,985

				139,714,366

		Media Entertainment – 1.1%
	111,590,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		5,395,564
	64,250,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		44,814,375
	33,370,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		23,025,300
	7,180,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		7,341,550
	17,950,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		18,219,250
	27,185,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		24,262,612
	2,410,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		2,229,250
	3,730,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		3,529,513
	5,925,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		6,126,450

				134,943,864

		Metals & Mining – 1.5%
	8,202,122	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(c)(d)(f)		246,064
	2,000,000	AK Steel Corp., 7.625%, 10/01/2021		800,000
	3,949,000	Alcoa, Inc., 5.870%, 2/23/2022		3,850,275


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Metals & Mining – continued
$	5,075,000	Alcoa, Inc., 5.900%, 2/01/2027	$	4,656,312
	1,405,000	Alcoa, Inc., 5.950%, 2/01/2037		1,131,025
	4,330,000	Alcoa, Inc., 6.750%, 1/15/2028		4,113,500
	25,271,000	ArcelorMittal, 7.750%, 3/01/2041		17,089,514
	30,695,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		24,249,050
	8,705,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		6,296,022
	8,625,000	Cliffs Natural Resources, Inc., 4.800%, 10/01/2020		1,638,750
	3,980,000	Cliffs Natural Resources, Inc., 4.875%, 4/01/2021		716,400
	46,334,000	Cliffs Natural Resources, Inc., 6.250%, 10/01/2040		8,340,120
	26,350,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(k)(l)		1,581,000
	12,315,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		7,696,875
	14,645,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		13,729,687
	51,000,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		46,920,000
	4,200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		3,276,000
	16,135,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		11,310,942
	11,719,000	United States Steel Corp., 6.650%, 6/01/2037		4,936,629
	7,490,000	United States Steel Corp., 6.875%, 4/01/2021		3,520,300
	16,435,000	United States Steel Corp., 7.000%, 2/01/2018		11,340,150
	10,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,102,590

				188,541,205

		Midstream – 0.4%
	8,935,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		9,525,970
	23,179,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		21,556,470
	505,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		398,950
	12,790,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2018, 144A		11,830,750
	3,185,492	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		3,257,165

				46,569,305


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Agency Commercial Mortgage-Backed Securities – 1.1%
	1,422,236	Column Canada Issuer Corp., Series 2006-WEM, Class A1, 4.591%, 1/15/2022, (CAD)	$	1,031,345
	2,785,000	Column Canada Issuer Corp., Series 2006-WEM, Class A2, 4.934%, 1/15/2022, (CAD)		2,045,627
	27,342,786	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR1, 2.031%, 5/13/2031, 144A(g)(l)		27,002,065
	12,902,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR2, 2.531%, 5/13/2031, 144A(g)(l)		12,732,886
	8,622,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR3, 2.981%, 5/13/2031, 144A(g)(l)		8,510,086
	16,080,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR4, 4.081%, 5/13/2031, 144A(g)(l)		15,876,171
	35,060,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.795%, 8/10/2045(g)		34,512,093
	14,479,784	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		10,531,304
	29,984,318	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(l)		29,606,515

				141,848,092

		Oil Field Services – 0.5%
	19,335,000	FTS International, Inc., 6.250%, 5/01/2022		5,413,800
	7,120,000	Global Marine, Inc., 7.000%, 6/01/2028		3,293,000
	17,482,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(l)		2,447,480
	40,403,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(l)		5,656,420
	18,385,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		8,549,025
	12,020,000	Precision Drilling Corp., 5.250%, 11/15/2024		8,173,600
	594,000	Precision Drilling Corp., 6.500%, 12/15/2021		457,380
	2,590,000	Precision Drilling Corp., 6.625%, 11/15/2020		2,020,200
	500,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A(b)(c)		140,000
	39,300,000	Transocean, Inc., 4.300%, 10/15/2022		20,829,000
	1,500,000	Transocean, Inc., 6.500%, 11/15/2020		1,035,000
	1,320,000	Transocean, Inc., 6.800%, 3/15/2038		711,150
	4,355,000	Transocean, Inc., 7.125%, 12/15/2021		2,814,419

				61,540,474


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Packaging – 0.0%
$	1,180,000	Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc., 6.000%, 6/15/2017, 144A	$	1,141,650
	1,705,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		1,449,250

				2,590,900

		Paper – 0.6%
	9,735,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		12,261,524
	27,805,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		36,037,838
	775,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,085,440
	4,865,000	MeadWestvaco Corp., 7.950%, 2/15/2031		6,002,802
	10,100,000	MeadWestvaco Corp., 8.200%, 1/15/2030		13,087,742
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,347,534

				71,822,880

		Property & Casualty Insurance – 0.4%
	13,070,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		14,809,761
	5,425,000	Loews Corp., 2.625%, 5/15/2023		5,169,206
	12,510,000	MBIA Insurance Corp., 11.581%, 1/15/2033, 144A(d)(g)		2,345,625
	5,020,000	Old Republic International Corp., 4.875%, 10/01/2024		5,144,320
	11,200,000	Sirius International Group, 6.375%, 3/20/2017, 144A		11,440,946
	3,000,000	Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(e)		3,030,000
	17,870,000	XL Group PLC, (fixed rate to 4/15/2017, variable rate thereafter), 6.500%(e)		12,978,087

				54,917,945

		Railroads – 0.7%
	90,000,000	Hellenic Railways Organization S.A., EMTN, 0.247%, 5/24/2016, (EUR)(g)(l)		88,882,549
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(l)		1,039,643

				89,922,192

		Restaurants – 0.0%
	1,330,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		2,073,425

		Retailers – 0.7%
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,682,973
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,734,027
	10,270,000	Foot Locker, Inc., 8.500%, 1/15/2022(c)		11,310,111


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Retailers – continued
$	7,490,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018	$	6,872,075
	27,224,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		16,742,760
	2,510,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		1,618,950
	9,000,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		8,145,000
	12,275,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		14,115,649
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		7,221,086
	3,765,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		527,100
	24,860,000	Toys “R” Us, Inc., 7.375%, 10/15/2018		11,808,500

				83,778,231

		Sovereigns – 2.5%
	317,570,000	Portugal Government International Bond, 5.125%, 10/15/2024, 144A		322,905,176

		Supermarkets – 1.6%
	13,456,000	Albertson’s Holdings LLC/Safeway, Inc., 7.750%, 10/15/2022, 144A		14,288,523
	79,276,000	New Albertson’s, Inc., 7.450%, 8/01/2029		70,159,260
	25,595,000	New Albertson’s, Inc., 7.750%, 6/15/2026		23,547,400
	24,085,000	New Albertson’s, Inc., 8.000%, 5/01/2031		21,917,350
	5,815,000	New Albertson’s, Inc., 8.700%, 5/01/2030		5,495,175
	16,342,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		13,155,310
	34,580,000	SUPERVALU, Inc., 6.750%, 6/01/2021		31,294,900
	23,400,000	SUPERVALU, Inc., 7.750%, 11/15/2022		21,235,500

				201,093,418

		Supranational – 0.3%
	16,375,000	European Bank for Reconstruction & Development, 6.250%, 2/05/2016, (BRL)		4,108,392
	250,500,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		17,799,111
	24,450,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		17,608,575

				39,516,078

		Technology – 1.6%
	5,286,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		3,435,900
	86,173,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		87,250,162


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Technology – continued
$	5,845,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028	$	5,874,225
	34,955,000	Amkor Technology, Inc., 6.375%, 10/01/2022		33,993,738
	56,340,000	KLA-Tencor Corp., 4.650%, 11/01/2024		56,686,716
	15,170,000	KLA-Tencor Corp., 5.650%, 11/01/2034		14,780,632
	2,562,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		2,620,721
	180,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		221,148

				204,863,242

		Transportation Services – 0.1%
	10,503,000	APL Ltd., 8.000%, 1/15/2024(l)		7,772,220
	2,829,266	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(c)		2,878,778
	2,626,720	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(c)(h)		2,685,821
	1,374,422	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016(c)		1,374,422
	2,754,305	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(c)(h)		2,836,934
	1,864,358	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017(c)		1,892,323

				19,440,498

		Treasuries – 20.8%
	312,000,000	Canadian Government, 0.750%, 9/01/2020, (CAD)		225,685,336
	29,490,000	Canadian Government, 1.250%, 9/01/2018, (CAD)		21,732,704
	80,645,000	Canadian Government, 1.750%, 9/01/2019, (CAD)		60,693,857
	6,710,000	Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)		6,856,535
	1,010,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(i)		789,736
	1,100,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(i)		680,316
	4,000,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(i)		2,449,491
	4,455,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(i)		2,711,223
	5,820,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(i)		3,525,933
	4,000,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(i)		2,476,007
	4,680,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(i)		2,894,233
	5,970,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(i)		3,696,284


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Treasuries – continued
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2042, (EUR)(i)	$	2,472,573
	9,710,000	(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		57,147,557
	9,930,439	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		59,608,793
	4,250,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		27,046,517
	7,740,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		48,750,391
	27,224,481	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		176,804,242
	3,035,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		20,589,326
	21,700,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		159,641,591
	252,700,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		184,397,139
	175,365,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		137,519,806
	458,725,000		Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		59,194,034
	836,485,000		Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		99,102,633
	658,049,000		Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		83,679,309
	162,850,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		34,988,310
	55,925,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		12,439,558
	49,120,000		Republic of Brazil, 12.500%, 1/05/2016, (BRL)		12,415,177
	3,842,906,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		20,656,653
	1,605,660,000		Republic of Iceland, 7.250%, 10/26/2022, (ISK)		9,280,024
	4,496,156,000		Republic of Iceland, 8.750%, 2/26/2019, (ISK)		26,136,928
	100,000,000		U.S. Treasury Note, 0.250%, 5/15/2016		99,929,700
	100,000,000		U.S. Treasury Note, 0.375%, 5/31/2016		99,960,900
	60,000,000		U.S. Treasury Note, 0.375%, 10/31/2016		59,814,840
	100,000,000		U.S. Treasury Note, 0.500%, 7/31/2016		99,933,600
	100,000,000		U.S. Treasury Note, 0.500%, 9/30/2016		99,839,800
	325,000,000		U.S. Treasury Note, 0.500%, 11/30/2016		324,136,800
	300,000,000		U.S. Treasury Note, 0.625%, 11/15/2016		299,601,600

					2,649,279,456


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – 0.7%
	293,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)	$	16,116,743
	134,600,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		7,442,967
	31,041,000	Sprint Capital Corp., 6.875%, 11/15/2028		21,651,097
	6,260,000	Sprint Capital Corp., 8.750%, 3/15/2032		4,695,000
	21,052,000	Sprint Communications, Inc., 6.000%, 11/15/2022		14,841,660
	8,200,000	Sprint Corp., 7.125%, 6/15/2024		5,914,250
	23,641,000	Sprint Corp., 7.250%, 9/15/2021		17,841,863

				88,503,580

		Wirelines – 4.1%
	4,370,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		3,837,307
	7,545,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		6,363,930
	72,320,000	CenturyLink, Inc., 6.450%, 6/15/2021		70,512,000
	765,000	CenturyLink, Inc., 7.650%, 3/15/2042		585,225
	7,410,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		5,520,450
	2,965,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,268,225
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		316,750
	10,703,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		8,990,520
	17,900,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		20,902,057
	5,330,000	Embarq Corp., 7.995%, 6/01/2036		5,489,900
	37,225,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		36,666,625
	16,755,000	Frontier Communications Corp., 6.250%, 9/15/2021		14,199,862
	18,725,000	Frontier Communications Corp., 6.875%, 1/15/2025		15,424,719
	38,336,000	Frontier Communications Corp., 7.875%, 1/15/2027		31,435,520
	1,120,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		1,665,865
	25,745,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		26,324,262
	4,667,000	Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A		2,123,485
	16,550,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		8,183,498
	29,750,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		17,781,944


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	42,460,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028	$	33,118,800
	12,463,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		12,774,575
	32,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		27,454,762
	26,401,000	Qwest Corp., 6.875%, 9/15/2033		25,334,294
	3,999,000	Qwest Corp., 7.250%, 9/15/2025		4,253,992
	39,171,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		36,135,247
	22,645,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		21,625,975
	420,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		504,734
	31,690,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		23,806,778
	18,600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		14,876,371
	29,552,000	Verizon Communications, Inc., 2.450%, 11/01/2022		27,973,332
	3,346,000	Verizon New England, Inc., 7.875%, 11/15/2029		4,131,791
	2,080,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		2,191,563
	1,225,000	Windstream Services LLC, 7.500%, 6/01/2022		940,187
	3,760,000	Windstream Services LLC, 7.500%, 4/01/2023		2,828,648

				516,543,193

		Total Non-Convertible Bonds (Identified Cost $9,917,268,520)		8,677,361,819

	Convertible Bonds – 5.2%
		Building Materials – 0.2%
	9,592,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		8,578,845
	19,486,000	KB Home, 1.375%, 2/01/2019		17,427,791

				26,006,636

		Chemicals – 0.0%
	4,305,000	RPM International, Inc., 2.250%, 12/15/2020		4,899,628

		Diversified Manufacturing – 0.1%
	4,727,000	Trinity Industries, Inc., 3.875%, 6/01/2036		5,657,628

		Finance Companies – 0.1%
	11,170,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		13,187,581


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Leisure – 0.2%
$	27,795,000	Rovi Corp., 0.500%, 3/01/2020, 144A	$	24,285,881

		Midstream – 0.4%
	63,121,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		21,066,634
	49,165,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		23,107,550

				44,174,184

		Pharmaceuticals – 0.0%
	1,655,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		2,211,494

		Property & Casualty Insurance – 0.7%
	66,305,000	Old Republic International Corp., 3.750%, 3/15/2018		83,958,706

		Technology – 3.5%
	7,520,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020, 144A		7,219,200
	60,405,000	Ciena Corp., 0.875%, 6/15/2017		59,234,653
	7,185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		8,909,400
	179,755,000	Intel Corp., 3.250%, 8/01/2039		298,955,034
	5,446,925	Liberty Media LLC, 3.500%, 1/15/2031		4,823,644
	7,460,000	Nuance Communications, Inc., 1.000%, 12/15/2035, 144A		7,175,588
	39,460,000	Nuance Communications, Inc., 1.500%, 11/01/2035		42,345,513
	10,415,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		10,506,131
	11,570,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		10,839,644

				450,008,807

		Total Convertible Bonds (Identified Cost $573,005,051)		654,390,545

	Municipals – 1.6%
		District of Columbia – 0.0%
	3,850,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		4,858,007

		Illinois – 0.4%
	47,285,000	State of Illinois, 5.100%, 6/01/2033		44,715,060

		Michigan – 0.1%
	12,220,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		10,542,805


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – continued
		Puerto Rico – 0.4%
$	63,900,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035	$	46,327,500

		Virginia – 0.7%
	123,115,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		94,900,736

		Total Municipals (Identified Cost $229,381,600)		201,344,108

		Total Bonds and Notes (Identified Cost $10,719,655,171)		9,533,096,472

	Loan Participations – 0.1%
		ABS Other – 0.1%
	13,713,698	Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039 (g)(l) (Identified Cost $13,816,551)		13,610,846

	Senior Loans – 2.6%
		Automotive – 0.2%
	22,138,050	IBC Capital Ltd., 1st Lien Term Loan, 4.750%, 9/09/2021(g)		19,924,245
	5,948,124	IBC Capital Ltd., 2nd Lien Term Loan, 8.000%, 9/09/2022(g)(l)		5,085,646

				25,009,891

		Chemicals – 0.4%
	4,739,934	Ascend Performance Materials Operations LLC, Term Loan B, 6.750%, 4/10/2018(g)		4,405,199
	5,514,143	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(g)		5,386,656
	6,147,386	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(g)		5,783,645
	31,355,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.750%, 12/20/2020(g)		30,923,869

				46,499,369

		Construction Machinery – 0.3%
	44,114,799	Onsite U.S. Finco LLC, Term Loan, 5.500%, 7/30/2021(g)		38,821,023

		Consumer Cyclical Services – 0.6%
	41,656,250	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(g)		36,657,500
	43,000,000	SourceHov LLC, 2014 2nd Lien Term Loan, 11.500%, 4/30/2020(g)(l)		36,980,000

				73,637,500

		Diversified Manufacturing – 0.0%
	9,905,625	Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(g)		3,652,699

		Finance Companies – 0.5%
	60,715,323	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/19/2017(g)		60,411,746


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Financial Other – 0.1%
$	13,044,228	DBRS Ltd., Term Loan, 6.250%, 3/04/2022(g)	$	12,946,396

		Industrial Other – 0.0%
	4,788,822	Eastman Kodak Co., Exit Term Loan, 7.250%, 9/03/2019(g)		4,102,440

		Media Entertainment – 0.0%
	6,512,738	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(g)		2,955,155

		Natural Gas – 0.0%
	10,088,429	Southcross Holdings Borrower LP, Term Loan B, 6.000%, 8/04/2021(g)(l)		5,515,042

		Oil Field Services – 0.1%
	2,618,182	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(g)		725,236
	5,413,154	Paragon Offshore Finance Co., Term Loan B, 3.750%, 7/18/2021(g)(l)		1,369,528
	2,940,367	Petroleum Geo-Services ASA, New Term Loan B, 3.250%, 3/19/2021(g)		2,037,674
	2,760,596	UTEX Industries, Inc., 2nd Lien Term Loan 2014, 8.250%, 5/22/2022(g)		1,780,585

				5,913,023

		Other Utility – 0.0%
	1,298,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(g)		1,229,855

		Property & Casualty Insurance – 0.0%
	2,250,800	CGSC of Delaware Holding Corp., 2nd Lien Term Loan C, 8.250%, 10/16/2020(g)(l)		2,115,752

		Retailers – 0.0%
	2,829,809	Toys “R” Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(g)		2,471,357

		Technology – 0.1%
	4,070,400	Aptean, Inc., 2nd Lien Term Loan, 8.500%, 2/26/2021(g)		3,897,408
	9,507,380	IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(g)(l)		6,797,777

				10,695,185

		Transportation Services – 0.0%
	4,353,421	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(g)		4,168,401

		Wireless – 0.0%
	3,384,615	Asurion LLC, New 2nd Lien Term Loan, 8.500%, 3/03/2021(g)		2,868,461

		Wirelines – 0.3%
	17,304,149	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(g)		17,137,337
	14,998,206	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(g)(l)		14,510,764


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Wirelines – continued
$	1,672,963	LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(g)	$	1,611,281

				33,259,382

		Total Senior Loans (Identified Cost $376,865,622)		336,272,677


Shares
	Common Stocks – 15.9%
		Airlines – 0.0%
	38,455	United Continental Holdings, Inc.(d)		2,203,472

		Automobiles – 0.1%
	755,368	Ford Motor Co.		10,643,135
	274,135	General Motors Co.		9,323,331

				19,966,466

		Containers & Packaging – 0.1%
	460,656	Owens-Illinois, Inc.(d)		8,024,628

		Diversified Telecommunication Services – 2.0%
	283,397	Hawaiian Telcom Holdco, Inc.(d)		7,045,249
	607,219	Level 3 Communications, Inc.(d)		33,008,425
	2,511,895	Telecom Italia SpA, Sponsored ADR		25,872,519
	16,577,220	Telefonica S.A., Sponsored ADR		183,344,053

				249,270,246

		Electric Utilities – 0.1%
	94,166	Duke Energy Corp.		6,722,511

		Electronic Equipment, Instruments & Components – 2.8%
	19,758,201	Corning, Inc.		361,179,914

		Energy Equipment & Services – 0.0%
	220,216	Hercules Offshore, Inc.(d)		477,869

		Household Durables – 0.3%
	477,725	KB Home		5,890,349
	549,450	Lennar Corp., Class A		26,873,600

				32,763,949

		Insurance – 0.5%
	780,181	Prudential Financial, Inc.		63,514,535

		Multi-Utilities – 0.0%
	73,618	CMS Energy Corp.		2,656,137

		Oil, Gas & Consumable Fuels – 0.5%
	846,398	Chesapeake Energy Corp.		3,808,791
	5,351,804	Repsol YPF S.A., Sponsored ADR		59,565,579
	141,249	Spectra Energy Corp.		3,381,501

				66,755,871

		Pharmaceuticals – 4.6%
	8,514,190	Bristol-Myers Squibb Co.		585,691,130


Shares		Description	Value (†)
	Common Stocks – continued
		REITs—Apartments – 0.1%
	290,904	Apartment Investment & Management Co., Class A	$	11,644,887

		REITs—Diversified – 0.0%
	227,043	NexPoint Residential Trust, Inc.		2,971,993

		REITs—Shopping Centers – 0.0%
	201,557	DDR Corp.		3,394,220
	61,579	WP GLIMCHER, Inc.		653,353

				4,047,573

		Semiconductors & Semiconductor Equipment – 4.7%
	17,300,541	Intel Corp.		596,003,637

		Trading Companies & Distributors – 0.1%
	176,859	United Rentals, Inc.(d)		12,829,352

		Total Common Stocks (Identified Cost $1,571,259,310)		2,026,724,170

	Preferred Stocks – 1.6%
	Convertible Preferred Stocks – 1.4%
		Banking – 0.2%
	19,062	Bank of America Corp., Series L, 7.250%		20,839,913
	8,533	Wells Fargo & Co., Series L, Class A, 7.500%		9,906,813

				30,746,726

		Communications – 0.0%
	10,483	Cincinnati Bell, Inc., 6.750%		502,765

		Electric – 0.1%
	374,193	AES Trust III, 6.750%		18,739,585

		Energy – 0.1%
	242,297	El Paso Energy Capital Trust I, 4.750%		9,813,028

		Metals & Mining – 0.5%
	906,807	Alcoa, Inc., Series 1, 5.375%		30,205,741
	4,549,323	ArcelorMittal, 6.000%		29,616,093
	250,639	Cliffs Natural Resources, Inc., 7.000%		363,426

				60,185,260

		Midstream – 0.2%
	172,972	Chesapeake Energy Corp., 4.500%		2,975,119
	231,033	Chesapeake Energy Corp., 5.000%		3,761,217
	43,178	Chesapeake Energy Corp., 5.750%, 144A		8,824,504


Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Midstream – continued
	38,539	Chesapeake Energy Corp., Series A, 5.750%, 144A	$	7,683,713

				23,244,553

		REITs - Diversified – 0.2%
	29,153	Crown Castle International Corp., Series A, 4.500%		3,113,249
	391,776	Weyerhaeuser Co., Series A, 6.375%		19,698,497

				22,811,746

		REITs - Health Care – 0.1%
	116,700	Welltower, Inc., 6.500%		7,108,197

		REITs - Hotels – 0.0%
	167,167	FelCor Lodging Trust, Inc., Series A, 1.950%		4,204,250

		REITs - Mortgage – 0.0%
	38,767	iStar, Inc., Series J, 4.500%		1,926,720

		Total Convertible Preferred Stocks (Identified Cost $341,810,551)		179,282,830

	Non-Convertible Preferred Stocks – 0.2%
		Banking – 0.0%
	59,599	Countrywide Capital IV, 6.750%		1,507,855

		Electric – 0.0%
	393	Entergy New Orleans, Inc., 4.750%		37,691

		Finance Companies – 0.1%
	39,200	iStar, Inc., Series E, 7.875%		900,032
	39,300	iStar, Inc., Series F, 7.800%		907,830
	10,425	iStar, Inc., Series G, 7. 650%		238,732
	101,175	SLM Corp., Series A, 6.970%		4,355,584

				6,402,178

		Home Construction – 0.0%
	208,246	Hovnanian Enterprises, Inc., 7.625%(d)		932,942

		REITs – Office Property – 0.0%
	1,596	Highwoods Properties, Inc., Series A, 8.625%		1,853,854

		REITs – Warehouse/Industrials – 0.1%
	116,192	ProLogis, Inc., Series Q, 8.540%		7,392,716


Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Total Non-Convertible Preferred Stocks (Identified Cost $15,463,564)		18,127,236

		Total Preferred Stocks (Identified Cost $357,274,115)		197,410,066

	Closed-End Investment Companies – 0.0%
	170,282	NexPoint Credit Strategies Fund (Identified Cost $10,230,310)	$	3,480,564


Principal Amount (‡)
	Short-Term Investments – 3.6%
$	873,302	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2015 at 0.000% to be repurchased at $873,302 on 1/04/2016 collateralized by $880,500 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $890,774 including accrued interest(j)		873,302
	453,935,150	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2015 at 0.030% to be repurchased at $453,936,663 on 1/04/2016 collateralized by $190,825,000 Federal National Mortgage Association, 2.020% due 9/30/2021 valued at $191,779,125; $270,225,000 U.S. Treasury Note, 2.000% due 10/31/2021 valued at $271,238,344 including accrued interest(j)		453,935,150

		Total Short-Term Investments (Identified Cost $454,808,452)		454,808,452

		Total Investments – 98.8% (Identified Cost $13,503,909,531)(a)		12,565,403,247
		Other assets less liabilities – 1.2%		149,661,788

		Net Assets – 100.0%	$	12,715,065,035

(‡)	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.

As of December 31, 2015, securities of the Fund included in net assets (reflected at absolute value) were fair valued as follows:

Illiquid

securities¹

Percentage of
Net Assets

Other fair
valued securities²

Percentage of
Net Assets

$322,076,724

2.5

84,947,039

0.7

¹	Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

²	Fair valued by the Fund’s adviser.

(††)	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 December 31, 2015, the net unrealized depreciation on investments based on a cost of $13,530,134,593 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	$	1,140,530,860
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,105,262,206	)

Net unrealized depreciation	$	(964,731,346	)

(b)	Illiquid security. At December 31, 2015, the value of these securities amounted to $61,968,650 or 0.5% of net assets.

(c)	Fair valued by the Fund’s adviser. At December 31, 2015, the value of these securities amounted to $84,947,039 or 0.7% of net assets.

(d)	Non-income producing security.

(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.


(g)		Variable rate security. Rate as of December 31, 2015 is disclosed.
(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 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 December 31, 2015, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.
(k)		The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(l)		Illiquid security. At December 31, 2015, the value of these securities amounted to $322,076,724 or 2.5% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

144A		All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2015, the value of Rule 144A holdings amounted to $2,188,571,856 or 17.2% 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
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 December 31, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	12,328,222	$	51,536,238	(a)	$	63,864,460
Airlines		—		354,610,928		8,220,229	(b)		362,831,157
Building Materials		—		71,380,823		4,361,137	(b)		75,741,960
Chemicals		—		316,096,056		10,046,348	(c)		326,142,404
Finance Companies		1,805,012		571,485,591		—			573,290,603
Metals & Mining		—		188,295,141		246,064	(c)		188,541,205
Non-Agency Commercial Mortgage-Backed Securities		—		112,241,577		29,606,515	(b)		141,848,092
Oil Field Services		—		61,400,474		140,000	(c)		61,540,474
Retailers		—		72,468,120		11,310,111	(c)		83,778,231
Transportation Services		—		7,772,220		11,668,278	(c)		19,440,498
All Other Non-Convertible Bonds*		—		6,780,342,735		—			6,780,342,735

Total Non-Convertible Bonds		1,805,012		8,548,421,887		127,134,920			8,677,361,819

Convertible Bonds*		—		654,390,545		—			654,390,545
Municipals*		—		201,344,108		—			201,344,108

Total Bonds and Notes		1,805,012		9,404,156,540		127,134,920			9,533,096,472

Loan Participations*		—		—		13,610,846	(b)		13,610,846
Senior Loans
Diversified Manufacturing		—		—		3,652,699	(b)		3,652,699
Technology		—		3,897,408		6,797,777	(b)		10,695,185
All Other Senior Loans*		—		321,924,793		—			321,924,793

Total Senior Loans		—		325,822,201		10,450,476			336,272,677

Common Stocks*		2,026,724,170		—		—			2,026,724,170
Preferred Stocks
Convertible Preferred Stocks
Midstream		2,975,119		16,508,217		3,761,217	(b)		23,244,553
REITs—Mortgage		—		1,926,720		—			1,926,720
All Other Convertible Preferred Stocks*		154,111,557		—		—			154,111,557

Total Convertible Preferred Stocks		157,086,676		18,434,937		3,761,217			179,282,830

Non-Convertible Preferred Stocks
Electric		—		37,691		—			37,691
REITs—Office Property		—		1,853,854		—			1,853,854
REITs—Warehouse/Industrials		—		7,392,716		—			7,392,716
All Other Non-Convertible Preferred Stocks*		8,842,975		—		—			8,842,975

Total Non-Convertible Preferred Stocks		8,842,975		9,284,261		—			18,127,236

Total Preferred Stocks		165,929,651		27,719,198		3,761,217			197,410,066

Closed-End Investment Companies		3,480,564		—		—			3,480,564
Short-Term Investments		—		454,808,452		—			454,808,452

Total	$	2,197,939,397	$	10,212,506,391	$	154,957,459		$	12,565,403,247

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

(a)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.

(b)	Valued using broker-dealer bid prices.

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

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

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2015		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2015		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2015
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	53,844,406	$	—	$	—	$	(288,211	)	$	—	$	(2,019,957	)	$	—	$	—		$	51,536,238	$	(1,130,132	)
Airlines		46,132,152		—		—		(73,418	)		—		(650,163	)		8,943,810		(46,132,152	)		8,220,229		(73,418	)
Building Materials		—		2,114		—		(139,592	)		—		—			4,498,615		—			4,361,137		(139,592	)
Chemicals		—		74,049		—		(9,564,779	)		—		—			19,537,078		—			10,046,348		(9,564,779	)
Metals & Mining		2,624,679		11,404		—		(2,390,019	)		—		—			—		—			246,064		(2,390,019	)
Non-Agency Commercial Mortgage-Backed Securities		30,346,820		—		—		(624,622	)		—		(115,683	)		—		—			29,606,515		(623,672	)
Oil Field Services		205,000		7,289		—		(72,289	)		—		—			—		—			140,000		(72,289	)
Retailers		11,273,545		9,846		—		26,720			—		—			—		—			11,310,111		26,720
Transportation Services		12,632,376		—		121,056		(213,680	)		—		(871,474	)		—		—			11,668,278		(76,688	)
Loan Participations		13,995,223		73,497		975		(3,869,745	)		—		(237,102	)		14,098,474		—			24,061,322		(3,870,276	)
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		—		—		(7,877,070	)		—		—			11,638,287		—			3,761,217		(7,877,070	)

Total	$	171,054,201	$	178,199	$	122,031	$	(25,086,705	)	$	—	$	(3,894,379	)	$	58,716,264	$	(46,132,152	)	$	154,957,459	$	(25,791,215	)

A preferred stock valued at $11,638,287 was transferred from Level 2 to Level 3 during the period ended December 31, 2015. At September 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. At December 31, 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 $14,098,474 were transferred from Level 2 to Level 3 during the period ended December 31, 2015. At September 30, 2015, these securities were valued at bid prices furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2015, these securities were 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 securities.

Debt securities valued at $19,537,078 were transferred from Level 2 to Level 3 during the period ended December 31, 2015. At September 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. At December 31, 2015, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

Debt securities valued at $13,442,425 were transferred from Level 2 to Level 3 during the period ended December 31, 2015. At September 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. At December 31, 2015, these securities were 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 securities.

A debt security valued at $46,132,152 was transferred from Level 3 to Level 2 during the period ended December 31, 2015. At September 30, 2015, 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 December 31, 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 December 31, 2015 (Unaudited)

Treasuries	20.8	%
Banking	5.5
Technology	5.2
Finance Companies	5.2
Semiconductors & Semiconductor Equipment	4.7
Pharmaceuticals	4.6
Wirelines	4.4
Chemicals	3.0
Healthcare	2.9
Airlines	2.9
Electronic Equipment, Instruments & Components	2.8
Sovereigns	2.5
Electric	2.0
Diversified Telecommunication Services	2.0
Metals & Mining	2.0
Other Investments, less than 2% each	24.7
Short-Term Investments	3.6

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2015 (Unaudited)


United States Dollar	77.6	%
Mexican Peso	4.5
New Zealand Dollar	4.3
Canadian Dollar	4.1
Australian Dollar	3.0
Other, less than 2% each	5.3

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2015 (Unaudited)

Loomis Sayles Value Fund


Shares		Description	Value (†)
	Common Stocks – 98.2% of Net Assets
		Aerospace & Defense – 4.8%
	232,997	Honeywell International, Inc.	$	24,131,499
	117,674	Northrop Grumman Corp.		22,218,028
	257,880	United Technologies Corp.		24,774,532

				71,124,059

		Automobiles – 2.1%
	492,829	General Motors Co.		16,761,114
	318,259	Harley-Davidson, Inc.		14,445,776

				31,206,890

		Banks – 13.1%
	2,051,795	Bank of America Corp.		34,531,710
	610,294	Citigroup, Inc.		31,582,715
	1,380,603	Fifth Third Bancorp		27,750,120
	688,088	JPMorgan Chase & Co.		45,434,451
	231,381	PNC Financial Services Group, Inc. (The)		22,052,923
	618,670	Wells Fargo & Co.		33,630,901

				194,982,820

		Beverages – 1.6%
	237,271	PepsiCo, Inc.		23,708,118

		Biotechnology – 1.4%
	351,426	AbbVie, Inc.		20,818,476

		Capital Markets – 3.1%
	192,189	Ameriprise Financial, Inc.		20,452,753
	317,551	Legg Mason, Inc.		12,457,526
	206,988	State Street Corp.		13,735,724

				46,646,003

		Chemicals – 1.4%
	309,803	E.I. du Pont de Nemours & Co.		20,632,880

		Communications Equipment – 2.7%
	849,588	Cisco Systems, Inc.		23,070,562
	339,415	QUALCOMM, Inc.		16,965,659

				40,036,221

		Construction Materials – 1.6%
	256,403	Vulcan Materials Co.		24,350,593

		Consumer Finance – 2.7%
	217,177	American Express Co.		15,104,660
	461,282	Discover Financial Services		24,733,941

				39,838,601

		Containers & Packaging – 1.4%
	471,856	Sealed Air Corp.		21,044,778


Shares		Description	Value (†)
	Common Stocks – continued
		Diversified Telecommunication Services – 1.4%
	435,180	Verizon Communications, Inc.	$	20,114,020

		Electric Utilities – 1.3%
	191,194	NextEra Energy, Inc.		19,863,145

		Electrical Equipment – 1.2%
	356,136	Eaton Corp. PLC		18,533,317

		Electronic Equipment, Instruments & Components – 0.6%
	684,570	Knowles Corp.(b)		9,125,318

		Energy Equipment & Services – 2.3%
	630,752	Halliburton Co.		21,470,798
	363,743	National Oilwell Varco, Inc.		12,181,753

				33,652,551

		Food & Staples Retailing – 1.4%
	217,618	CVS Health Corp.		21,276,512

		Food Products – 1.6%
	536,195	Mondelez International, Inc., Class A		24,042,984

		Health Care Equipment & Supplies – 1.7%
	322,922	Medtronic PLC		24,839,160

		Health Care Providers & Services – 4.4%
	256,827	Express Scripts Holding Co.(b)		22,449,248
	83,116	Humana, Inc.		14,837,037
	235,944	UnitedHealth Group, Inc.		27,756,452

				65,042,737

		Independent Power & Renewable Electricity Producers – 0.8%
	840,496	Calpine Corp.(b)		12,161,977

		Insurance – 7.2%
	441,881	American International Group, Inc.		27,383,365
	537,076	FNF Group		18,620,425
	477,237	MetLife, Inc.		23,007,596
	192,236	Travelers Cos., Inc. (The)		21,695,755
	498,492	Unum Group		16,594,799

				107,301,940

		Internet & Catalog Retail – 1.1%
	590,689	Liberty Interactive Corp./QVC Group, Class A(b)		16,137,623

		Machinery – 2.1%
	266,345	Ingersoll-Rand PLC		14,726,215
	323,466	Pentair PLC		16,021,271

				30,747,486

		Media – 4.5%
	427,236	Comcast Corp., Class A		24,108,927
	282,683	Liberty Global PLC, Class A(b)		11,974,452
	255,438	Omnicom Group, Inc.		19,326,439
	259,781	Viacom, Inc., Class B		10,692,586

				66,102,404


Shares		Description	Value (†)
	Common Stocks – continued
		Multi-Utilities – 1.2%
	328,542	PG&E Corp.	$	17,475,149

		Multiline Retail – 0.6%
	128,439	Dollar General Corp.		9,230,911

		Oil, Gas & Consumable Fuels – 5.7%
	239,722	Chevron Corp.		21,565,391
	308,717	Hess Corp.		14,966,600
	1,066,602	Marathon Oil Corp.		13,428,520
	354,604	Royal Dutch Shell PLC, Sponsored ADR		16,237,317
	256,541	Valero Energy Corp.		18,140,014

				84,337,842

		Pharmaceuticals – 9.4%
	72,000	Allergan PLC(b)		22,500,000
	339,513	Eli Lilly & Co.		28,607,366
	562,048	Merck & Co., Inc.		29,687,375
	970,948	Pfizer, Inc.		31,342,202
	405,574	Teva Pharmaceutical Industries Ltd., Sponsored ADR		26,621,877

				138,758,820

		REITs - Diversified – 1.2%
	580,145	Weyerhaeuser Co.		17,392,747

		Road & Rail – 1.3%
	229,926	Norfolk Southern Corp.		19,449,440

		Software – 4.2%
	789,090	Microsoft Corp.		43,778,713
	848,997	Symantec Corp.		17,828,937

				61,607,650

		Specialty Retail – 1.1%
	215,659	Lowe’s Cos., Inc.		16,398,710

		Technology Hardware, Storage & Peripherals – 2.3%
	166,187	Apple, Inc.		17,492,844
	640,120	EMC Corp.		16,438,281

				33,931,125

		Textiles, Apparel & Luxury Goods – 1.2%
	153,599	Ralph Lauren Corp.		17,123,217

		Tobacco – 1.4%
	233,688	Philip Morris International, Inc.		20,543,512

		Wireless Telecommunication Services – 1.1%
	518,376	Vodafone Group PLC, Sponsored ADR		16,722,810

		Total Common Stocks (Identified Cost $1,237,977,344)		1,456,302,546


Description	Value (†)
Total Investments – 98.2% (Identified Cost $1,237,977,344)(a)		1,456,302,546
Other assets less liabilities – 1.8%		26,296,001

Net Assets – 100.0%	$	1,482,598,547

(†)

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 December 31, 2015, the net unrealized appreciation on investments based on a cost of $1,237,977,344 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	$	325,477,131
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(107,151,929	)

Net unrealized appreciation	$	218,325,202


(b)		Non-income producing security.

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2015, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,456,302,546	$	—	$	—	$	1,456,302,546

*	Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. For the period ended December 31, 2015, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2015 (Unaudited)


Banks	13.1	%
Pharmaceuticals	9.4
Insurance	7.2
Oil, Gas & Consumable Fuels	5.7
Aerospace & Defense	4.8
Media	4.5
Health Care Providers & Services	4.4
Software	4.2
Capital Markets	3.1
Communications Equipment	2.7
Consumer Finance	2.7
Technology Hardware, Storage & Peripherals	2.3
Energy Equipment & Services	2.3
Automobiles	2.1
Machinery	2.1
Other Investments, less than 2% each	27.6

Total Investments	98.2
Other assets less liabilities	1.8

Net Assets	100.0	%

ITEM 2. CONTROLS AND PROCEDURES.

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

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

ITEM 3. EXHIBITS

(a)(1)

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

(a)(2)

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

SIGNATURES

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


Loomis Sayles Funds II

By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		Chief Executive Officer
Date:		February 23, 2016

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 L. Giunta
Name:		David L. Giunta
Title:		Chief Executive Officer
Date:		February 23, 2016

By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		February 23, 2016

EX-99.CERT 2 d149400dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit (a)(1)

Loomis Sayles Funds II

Exhibit to SEC Form N-Q

Section 302 Certification

I, David L. Giunta, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date: February 23, 2016

/s/ David L. Giunta

David L. Giunta

Chief Executive Officer

Exhibit (a)(2)

Loomis Sayles Funds II

Exhibit to SEC Form N-Q

Section 302 Certification

I, Michael C. Kardok, certify that:

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

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

Date: February 23, 2016

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer