Loomis Sayles Funds II

Principal
Amount

Short-Term Investments – 3.8%

$ 41,165,023

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2016 at 0.030% to be repurchased at $41,165,160 on 1/03/2017 collateralized by $43,180,000 U.S. Treasury Note, 2.000% due 8/15/2025 valued at $41,989,916 including accrued interest(c) (Identified Cost $41,165,023)

N-Q 1 d343396dnq.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)

Russell L. Kane, 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) 449-2822

Date of fiscal year end: September 30

Date of reporting period: December 31, 2016

ITEM 1.

SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of December 31, 2016 (Unaudited)

Loomis Sayles Global Equity and Income Fund


Shares		Description	Value (†)
	Common Stocks – 65.0% of Net Assets
		Belgium – 1.8%
	248,765	Anheuser-Busch InBev S.A.	$	26,330,283

		Canada – 1.0%
	310,300	CGI Group, Inc., Class A(b)		14,892,736

		China – 2.7%
	447,440	Alibaba Group Holding Ltd., Sponsored ADR(b)		39,289,707

		France – 1.9%
	289,214	Thales S.A.		28,019,253

		Hong Kong – 2.0%
	5,270,400	AIA Group Ltd.		29,523,933

		India – 1.4%
	590,922	HCL Technologies Ltd.		7,195,333
	686,492	HDFC Bank Ltd.		13,329,998

				20,525,331

		Ireland – 1.6%
	195,086	Accenture PLC, Class A		22,850,423

		Italy – 1.1%
	305,851	Luxottica Group SpA		16,438,401

		Japan – 0.9%
	430,287	Nomura Research Institute Ltd.		13,077,111

		Sweden – 2.1%
	892,806	Assa Abloy AB		16,520,152
	468,266	Atlas Copco AB, A Shares		14,205,575

				30,725,727

		Switzerland – 4.9%
	135,502	Dufry AG, (Registered)(b)		16,866,472
	23,773	Geberit AG, (Registered)		9,517,679
	454,516	Nestle S.A., (Registered)		32,560,420
	52,143	Roche Holding AG		11,886,131

				70,830,702

		United Kingdom – 3.3%
	2,946,356	ITV PLC		7,480,812
	8,072,982	Legal & General Group PLC		24,593,322
	445,572	London Stock Exchange Group PLC		15,925,225

				47,999,359

		United States – 40.3%
	23,085	Alphabet, Inc., Class C(b)		17,817,465
	39,263	Alphabet, Inc., Class A(b)		31,113,964
	23,631	Amazon.com, Inc.(b)		17,720,178


Shares		Description	Value (†)
	Common Stocks – continued
	United States – continued
	48,147	AutoZone, Inc.(b)	$	38,026,019
	403,165	Comcast Corp., Class A		27,838,543
	265,634	CVS Health Corp.		20,961,179
	670	Dex Media, Inc.(b)(c)		1,608
	50,040	EOG Resources, Inc.		5,059,044
	326,224	Facebook, Inc., Class A(b)		37,532,071
	116,288	FactSet Research Systems, Inc.		19,004,948
	109,692	Goldman Sachs Group, Inc. (The)		26,265,749
	1,269	Halcon Resources Corp.(b)		11,852
	783	Hawaiian Telcom Holdco, Inc.(b)		19,403
	212,614	LyondellBasell Industries NV, Class A		18,238,029
	101,932	M&T Bank Corp.		15,945,223
	425,226	Marriott International, Inc., Class A		35,157,686
	34,137	Mettler-Toledo International, Inc.(b)		14,288,383
	673,171	Newell Brands, Inc.		30,057,085
	14,975	Priceline Group, Inc. (The)(b)		21,954,249
	158,767	Roper Technologies, Inc.		29,067,062
	177,739	S&P Global, Inc.		19,114,052
	146,321	Schlumberger Ltd.		12,283,648
	124,850	Sherwin-Williams Co. (The)		33,552,189
	287,952	Texas Instruments, Inc.		21,011,857
	168,475	TransDigm Group, Inc.		41,943,536
	87,297	Travelers Cos., Inc. (The)		10,686,899
	180,678	UnitedHealth Group, Inc.		28,915,707
	238,109	Wells Fargo & Co.		13,122,187

				586,709,815

		Total Common Stocks (Identified Cost $813,733,781)		947,212,781


Principal Amount (‡)
	Bonds and Notes – 33.1%
	Non-Convertible Bonds – 32.1%
		Argentina – 0.4%
$	775,000	Provincia de Buenos Aires, 9.125%, 3/16/2024, 144A		845,548
	535,000	Republic of Argentina, 6.875%, 4/22/2021, 144A		571,401
	1,390,000	Republic of Argentina, 7.625%, 4/22/2046, 144A		1,390,709
	382,136	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		410,796
	565,000	YPF S.A., 8.500%, 3/23/2021, 144A		607,375
	1,755,000	YPF S.A., 8.750%, 4/04/2024, 144A		1,819,058

				5,644,887

		Australia – 0.1%
	970,000	Commonwealth Bank of Australia, 1.375%, 9/06/2018, 144A(d)		963,661
	670,000	GAIF Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A		631,080


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Australia – continued
$	110,000		Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A	$	118,341
	95,000		Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A		91,523

					1,804,605

			Belgium – 0.1%
	1,040,000		Anheuser-Busch InBev Finance, Inc., 3.300%, 2/01/2023(d)		1,058,441
	350,000		Anheuser-Busch InBev SA/NV, EMTN, 6.500%, 6/23/2017, (GBP)(d)		442,832
	440,000		Solvay Finance (America) LLC, 3.400%, 12/03/2020, 144A		447,697

					1,948,970

			Brazil – 1.1%
	600,000		Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A		601,242
	800,000		Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		842,000
	8,500	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)		2,303,908
	2,250	(†††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2019, (BRL)		646,905
	8,815	(†††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)		2,476,873
	2,300,000		BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(d)		660,737
	1,000,000		CIMPOR Financial Operations BV, 5.750%, 7/17/2024, 144A		830,100
	400,000		Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A		380,690
	1,465,000		Embraer Netherlands Finance BV, 5.050%, 6/15/2025(d)		1,456,210
	800,000		Gerdau Trade, Inc., 5.750%, 1/30/2021, 144A		820,400
	226,000		GTL Trade Finance, Inc., 5.893%, 4/29/2024, 144A		224,870
	915,000		Itau Unibanco Holding S.A., 2.850%, 5/26/2018, 144A		917,288
	1,825,000		Petrobras Global Finance BV, 4.375%, 5/20/2023		1,594,502
	1,095,000		Petrobras Global Finance BV, 5.375%, 1/27/2021		1,070,910
	300,000		Petrobras Global Finance BV, 6.875%, 1/20/2040		257,460
	500,000		Tupy Overseas S.A., 6.625%, 7/17/2024, 144A		480,000
	850,000		Vale S.A., 5.625%, 9/11/2042		752,250

					16,316,345

			Canada – 2.4%
	495,000		Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A(d)		507,375


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Canada – continued
$	815,000	Bank of Montreal, 1.750%, 6/15/2022, 144A(d)	$	790,901
	23,960,000	Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)(d)		18,270,024
	970,000	Canadian Imperial Bank of Commerce, 1.600%, 9/06/2019(d)		960,768
	1,335,000	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)(d)		995,694
	6,165,000	Province of Ontario Canada, 1.250%, 6/17/2019(d)		6,089,312
	7,200,000	Province of Ontario Canada, 1.875%, 5/21/2020(d)		7,176,463
	600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)(d)		487,083

				35,277,620

		Chile – 0.5%
	1,450,000	Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A(d)		1,457,540
	200,000	Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022		208,068
	600,000	Chile Government International Bond, 3.125%, 1/21/2026(d)		591,000
	300,000,000	Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(d)		471,234
	1,160,000	CODELCO, Inc., 4.500%, 9/16/2025, 144A(d)		1,177,571
	250,000	Engie Energia Chile S.A., 5.625%, 1/15/2021, 144A		267,911
	800,000	Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A(d)		804,316
	550,000	Itau CorpBanca, 3.125%, 1/15/2018(d)		555,478
	1,120,000	Transelec S.A., 4.250%, 1/14/2025, 144A(d)		1,123,862

				6,656,980

		China – 0.1%
	800,000	Baidu, Inc., 2.250%, 11/28/2017(d)		801,928
	700,000	Baidu, Inc., 3.250%, 8/06/2018(d)		711,822
	400,000	China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A(d)		418,009

				1,931,759

		Colombia – 0.4%
	555,000	Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022, 144A		539,738
	610,000	Ecopetrol S.A., 4.125%, 1/16/2025		571,265
	600,000	Ecopetrol S.A., 5.375%, 6/26/2026		597,000
	490,000	Ecopetrol S.A., 5.875%, 5/28/2045		423,360


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Colombia – continued
	1,265,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)	$	418,803
	2,140,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)(d)		696,837
	200,000,000	Republic of Colombia, 7.750%, 4/14/2021, (COP)		69,118
	6,150,000,000	Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(d)		2,104,769

				5,420,890

		Dominican Republic – 0.1%
	1,410,000	Dominican Republic, 5.500%, 1/27/2025, 144A		1,359,607
	425,000	Dominican Republic, 8.625%, 4/20/2027, 144A		477,551

				1,837,158

		France – 0.3%
	970,000	Air Liquide Finance S.A., 1.375%, 9/27/2019, 144A(d)		952,443
	425,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		443,062
	15,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		15,488
	200,000	AXA S.A., 7.125%, 12/15/2020, (GBP)(d)		297,832
	390,000	Credit Agricole S.A., (fixed rate to 6/23/2026, variable rate thereafter), 7.500%, (GBP)(e)		480,534
	735,000	Danone S.A., 1.691%, 10/30/2019, 144A		725,798
	1,015,000	Societe Generale S.A., 4.750%, 11/24/2025, 144A(d)		1,021,027
	475,000	Societe Generale S.A., (fixed rate to 4/07/2021, variable rate thereafter), 6.750%, (EUR)(e)		512,509

				4,448,693

		Germany – 0.2%
	470,000	Commerzbank AG, EMTN, 4.000%, 3/23/2026, (EUR)		507,921
	675,000	Daimler Finance North America LLC, 1.750%, 10/30/2019, 144A(d)		666,366
	200,000	Schaeffler Finance BV, 3.250%, 5/15/2025, (EUR)		223,692
	800,000	Vonovia Finance BV, EMTN, 1.500%, 6/10/2026, (EUR)		839,264
	300,000	ZF North America Capital, Inc., 2.750%, 4/27/2023, (EUR)		332,817

				2,570,060

		Hong Kong – 0.1%
	355,000	AIA Group Ltd., 3.200%, 3/11/2025, 144A(d)		342,632


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Hong Kong – continued
$	400,000	Hutchison Whampoa International 11 Ltd., 3.500%, 1/13/2017, 144A(d)	$	400,196

				742,828

		Hungary – 0.2%
	1,330,000	Hungary Government International Bond, 5.375%, 3/25/2024		1,449,700
	980,000	Hungary Government International Bond, 5.750%, 11/22/2023(d)		1,086,575

				2,536,275

		Iceland – 0.1%
	1,000,000	Republic of Iceland, 5.875%, 5/11/2022, 144A(d)		1,140,560

		India – 0.3%
	550,000	Axis Bank Ltd., 3.250%, 5/21/2020, 144A		551,979
	990,000	Bharti Airtel International BV, 5.350%, 5/20/2024, 144A(d)		1,036,961
	1,400,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		1,403,448
	750,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A(d)		810,826
	700,000	State Bank of India, 4.125%, 8/01/2017, 144A		708,131

				4,511,345

		Indonesia – 0.6%
	300,000	Indonesia Government International Bond, 4.125%, 1/15/2025, 144A		297,251
	3,500,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		281,018
	781,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		63,175
	11,640,000,000	Indonesia Government International Bond, Series FR53, 8.250%, 7/15/2021, (IDR)		885,150
	12,100,000,000	Indonesia Treasury Bond, 6.125%, 5/15/2028, (IDR)		765,530
	24,000,000,000	Indonesia Treasury Bond, 7.875%, 4/15/2019, (IDR)(d)		1,795,658
	14,000,000,000	Indonesia Treasury Bond, 8.375%, 3/15/2024, (IDR)(d)		1,059,698
	15,250,000,000	Indonesia Treasury Bond, 8.375%, 9/15/2026, (IDR)		1,162,498
	795,000	Perusahaan Listrik Negara PT, 5.250%, 10/24/2042, 144A		701,588
	545,000	Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR)		598,435
	525,000	Republic of Indonesia, 4.750%, 1/08/2026, 144A		543,874
	500,000	TBG Global Pte Ltd., 4.625%, 4/03/2018, 144A		504,500

				8,658,375


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Italy – 0.4%
	100,000	Buzzi Unicem SpA, 2.125%, 4/28/2023, (EUR)	$	106,910
	440,000	Italy Buoni Poliennali Del Tesoro, 1.500%, 6/01/2025, (EUR)(d)		460,821
	2,080,000	Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(d)		2,350,661
	2,295,000	Italy Buoni Poliennali Del Tesoro, 4.750%, 8/01/2023, 144A, (EUR)(d)		2,977,577

				5,895,969

		Japan – 0.3%
	900,000	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 1.700%, 3/05/2018, 144A(d)		897,109
	940,000	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 2.150%, 9/14/2018, 144A(d)		940,775
	540,000	Nissan Motor Acceptance Corp., 2.000%, 3/08/2019, 144A(d)		538,234
	1,165,000	Nomura Holdings, Inc., GMTN, 2.750%, 3/19/2019(d)		1,176,026
	850,000	SoftBank Group Corp., 4.500%, 4/15/2020, 144A		871,250

				4,423,394

		Kazakhstan – 0.0%
	475,000	Tengizchevroil Finance Co. International Ltd., 4.000%, 8/15/2026, 144A		445,645

		Korea – 0.6%
	3,700,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)(d)		435,159
	600,000	Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A(d)		606,052
	600,000	Industrial Bank of Korea, 2.375%, 7/17/2017, 144A(d)		601,687
	400,000	Korea Development Bank (The), 4.625%, 11/16/2021(d)		433,296
	630,000	Korea Development Bank (The), MTN, 4.500%, 11/22/2019, (AUD)(d)		469,947
	400,000	Korea National Oil Corp., 3.125%, 4/03/2017, 144A(d)		401,507
	2,589,140,000	Korea Treasury Bond, 2.750%, 9/10/2017, (KRW)(d)		2,161,929
	670,000	KT Corp., 2.500%, 7/18/2026, 144A(d)		619,083
	1,125,000	Minera y Metalurgica del Boleo S.A. de CV, 2.875%, 5/07/2019, 144A(d)		1,143,022
	950,000	Shinhan Bank, 2.250%, 4/15/2020, 144A(d)		935,978
	770,000	Shinhan Bank, 3.875%, 3/24/2026, 144A(d)		749,081
	140,000	SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A(d)		175,832


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Korea – continued
$	200,000		Woori Bank, 5.875%, 4/13/2021, 144A(d)	$	219,638

					8,952,211

			Luxembourg – 0.1%
	430,000		INEOS Group Holdings S.A., 5.750%, 2/15/2019, (EUR)		461,647
	500,000		Millicom International Cellular S.A., 4.750%, 5/22/2020, 144A		506,250

					967,897

			Mexico – 1.2%
	770,000		America Movil SAB de CV, 2.125%, 3/10/2028, (EUR)		814,552
	10,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)(d)		437,176
	675,000		Banco Nacional de Comercio Exterior SNC, (fixed rate to 8/11/2021, variable rate thereafter), 3.800%, 8/11/2026, 144A		631,969
	300,000		Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A(d)		298,500
	1,150,000		Cemex Finance LLC, 6.000%, 4/01/2024, 144A		1,181,625
	300,000		Cemex SAB de CV, 4.375%, 3/05/2023, 144A, (EUR)		323,690
	505,000		Cemex SAB de CV, 5.700%, 1/11/2025, 144A		508,788
	200,000		Cemex SAB de CV, 7.750%, 4/16/2026, 144A		221,500
	800,000		Gruma SAB de CV, 4.875%, 12/01/2024(d)		836,400
	400,000		Grupo Televisa SAB, 5.000%, 5/13/2045		339,436
	10,000,000		Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(d)		358,206
	270,000	(††††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		1,155,677
	1,150,000	(††††)	Mexican Fixed Rate Bonds, Series M-30, 10.000%, 11/20/2036, (MXN)(d)		6,744,367
	920,000		Mexichem SAB de CV, 5.875%, 9/17/2044, 144A		819,950
	196,000		Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)(d)		172,774
	1,020,000		Mexico Government International Bond, 4.125%, 1/21/2026(d)		1,011,840
	780,000		Petroleos Mexicanos, 4.250%, 1/15/2025(d)		717,132
	625,000		Petroleos Mexicanos, 5.625%, 1/23/2046(d)		518,750
	135,000	(††††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)(d)		532,357

					17,624,689


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(d)	$	921,940
	590,000	OCP S.A., 6.875%, 4/25/2044, 144A		593,024

				1,514,964

		Netherlands – 0.2%
	150,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.625%, 7/01/2022		154,500
	870,000	Cooperatieve Rabobank UA, 4.375%, 8/04/2025(d)		893,586
	675,000	ING Bank NV, 1.650%, 8/15/2019, 144A(d)		665,870
	525,000	Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A		511,770

				2,225,726

		New Zealand – 0.4%
	2,910,598	New Zealand Government Bond, 3.000%, 9/20/2030, (NZD)(d)		2,225,733
	2,340,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)(d)		1,719,914
	2,590,000	New Zealand Government Bond, 5.500%, 4/15/2023, (NZD)(d)		2,058,244

				6,003,891

		Norway – 0.2%
	13,275,000	Norway Government Bond, 2.000%, 5/24/2023, 144A, (NOK)(d)		1,595,887
	13,760,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)(d)		1,734,321

				3,330,208

		Panama – 0.1%
	680,000	Banco Latinoamericano de Comercio Exterior S.A., 3.250%, 5/07/2020, 144A(d)		682,849
	300,000	Banco Latinoamericano de Comercio Exterior S.A., 3.750%, 4/04/2017, 144A(d)		301,113

				983,962

		Paraguay – 0.1%
	800,000	Republic of Paraguay, 5.000%, 4/15/2026, 144A		814,000
	572,000	Telefonica Celular del Paraguay S.A., 6.750%, 12/13/2022		582,010

				1,396,010

		Peru – 0.2%
	580,000	Southern Copper Corp., 3.875%, 4/23/2025(d)		571,897
	1,050,000	Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A(d)		1,034,250


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Peru – continued
$	1,050,000	Union Andina de Cementos SAA, 5.875%, 10/30/2021, 144A	$	1,086,750

				2,692,897

		Philippines – 0.0%
	175,000	PLDT, Inc., EMTN, 8.350%, 3/06/2017(d)		176,531

		Poland – 0.3%
	17,080,000	Poland Government International Bond, 4.000%, 10/25/2023, (PLN)(d)		4,244,847
	3,210,000	Poland Government International Bond, 5.500%, 10/25/2019, (PLN)(d)		831,832

				5,076,679

		Portugal – 0.0%
	400,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		408,768
	225,000	EDP Finance BV, EMTN, 2.000%, 4/22/2025, (EUR)		232,408

				641,176

		Romania – 0.0%
	410,000	Romanian Government International Bond, 2.875%, 5/26/2028, 144A, (EUR)		442,905

		Russia – 0.2%
	72,000,000	Russian Federal Bond – OFZ, Series 6207, 8.150%, 2/03/2027, (RUB)		1,168,999
	63,000,000	Russian Federal Bond – OFZ, Series 6208, 7.500%, 2/27/2019, (RUB)		1,015,240

				2,184,239

		Singapore – 0.2%
	495,000	BOC Aviation Ltd., 3.000%, 3/30/2020(d)		495,044
	2,000,000	DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A(d)		2,017,478

				2,512,522

		South Africa – 0.2%
	930,000	MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A		852,066
	500,000	Myriad International Holdings BV, 6.000%, 7/18/2020, 144A		540,925
	15,980,000	South Africa Government International Bond, Series R213, 7.000%, 2/28/2031, (ZAR)(d)		951,808

				2,344,799

		Spain – 0.4%
	800,000	Gas Natural Fenosa Finance BV, (fixed rate to 4/24/2024, variable rate thereafter), 3.375%, (EUR)(e)		786,692
	725,000	Spain Government International Bond, 0.750%, 7/30/2021, (EUR)(d)		779,662


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Spain – continued
	430,000	Spain Government International Bond, 1.600%, 4/30/2025, 144A, (EUR)(d)	$	468,509
	1,825,000	Spain Government International Bond, 4.300%, 10/31/2019, 144A, (EUR)(d)		2,156,804
	800,000	Spain Government International Bond, 4.400%, 10/31/2023, 144A, (EUR)(d)		1,040,916
	195,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		204,581

				5,437,164

		Supranationals – 0.3%
	455,000	Banque Quest Africaine de Developpement, 5.500%, 5/06/2021, 144A		468,768
	840,000	Central American Bank for Economic Integration, 3.875%, 2/09/2017, 144A(d)		841,050
	1,115,000	Corporacion Andina de Fomento, 4.375%, 6/15/2022(d)		1,182,859
	1,140,000	International Bank for Reconstruction & Development, 2.500%, 3/12/2020, (AUD)(d)		822,196
	70,000,000	International Finance Corp., 7.800%, 6/03/2019, (INR)(d)		1,072,109

				4,386,982

		Sweden – 0.0%
	2,450,000	Sweden Government Bond, 5.000%, 12/01/2020, (SEK)(d)		325,964

		Switzerland – 0.1%
	1,075,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A(d)		1,032,903
	740,000	Holcim Finance Luxembourg S.A., EMTN, 2.250%, 5/26/2028, (EUR)		814,588
	200,000	LafargeHolcim Finance U.S. LLC, 3.500%, 9/22/2026, 144A		194,248

				2,041,739

		Thailand – 0.1%
	1,010,000	Siam Commercial Bank PCL, 3.500%, 4/07/2019, 144A(d)		1,036,207
	950,000	Thai Oil PCL, 3.625%, 1/23/2023, 144A(d)		949,196

				1,985,403

		Trinidad – 0.0%
	415,000	Trinidad Generation UnLtd., 5.250%, 11/04/2027, 144A		403,496

		Turkey – 0.1%
	800,000	Arcelik AS, 5.000%, 4/03/2023, 144A		758,672

		United Arab Emirates – 0.1%
	850,000	DP World Ltd., 3.250%, 5/18/2020, 144A		861,730


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United Kingdom – 0.7%
$	600,000	Anglo American Capital PLC, 2.625%, 9/27/2017, 144A	$	600,000
	1,100,000	Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 6.625% (e)		1,030,009
	400,000	Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 7.000% , (GBP)(e)		467,545
	585,000	BP Capital Markets PLC, 3.216%, 11/28/2023		590,844
	300,000	HSBC Holdings PLC, 4.375%, 11/23/2026		302,227
	565,000	HSBC Holdings PLC, (fixed rate to 6/01/2021, variable rate thereafter), 6.875% (e)		596,075
	295,000	HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)(d)		418,047
	150,000	Imperial Brands Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP)		203,204
	400,000	Lloyds Banking Group PLC, 4.500%, 11/04/2024(d)		407,060
	1,020,000	Lloyds Banking Group PLC, (fixed rate to 6/27/2024, variable rate thereafter), 7.500% (e)		1,050,600
	400,000	Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP)		558,095
	1,130,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023(d)		1,173,735
	950,000	Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2020, variable rate thereafter), 7.500% (e)		900,039
	350,000	Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A(d)		342,650
	250,000	Standard Chartered PLC, EMTN, (fixed rate to 10/21/2020, variable rate thereafter), 4.000%, 10/21/2025, (EUR)(d)		272,276
	600,000	United Kingdom Gilt, 2.000%, 9/07/2025, (GBP)(d)		794,602
	130,000	Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR)		141,292
	100,000	WPP PLC, 6.000%, 4/04/2017, (GBP)(d)		124,799

				9,973,099

		United States – 18.5%
	15,000	21st Century Fox America, Inc., 6.400%, 12/15/2035		17,920
	9,890,000	AbbVie, Inc., 2.500%, 5/14/2020		9,892,581
	45,000	AECOM, 5.750%, 10/15/2022		47,565
	45,000	AECOM, 5.875%, 10/15/2024		48,042
	1,745,000	AES Corp. (The), 4.875%, 5/15/2023		1,723,536
	8,000,000	Ally Financial, Inc., 4.125%, 2/13/2022		7,930,000
	745,000	Ally Financial, Inc., 5.125%, 9/30/2024		758,037


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	129,000	Ally Financial, Inc., 8.000%, 12/31/2018	$	140,771
	1,728,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,004,342
	2,686,371	American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025		2,753,531
	170,098	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		173,956
	6,190,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		6,076,383
	300,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		281,865
	400,000	Antero Resources Corp., 5.125%, 12/01/2022		404,000
	175,000	Antero Resources Corp., 5.375%, 11/01/2021		178,938
	3,060,000	Antero Resources Corp., 5.625%, 6/01/2023		3,132,675
	1,000,000	Arconic, Inc., 5.125%, 10/01/2024		1,025,000
	305,000	Arconic, Inc., 5.400%, 4/15/2021		323,300
	975,000	Arconic, Inc., 5.900%, 2/01/2027		1,016,437
	3,073,000	Arconic, Inc., 5.950%, 2/01/2037		2,989,261
	1,510,000	AT&T, Inc., 3.400%, 5/15/2025		1,455,373
	3,960,000	AT&T, Inc., 4.125%, 2/17/2026		4,009,761
	495,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		457,256
	925,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		1,068,375
	95,000	Avon Products, Inc., 8.950%, 3/15/2043		83,363
	200,000	Bank of America Corp., 5.490%, 3/15/2019		212,169
	2,700,000	Bank of America Corp., 6.110%, 1/29/2037		3,165,199
	115,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		116,392
	50,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		50,750
	15,000	Boston Scientific Corp., 5.125%, 1/12/2017		15,011
	71,000	California Resources Corp., 5.500%, 9/15/2021		55,735
	10,000	California Resources Corp., 6.000%, 11/15/2024		7,338
	625,000	California Resources Corp., 8.000%, 12/15/2022, 144A		556,250
	1,995,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,099,737


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	510,000	CenturyLink, Inc., 7.650%, 3/15/2042	$	446,250
	55,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		49,775
	605,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		527,862
	1,025,000	Chemours Co. (The), 6.625%, 5/15/2023		1,014,750
	190,000	Chemours Co. (The), 7.000%, 5/15/2025		187,150
	3,210,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		2,929,125
	315,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		296,100
	495,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		482,625
	190,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		191,900
	95,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		95,000
	7,030,000	Chesapeake Energy Corp., 8.000%, 12/15/2022, 144A		7,583,612
	780,000	Chevron Corp., 2.419%, 11/17/2020(d)		785,554
	1,635,000	Cimarex Energy Co., 4.375%, 6/01/2024		1,700,315
	525,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		555,187
	500,000	Citizens Financial Group, Inc., 4.300%, 12/03/2025		507,909
	2,913,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		2,911,165
	155,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		161,394
	480,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		476,400
	265,000	Constellation Brands, Inc., 4.750%, 11/15/2024		281,298
	75,986	Continental Airlines Pass Through Certificates, Series 1999-1, Class B, 6.795%, 2/02/2020		78,076
	1,005,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,045,200
	255,000	Continental Resources, Inc., 3.800%, 6/01/2024		235,238
	50,000	Continental Resources, Inc., 4.500%, 4/15/2023		49,000
	375,000	Cox Communications, Inc., 4.800%, 2/01/2035, 144A		349,304
	1,335,000	CSC Holdings LLC, 10.875%, 10/15/2025, 144A		1,586,981
	155,000	Cummins, Inc., 5.650%, 3/01/2098		159,956
	260,000	Delphi Automotive PLC, 1.600%, 9/15/2028, (EUR)		264,512


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	160,460	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024	$	184,336
	1,200,000	Devon Energy Corp., 3.250%, 5/15/2022		1,192,386
	475,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A		514,566
	42,000	Dillard’s, Inc., 6.625%, 1/15/2018		43,765
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		56,726
	8,000	Dillard’s, Inc., 7.750%, 7/15/2026		9,271
	300,000	Discovery Communications LLC, 1.900%, 3/19/2027, (EUR)		305,410
	395,000	DISH DBS Corp., 5.000%, 3/15/2023		393,025
	1,495,000	DISH DBS Corp., 5.875%, 11/15/2024		1,538,355
	315,000	DPL, Inc., 6.750%, 10/01/2019		320,513
	310,000	DR Horton, Inc., 4.375%, 9/15/2022		315,425
	235,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		257,619
	600,000	Enbridge Energy Partners LP, 5.875%, 10/15/2025		668,952
	575,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		713,199
	410,000	FedEx Corp., 1.000%, 1/11/2023, (EUR)		437,318
	150,000	Foot Locker, Inc., 8.500%, 1/15/2022		175,875
	25,000	Ford Motor Co., 6.375%, 2/01/2029		28,517
	50,000	Ford Motor Co., 6.625%, 2/15/2028		56,653
	2,105,000	Ford Motor Co., 6.625%, 10/01/2028		2,474,760
	40,000	Ford Motor Co., 7.125%, 11/15/2025		47,331
	530,000	Ford Motor Co., 7.400%, 11/01/2046		692,663
	5,000	Ford Motor Co., 7.500%, 8/01/2026		6,031
	5,000,000	Ford Motor Credit Co. LLC, 2.459%, 3/27/2020		4,935,800
	1,600,000	Ford Motor Credit Co. LLC, 3.588%, 6/02/2020, (AUD)(d)		1,156,857
	1,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		1,039,230
	905,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(f)(g)		1,005,759
	2,370,000	Freeport-McMoRan, Inc., 3.875%, 3/15/2023(d)		2,174,475


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	210,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034	$	176,400
	2,475,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		2,048,112
	865,000	Frontier Communications Corp., 6.875%, 1/15/2025		733,087
	560,000	Frontier Communications Corp., 11.000%, 9/15/2025		578,200
	205,000	FTS International, Inc., 6.250%, 5/01/2022		169,125
	275,000	Gates Global LLC/Gates Global Co., 6.000%, 7/15/2022, 144A		268,950
	50,000	General Electric Co., GMTN, 3.100%, 1/09/2023		50,674
	740,000	General Electric Co., Series D, (fixed rate to 1/21/2021, variable rate thereafter), 5.000% (d)(e)		767,898
	115,000	General Motors Co., 5.200%, 4/01/2045		110,850
	195,000	General Motors Co., 6.750%, 4/01/2046		228,675
	5,000,000	General Motors Financial Co., Inc., 2.400%, 4/10/2018		5,005,345
	240,000	General Motors Financial Co., Inc., 3.450%, 4/10/2022		237,344
	925,000	General Motors Financial Co., Inc., 5.250%, 3/01/2026		971,704
	170,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		138,550
	500,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		412,500
	215,000	Genworth Holdings, Inc., 6.500%, 6/15/2034		172,000
	3,435,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		4,400,448
	105,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		131,920
	180,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		242,259
	315,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		466,724
	800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)(d)		608,403
	2,295,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,833,974
	3,045,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		3,212,475
	165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		174,900
	70,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.793%, 8/10/2045(h)		69,147
	1,000,000	HCA Holdings, Inc., 6.250%, 2/15/2021		1,076,250
	20,000	HCA, Inc., 4.750%, 5/01/2023		20,475


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	225,000	HCA, Inc., 7.050%, 12/01/2027	$	230,625
	820,000	HCA, Inc., 7.500%, 11/06/2033		869,200
	1,500,000	HCA, Inc., 7.690%, 6/15/2025		1,631,250
	395,000	HCA, Inc., 8.360%, 4/15/2024		448,325
	195,000	HCA, Inc., MTN, 7.580%, 9/15/2025		210,113
	75,000	HCA, Inc., MTN, 7.750%, 7/15/2036		79,313
	855,000	Hecla Mining Co., 6.875%, 5/01/2021		874,237
	490,000	Hewlett Packard Enterprise Co., 6.350%, 10/15/2045		494,949
	310,000	Hexion, Inc., 7.875%, 2/15/2023(c)(f)		124,000
	470,000	Highwoods Realty LP, 5.850%, 3/15/2017		473,974
	485,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		503,794
	955,000	Hyundai Capital America, 2.750%, 9/27/2026, 144A(d)		865,325
	450,000	International Lease Finance Corp., 4.625%, 4/15/2021		466,312
	640,000	International Lease Finance Corp., 5.875%, 8/15/2022		694,400
	1,250,000	International Lease Finance Corp., 6.250%, 5/15/2019		1,343,750
	745,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		738,589
	145,000	iStar, Inc., 4.875%, 7/01/2018		144,819
	3,460,000	iStar, Inc., 5.000%, 7/01/2019		3,472,975
	70,000	iStar, Inc., 5.850%, 3/15/2017		70,315
	200,000	iStar, Inc., 7.125%, 2/15/2018		206,000
	48,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		40,380
	5,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		4,100
	1,070,000	Jefferies Group LLC, 6.250%, 1/15/2036		1,091,249
	15,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(f)(g)		11,250
	110,000	K. Hovnanian Enterprises, Inc., 7.000%, 1/15/2019, 144A		93,225
	165,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		126,638
	1,665,000	KB Home, 8.000%, 3/15/2020		1,831,500


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			United States – continued
$	2,805,000		Kraton Polymers LLC/Kraton Polymers Capital Corp., 10.500%, 4/15/2023, 144A	$	3,162,637
	190,000		Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		190,000
	140,000		Level 3 Communications, Inc., 5.750%, 12/01/2022		143,850
	330,000		Level 3 Financing, Inc., 5.125%, 5/01/2023		331,238
	760,000		Level 3 Financing, Inc., 5.375%, 5/01/2025		775,200
	20,000		Macy’s Retail Holdings, Inc., 4.500%, 12/15/2034		17,879
	165,000		Masco Corp., 6.500%, 8/15/2032		178,962
	865,000		Masco Corp., 7.750%, 8/01/2029		1,058,638
	410,000		Micron Technology, Inc., 5.250%, 8/01/2023, 144A		411,537
	965,000		Micron Technology, Inc., 5.500%, 2/01/2025		960,175
	1,230,000		Micron Technology, Inc., 5.625%, 1/15/2026, 144A		1,219,237
	1,430,000		Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		1,476,475
	825,000		Morgan Stanley, 2.125%, 4/25/2018		828,287
	220,000		Morgan Stanley, 2.500%, 1/24/2019		222,313
	450,000		Morgan Stanley, 3.750%, 2/25/2023		462,215
	725,000		Morgan Stanley, 5.750%, 1/25/2021		804,443
	3,150,000		Morgan Stanley, MTN, 4.100%, 5/22/2023		3,233,544
	600,000		Morgan Stanley, MTN, 6.250%, 8/09/2026		717,037
	25,000		MPLX LP, 4.500%, 7/15/2023		25,390
	95,000		MPLX LP, 4.875%, 6/01/2025		97,674
	3,000,000		Navient Corp., 5.000%, 10/26/2020		3,060,000
	95,000		Navient Corp., 5.875%, 10/25/2024		90,250
	1,600	(†††††)	Navient Corp., 6.000%, 12/15/2043		35,408
	715,000		Navient Corp., MTN, 6.125%, 3/25/2024		694,444
	10,000		Navient Corp., Series A, MTN, 5.000%, 6/15/2018		10,000
	175,000		Navient LLC, 4.875%, 6/17/2019		181,125
	915,000		Navient LLC, 5.500%, 1/25/2023		887,550


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	40,000	Navient LLC, MTN, 4.625%, 9/25/2017		$ 40,650
	60,000	Navient LLC, MTN, 5.500%, 1/15/2019		62,250
	415,000	Navient LLC, MTN, 7.250%, 1/25/2022		439,381
	2,560,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(f)(g)		2,112,000
	360,000	Navient LLC, Series A, MTN, 8.450%, 6/15/2018		387,900
	4,457,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,211,865
	525,000	New Albertson’s, Inc., 7.750%, 6/15/2026		520,406
	5,710,000	New Albertson’s, Inc., 8.000%, 5/01/2031		5,467,325
	2,110,000	New Albertson’s, Inc., 8.700%, 5/01/2030		2,120,550
	1,265,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,132,175
	365,000	Newell Brands, Inc., 4.000%, 12/01/2024		373,299
	65,000	Newfield Exploration Co., 5.625%, 7/01/2024		67,763
	20,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		21,200
	1,019,000	Noble Energy, Inc., 5.625%, 5/01/2021		1,054,879
	135,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		138,375
	220,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023		225,500
	2,275,000	Oceaneering International, Inc., 4.650%, 11/15/2024		2,235,802
	420,000	Old Republic International Corp., 4.875%, 10/01/2024		437,600
	3,693,000	ONEOK Partners LP, 4.900%, 3/15/2025		3,961,186
	25,000	ONEOK Partners LP, 6.200%, 9/15/2043		27,796
	55,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		57,063
	140,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		146,650
	535,000	Owens Corning, 7.000%, 12/01/2036		634,325
	2,965,000	Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A		2,987,237
	540,000	PulteGroup, Inc., 6.000%, 2/15/2035		518,400
	785,000	PulteGroup, Inc., 6.375%, 5/15/2033		783,037
	220,000	PulteGroup, Inc., 7.875%, 6/15/2032		244,200


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	285,000	QEP Resources, Inc., 5.250%, 5/01/2023	$	285,713
	145,000	QEP Resources, Inc., 5.375%, 10/01/2022		145,363
	65,000	QEP Resources, Inc., 6.875%, 3/01/2021		69,063
	255,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		247,988
	1,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,416,769
	650,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		589,875
	400,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		414,000
	60,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		54,600
	476,000	Qwest Corp., 6.875%, 9/15/2033		454,490
	115,000	Qwest Corp., 7.250%, 9/15/2025		123,366
	37,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		37,185
	200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		198,750
	230,000	Range Resources Corp., 4.875%, 5/15/2025		222,813
	850,000	Range Resources Corp., 5.000%, 8/15/2022, 144A		844,687
	220,000	Range Resources Corp., 5.000%, 3/15/2023, 144A		217,800
	1,075,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		1,139,177
	230,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.500%, 4/15/2023		237,475
	665,000	Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021		711,550
	20,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025		21,400
	970,000	Santander Holdings USA, Inc., 2.650%, 4/17/2020(d)		961,397
	25,000	Sealed Air Corp., 4.875%, 12/01/2022, 144A		25,688
	640,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		660,800
	420,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		442,050
	760,000	Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		794,200
	2,675,000	Springleaf Finance Corp., 5.250%, 12/15/2019		2,695,062
	330,000	Springleaf Finance Corp., 7.750%, 10/01/2021		348,150
	130,000	Springleaf Finance Corp., 8.250%, 10/01/2023		135,850


Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	United States – continued
$ 2,349,000	Sprint Capital Corp., 6.875%, 11/15/2028	$	2,319,637
2,240,000	Sprint Capital Corp., 8.750%, 3/15/2032		2,464,000
1,720,000	Sprint Communications, Inc., 6.000%, 11/15/2022		1,732,900
120,000	Sprint Corp., 7.125%, 6/15/2024		123,600
2,840,000	Sprint Corp., 7.875%, 9/15/2023		3,031,700
2,910,000	SUPERVALU, Inc., 6.750%, 6/01/2021		2,939,100
670,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		678,375
1,365,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.750%, 3/15/2024		1,463,962
520,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		507,000
100,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		88,250
1,360,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,048,900
820,000	Textron, Inc., 5.950%, 9/21/2021		912,695
90,000	Time Warner Cable LLC, 4.500%, 9/15/2042		81,509
565,000	Time Warner Cable LLC, 5.250%, 7/15/2042, (GBP)(d)		800,170
85,000	Time Warner Cable LLC, 5.500%, 9/01/2041		86,412
1,680,000	Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026, 144A		2,118,423
171,000	TransDigm, Inc., 6.500%, 7/15/2024		178,909
185,000	TransDigm, Inc., 6.500%, 5/15/2025		193,788
6,665,000	TRI Pointe Group, Inc., 4.875%, 7/01/2021		6,798,300
90,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		91,575
5,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024		5,150
870,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		854,775
2,067,261	U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2026(i)		1,999,043
3,330,000	U.S. Treasury Note, 0.750%, 9/30/2018(j)		3,307,496
5,205,000	U.S. Treasury Note, 0.875%, 6/15/2019		5,150,509
4,740,000	U.S. Treasury Note, 1.750%, 11/30/2021		4,704,635
630,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		658,350


Principal Amount (‡)	Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
	United States – continued
$ 2,940,000	United Rentals North America, Inc., 5.500%, 7/15/2025	$	2,998,800
2,635,000	United Rentals North America, Inc., 5.750%, 11/15/2024		2,766,750
106,000	United Rentals North America, Inc., 7.625%, 4/15/2022		111,565
1,940,000	United States Steel Corp., 6.650%, 6/01/2037		1,673,250
690,000	United States Steel Corp., 7.375%, 4/01/2020		740,025
770,000	United States Steel Corp., 7.500%, 3/15/2022		795,025
108,330	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		120,787
56,645	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		62,876
405,224	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		429,537
230,000	USG Corp., 8.250%, 1/15/2018		243,513
25,000	Viacom, Inc., 4.375%, 3/15/2043		19,914
180,000	Viacom, Inc., 4.850%, 12/15/2034		160,465
395,000	Viacom, Inc., 5.250%, 4/01/2044		359,348
145,000	Viacom, Inc., 5.850%, 9/01/2043		142,100
1,380,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		1,518,000
60,000	Weyerhaeuser Co., 6.950%, 10/01/2027		72,174
315,000	Weyerhaeuser Co., 7.375%, 3/15/2032		398,906
1,060,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		1,064,145
590,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		587,546
130,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		130,000
555,000	Whiting Petroleum Corp., 6.500%, 10/01/2018		552,225
55,000	Windstream Services LLC, 7.500%, 6/01/2022		53,900
1,955,000	Windstream Services LLC, 7.500%, 4/01/2023		1,881,687
1,105,000	Windstream Services LLC, 7.750%, 10/01/2021		1,135,940
125,000	Xerox Corp., 6.750%, 2/01/2017		125,452

			270,076,976

	Total Non-Convertible Bonds (Identified Cost $453,887,451)		467,534,889


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – 1.0%
		United States – 1.0%
$	105,000	CalAmp Corp., 1.625%, 5/15/2020	$	101,194
	190,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		176,938
	68,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		68,255
	60,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		64,950
	185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		249,866
	2,290,000	Dish Network Corp., 3.375%, 8/15/2026, 144A		2,606,306
	530,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(k)		718,812
	275,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		258,500
	860,000	Intel Corp., 3.250%, 8/01/2039		1,516,287
	1,000,000	KB Home, 1.375%, 2/01/2019		973,125
	1,690,000	Nuance Communications, Inc., 1.000%, 12/15/2035		1,530,734
	2,200,000	Old Republic International Corp., 3.750%, 3/15/2018		2,752,750
	1,450,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		1,531,562
	1,580,000	Rovi Corp., 0.500%, 3/01/2020		1,594,568
	40,000	RPM International, Inc., 2.250%, 12/15/2020		47,875
	90,000	Trinity Industries, Inc., 3.875%, 6/01/2036		115,144

		Total Convertible Bonds (Identified Cost $12,082,662)		14,306,866

	Municipals – 0.0%
		United States – 0.0%
	155,000	State of Illinois, 5.100%, 6/01/2033		136,992
	130,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		103,534

		Total Municipals (Identified Cost $251,943)		240,526

		Total Bonds and Notes (Identified Cost $466,222,056)		482,082,281

	Senior Loans – 0.2%
		United States – 0.2%
	4,316	Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(h)		4,300
	1,804,688	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(h)		1,819,919


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
	United States – continued
$	1,065,000	Flying Fortress, Inc., New Term Loan, Zero Coupon, 4/30/2020(l)	$	1,067,663
	442,913	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(h)		442,359
	120,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(h)		119,400
	323,603	Supervalu, Inc., Refi Term Loan B, 5.500%, 3/21/2019(h)		325,771

		Total Senior Loans (Identified Cost $3,762,550)		3,779,412


Shares
	Preferred Stocks – 0.1%
	Convertible Preferred Stocks – 0.1%
		United States – 0.1%
	460	Chesapeake Energy Corp., 5.000%(b)		21,381
	40	Chesapeake Energy Corp., 5.750%(b)		21,975
	736	Chesapeake Energy Corp., 5.750%(b)		411,240
	84	Chesapeake Energy Corp., Series A, 5.750% 144A(b)		46,147
	5,544	El Paso Energy Capital Trust I, 4.750%		275,260

		Total Convertible Preferred Stocks (Identified Cost $714,389)		776,003

	Non-Convertible Preferred Stock – 0.0%
		United States – 0.0%
	2,585	Arconic, Inc., 5.375% (Identified Cost $125,174)		77,938

		Total Preferred Stocks (Identified Cost $839,563)		853,941

	Warrants – 0.0%
	2,475	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(b) (Identified Cost $0)		5,692


Principal Amount (‡)
	Short-Term Investments – 1.4%
	43,203	Repurchase Agreement with State Street Bank and Trust Company, dated 12/30/2016 at 0.000% to be repurchased at $43,203 on 1/03/2017 collateralized by $43,600 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $44,091 including accrued interest(m)		43,203
	20,471,985	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2016 at 0.030% to be repurchased at $20,472,053 on 1/03/2017 collateralized by $21,475,000 U.S. Treasury Note, 2.000% due 8/15/2025 valued at $20,883,128 including accrued interest(m)		20,471,985

		Total Short-Term Investments (Identified Cost $20,515,188)		20,515,188

		Total Investments – 99.8% (Identified Cost $1,305,073,138)(a)	$	1,454,449,295
		Other assets less liabilities – 0.2%		2,391,168

		Net Assets – 100.0%	$	1,456,840,463

(‡)	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 as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. 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.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

As of December 31, 2016, securities of the Fund were fair valued as follows:

Equity

securities¹

Percentage of
Net Assets

Securities
classified as
fair valued

Percentage of
Net Assets

Securities fair
valued by the
Fund’s adviser

Percentage of
Net Assets

$243,809,819

16.7%

$3,129,009

0.2%

$125,608

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.

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

(††)	Security held in units. One unit represents a principal amount of 1,000. Amount shown represents principal amount including inflation adjustments.

(†††)

Amount shown represents units. One unit represents a principal amount of 1,000.

(††††)

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

(†††††)

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

(a)	Federal Tax Information (Amounts exclude certain adjustments 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, 2016, the net unrealized appreciation on investments based on a cost of $1,306,065,579 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	$	180,072,299
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(31,688,583	)

Net unrealized appreciation	$	148,383,716

At September 30, 2016, the Fund had a short-term capital loss carryforward of $5,511,225 with no expiration date. This amount may be available to offset future realized capital gains, to the extent provided by regulations.

(b)	Non-income producing security.

(c)	Fair valued by the Fund’s adviser. At December 31, 2016, the value of these securities amounted to $125,608 or less than 0.1% of net assets.

(d)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.

(e)	Perpetual bond with no specified maturity date.

(f)	Illiquid security.

(g)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2016, the value of these securities amounted to $3,129,009 or 0.2% of net assets.

(h)	Variable rate security. Rate as of December 31, 2016 is disclosed.

(i)	Treasury Inflation Protected Security (TIPS).

(j)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

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

(l)	Position is unsettled. Contract rate was not determined at December 31, 2016 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

(m)

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, 2016, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, the value of Rule 144A holdings amounted to $116,066,031 or 8.0% 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
PLN		Polish Zloty
RUB		New Russian Ruble
SEK		Swedish Krona
ZAR		South African Rand

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At December 31, 2016, 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		3/15/2017	Australian Dollar		3,428,000	$	2,469,593	$	75,697
Buy¹		3/15/2017	British Pound		2,370,000		2,925,842		(80,325	)
Buy¹		3/15/2017	Canadian Dollar		15,470,000		11,531,792		(103,716	)
Sell¹		3/15/2017	Canadian Dollar		38,100,000		28,400,859		676,451
Buy²		3/15/2017	Euro		34,725,000		36,680,606		(483,999	)
Sell²		3/15/2017	Euro		2,400,000		2,535,161		(25,109	)
Sell¹		3/15/2017	Indonesian Rupiah		39,600,000,000		2,908,980		22,182
Buy¹		3/15/2017	Japanese Yen		2,486,500,000		21,347,992		(530,294	)
Sell³		3/15/2017	Mexican Peso		75,600,000		3,613,149		87,691
Sell¹		3/15/2017	New Zealand Dollar		8,162,000		5,658,396		141,807
Sell³		3/15/2017	Norwegian Krone		4,200,000		486,597		6,233
Sell⁴		3/15/2017	Polish Zloty		14,420,000		3,441,718		(1,997	)
Sell³		3/15/2017	South African Rand		13,500,000		970,178		7,162
Sell³		3/15/2017	Swedish Krona		3,100,000		341,665		(2,958	)

Total								$	(211,175	)

At December 31, 2016, the Fund had the following open forward cross currency contracts:

Settlement Date

Deliver/Units of Currency

Receive/Units of Currency

Unrealized
Appreciation
(Depreciation)

3/15/2017

Norwegian Krone

14,180,000

Euro¹

1,578,203

24,238

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, 2016, at value:

Asset Valuation Inputs


Description	Level 1		Level 2			Level 3			Total
Common Stocks
France	$	—	$	28,019,253		$	—		$	28,019,253
Hong Kong		—		29,523,933			—			29,523,933
India		13,329,998		7,195,333			—			20,525,331
Italy		—		16,438,401			—			16,438,401
Japan		—		13,077,111			—			13,077,111
Sweden		—		30,725,727			—			30,725,727
Switzerland		—		70,830,702			—			70,830,702
United Kingdom		—		47,999,359			—			47,999,359
United States		586,708,207		—			1,608	(a)		586,709,815
All Other Common Stocks*		103,363,149		—			—			103,363,149

Total Common Stocks		703,401,354		243,809,819			1,608			947,212,781

Bonds and Notes
Non-Convertible Bonds
United States		35,408		269,917,568			124,000	(a)		270,076,976
All Other Non-Convertible Bonds*		—		197,457,913			—			197,457,913

Total Non-Convertible Bonds		35,408		467,375,481			124,000			467,534,889

Convertible Bonds*		—		14,306,866			—			14,306,866

Municipals*		—		240,526			—			240,526

Total Bonds and Notes		35,408		481,922,873			124,000			482,082,281

Senior Loans*		—		2,711,749			1,067,663	(b)		3,779,412

Preferred Stocks
Convertible Preferred Stocks
United States		275,260		479,362			21,381	(b)		776,003

Total Convertible Preferred Stocks		275,260		479,362			21,381			776,003

Non-Convertible Preferred Stock*		77,938		—			—			77.938

Total Preferred Stocks		353,198		479,362			21,381			853,941

Warrants*		5,692		—			—			5,692
Short-Term Investments		—		20,515,188			—			20,515,188
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,041,461			—			1,041,461

Total	$	703,795,652	$	750,480,452		$	1,214,652		$	1,455,490,756


Liability Valuation Inputs

Description	Level 1		Level 2			Level 3			Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(1,228,398	)	$	—		$	(1,228,398	)

*	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.

(b)	Valued using broker-dealer bid prices for which the inputs are unobservable to the Fund.

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, 2016 and/or December 31, 2016:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		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, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2016
Common Stocks
United States	$	1,332	$	—	$	—	$	276	$	—	$	—		$	—	$	—		$	1,608	$	276
Bonds and Notes
Non-Convertible Bonds
United States		118,622		1,145		1,150		10,185		—		(7,102	)		—		—			124,000		11,254
Senior Loans
United States		—		—		—		2,663		1,065,000		—			—		—			1,067,663		2,663
Preferred Stocks
United States		—		—		—		1,658		—		—			19,723		—			21,381		1,658
Warrants		3,776		—		—		—		—		—			—		(3,776	)		—		—

Total	$	123,730	$	1,145	$	1,150	$	14,782	$	1,065,000	$	(7,102	)	$	19,723	$	(3,776	)	$	1,214,652	$	15,851

A debt security valued at $19,723 was transferred from Level 2 to Level 3 during the period ended December 31, 2016. At September 30, 2016, 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, 2016, 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.

Warrants valued at $3,776 was transferred from Level 3 to Level 1 during the period ended December 31, 2016. At September 30, 2016, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the security. At December 31, 2016, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

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, 2016, 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, 2016:


Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	1,041,461


Liabilities	Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(1,228,398	)

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 NAV of the Fund declines beyond a certain threshold. As of December 31, 2016, 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.	$	(1,997	)	$	—
Morgan Stanley & Co.		(509,108	)		808,078

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, 2016:

Maximum Amount

of Loss - Gross

Maximum Amount
of Loss - Net

$1,849,539

298,970

These amounts include cash received as collateral of $430,000.

Industry Summary at December 31, 2016 (Unaudited)


Internet Software & Services	8.6	%
Treasuries	6.0
Capital Markets	5.5
Aerospace & Defense	5.4
Insurance	4.4
Chemicals	4.3
IT Services	4.0
Banking	4.0
Specialty Retail	3.8
Banks	2.9
Internet & Direct Marketing Retail	2.7
Media	2.4
Hotels, Restaurants & Leisure	2.4
Food Products	2.2
Household Durables	2.1
Industrial Conglomerates	2.0
Health Care Providers & Services	2.0
Other Investments, less than 2% each	33.7
Short-Term Investments	1.4

Total Investments	99.8
Other assets less liabilities (including forward foreign currency contracts)	0.2

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2016 (Unaudited)


United States Dollar	73.5	%
Euro	5.8
Swiss Franc	4.9
British Pound	3.5
Canadian Dollar	2.4
Swedish Krona	2.1
Hong Kong Dollar	2.0
Other, less than 2% each	5.6

Total Investments	99.8
Other assets less liabilities (including forward foreign currency contracts)	0.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2016 (Unaudited)

Loomis Sayles Growth Fund


Shares		Description	Value (†)
Common Stocks – 94.5% of Net Assets
		Air Freight & Logistics – 6.0%
	2,934,885	Expeditors International of Washington, Inc.	$	155,431,510
	1,255,386	United Parcel Service, Inc., Class B		143,917,451

				299,348,961

		Beverages – 7.0%
	3,879,473	Coca-Cola Co. (The)		160,842,951
	4,315,612	Monster Beverage Corp.(b)		191,354,236

				352,197,187

		Biotechnology – 4.6%
	679,922	Amgen, Inc.		99,411,396
	354,018	Regeneron Pharmaceuticals, Inc.(b)		129,956,467

				229,367,863

		Capital Markets – 4.9%
	590,285	FactSet Research Systems, Inc.		96,470,277
	3,042,969	SEI Investments Co.		150,200,950

				246,671,227

		Communications Equipment – 4.8%
	7,972,742	Cisco Systems, Inc.		240,936,263

		Consumer Finance – 1.5%
	995,993	American Express Co.		73,783,161

		Energy Equipment & Services – 2.6%
	1,572,634	Schlumberger Ltd.		132,022,624

		Food Products – 3.2%
	12,553,227	Danone S.A., Sponsored ADR		157,919,596

		Health Care Equipment & Supplies – 2.4%
	1,336,835	Varian Medical Systems, Inc.(b)		120,021,046

		Health Care Technology – 2.0%
	2,096,394	Cerner Corp.(b)		99,306,184

		Hotels, Restaurants & Leisure – 2.9%
	2,082,220	Yum China Holdings, Inc.(b)		54,387,587
	1,439,673	Yum! Brands, Inc.		91,174,491

				145,562,078

		Household Products – 3.3%
	1,946,873	Procter & Gamble Co. (The)		163,693,082

		Internet & Direct Marketing Retail – 6.5%
	433,542	Amazon.com, Inc.(b)		325,100,140

		Internet Software & Services – 14.6%
	2,328,980	Alibaba Group Holding Ltd., Sponsored ADR(b)		204,507,734
	165,837	Alphabet, Inc., Class A(b)		131,417,530
	166,479	Alphabet, Inc., Class C(b)		128,491,822


Shares		Description	Value (†)
	Common Stocks – continued
		Internet Software & Services – continued
	2,330,899	Facebook, Inc., Class A(b)	$	268,169,930

				732,587,016

		IT Services – 5.5%
	493,204	Automatic Data Processing, Inc.		50,691,507
	2,902,654	Visa, Inc., Class A		226,465,065

				277,156,572

		Machinery – 2.5%
	1,188,149	Deere & Co.		122,426,873

		Pharmaceuticals – 6.4%
	1,165,008	Merck & Co., Inc.		68,584,021
	1,442,225	Novartis AG, Sponsored ADR		105,051,669
	4,128,339	Novo Nordisk AS, Sponsored ADR		148,042,237

				321,677,927

		Semiconductors & Semiconductor Equipment – 4.8%
	332,889	Analog Devices, Inc.		24,174,399
	3,267,620	QUALCOMM, Inc.		213,048,824

				237,223,223

		Software – 9.0%
	1,873,199	Autodesk, Inc.(b)		138,635,458
	1,983,225	Microsoft Corp.		123,237,601
	4,880,246	Oracle Corp.		187,645,459

				449,518,518

		Total Common Stocks (Identified Cost $4,386,670,495)		4,726,519,541


Principal Amount
	Short-Term Investments – 1.6%
$	79,779,395	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2016 at 0.030% to be repurchased at $79,779,661 on 1/03/2017 collateralized by $83,685,000 U.S. Treasury Note, 2.000% due 8/15/2025 valued at $81,378,558 including accrued interest(c) (Identified Cost $79,779,395)		79,779,395


Description	Value (†)
Total Investments – 96.1% (Identified Cost $4,466,449,890)(a)	$	4,806,298,936
Other assets less liabilities – 3.9%		197,559,187

Net Assets – 100.0%	$	5,003,858,123

(†)

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.

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, 2016, the net unrealized appreciation on investments based on a cost of $4,466,449,890 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	$	450,231,370
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(110,382,324	)

Net unrealized appreciation	$	339,849,046

(b)	Non-income producing security.

(c)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of December 31, 2016, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.


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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2016, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	4,726,519,541	$	—	$	—	$	4,726,519,541
Short-Term Investments		—		79,779,395		—		79,779,395

Total	$	4,726,519,541	$	79,779,395	$	—	$	4,806,298,936

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

For the period ended December 31, 2016 there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2016 (Unaudited)


Internet Software & Services	14.6	%
Software	9.0
Beverages	7.0
Internet & Direct Marketing Retail	6.5
Pharmaceuticals	6.4
Air Freight & Logistics	6.0
IT Services	5.5
Capital Markets	4.9
Communications Equipment	4.8
Semiconductors & Semiconductor Equipment	4.8
Biotechnology	4.6
Household Products	3.3
Food Products	3.2
Hotels, Restaurants & Leisure	2.9
Energy Equipment & Services	2.6
Machinery	2.5
Health Care Equipment & Supplies	2.4
Health Care Technology	2.0
Consumer Finance	1.5
Short-Term Investments	1.6

Total Investments	96.1
Other assets less liabilities	3.9

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2016 (Unaudited)

Loomis Sayles High Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 88.2% of Net Assets
	Non-Convertible Bonds – 85.5%
		ABS Home Equity – 1.9%
$	300,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 3.236%, 6/17/2031, 144A(b)	$	298,268
	117,901	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		120,185
	106,107	Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034		105,176
	143,672	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		147,205
	202,507	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 1.026%, 4/25/2035(b)		158,282
	30,444	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 3.083%, 11/20/2035(b)(c)		27,016
	244,110	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1.066%, 9/19/2045(b)		181,382
	250,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 5.006%, 11/25/2023(b)		264,041
	305,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3, 4.056%, 10/25/2027(b)		319,425
	183,227	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.578%, 7/19/2035(b)		165,044
	71,333	JPMorgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 2.942%, 3/25/2036(b)		51,029
	242,654	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 1.256%, 1/25/2036(b)		155,280
	321,077	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 3.190%, 3/25/2035(b)		272,758
	339,727	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1, 2.989%, 3/25/2035(b)		262,954
	63,762	New York Mortgage Trust, Series 2006-1, Class 2A2, 3.112%, 5/25/2036(b)		57,377
	220,000	VOLT XL LLC, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(b)		209,658
	428,524	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.848%, 1/25/2047(b)		398,924

				3,194,004

		ABS Other – 0.4%
	269,405	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)		259,302
	450,000	Springleaf Funding Trust, Series 2014-AA, Class C, 4.450%, 12/15/2022, 144A		451,106

				710,408

		Aerospace & Defense – 2.9%
	210,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		208,740
	95,000	Engility Corp., 8.875%, 9/01/2024, 144A		99,512


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Aerospace & Defense – continued
$	770,000	KLX, Inc., 5.875%, 12/01/2022, 144A	$	793,100
	1,500,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,518,750
	900,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		973,125
	620,000	TransDigm, Inc., 6.000%, 7/15/2022		644,800
	515,000	TransDigm, Inc., 6.500%, 7/15/2024		538,819

				4,776,846

		Airlines – 0.1%
	77,505	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A		78,651
	107,464	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		109,613

				188,264

		Automotive – 1.0%
	195,000	Allison Transmission, Inc., 5.000%, 10/01/2024, 144A		196,950
	115,000	Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026		114,476
	240,000	Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/2023		247,200
	700,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		722,750
	310,000	Nexteer Automotive Group Ltd., 5.875%, 11/15/2021, 144A		321,625

				1,603,001

		Banking – 4.3%
	1,985,000	Ally Financial, Inc., 4.625%, 3/30/2025		1,955,225
	485,000	Ally Financial, Inc., 5.750%, 11/20/2025		483,788
	6,605,000	Banco Hipotecario S.A., 24.729%, 1/12/2020, 144A, (ARS)(b)		397,862
	1,195,000	Commerzbank AG, 8.125%, 9/19/2023, 144A		1,342,463
	470,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		434,367
	895,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A		854,080
	300,000	Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024		299,124
	335,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		347,966
	1,025,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(d)		1,089,916

				7,204,791


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Brokerage – 0.3%
$	535,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A	$	516,275

		Building Materials – 1.4%
	890,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		822,138
	230,000	Cemex SAB de CV, 5.700%, 1/11/2025, 144A		231,725
	350,000	Cemex SAB de CV, 7.750%, 4/16/2026, 144A		387,625
	50,000	Masco Corp., 6.500%, 8/15/2032		54,231
	345,000	Masco Corp., 7.750%, 8/01/2029		422,231
	245,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		264,600
	180,000	U.S. Concrete, Inc., 6.375%, 6/01/2024		190,350

				2,372,900

		Cable Satellite – 6.8%
	795,000	Altice Financing S.A., 6.625%, 2/15/2023, 144A		816,862
	170,000	Cablevision S.A., 6.500%, 6/15/2021, 144A		172,763
	475,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		488,063
	625,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		643,750
	430,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022		445,050
	15,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		15,675
	865,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A		895,275
	760,000	CSC Holdings LLC, 5.250%, 6/01/2024		742,900
	75,000	CSC Holdings LLC, 6.750%, 11/15/2021		80,625
	220,000	CSC Holdings LLC, 10.125%, 1/15/2023, 144A		254,100
	200,000	CSC Holdings LLC, 10.875%, 10/15/2025, 144A		237,750
	895,000	DISH DBS Corp., 5.125%, 5/01/2020		926,325
	1,620,000	DISH DBS Corp., 5.875%, 11/15/2024		1,666,980
	295,000	DISH DBS Corp., 7.750%, 7/01/2026		332,613
	1,485,000	Unitymedia GmbH, 6.125%, 1/15/2025, 144A		1,525,837
	265,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		272,950
	485,000	Virgin Media Finance PLC, 6.375%, 4/15/2023, 144A		503,794


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Cable Satellite – continued
$	375,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A	$	380,625
	141,963	Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(e)		144,092
	840,000	Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A		818,832

				11,364,861

		Chemicals – 0.9%
	1,510,000	Hercules LLC, 6.500%, 6/30/2029		1,466,588

		Construction Machinery – 0.5%
	15,000	United Rentals North America, Inc., 5.500%, 5/15/2027		14,888
	800,000	United Rentals North America, Inc., 5.750%, 11/15/2024		840,000

				854,888

		Consumer Cyclical Services – 1.0%
	455,000	Interval Acquisition Corp., 5.625%, 4/15/2023		464,100
	1,095,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		1,152,488

				1,616,588

		Consumer Products – 0.2%
	290,000	Avon International Operations, Inc., 7.875%, 8/15/2022, 144A		306,675

		Electric – 1.8%
	520,000	AES Corp. (The), 5.500%, 4/15/2025		517,400
	150,000	AES Corp. (The), 6.000%, 5/15/2026		152,250
	1,502,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(d)		1,708,525
	425,000	NRG Energy, Inc., 6.250%, 7/15/2022		426,063
	100,000	NRG Energy, Inc., 6.625%, 3/15/2023		100,250
	7,816	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		7,816

				2,912,304

		Environmental – 0.3%
	335,000	GFL Environmental, Inc., 7.875%, 4/01/2020, 144A		351,331
	95,000	GFL Environmental, Inc., 9.875%, 2/01/2021, 144A		104,500

				455,831

		Finance Companies – 4.4%
	740,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.500%, 5/15/2021		766,899


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Finance Companies – continued
$	515,000	Aircastle Ltd., 5.500%, 2/15/2022	$	545,900
	600,000	iStar, Inc., 4.000%, 11/01/2017		603,000
	505,000	iStar, Inc., 5.000%, 7/01/2019		506,894
	1,015,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		964,250
	585,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		585,000
	540,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		542,700
	1,335,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		1,298,287
	1,110,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,171,050
	405,000	Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A		395,381

				7,379,361

		Financial Other – 0.9%
	565,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp, 6.000%, 8/01/2020		577,006
	180,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		178,650
	804,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		814,050

				1,569,706

		Food & Beverage – 1.1%
	605,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)		173,803
	840,000	Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A		842,100
	305,000	JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		308,812
	20,000	JBS USA LUX S.A./JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A		20,700
	385,000	Marfrig Holdings Europe BV, 8.000%, 6/08/2023, 144A		397,994

				1,743,409

		Gaming – 1.2%
	175,000	Boyd Gaming Corp., 6.375%, 4/01/2026, 144A		188,475
	375,000	GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026		391,088
	725,000	MGM Resorts International, 6.000%, 3/15/2023		783,000
	600,000	MGM Resorts International, 6.750%, 10/01/2020		667,500

				2,030,063


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Government Owned - No Guarantee – 2.3%
$	725,000		Petrobras Global Finance BV, 4.875%, 3/17/2020	$	716,807
	600,000		Petrobras Global Finance BV, 5.375%, 1/27/2021		586,800
	320,000		Petrobras Global Finance BV, 6.250%, 3/17/2024		306,944
	50,000		Petrobras Global Finance BV, 6.750%, 1/27/2041		42,000
	160,000		Petrobras Global Finance BV, 6.875%, 1/20/2040		137,312
	300,000		Petrobras Global Finance BV, 8.375%, 5/23/2021		323,250
	160,521	(††)	Petroleos Mexicanos, 7.190%, 9/12/2024, 144A, (MXN)		658,246
	129,850	(††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)		512,049
	510,000		YPF S.A., 26.333%, 7/07/2020, 144A(b)		576,300

					3,859,708

			Health Insurance – 0.2%
	365,000		Centene Corp., 6.125%, 2/15/2024		384,619

			Healthcare – 4.3%
	960,000		CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		667,200
	360,000		Envision Healthcare Corp., 5.625%, 7/15/2022		371,160
	260,000		HCA, Inc., 5.375%, 2/01/2025		260,650
	170,000		HCA, Inc., 7.050%, 12/01/2027		174,250
	655,000		HCA, Inc., 7.500%, 12/15/2023		725,412
	145,000		HCA, Inc., 7.500%, 11/06/2033		153,700
	590,000		HCA, Inc., 7.690%, 6/15/2025		641,625
	480,000		HCA, Inc., 8.360%, 4/15/2024		544,800
	820,000		HCA, Inc., MTN, 7.580%, 9/15/2025		883,550
	515,000		HCA, Inc., MTN, 7.750%, 7/15/2036		544,613
	305,000		LifePoint Health, Inc., 5.500%, 12/01/2021		317,200
	65,000		MEDNAX, Inc., 5.250%, 12/01/2023, 144A		66,950
	200,000		Quintiles IMS, Inc., 5.000%, 10/15/2026, 144A		200,500
	310,000		Tenet Healthcare Corp., 5.000%, 3/01/2019		302,250
	675,000		Tenet Healthcare Corp., 6.750%, 6/15/2023		595,687


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	705,000	Tenet Healthcare Corp., 6.875%, 11/15/2031	$	543,731
	125,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		130,313

				7,123,591

		Home Construction – 1.4%
	25,000	Beazer Homes USA, Inc., 8.750%, 3/15/2022, 144A		27,000
	1,200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(c)(f)(g)		12
	750,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(g)(h)		562,500
	800,000	Lennar Corp., 4.750%, 5/30/2025		780,000
	915,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		931,012
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A(c)(f)(g)		2
	900,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(c)(f)(g)		9

				2,300,535

		Independent Energy – 8.7%
	1,205,000	Antero Resources Corp., 5.125%, 12/01/2022		1,217,050
	110,000	Antero Resources Corp., 5.375%, 11/01/2021		112,475
	685,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		604,512
	370,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023(i)		270,100
	650,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021(i)		484,250
	90,000	California Resources Corp., 5.500%, 9/15/2021		70,650
	41,000	California Resources Corp., 6.000%, 11/15/2024		30,084
	460,000	California Resources Corp., 8.000%, 12/15/2022, 144A		409,400
	140,000	Callon Petroleum Co., 6.125%, 10/01/2024, 144A		144,200
	153,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		139,613
	8,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		7,520
	13,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		12,675
	34,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		34,340
	70,000	Concho Resources, Inc., 5.500%, 10/01/2022		72,538
	125,000	Concho Resources, Inc., 5.500%, 4/01/2023		129,538


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	795,000	CONSOL Energy, Inc., 5.875%, 4/15/2022	$	779,100
	645,000	Continental Resources, Inc., 3.800%, 6/01/2024		595,012
	235,000	Continental Resources, Inc., 4.500%, 4/15/2023		230,300
	470,000	Continental Resources, Inc., 5.000%, 9/15/2022		474,413
	690,000	Eclipse Resources Corp., 8.875%, 7/15/2023		720,187
	170,000	Halcon Resources Corp., 8.625%, 2/01/2020, 144A		176,800
	145,000	Matador Resources Co., 6.875%, 4/15/2023		152,250
	410,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		364,900
	250,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		231,250
	585,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		529,425
	185,000	Newfield Exploration Co., 5.625%, 7/01/2024		192,863
	625,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		640,625
	100,000	PDC Energy, Inc., 6.125%, 9/15/2024, 144A		102,250
	405,000	QEP Resources, Inc., 5.250%, 5/01/2023		406,012
	520,000	QEP Resources, Inc., 5.375%, 10/01/2022		521,300
	1,150,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(j)		598,000
	1,025,000	Rice Energy, Inc., 6.250%, 5/01/2022		1,053,187
	565,000	RSP Permian, Inc., 6.625%, 10/01/2022		597,487
	330,000	Sanchez Energy Corp., 6.125%, 1/15/2023		313,500
	920,000	SM Energy Co., 5.000%, 1/15/2024		867,100
	35,000	SM Energy Co., 6.125%, 11/15/2022		35,438
	60,000	SM Energy Co., 6.500%, 1/01/2023		60,975
	190,000	SM Energy Co., 6.750%, 9/15/2026		195,700
	395,000	Southwestern Energy Co., 6.700%, 1/23/2025		403,888
	55,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		55,215
	455,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		453,107

				14,489,229


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Industrial Other – 0.2%
$	330,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A	$	348,975

		Life Insurance – 0.2%
	340,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		339,575

		Local Authorities – 0.5%
	840,000	Provincia de Buenos Aires, 5.750%, 6/15/2019, 144A		875,868

		Lodging – 0.1%
	150,000	Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024, 144A		145,500

		Media Entertainment – 1.1%
	470,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		469,704
	1,155,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022		1,180,988
	125,000	Viacom, Inc., 4.375%, 3/15/2043		99,569

				1,750,261

		Metals & Mining – 2.5%
	1,395,000	ArcelorMittal, 7.750%, 3/01/2041		1,485,675
	180,000	Constellium NV, 4.625%, 5/15/2021, 144A, (EUR)		181,898
	460,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(f)(g)(h)		36,800
	175,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		174,055
	270,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		265,950
	1,375,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024(d)		1,289,062
	85,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		70,339
	245,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A		235,406
	440,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		468,050

				4,207,235

		Midstream – 4.8%
	250,000	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024		252,446
	195,000	AmeriGas Partners LP/AmeriGas Finance Corp., 5.500%, 5/20/2025		196,950
	200,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		207,500
	75,000	Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042		69,877
	30,000	Kinder Morgan Energy Partners LP, 5.000%, 3/01/2043		28,928


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Midstream – continued
$	570,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019	$	565,012
	365,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		373,213
	385,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022		378,262
	985,000	Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021		1,053,950
	480,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025		513,600
	425,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		465,375
	935,000	Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022		911,625
	973,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		985,162
	95,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		90,844
	640,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		646,400
	300,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		310,500
	355,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019		375,413
	360,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022		381,600
	180,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		194,400

				8,001,057

		Non-Agency Commercial Mortgage-Backed Securities – 2.4%
	924,710	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.849%, 5/15/2020, 144A(b)(g)(h)		899,718
	480,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		401,181
	1,690,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.793%, 8/10/2045(b)		1,669,415
	805,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 4.453%, 11/05/2030, 144A(b)		806,201
	125,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)		123,920

				3,900,435

		Oil Field Services – 1.0%
	130,000	Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043		92,343
	430,000	Ensco PLC, 5.750%, 10/01/2044		311,750
	160,000	Noble Holding International Ltd., 5.250%, 3/15/2042		105,600
	160,000	Noble Holding International Ltd., 6.050%, 3/01/2041		110,400
	420,000	Noble Holding International Ltd., 7.750%, 1/15/2024		395,052


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Oil Field Services – continued
$	435,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(f)(g)(h)	$	76,125
	905,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(f)(g)(h)		158,375
	35,000	Parker Drilling Co., 6.750%, 7/15/2022		30,494
	100,000	Rowan Cos., Inc., 5.850%, 1/15/2044		78,000
	280,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		282,626

				1,640,765

		Packaging – 1.4%
	200,000	ARD Finance S.A., PIK, 7.125%, 9/15/2023, 144A(k)		197,500
	395,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.625%, 5/15/2023, 144A		391,793
	200,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.250%, 5/15/2024, 144A		210,750
	755,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		768,213
	775,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		773,062

				2,341,318

		Pharmaceuticals – 2.3%
	1,540,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		1,322,952
	530,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		433,275
	265,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		198,750
	85,000	Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A		65,875
	2,015,000	Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A		1,521,325
	335,000	VRX Escrow Corp., 5.375%, 3/15/2020, 144A		282,238

				3,824,415

		Property & Casualty Insurance – 0.5%
	786,000	HUB International Ltd., 7.875%, 10/01/2021, 144A		830,338

		Refining – 0.2%
	230,000	Ultrapar International S.A., 5.250%, 10/06/2026, 144A		225,377
	140,000	Western Refining, Inc., 6.250%, 4/01/2021		145,250

				370,627

		REITs - Mortgage – 0.1%
	105,000	Starwood Property Trust, Inc., 5.000%, 12/15/2021, 144A		106,407


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Retailers – 1.2%
$	40,000	Dillard’s, Inc., 7.000%, 12/01/2028	$	45,381
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		504,091
	205,000	Dillard’s, Inc., 7.750%, 5/15/2027(d)		240,363
	1,035,000	GameStop Corp., 5.500%, 10/01/2019, 144A		1,059,581
	520,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		81,900

				1,931,316

		Supermarkets – 0.7%
	335,000	Albertsons Cos. LLC/Safeway, Inc./New Albertson’s/Albertson’s LLC, 5.750%, 3/15/2025, 144A		331,650
	935,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		836,825

				1,168,475

		Supranational – 2.5%
	30,700,000	European Bank for Reconstruction & Development, GMTN, 6.400%, 3/04/2019, (INR)		448,663
	5,420,000,000	International Bank for Reconstruction & Development, 4.500%, 8/03/2017, (COP)(d)		1,778,381
	21,150,000	International Bank for Reconstruction & Development, Series GDIF, 5.000%, 5/24/2017, (INR)		310,366
	100,890,000	International Finance Corp., 7.800%, 6/03/2019, (INR)(d)		1,545,215

				4,082,625

		Technology – 7.1%
	1,545,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,610,662
	1,930,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,992,725
	571,000	Blackboard, Inc., 9.750%, 10/15/2021, 144A		585,275
	170,000	Camelot Finance S.A., 7.875%, 10/15/2024, 144A		175,950
	60,000	CommScope Technologies Finance LLC, 6.000%, 6/15/2025, 144A		63,600
	190,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021, 144A		202,146
	1,440,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A		1,559,946
	580,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.125%, 6/15/2024, 144A		643,903
	480,000	Equinix, Inc., 5.375%, 1/01/2022		504,000
	430,000	First Data Corp., 5.000%, 1/15/2024, 144A		432,288
	800,000	First Data Corp., 7.000%, 12/01/2023, 144A		852,000
	55,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		54,725


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Technology – continued
$	360,000		Micron Technology, Inc., 5.500%, 2/01/2025	$	358,200
	210,000		Microsemi Corp., 9.125%, 4/15/2023, 144A		244,650
	515,000		Open Text Corp., 5.625%, 1/15/2023, 144A		538,175
	190,000		Open Text Corp., 5.875%, 6/01/2026, 144A		200,450
	275,000		Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A		282,389
	405,000		Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A		413,100
	235,000		Western Digital Corp., 7.375%, 4/01/2023, 144A		258,500
	755,000		Western Digital Corp., 10.500%, 4/01/2024, 144A		892,788

					11,865,472

			Transportation Services – 0.1%
	275,000		APL Ltd., 8.000%, 1/15/2024(g)(h)		177,719

			Treasuries – 1.9%
	55,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(j)		37,129
	55,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(j)		36,723
	20,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(j)		13,101
	107,066	(††)	Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)(d)		501,533
	263,668	(††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		1,128,574
	131,500	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(d)		618,578
	151,030	(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)(d)		843,115

					3,178,753

			Wireless – 3.6%
	100,000		Altice Luxembourg S.A., 7.250%, 5/15/2022, 144A, (EUR)		112,515
	355,000		Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A		372,750
	785,000		Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A		837,988
	6,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		262,305
	6,100,000		America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		257,837
	605,000		SFR Group S.A., 7.375%, 5/01/2026, 144A		620,125
	786,000		Sprint Capital Corp., 6.875%, 11/15/2028		776,175


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – continued
$	1,420,000	Sprint Corp., 7.250%, 9/15/2021	$	1,508,750
	605,000	T-Mobile USA, Inc., 6.000%, 4/15/2024		637,519
	370,000	T-Mobile USA, Inc., 6.125%, 1/15/2022		390,350
	200,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A		201,500

				5,977,814

		Wirelines – 2.8%
	705,000	CenturyLink, Inc., 7.650%, 3/15/2042		616,875
	30,000	CenturyLink, Inc., Series T, 5.800%, 3/15/2022		30,664
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		126,750
	60,000,000	Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)		14,480
	405,000	Frontier Communications Corp., 9.000%, 8/15/2031		345,262
	340,000	Frontier Communications Corp., 10.500%, 9/15/2022		357,442
	15,000	Frontier Communications Corp., 11.000%, 9/15/2025		15,488
	705,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		724,387
	1,545,000	Level 3 Financing, Inc., 5.250%, 3/15/2026, 144A		1,529,550
	345,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		329,475
	35,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		36,388
	450,000	Telecom Italia SpA, 5.303%, 5/30/2024, 144A		439,875

				4,566,636

		Total Non-Convertible Bonds (Identified Cost $143,119,293)		142,056,031

	Convertible Bonds – 2.7%
		Aerospace & Defense – 0.0%
	25,000	RTI International Metals, Inc., 1.625%, 10/15/2019		25,859

		Building Materials – 0.0%
	25,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		23,281

		Diversified Operations – 0.1%
	160,000	RWT Holdings, Inc., 5.625%, 11/15/2019		161,200

		Healthcare – 0.5%
	475,000	Brookdale Senior Living, Inc., 2.750%, 6/15/2018		462,234


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Healthcare – continued
$	340,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A	$	326,188

				788,422

		Media Entertainment – 0.2%
	265,000	Liberty Media Corp., 2.250%, 9/30/2046, 144A		279,244

		Pharmaceuticals – 1.2%
	604,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		707,812
	200,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		190,250
	655,000	Impax Laboratories, Inc., 2.000%, 6/15/2022		517,041
	540,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		544,388

				1,959,491

		Technology – 0.7%
	55,000	CalAmp Corp., 1.625%, 5/15/2020		53,006
	200,000	Cypress Semiconductor Corp., 4.500%, 1/15/2022, 144A		224,875
	845,000	Nuance Communications, Inc., 1.000%, 12/15/2035		765,367
	205,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		211,919

				1,255,167

		Total Convertible Bonds (Identified Cost $4,480,343)		4,492,664

		Total Bonds and Notes (Identified Cost $147,599,636)		146,548,695

	Senior Loans – 1.9%
		Consumer Cyclical Services – 0.3%
	462,131	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(b)		414,763

		Independent Energy – 0.3%
	531,086	Chesapeake Energy Corp., Term Loan, 8.500%, 8/23/2021(b)		577,333

		Media Entertainment – 0.0%
	26,479	Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(b)		26,380

		Other Utility – 0.2%
	239,394	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		239,095
	95,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		94,525

				333,620


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Supermarkets – 0.3%
$	467,128	Albertsons LLC, USD 2016 Term Loan B4, 8/22/2021(l)	$	472,285

		Wirelines – 0.8%
	1,203,125	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)		1,213,279
	159,324	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(b)		159,026

				1,372,305

		Total Senior Loans (Identified Cost $3,207,899)		3,196,686


Shares
	Preferred Stocks – 2.3%
	Convertible Preferred Stocks – 2.0%
		Food & Beverage – 0.2%
	3,691	Bunge Ltd., 4.875%		376,888

		Midstream – 0.4%
	988	Chesapeake Energy Corp., 5.750%(i)		552,045
	20	Chesapeake Energy Corp., 5.750%, 144A(i)		11,175
	137	Chesapeake Energy Corp., 5.750%(i)		75,264

				638,484

		Pharmaceuticals – 0.9%
	974	Allergan PLC, Series A, 5.500%		742,636
	1,198	Teva Pharmaceutical Industries Ltd., 7.000%		775,466

				1,518,102

		REITs - Mortgage – 0.0%
	437	iStar, Inc., Series J, 4.500%		22,724

		Technology – 0.5%
	7,390	Belden, Inc., 6.750%		780,901

		Total Convertible Preferred Stocks (Identified Cost $3,788,902)		3,337,099

	Non-Convertible Preferred Stocks – 0.3%
		Finance Companies – 0.3%
	12,925	iStar, Inc., Series E, 7.875%		313,432
	7,500	iStar, Inc., Series F, 7.800%		182,850


Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Finance Companies – continued
	550	iStar, Inc., Series G, 7.650%	$	13,200

				509,482

		Total Non-Convertible Preferred Stocks (Identified Cost $417,822)		509,482

		Total Preferred Stocks (Identified Cost $4,206,724)		3,846,581

	Other Investments – 0.6%
		Aircraft ABS – 0.6%
	100	ECAF I Blocker Ltd.(c)(g) (Identified Cost $1,000,000)		982,227

	Common Stocks – 1.9%
		Energy Equipment & Services – 0.0%
	4,625	Hercules Offshore, Inc.(i)		—

		Internet Software & Services – 0.0%
	4,113	Dex Media, Inc.(c)(i)		9,871

		Oil, Gas & Consumable Fuels – 1.7%
	12,992	Halcon Resources Corp.(i)		121,345
	14,882	Kinder Morgan, Inc.		308,206
	8,264	Pacific Exploration and Production Corp.(i)		361,483
	17,250	Rex Energy Corp.(i)		8,128
	162,249	Whiting Petroleum Corp.(i)		1,950,232

				2,749,394

		Pharmaceuticals – 0.2%
	5,539	Bristol-Myers Squibb Co.		323,699

		Total Common Stocks (Identified Cost $5,491,746)		3,082,964

	Warrants – 0.0%
	22,512	Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(i)		124
	3,528	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(i)		8,114
	10,360	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(g)(i)		—
		Total Warrants (Identified Cost $29,892)		8,238


Principal Amount (‡)
	Short-Term Investments – 5.7%
$	44,277	Repurchase Agreement with State Street Bank and Trust Company, dated 12/30/2016 at 0.000% to be repurchased at $44,277 on 1/03/2017 collateralized by $44,700 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $45,204 including accrued interest(m)		44,277
	7,532,135	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2016 at 0.030% to be repurchased at $7,532,160 on 1/03/2017 collateralized by $7,905,000 U.S. Treasury Note, 2.000% due 8/15/2025 valued at $7,687,130 including accrued interest(m)		7,532,135
	1,935,000	U.S. Treasury Bills, 0.793%, 12/07/2017(n)		1,920,420

		Total Short-Term Investments (Identified Cost $9,497,015)		9,496,832


Description	Value (†)
Total Investments – 100.6% (Identified Cost $171,032,912)(a)	$	167,162,223
Other assets less liabilities – (0.6)%		(1,048,554	)

Net Assets – 100.0%	$	166,113,669

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

(†)

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.

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.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

As of December 31, 2016, securities of the Fund included in net assets (reflected at absolute value) were fair valued as follows:


Securities classified as fair valued	Percentage of Net Assets	Securities fair valued by the Fund’s adviser	Percentage of Net Assets
$1,911,237	1.2%	$1,019,137	0.6%

(††)	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, 2016, the net unrealized depreciation on investments based on a cost of $171,263,381 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	$	8,776,218
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(12,877,376	)

Net unrealized depreciation	$	(4,101,158	)

At September 30, 2016, the Fund had a short-term capital loss carryforward of $251,066 with no expiration date and a long-term capital loss carryforward of $2,330,822 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, 2016 is disclosed.

(c)	Fair valued by the Fund’s adviser. At December 31, 2016, the value of these securities amounted to $1,019,137 or 0.6% of net assets.

(d)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative 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, 2016, interest payments were made in cash and additional debt securities.

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

(g)	Illiquid security.

(h)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2016, the value of these securities amounted to $1,911,237 or 1.2% of net assets.

(i)	Non-income producing security.

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

(k)	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, 2016, the issuer has not made any interest payments.

(l)	Position is unsettled. Contract rate was not determined at December 31, 2016 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

(m)

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, 2016, the Fund had an investment in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

144A


ABS		Asset-BackedSecurities
GMTN		GlobalMedium Term Note
MTN		MediumTerm Note
PIK		Payment-in-Kind
REITs		Real Estate Investment Trusts
ARS		ArgentinePeso
BRL		BrazilianReal
COP		ColombianPeso
EUR		Euro
INR		IndianRupee
MXN		MexicanPeso

Forward Foreign Currency Contracts

At December 31, 2016, 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

3/15/2017

Euro

170,000

179,574

2,369

¹ Counterparty is Bank of America, N.A.

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, 2016, at value:

Asset Valuation Inputs


Description		Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity		$	—	$	3,166,988	$	27,016	(a)	$	3,194,004
ABS Other			—		451,106		259,302	(b)		710,408
Airlines			—		109,613		78,651	(b)		188,264
Banking			—		6,806,929		397,862	(b)		7,204,791
Government Owned—No Guarantee			—		3,283,408		576,300	(b)		3,859,708
Home Construction			—		2,300,512		23	(a)		2,300,535
Non-Agency Commercial Mortgage-Backed Securities			—		3,000,717		899,718	(b)		3,900,435
All Other Non-Convertible Bonds*			—		120,697,886		—			120,697,886

Total Non-Convertible Bonds	—				139,817,159		2,238,872			142,056,031

Convertible Bonds*			—		4,492,664		—			4,492,664

Total Bonds and Notes			—		144,309,823		2,238,872			146,548,695

Senior Loans*			—		3,196,686		—			3,196,686
Preferred Stocks
Convertible Preferred Stocks
Midstream			—		638,484		—			638,484
Pharmaceuticals			742,636		775,466		—			1,518,102
REITs—Mortgage			—		22,724		—			22,724
All Other Convertible Preferred Stocks*			1,157,789		—		—			1,157,789



Total Convertible Preferred Stocks		1,900,425			1,436,674		—			3,337,099

Non-Convertible Preferred Stocks*		509,482			—		—			509,482

Total Preferred Stocks		2,409,907			1,436,674		—			3,846,581

Other Investments*		—			—		982,227	(c)		982,227
Common Stocks
Internet Software & Services		—			—		9,871	(a)		9,871
All Other Common Stocks*		3,073,093			—		—			3,073,093

Total Common Stocks		3,073,093			—		9,871			3,082,964

Warrants(d)		8,238	(a)		—		—			8,238
Short-Term Investments		—			9,496,832		—			9,496,832

Total Investments		5,491,238			158,440,015		3,230,970			167,162,223

Forward Foreign Currency Contracts (unrealized appreciation)		—			2,369		—			2,369

Total	$	5,491,238		$	158,442,384	$	3,230,970		$	167,164,592

*	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.

(b)	Valued using broker-dealer bid prices.

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

(d)	Includes a security fair valued at zero using Level 2 inputs.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2016 and/or December 31, 2016:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		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, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	98,704	$	—	$	5,846	$	3,521		$	—	$	(81,055	)	$	—	$	—		$	27,016	$	66
ABS Other		—		—		—		186			—		(5,536	)		264,652		—			259,302		186
Airlines		—		—		—		(113	)		—		(6,451	)		85,215		—			78,651		(113	)
Banking		—		—		—		(36,798	)		434,660		—			—		—			397,862		(36,798	)
Government Owned—No Guarantee		594,150		—		—		(17,850	)		—		—			—		—			576,300		(17,850	)
Home Construction		23		7,651		—		(7,651	)		—		—			—		—			23		(7,651	)
Non-Agency Commercial Mortgage-Backed Securities		908,874		—		—		1,134			—		(10,290	)		—		—			899,718		846
Senior Loans
Wirelines		150,561		—		—		—			—		—			—		(150,561	)		—		—
Other Investments
Aircraft ABS		985,586		—		—		(3,359	)		1,000,000		(1,000,000	)		—		—			982,227		(3,359	)
Common Stocks
Internet Software & Services		8,177		—		—		1,694			—		—			—		—			9,871		1,694
Warrants		5,383		—		—		—			—		—			—		(5,383)			—		—

Total	$	2,751,458	$	7,651	$	5,846		$ (59,236)			$1,434,660	$	(1,103,332	)	$	349,867		$ (155,944)		$	3,230,970	$	(62,979	)

A debt security valued at $264,652 was transferred from Level 2 to Level 3 during the period ended December 31, 2016. At September 30, 2016, 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, 2016, 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.

A debt security valued at $85,215 was transferred from Level 2 to Level 3 during the period ended December 31, 2016. At September 30, 2016, 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, 2016, 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.

A debt security valued at $150,561 was transferred from Level 3 to Level 2 during the period ended December 31, 2016. At September 30, 2016, 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. At December 31, 2016, 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.

Warrants valued at $5,383 were transferred from Level 3 to Level 1 during the period ended December 31, 2016. At September 30, 2016, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the security. At December 31, 2016, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

Derivatives

The following is a summary of derivative instruments for the Fund, as of December 31, 2016:


Assets	Unrealized appreciation forward foreign currency contracts
Over-the-counter liability derivatives Foreign exchange contracts	$	2,369

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, 2016, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty.

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, 2016:

Maximum Amount

of Loss - Gross

Maximum Amount

of Loss - Net

$9,369

Industry Summary at December 31, 2016 (Unaudited)


Independent Energy	9.0	%
Technology	8.3
Cable Satellite	6.8
Midstream	5.2
Healthcare	4.8
Finance Companies	4.7
Pharmaceuticals	4.6
Banking	4.3
Wireless	3.6
Wirelines	3.6
Aerospace & Defense	2.9
Metals & Mining	2.5
Supranational	2.5
Non-Agency Commercial Mortgage-Backed Securities	2.4
Government Owned—No Guarantee	2.3
Other Investments, less than 2% each	27.4
Short-Term Investments	5.7

Total Investments	100.6
Other assets less liabilities (including forward foreign currency contracts)	(0.6	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2016 (Unaudited)

Loomis Sayles Investment Grade Bond Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 95.7% of Net Assets
	Non-Convertible Bonds – 90.1%
		ABS Other – 1.7%
	$ 54,377,704	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4. 625%, 10/15/2043, 144A(b)(c)	$	53,752,361
	11,358,723	Trinity Rail Leasing LLC, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		11,175,756
	32,685,443	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		33,947,689
	2,449,658	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		2,341,789
	5,281,287	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		5,334,891

				106,552,486

		Aerospace & Defense – 3.2%
	15,000,000	Arconic, Inc., 5.400%, 4/15/2021		15,900,000
	15,060,000	Arconic, Inc., 5.870%, 2/23/2022		16,114,200
	45,700,000	Arconic, Inc., 5.900%, 2/01/2027		47,642,250
	5,505,000	Arconic, Inc., 5.950%, 2/01/2037		5,354,989
	5,804,000	Arconic, Inc., 6.750%, 1/15/2028		6,221,888
	2,100,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		1,845,375
	1,295,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,311,188
	1,530,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039		1,654,312
	78,795,000	Textron, Inc., 5.950%, 9/21/2021		87,702,223
	11,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		15,359,032

				199,105,457

		Airlines – 2.2%
	4,013,067	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		4,113,393
	1,977,739	Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021		2,051,904
	18,340,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		19,073,600
	142,131	Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019		144,086
	570,502	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		594,007
	726,614	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		772,027
	45,232,226	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		49,981,610


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
	$ 1,330,108	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024	$	1,529,624
	8,441,017	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		9,697,040
	15,581,728	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		17,144,420
	10,791,924	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		11,358,500
	17,485,414	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		18,840,533
	1,824,922	Virgin Australia Pass Through Certificates, Series 2013-1A, 5.000%, 4/23/2025, 144A		1,891,002

				137,191,746

		Automotive – 1.3%
	23,581,000	Cummins, Inc., 5.650%, 3/01/2098		24,335,050
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		6,298,744
	125,000	Ford Motor Co., 6.500%, 8/01/2018		133,319
	255,000	Ford Motor Co., 6.625%, 2/15/2028		288,930
	240,000	Ford Motor Co., 7.500%, 8/01/2026		289,475
	5,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		5,196,150
	40,126,000	Ford Motor Credit Co. LLC, 6.625%, 8/15/2017		41,347,114
	2,370,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,512,200

				80,400,982

		Banking – 12.6%
	1,468,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,699,210
	7,200,000	American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017		7,422,581
	84,339,000	Bank of America Corp., 6.110%, 1/29/2037		98,870,272
	25,627,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		25,712,594
	100,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		101,211
	25,090,000	Bank of Nova Scotia (The), 2.130%, 6/15/2020, (CAD)		18,904,441
	2,173,000	Bear Stearns Cos. LLC (The), 4.650%, 7/02/2018		2,259,811
	17,000,000	Citigroup, Inc., 3.500%, 5/15/2023		16,945,124
	1,660,000	Citigroup, Inc., 4.500%, 1/14/2022		1,769,852
	22,960,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		16,388,406


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	44,910,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)	$	31,668,060
	3,000,000	Cooperatieve Rabobank UA, 3.875%, 2/08/2022		3,167,442
	86,800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		66,011,702
	1,174,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		1,399,140
	53,805,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		66,440,943
	6,645,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		7,209,732
	700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		701,724
	70,245,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		71,695,981
	36,745,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		25,817,915
	2,950,000	JPMorgan Chase & Co., EMTN, 0.816%, 5/30/2017, (GBP)(d)		3,628,715
	100,000	Keybank NA, 6.950%, 2/01/2028		122,811
	5,100,000	Lloyds Banking Group PLC, 5.300%, 12/01/2045		5,266,663
	40,126,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		43,987,325
	1,845,000	Morgan Stanley, 4.350%, 9/08/2026		1,890,660
	30,000,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		22,263,701
	5,900,000	Morgan Stanley, 5.750%, 1/25/2021		6,546,498
	151,076,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		107,583,782
	60,800,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		44,663,164
	550,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		681,499
	20,695,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		21,243,873
	38,206,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		41,413,776
	2,875,000	National City Bank of Indiana, 4.250%, 7/01/2018		2,970,039
	8,638,000	National City Corp., 6.875%, 5/15/2019		9,507,717

				775,956,364

		Brokerage – 1.3%
	50,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		52,609,616
	19,498,000	Jefferies Group LLC, 6.250%, 1/15/2036		19,885,211


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Brokerage – continued
	$ 8,760,000	Jefferies Group LLC, 6.450%, 6/08/2027	$	9,607,241

				82,102,068

		Building Materials – 1.5%
	6,058,000	Masco Corp., 6.500%, 8/15/2032		6,570,628
	24,203,000	Masco Corp., 7.125%, 3/15/2020		27,228,375
	5,725,000	Masco Corp., 7.750%, 8/01/2029		7,006,593
	41,379,000	Owens Corning, 7.000%, 12/01/2036		49,061,177

				89,866,773

		Cable Satellite – 1.6%
	17,832,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		14,495,232
	13,630,000	Time Warner Cable LLC, 4.125%, 2/15/2021		14,091,266
	2,800,000	Time Warner Cable LLC, 4.500%, 9/15/2042		2,535,837
	64,548,000	Time Warner Cable LLC, 6.750%, 7/01/2018		68,912,736

				100,035,071

		Chemicals – 0.9%
	2,270,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		2,270,000
	50,500,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		50,065,447

				52,335,447

		Construction Machinery – 0.1%
	6,787,000	Toro Co. (The), 6.625%, 5/01/2037(b)(c)		7,443,825

		Consumer Products – 0.1%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		8,344,704

		Diversified Manufacturing – 1.3%
	35,580,000	General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		24,996,738
	51,370,000	General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		35,768,718
	5,305,000	General Electric Co., Series A, MTN, 1.180%, 5/13/2024(d)		4,990,785
	1,395,000	Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018		1,506,989
	11,754,000	Snap-on, Inc., 6.700%, 3/01/2019		12,916,424

				80,179,654


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Electric – 1.7%
	$ 26,999,538	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A	$	29,458,494
	8,175,456	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(c)		2,431,544
	9,066,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		9,148,247
	30,430,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		31,097,026
	4,491,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		5,633,367
	13,025,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		14,551,269
	9,007,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		10,949,801
	3,966,440	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(b)(c)		4,207,167

				107,476,915

		Finance Companies – 3.9%
	18,830,000	International Lease Finance Corp., 4.625%, 4/15/2021		19,512,587
	62,425(††)	Navient Corp., 6.000%, 12/15/2043		1,381,465
	5,615,000	Navient Corp., MTN, 6.125%, 3/25/2024		5,453,569
	7,447,000	Navient Corp., Series A, MTN, 5.000%, 6/15/2018		7,447,000
	90,196,000	Navient LLC, 5.500%, 1/25/2023		87,490,120
	3,280,000	Navient LLC, MTN, 7.250%, 1/25/2022		3,472,700
	641,000	Navient LLC, MTN, 8.000%, 3/25/2020		711,125
	22,116,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(c)		18,245,700
	14,625,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		14,222,813
	18,597,000	Springleaf Finance Corp., 5.250%, 12/15/2019		18,736,478
	39,911,000	Springleaf Finance Corp., 7.750%, 10/01/2021		42,106,105
	17,584,000	Springleaf Finance Corp., 8.250%, 10/01/2023		18,375,280

				237,154,942

		Government Guaranteed – 0.4%
	4,000,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)		3,006,562
	31,142,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		22,336,559

				25,343,121

		Government Owned - No Guarantee – 1.2%
	3,720,000	Abu Dhabi National Energy Co. PJSC, 6.500%, 10/27/2036, 144A		4,541,324


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Government Owned - No Guarantee – continued
	$ 26,975,000	Abu Dhabi National Energy Co. PJSC, 7.250%, 8/01/2018, 144A	$	28,999,851
	12,575,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		12,730,314
	17,435,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		15,232,960
	11,555,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		8,541,456
	1,000,000	Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A		1,254,071

				71,299,976

		Health Insurance – 0.1%
	1,569,000	Cigna Corp., 7.875%, 5/15/2027		2,065,374
	1,174,000	Cigna Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(e)		1,552,670

				3,618,044

		Healthcare – 0.7%
	7,692,000	Boston Scientific Corp., 6.000%, 1/15/2020		8,452,208
	7,374,000	Covidien International Finance S.A., 6.000%, 10/15/2017		7,636,662
	9,385,000	HCA, Inc., 4.500%, 2/15/2027		9,220,762
	4,806,000	HCA, Inc., 7.050%, 12/01/2027		4,926,150
	1,592,000	HCA, Inc., 7.500%, 11/06/2033		1,687,520
	3,807,000	HCA, Inc., 7.690%, 6/15/2025		4,140,113
	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		3,244,410
	4,785,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		3,690,431

				45,670,456

		Home Construction – 0.1%
	3,990,000	PulteGroup, Inc., 6.000%, 2/15/2035		3,830,400
	3,567,000	PulteGroup, Inc., 6.375%, 5/15/2033		3,558,082
	1,615,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024		1,663,450

				9,051,932

		Independent Energy – 1.9%
	7,145,000	California Resources Corp., 8.000%, 12/15/2022, 144A		6,359,050
	7,335,000	Continental Resources, Inc., 3.800%, 6/01/2024		6,766,537


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
	$ 60,038,000	EQT Corp., 6.500%, 4/01/2018	$	63,211,489
	9,787,000	EQT Corp., 8.125%, 6/01/2019		11,011,647
	29,027,000	Noble Energy, Inc., 3.900%, 11/15/2024		29,248,215
	400,000	QEP Resources, Inc., 5.250%, 5/01/2023		401,000
	60,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		60,000

				117,057,938

		Integrated Energy – 0.1%
	7,700,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		8,324,485

		Life Insurance – 1.7%
	1,475,000	American International Group, Inc., 4.875%, 6/01/2022		1,611,843
	600,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(f)		775,344
	5,900,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		6,912,334
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(c)		16,670,040
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		10,795,737
	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(c)		40,143,442
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(c)		7,176,974
	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		3,197,194
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		17,913,707

				105,196,615

		Local Authorities – 2.6%
	37,829,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		28,165,047
	152,895,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		115,209,500
	17,930,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		13,016,900
	489,000	Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)		489,251

				156,880,698

		Lodging – 0.9%
	52,516,000	Choice Hotels International, Inc., 5.700%, 8/28/2020		56,585,990

		Media Entertainment – 0.5%
	4,482,000	21st Century Fox America, Inc., 8.150%, 10/17/2036		6,096,645


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Media Entertainment – continued
	358,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)	$	12,823,783
	5,000,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		3,700,000
	1,805,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		1,757,619
	3,616,000	Viacom, Inc., 6.125%, 10/05/2017		3,719,454

				28,097,501

		Metals & Mining – 2.1%
	1,689,997	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(g)(h)(i)		676
	430,000	ArcelorMittal, 6.500%, 3/01/2021		470,850
	4,085,000	ArcelorMittal, 7.250%, 2/25/2022		4,605,838
	47,920,000	ArcelorMittal, 7.750%, 3/01/2041		51,034,800
	19,365,000	ArcelorMittal, 8.000%, 10/15/2039		21,249,989
	20,625,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		21,192,187
	15,701,000	Freeport-McMoRan, Inc., 6.500%, 11/15/2020, 144A		16,132,777
	4,612,000	United States Steel Corp., 6.650%, 6/01/2037		3,977,850
	3,655,000	Vale Overseas Ltd., 6.875%, 11/21/2036		3,600,175
	4,893,000	Worthington Industries, Inc., 6.500%, 4/15/2020		5,365,801

				127,630,943

		Midstream – 3.2%
	650,000	DCP Midstream LLC, 6.450%, 11/03/2036, 144A		650,000
	3,328,000	Florida Gas Transmission Co. LLC, 7.900%, 5/15/2019, 144A		3,724,182
	14,300,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		15,569,711
	14,660,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		14,459,158
	3,105,000	Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020		3,335,164
	7,461,000	Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021		8,176,420
	85,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		90,100
	33,881,000	ONEOK Partners LP, 4.900%, 3/15/2025		36,341,438
	9,899,000	Panhandle Eastern Pipe Line Co. LP, 6.200%, 11/01/2017		10,187,546
	47,594,000	Panhandle Eastern Pipe Line Co. LP, 7.000%, 6/15/2018		50,208,529


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Midstream – continued
	$ 1,404,000	Panhandle Eastern Pipe Line Co. LP, 8.125%, 6/01/2019	$	1,548,323
	1,880,000	Plains All American Pipeline LP/PAA Finance Corp., 6.125%, 1/15/2017		1,882,296
	15,683,000	Plains All American Pipeline LP/PAA Finance Corp., 6.500%, 5/01/2018		16,573,324
	525,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		532,731
	4,125,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		4,167,958
	19,574,000	Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A		20,157,305
	8,405,000	Williams Partners LP, 3.350%, 8/15/2022		8,273,907

				195,878,092

		Mortgage Related – 0.0%
	22,784	FHLMC, 5.000%, 12/01/2031		24,888
	3,251	FNMA, 6.000%, 7/01/2029		3,715

				28,603

		Natural Gas – 0.6%
	1,745,000	NiSource Finance Corp., 6.125%, 3/01/2022		2,012,451
	8,900,000	NiSource Finance Corp., 6.400%, 3/15/2018		9,373,079
	21,614,000	NiSource Finance Corp., 6.800%, 1/15/2019		23,592,762

				34,978,292

		Non-Agency Commercial Mortgage-Backed Securities – 0.6%
	11,450,000	CDGJ Commercial Mortgage Trust, Series 2014-BXCH, 3.039%, 12/15/2027, 144A(d)		11,406,898
	6,605,207	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		4,914,857
	27,000,000	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)		20,137,638
	2,125,000	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.640%, 3/15/2044, 144A(d)		2,182,681

				38,642,074

		Oil Field Services – 0.1%
	5,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023		5,000,000
	587,000	Transocean, Inc., 7.375%, 4/15/2018		595,805

				5,595,805

		Paper – 1.3%
	363,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		488,555
	7,049,000	International Paper Co., 8.700%, 6/15/2038		10,193,940


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Paper – continued
	$ 5,270,000	WestRock MWV LLC, 7.550%, 3/01/2047(b)(c)	$	6,216,608
	4,273,000	WestRock MWV LLC, 8.200%, 1/15/2030		5,578,299
	26,007,000	Weyerhaeuser Co., 6.875%, 12/15/2033		31,627,789
	7,374,000	Weyerhaeuser Co., 7.375%, 10/01/2019		8,277,949
	13,539,000	Weyerhaeuser Co., 7.375%, 3/15/2032		17,145,370

				79,528,510

		Property & Casualty Insurance – 0.1%
	2,740,000	Fidelity National Financial, Inc., 5.500%, 9/01/2022		2,898,205
	1,889,000	MBIA Insurance Corp., 12.140%, 1/15/2033, 144A(d)(j)		868,940
	2,212,000	XLIT Ltd., 6.250%, 5/15/2027		2,613,383

				6,380,528

		Railroads – 0.2%
	9,787,000	Canadian Pacific Railway Co., 7.250%, 5/15/2019		10,952,544
	237,000	Missouri Pacific Railroad Co., 4.750%, 1/01/2030(b)(c)		227,054
	1,701,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(c)		1,543,628
	191,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)(c)		186,992

				12,910,218

		Real Estate Operations/Development – 0.2%
	10,276,000	First Industrial LP, 5.950%, 5/15/2017		10,433,130

		REITs - Apartments – 0.3%
	16,491,000	Camden Property Trust, 5.700%, 5/15/2017		16,736,650

		REITs - Health Care – 0.1%
	5,972,000	Welltower, Inc., 6.500%, 3/15/2041		7,142,619

		REITs - Office Property – 0.3%
	20,817,000	Highwoods Realty LP, 5.850%, 3/15/2017		20,993,008

		REITs - Single Tenant – 0.6%
	8,690,000	Realty Income Corp., 5.750%, 1/15/2021		9,639,487
	22,701,000	Realty Income Corp., 6.750%, 8/15/2019		25,370,115

				35,009,602


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Restaurants – 0.2%
	$ 10,320,000	Darden Restaurants, Inc., 6.000%, 8/15/2035	$	10,639,466

		Retailers – 0.6%
	1,255,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		1,239,312
	430,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		439,675
	5,979,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		5,029,834
	5,446,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		4,465,720
	10,467,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		11,692,257
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		9,258,698
	3,755,000	PVH Corp., 7.750%, 11/15/2023		4,365,187

				36,490,683

		Sovereigns – 0.6%
	33,600,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		38,322,816

		Supermarkets – 0.7%
	4,510,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 6/15/2024, 144A		4,701,675
	1,120,000	Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040		1,241,064
	3,269,000	Kroger Co. (The), 6.400%, 8/15/2017		3,366,155
	6,595,000	New Albertson’s, Inc., 7.450%, 8/01/2029		6,232,275
	7,875,000	New Albertson’s, Inc., 8.000%, 5/01/2031		7,540,312
	989,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		885,155
	17,290,000	SUPERVALU, Inc., 6.750%, 6/01/2021		17,462,900

				41,429,536

		Supranational – 0.3%
	9,640,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		7,704,248
	12,982,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		9,306,669

				17,010,917

		Technology – 0.8%
	1,028,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		1,092,516
	7,487,000	Corning, Inc., 7.250%, 8/15/2036		8,839,729
	7,594,000	Ingram Micro, Inc., 5.250%, 9/01/2017		7,705,670


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Technology – continued
	$ 7,795,000		Intuit, Inc., 5.750%, 3/15/2017	$	7,864,157
	16,735,000		KLA-Tencor Corp., 5.650%, 11/01/2034		17,482,536
	1,502,000		Motorola Solutions, Inc., 6.625%, 11/15/2037		1,555,741
	1,551,000		Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		1,902,922

					46,443,271

			Treasuries – 28.5%
	132,000,000		Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)		97,446,900
	209,501,000		Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)		157,343,029
	61,795,000		Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)		47,120,040
	391,985,000		Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		2,589,901
	1,195,394,000		Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		7,638,425
	2,755,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		13,265,635
	2,965,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		14,234,958
	7,555,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		37,804,430
	1,925,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		9,876,995
	23,970,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		133,810,940
	36,850,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		27,084,969
	109,763,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		79,150,037
	290,574,000		Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		37,472,129
	974,276,000		Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		114,351,786
	416,760,000		Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		52,528,743
	43,590,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		11,718,822
	23,848,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		6,786,865
	75,000,000		U.S. Treasury Note, 0.500%, 3/31/2017		75,003,450
	150,000,000		U.S. Treasury Note, 0.625%, 6/30/2018		149,056,650
	125,000,000		U.S. Treasury Note, 0.750%, 1/31/2018		124,736,375
	205,000,000		U.S. Treasury Note, 0.750%, 8/31/2018		203,734,740


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	$ 350,000,000	U.S. Treasury Note, 0.750%, 9/30/2018	$	347,634,700

				1,750,390,519

		Wireless – 0.6%
	559,910,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		24,477,907
	58,200,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		2,460,023
	6,373,000	Sprint Capital Corp., 6.875%, 11/15/2028		6,293,337
	612,000	Sprint Capital Corp., 8.750%, 3/15/2032		673,200
	1,609,000	Sprint Communications, Inc., 6.000%, 11/15/2022		1,621,068
	985,000	Sprint Corp., 7.125%, 6/15/2024		1,014,550

				36,540,085

		Wirelines – 4.5%
	33,710,000	AT&T, Inc., 2.625%, 12/01/2022		32,321,788
	26,815,000	AT&T, Inc., 3.000%, 2/15/2022		26,553,259
	406,000	Bell Canada, Inc., MTN, 7.300%, 2/23/2032, (CAD)		404,059
	2,936,000	BellSouth Telecommunications LLC, 5.850%, 11/15/2045		2,737,086
	17,235,000	CenturyLink, Inc., 6.450%, 6/15/2021		18,139,837
	670,000	CenturyLink, Inc., 7.650%, 3/15/2042		586,250
	4,990,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		4,515,950
	4,508,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		3,933,230
	195,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		190,125
	24,103,000	Embarq Corp., 7.995%, 6/01/2036		22,596,562
	265,000	Frontier Communications Corp., 7.875%, 1/15/2027		219,288
	1,365,000	Frontier Communications Corp., 9.000%, 8/15/2031		1,163,662
	5,200,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(g)		337,512
	8,450,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(g)		2,677,364
	18,850,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(g)		6,101,557
	2,755,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		2,500,162
	4,370,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		4,522,950


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
	$ 3,469,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031	$	3,156,790
	333,000	Qwest Corp., 6.500%, 6/01/2017		339,061
	12,308,000	Qwest Corp., 6.875%, 9/15/2033		11,751,814
	9,077,000	Qwest Corp., 7.250%, 9/15/2025		9,737,325
	9,474,000	Qwest Corp., 7.250%, 10/15/2035		8,971,452
	3,185,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,946,125
	7,955,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		7,597,025
	4,100,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		5,899,048
	9,100,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		13,387,691
	14,137,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		10,606,777
	54,665,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		44,377,321
	32,509,000	Verizon Communications, Inc., 2.450%, 11/01/2022		31,400,703

				279,671,773

		Total Non-Convertible Bonds (Identified Cost $5,770,311,549)		5,540,100,330

	Convertible Bonds – 5.3%
		Finance Companies – 0.1%
	3,905,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		4,520,038

		Midstream – 0.1%
	5,470,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		5,490,512

		Property & Casualty Insurance – 1.0%
	49,186,000	Old Republic International Corp., 3.750%, 3/15/2018		61,543,982

		Technology – 4.1%
	106,061,000	Intel Corp., 3.250%, 8/01/2039		186,998,801
	11,515,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		20,201,628
	357,678	Liberty Interactive LLC, 3.500%, 1/15/2031		335,490
	46,000,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		48,587,500

				256,123,419

		Total Convertible Bonds (Identified Cost $219,801,345)		327,677,951


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – 0.3%
		Illinois – 0.1%
	$ 9,150,000	State of Illinois, 5.100%, 6/01/2033	$	8,086,953

		Michigan – 0.0%
	2,240,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		2,062,256

		Virginia – 0.2%
	10,740,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		8,553,443
		Total Municipals (Identified Cost $19,906,863)		18,702,652

		Total Bonds and Notes (Identified Cost $6,010,019,757)		5,886,480,933

	Senior Loans – 0.5%
		Finance Companies – 0.5%
	18,033,383	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.630%, 7/16/2018(d)		18,153,666
	9,135,839	AWAS Finance Luxembourg S.a.r.l., Term Loan B, 4.210%, 6/10/2018(d)		9,187,274

				27,340,940

		Total Senior Loans (Identified Cost $27,139,295)		27,340,940


Shares
	Common Stocks – 1.0%
		Automobiles – 0.8%
	4,063,816	Ford Motor Co.		49,294,088

		Metals & Mining – 0.1%
	532,399	ArcelorMittal, (Registered)(j)		3,886,513

		REITs - Diversified – 0.1%
	322,350	Weyerhaeuser Co.		9,699,511

		Total Common Stocks (Identified Cost $50,980,762)		62,880,112

	Preferred Stocks – 0.0%
		Midstream – 0.0%
	43,031	Chesapeake Energy Corp., 5.000%(j) (Identified Cost $3,673,619)		2,000,081


Principal Amount (‡)
	Short-Term Investments – 1.3%
	$ 81,473,805	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2016 at 0.030% to be repurchased at $81,474,077 on 1/03/2017 collateralized by $85,460,000 U.S. Treasury Note, 2.000% due 8/15/2025 valued at $83,104,637 including accrued interest(k) (Identified Cost $81,473,805)		81,473,805


Description	Value (†)
Total Investments – 98.5% (Identified Cost $6,173,287,238)(a)	$	6,060,175,871
Other assets less liabilities – 1.5%		89,572,236

Net Assets – 100.0%	$	6,149,748,107

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

(†)

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.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

As of December 31, 2016, securities of the Fund were fair valued as follows:

Securities

classified as

fair valued

Percentage of
Net Assets

Securities fair
valued by the
Fund’s adviser

Percentage of
Net Assets

$158,245,335

2.6

676

Less than 0.1

(††)	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, 2016, the net unrealized depreciation on investments based on a cost of $6,215,617,466 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost		$408,208,519
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(563,650,114)

Net unrealized depreciation		$(155,441,595)

(b)	Illiquid security.

(c)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2016, the value of these securities amounted to $158,245,335 or 2.6% of net assets.

(d)	Variable rate security. Rate as of December 31, 2016 is disclosed.

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

(f)	Perpetual bond with no specified maturity date.

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

(h)	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.

(i)	Fair valued by the Fund’s adviser. At December 31, 2016, the value of this security amounted to $676 or less than 0.1% of net assets.

(j)	Non-income producing security.

(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, 2016, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

144A


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
AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
EUR		Euro
GBP		British Pound
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, 2016, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	18,852,436	$	87,700,050	(a)	$	106,552,486
Finance Companies		1,381,465		235,773,477		—			237,154,942
Metals & Mining		—		127,630,267		676	(b)		127,630,943
All Other Non-Convertible Bonds*		—		5,068,761,959		—			5,068,761,959

Total Non-Convertible Bonds		1,381,465		5,451,018,139		87,700,726			5,540,100,330

Convertible Bonds*		—		327,677,951		—			327,677,951
Municipals*		—		18,702,652		—			18,702,652

Total Bonds and Notes		1,381,465		5,797,398,742		87,700,726			5,886,480,933

Senior Loans*		—		27,340,940		—			27,340,940
Common Stocks*		62,880,112		—		—			62,880,112
Preferred Stocks*		—		—		2,000,081	(a)		2,000,081

Short-Term Investments		—		81,473,805		—			81,473,805

Total	$	64,261,577	$	5,906,213,487	$	89,700,807		$	6,060,175,871

*	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.

and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2016 and/or December 31, 2016:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		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, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	90,763,489	$	—	$	11,464		$	(1,981,180	)	$	—	$	(1,093,723	)	$	—	$	—	$	87,700,050	$	(1,947,964	)
Metals & Mining		676		2,782		—			(2,782	)		—		—			—		—		676		(2,782	)
Non-Agency Commercial Mortgage-Backed Securities		18,290,710		—		(32,180	)		41,470			—		(18,300,000	)		—		—		—		—
Preferred Stocks
Midstream		—		—		—			155,127			—		—			1,844,954		—		2,000,081		155,127

Total	$	109,054,875	$	2,782	$	(20,716	)	$	(1,787,365	)	$	—	$	(19,393,723	)	$	1,844,954	$	—	$	89,700,807	$	(1,795,619	)

A debt security valued at $1,844,954 was transferred from Level 2 to Level 3 during the period ended December 31, 2016. At September 30, 2016, 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, 2016, 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.

Industry Summary at December 31, 2016 (Unaudited)


Treasuries	28.5	%
Banking	12.6
Technology	4.9
Wirelines	4.5
Finance Companies	4.5
Midstream	3.3
Aerospace & Defense	3.2
Local Authorities	2.6
Airlines	2.2
Metals & Mining	2.2
Other Investments, less than 2% each	28.7
Short-Term Investments	1.3

Total Investments	98.5
Other assets less liabilities	1.5

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2016 (Unaudited)


United States Dollar	71.8	%
Canadian Dollar	7.9
New Zealand Dollar	6.3
Mexican Peso	4.1
Australian Dollar	3.8
Norwegian Krone	3.4
Other, less than 2% each	1.2

Total Investments	98.5
Other assets less liabilities	1.5

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2016 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 96.1% of Net Assets
		ABS Car Loan – 1.9%
$	1,550,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A	$	1,546,664
	1,704,479	CPS Auto Receivables Trust, Series 2015-C, Class A, 1.770%, 6/17/2019, 144A		1,706,764
	1,891,929	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A		1,894,566
	1,825,000	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A, 2.420%, 11/15/2023, 144A		1,822,964
	2,875,000	Credit Acceptance Auto Loan Trust, Series 2016-3A, Class A, 2.150%, 4/15/2024, 144A		2,852,486
	330,349	First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A		330,326
	2,310,000	Flagship Credit Auto Trust, Series 2016-4, Class A2, 1.960%, 2/15/2021, 144A		2,294,854
	3,500,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		3,499,995
	725,000	NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A2, 2.740%, 4/15/2021, 144A		728,879

				16,677,498

		ABS Home Equity – 0.7%
	2,391,767	Home Partners of America Trust, Series 2016-1, Class A, 2.386%, 3/17/2033, 144A(b)		2,408,657
	1,476,791	Mill City Mortgage Trust, Series 2015-1, Class A1, 2.230%, 6/25/2056, 144A(b)		1,479,175
	1,708,344	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(b)		1,707,885

				5,595,717

		ABS Student Loan – 0.0%
	381,847	SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1.706%, 1/25/2039, 144A(b)		381,824

		Agency Commercial Mortgage-Backed Securities – 18.0%
	6,658,115	Federal National Mortgage Association, Series 2015-M17, Class FA, 1.458%, 11/25/2022(b)		6,684,502
	1,000,000	Federal National Mortgage Association, Series 2016-M3, Class ASQ2, 2.263%, 2/25/2023		981,524
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,351,290
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,576,697
	4,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021		4,168,567
	6,625,000	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021		6,795,949
	3,491,968	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		3,540,611
	689,914	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		698,518
	2,584,841	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018		2,617,662


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Agency Commercial Mortgage-Backed Securities – continued
$	7,854,572	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019	$	7,925,615
	34,370,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		34,340,060
	5,040,000	FHLMC Multifamily Structured Pass Through Certificates, Series KABM, Class A, 1.234%, 9/25/2022(b)		5,049,118
	1,558,704	FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 0.864%, 11/25/2021(b)		1,555,358
	10,616,200	FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, 1.184%, 1/25/2023(b)		10,626,726
	5,018,694	FHLMC Multifamily Structured Pass Through Certificates, Series KJ04, Class A1, 1.376%, 10/25/2020		4,974,121
	19,300,000	FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1.324%, 11/25/2022(b)		19,325,198
	26,135,000	FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019		26,046,656
	213,002	Government National Mortgage Association, Series 2003-72, Class Z, 5.249%, 11/16/2045(b)		226,557
	190,937	Government National Mortgage Association, Series 2003-88, Class Z, 4.878%, 3/16/2046(b)		201,416
	8,122,914	Government National Mortgage Association, Series 2013-52, Class KX, 3.538%, 8/16/2051(b)		8,427,523

				155,113,668

		Collateralized Mortgage Obligations – 16.6%
	91,774	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 1.860%, 5/15/2023(b)(c)		87,712
	61,538	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.610%, 8/15/2023(b)(c)		59,864
	239,605	Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029(c)		256,996
	855,384	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		883,465
	1,439,727	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020		1,461,844
	1,779,542	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035		1,991,360
	2,711,583	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035		2,961,218
	79,766	Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034(c)		78,932
	2,752,903	Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038		2,947,457
	1,950,451	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.181%, 6/15/2048(b)		1,894,196
	2,283,832	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.240%, 12/15/2036(b)		2,372,418
	817,491	Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 2.804%, 6/15/2043(b)		769,451
	1,784,866	Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033		2,000,812
	64,045	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 2.290%, 9/25/2022(b)(c)		63,098
	60,128	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.840%, 4/25/2024(b)(c)		58,584
	17,938	Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 4.169%, 8/25/2042(b)(c)		19,140


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	982,035	Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025	$	1,066,103
	285,991	Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034(c)		285,232
	1,113,685	Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 0.816%, 7/25/2037(b)		1,088,277
	2,144,065	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.482%, 8/25/2038(b)		2,219,824
	5,412,360	Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1.756%, 7/25/2043(b)		5,295,013
	44,923	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.890%, 4/25/2023(b)(c)		43,792
	11,270	FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.495%, 3/25/2044(b)(c)		11,778
	840,538	FHLMC Structured Pass Through Securities, Series T-62, Class 1A1, 1.741%, 10/25/2044(b)		861,623
	1,336,487	Government National Mortgage Association, Series 2010-H20, Class AF, 0.860%, 10/20/2060(b)		1,322,000
	1,201,411	Government National Mortgage Association, Series 2010-H24, Class FA, 0.880%, 10/20/2060(b)		1,188,589
	1,070,209	Government National Mortgage Association, Series 2011-H06, Class FA, 0.980%, 2/20/2061(b)		1,063,222
	1,875,896	Government National Mortgage Association, Series 2012-124, Class HT, 7.274%, 7/20/2032(b)		2,119,709
	2,597,231	Government National Mortgage Association, Series 2012-H15, Class FA, 0.980%, 5/20/2062(b)		2,596,386
	1,217,766	Government National Mortgage Association, Series 2012-H18, Class NA, 1.050%, 8/20/2062(b)		1,213,731
	5,851,580	Government National Mortgage Association, Series 2012-H29, Class HF, 1.030%, 10/20/2062(b)		5,853,913
	5,107,978	Government National Mortgage Association, Series 2013-H02, Class GF, 1.030%, 12/20/2062(b)		5,111,471
	4,775,898	Government National Mortgage Association, Series 2013-H08, Class FA, 0.880%, 3/20/2063(b)		4,726,925
	3,531,970	Government National Mortgage Association, Series 2013-H10, Class FA, 0.930%, 3/20/2063(b)		3,505,240
	11,884,232	Government National Mortgage Association, Series 2013-H22, Class FT, 1.320%, 4/20/2063(b)		11,968,389
	6,761,396	Government National Mortgage Association, Series 2014-H14, Class FA, 1.030%, 7/20/2064(b)		6,720,019
	4,674,619	Government National Mortgage Association, Series 2014-H15, Class FA, 1.030%, 7/20/2064(b)		4,642,965
	4,939,868	Government National Mortgage Association, Series 2015-H05, Class FA, 0.830%, 4/20/2061(b)		4,905,255
	12,092,109	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		12,056,489
	10,373,296	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		10,174,538
	2,789,981	Government National Mortgage Association, Series 2015-H11, Class FA, 0.780%, 4/20/2065(b)		2,774,590
	6,443,649	Government National Mortgage Association, Series 2015-H19, Class FH, 0.830%, 7/20/2065(b)		6,421,236
	2,029,794	Government National Mortgage Association, Series 2015-H29, Class FA, 1.230%, 10/20/2065(b)		2,029,538
	1,323,695	Government National Mortgage Association, Series 2015-H30, Class FA, 1.210%, 8/20/2061(b)		1,322,325


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	6,884,946	Government National Mortgage Association, Series 2016-H06, Class FC, 1.450%, 2/20/2066(b)	$	6,895,470
	4,846,427	Government National Mortgage Association, Series 2016-H10, Class FJ, 1.130%, 4/20/2066(b)		4,856,288
	8,759,892	Government National Mortgage Association, Series 2016-H19, Class FJ, 0.930%, 9/20/2063(b)		8,711,287
	338,186	NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.999%, 12/07/2020(b)		337,446
	812,364	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 1.102%, 10/07/2020(b)		813,296
	1,305,121	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 1.212%, 12/08/2020(b)		1,308,595
	86,395	NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 1.212%, 12/08/2020(b)		86,802

				143,503,903

		Government Sponsored – 1.6%
	13,510,000	Federal Home Loan Bank, 1.000%, 9/26/2019		13,349,015

		Hybrid ARMs – 11.4%
	721,657	FHLMC, 2.677%, 4/01/2036(b)		748,155
	887,993	FHLMC, 2.703%, 9/01/2038(b)		935,532
	2,021,142	FHLMC, 2.720%, 7/01/2033(b)		2,132,989
	316,085	FHLMC, 2.743%, 9/01/2038(b)		334,866
	3,330,397	FHLMC, 2.785%, 2/01/2036(b)		3,513,838
	5,453,017	FHLMC, 2.785%, 3/01/2037(b)		5,769,873
	1,300,814	FHLMC, 2.799%, 9/01/2038(b)		1,376,352
	1,569,007	FHLMC, 2.881%, 2/01/2036(b)		1,657,925
	651,044	FHLMC, 2.909%, 11/01/2038(b)		691,225
	1,379,220	FHLMC, 2.932%, 3/01/2036(b)		1,464,712
	560,949	FHLMC, 2.963%, 2/01/2035(b)		592,054
	2,626,880	FHLMC, 2.976%, 4/01/2037(b)		2,778,610
	968,254	FHLMC, 2.986%, 6/01/2037(b)		1,001,259
	2,309,371	FHLMC, 3.012%, 9/01/2035(b)		2,448,262
	1,515,995	FHLMC, 3.013%, 3/01/2038(b)		1,610,232
	827,908	FHLMC, 3.063%, 11/01/2038(b)		879,167
	874,305	FHLMC, 3.086%, 4/01/2037(b)		925,530
	137,728	FHLMC, 3.179%, 12/01/2037(b)		142,715


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Hybrid ARMs – continued
$	707,830	FHLMC, 3.207%, 3/01/2037(b)	$	751,689
	578,005	FHLMC, 3.226%, 12/01/2034(b)		612,698
	240,740	FNMA, 2.422%, 2/01/2037(b)		251,493
	1,266,663	FNMA, 2.549%, 1/01/2036(b)		1,344,709
	1,819,815	FNMA, 2.651%, 7/01/2035(b)		1,906,141
	626,679	FNMA, 2.663%, 9/01/2034(b)		658,670
	844,887	FNMA, 2.692%, 9/01/2036(b)		887,798
	2,592,694	FNMA, 2.701%, 11/01/2033(b)		2,735,444
	4,472,487	FNMA, 2.727%, 4/01/2034(b)		4,720,221
	1,407,804	FNMA, 2.744%, 6/01/2036(b)		1,493,826
	337,287	FNMA, 2.761%, 4/01/2033(b)		354,860
	3,153,300	FNMA, 2.762%, 4/01/2037(b)		3,327,440
	621,839	FNMA, 2.765%, 12/01/2034(b)		651,745
	5,807,259	FNMA, 2.768%, 10/01/2034(b)		6,120,546
	4,853,577	FNMA, 2.779%, 9/01/2037(b)		5,133,925
	3,282,458	FNMA, 2.787%, 7/01/2035(b)		3,461,188
	1,858,708	FNMA, 2.795%, 10/01/2033(b)		1,966,682
	1,827,908	FNMA, 2.795%, 4/01/2037(b)		1,932,159
	1,362,673	FNMA, 2.802%, 6/01/2033(b)		1,439,788
	871,506	FNMA, 2.806%, 2/01/2037(b)		922,705
	3,980,622	FNMA, 2.808%, 6/01/2037(b)		4,224,886
	1,670,313	FNMA, 2.841%, 8/01/2035(b)		1,764,451
	1,362,322	FNMA, 2.845%, 4/01/2034(b)		1,438,044
	413,221	FNMA, 2.905%, 8/01/2035(b)		437,905
	1,127,780	FNMA, 2.906%, 8/01/2034(b)		1,201,677
	400,802	FNMA, 2.907%, 8/01/2038(b)		416,608
	1,597,174	FNMA, 2.924%, 2/01/2047(b)		1,679,392
	4,894,619	FNMA, 2.930%, 3/01/2037(b)		5,172,822


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Hybrid ARMs – continued
$	307,662	FNMA, 2.932%, 8/01/2033(b)	$	325,978
	2,969,484	FNMA, 2.937%, 9/01/2037(b)		3,141,509
	990,063	FNMA, 2.963%, 5/01/2035(b)		1,047,736
	677,913	FNMA, 3.009%, 7/01/2041(b)		709,189
	403,012	FNMA, 3.040%, 3/01/2034(b)		424,554
	447,900	FNMA, 3.051%, 8/01/2036(b)		474,195
	498,084	FNMA, 3.089%, 11/01/2035(b)		525,757
	647,256	FNMA, 3.105%, 10/01/2033(b)		684,236
	3,713,773	FNMA, 3.190%, 7/01/2037(b)		3,924,530
	1,374,942	FNMA, 3.723%, 6/01/2035(b)		1,454,846

				98,725,338

		Mortgage Related – 16.8%
	107,798	FHLMC, 3.000%, 10/01/2026		110,689
	758,303	FHLMC, 4.000%, with various maturities from 2024 to 2042(d)		797,659
	560,423	FHLMC, 4.500%, with various maturities from 2025 to 2034(d)		591,188
	236,137	FHLMC, 5.500%, 10/01/2023		252,513
	284,453	FHLMC, 5.775%, 6/01/2020(b)		296,548
	450,398	FHLMC, 5.905%, 8/01/2020(b)		472,354
	263,724	FHLMC, 5.913%, 10/01/2020(b)		277,742
	342,013	FHLMC, 5.952%, 11/01/2020(b)		360,495
	18,651	FHLMC, 6.000%, 11/01/2019		19,357
	362,417	FHLMC, 6.500%, with various maturities from 2017 to 2034(d)		412,295
	427	FHLMC, 7.500%, 6/01/2026		480
	855	FHLMC, 10.000%, 7/01/2019		878
	15,090	FHLMC, 11.500%, 4/01/2020		15,334
	182,671	FNMA, 3.000%, 3/01/2042		182,430
	2,135,093	FNMA, 5.000%, with various maturities from 2037 to 2038(d)		2,344,509
	1,141,319	FNMA, 5.500%, with various maturities from 2018 to 2033(d)		1,246,727
	1,545,385	FNMA, 6.000%, with various maturities from 2017 to 2022(d)		1,666,595


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
	$ 224,733	FNMA, 6.500%, with various maturities from 2017 to 2037(d)	$	254,622
	11,614	FNMA, 7.000%, 12/01/2022		11,642
	89,028	FNMA, 7.500%, with various maturities from 2017 to 2032(d)		99,429
	4,260,965	GNMA, 2.226%, 2/20/2061(b)		4,416,344
	3,182,329	GNMA, 2.412%, 2/20/2063(b)		3,313,246
	4,361,522	GNMA, 2.699%, 3/20/2063(b)		4,571,094
	1,205,946	GNMA, 2.795%, 6/20/2065(b)		1,284,336
	1,196,241	GNMA, 2.801%, 5/20/2065(b)		1,274,249
	2,414,867	GNMA, 2.894%, 2/20/2063(b)		2,540,987
	3,335,357	GNMA, 4.424%, 6/20/2063		3,547,185
	1,963,497	GNMA, 4.444%, 3/20/2063		2,075,517
	1,855,816	GNMA, 4.460%, 2/20/2063		1,956,003
	4,094,324	GNMA, 4.481%, 2/20/2062		4,294,496
	4,786,410	GNMA, 4.491%, 10/20/2065		5,177,063
	4,169,805	GNMA, 4.528%, 12/20/2061		4,355,887
	6,850,308	GNMA, 4.541%, 12/20/2062		7,225,506
	16,261,195	GNMA, 4.546%, 12/20/2061		16,964,516
	1,909,095	GNMA, 4.553%, 3/20/2062		1,997,114
	599,159	GNMA, 4.589%, 7/20/2063		643,551
	11,345,537	GNMA, 4.591%, 11/20/2062		11,973,178
	3,856,219	GNMA, 4.592%, 6/20/2062		4,044,628
	1,404,043	GNMA, 4.594%, 4/20/2063		1,489,544
	1,147,043	GNMA, 4.596%, 8/20/2061		1,192,167
	2,192,149	GNMA, 4.606%, 2/20/2066		2,366,497
	1,671,528	GNMA, 4.633%, 3/20/2062		1,749,204
	1,867,493	GNMA, 4.634%, 3/20/2064		2,010,378
	2,126,861	GNMA, 4.650%, 11/20/2063		2,292,299
	455,337	GNMA, 4.659%, 1/20/2064		492,237


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
$	6,563,692	GNMA, 4.672%, 2/20/2062	$	6,874,497
	7,637,349	GNMA, 4.684%, 8/20/2061		7,883,266
	3,057,655	GNMA, 4.686%, 2/20/2062		3,197,205
	1,762,308	GNMA, 4.687%, 5/20/2064		1,912,472
	1,279,442	GNMA, 4.699%, 6/20/2061		1,315,146
	6,847,242	GNMA, 4.700%, with various maturities in 2061(d)		7,092,963
	1,346,693	GNMA, 4.716%, 3/20/2061		1,389,521
	1,227,952	GNMA, 4.751%, 8/20/2062		1,285,210
	529,440	GNMA, 5.067%, 4/20/2061		554,810
	18,068	GNMA, 6.000%, 12/15/2031		20,999
	76,252	GNMA, 6.500%, 5/15/2031		88,349
	74,243	GNMA, 7.000%, 10/15/2028		82,868
	4,185,705	Government National Mortgage Association, Series 2015-H04, Class FL, 1.000%, 2/20/2065(b)		4,150,963
	6,386,570	Government National Mortgage Association, Series 2015-H12, Class FL, 0.760%, 5/20/2065(b)		6,303,145

				144,812,126

		Non-Agency Commercial Mortgage-Backed Securities – 5.2%
	39,732	A10 Securitization LLC, Series 2014-1, Class A1, 1.720%, 4/15/2033, 144A		39,708
	687,182	Banc of America Commercial Mortgage Trust, Series 2007-2, Class A4, 5.638%, 4/10/2049(b)		686,664
	300,818	Banc of America Commercial Mortgage Trust, Series 2007-5, Class A4, 5.492%, 2/10/2051		305,998
	3,445,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2016-ASHF, Class A, 2.439%, 12/15/2033, 144A(b)		3,455,651
	478,172	Barclays Commercial Mortgage Securities, Series 2015-RRI, Class A, 1.854%, 5/15/2032, 144A(b)		478,193
	3,167,760	CDGJ Commercial Mortgage Trust, Series 2014-BXCH, 2.104%, 12/15/2027, 144A(b)		3,177,702
	2,462,227	CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class A, 1.654%, 6/15/2031, 144A(b)		2,461,054
	3,425,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL5, Class A, 2.074%, 10/15/2031, 144A(b)		3,369,153
	4,282,000	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049		4,412,965
	1,399,000	DBUBS Mortgage Trust, Series 2011-LC2A, Class A4, 4.537%, 7/10/2044, 144A		1,507,469
	2,438,425	GP Portfolio Trust, Series 2014-GPP, Class A, 1.654%, 2/15/2027, 144A(b)		2,443,725
	3,267,283	Greenwich Capital Commercial Mortgage Trust, Series 2007-GG11, Class A4, 5.736%, 12/10/2049		3,314,028


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	5,535,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.604%, 10/15/2029, 144A(b)	$	5,489,868
	1,478,689	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.700%, 7/15/2031, 144A(b)		1,480,226
	4,115,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.404%, 7/15/2036, 144A(b)		4,145,968
	394,096	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040		394,896
	1,313,933	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)		1,317,004
	1,619,452	Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.754%, 4/15/2032, 144A(b)		1,610,335
	3,700,000	Starwood Retail Property Trust, Inc., 1.924%, 11/15/2027, 144A(b)		3,673,266
	1,347,036	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046		1,356,784

				45,120,657

		Sovereigns – 0.2%
	1,955,000	U.S. Department of Housing and Urban Development, Series 4, 1.880%, 8/01/2019		1,969,545

		Treasuries – 23.7%
	24,105,000	U.S. Treasury Note, 1.125%, 6/30/2021		23,330,072
	28,700,000	U.S. Treasury Note, 1.125%, 8/31/2021		27,730,256
	30,030,000	U.S. Treasury Note, 1.250%, 1/31/2020		29,809,460
	48,640,000	U.S. Treasury Note, 1.375%, 1/31/2021		47,862,879
	17,125,000	U.S. Treasury Note, 1.625%, 7/31/2020		17,113,629
	10,360,000	U.S. Treasury Note, 1.625%, 11/30/2020		10,318,322
	5,670,000	U.S. Treasury Note, 2.000%, 11/15/2026		5,455,379
	13,545,000	U.S. Treasury Note, 2.125%, 8/31/2020		13,764,050
	13,945,000	U.S. Treasury Note, 2.125%, 9/30/2021		14,068,650
	14,790,000	U.S. Treasury Note, 2.250%, 12/31/2023		14,796,936

				204,249,633

		Total Bonds and Notes (Identified Cost $841,304,977)		829,498,924

	Short-Term Investments – 6.0%
	5,920,000	Federal Home Loan Bank Discount Notes, 0.029%-0.425%, 1/05/2017(e)		5,919,876
	7,575,000	Federal Home Loan Bank Discount Notes, 0.400%-0.480%, 1/06/2017(e)		7,574,757
	14,920,000	Federal Home Loan Bank Discount Notes, 0.400%-0.510%, 1/31/2017(e)		14,915,584
	20,936,023	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2016 at 0.030% to be repurchased at $20,936,093 on 1/03/2017 collateralized by $22,795,000 Federal Home Loan Mortgage Corp., 2.640% due 2/22/2030 valued at $21,355,040 including accrued interest(f)		20,936,023


	Description	Value (†)
1,870,000	U.S. Treasury Bills, 0.443%, 01/05/2017(e)	$	1,869,962

	Total Short-Term Investments (Identified Cost $51,214,416)		51,216,202

	Total Investments – 102.1% (Identified Cost $892,519,393)(a)		880,715,126
	Other assets less liabilities – (2.1)%		(17,772,365	)

	Net Assets – 100.0%	$	862,942,761

(†)

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.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

As of December 31, 2016, securities of the Fund were fair valued as follows:


Securities fair valued by the Fund’s adviser	Percentage of Net Assets
$965,128		0.1	%

(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, 2016, the net unrealized depreciation on investments based on a cost of $892,694,997 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	$	2,779,253
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(14,759,124	)

Net unrealized depreciation	$	(11,979,871	)

At September 30, 2016, the Fund had a short-term capital loss carryforward of $848,283 with no expiration date and a long-term capital loss carryforward of $11,847,451 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, 2016 is disclosed.

(c)	Fair valued by the Fund’s adviser. At December 31, 2016, the value of these securities amounted to $965,128 or 0.1% of net assets.

(d)

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.

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

(f)

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, 2016, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

144A

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, 2016, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Agency Commercial Mortgage-Backed Securities		—		146,686,145		8,427,523	(a)		155,113,668
Collateralized Mortgage Obligations		—		142,538,775		965,128	(b)		143,503,903
All Other Bonds and Notes *		—		530,881,353		—			530,881,353

Total Bonds and Notes		—		820,106,273		9,392,651			829,498,924

Short-Term Investments		—		51,216,202		—			51,216,202

Total	$	—	$	871,322,475	$	9,392,651		$	880,715,126

*	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, 2016 and/or December 31, 2016:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		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, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2016
Bonds and Notes
ABS Student Loan	$	400,000	$	—	$	—		$	—	$	—	$	—		$	—	$	(400,000	)	$	—	$	—
Agency Commercial Mortgage-Backed Securities		11,781,022		—		(583,044	)		468,678		—		(3,239,133	)		—		—			8,427,523		5,076
Collateralized Mortgage Obligations		1,488,611		—		(31,964	)		28,422		—		(519,941	)		—		—			965,128		26,010
Non-Agency Commercial Mortgage-Backed Securities		3,037,018		—		(3,950	)		6,932		—		(3,040,000	)		—		—			—		—

Total	$	16,706,651	$	—	$	(618,958	)	$	504,032	$	—	$	(6,799,074	)	$	—	$	(400,000	)	$	9,392,651	$	31,086

A debt security valued at $400,000 was transferred from Level 3 to Level 2 during the period ended December 31, 2016. At September 30, 2016, 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. At December 31, 2016, 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, 2016 (Unaudited)


Treasuries	23.7	%
Agency Commercial Mortgage-Backed Securities	18.0
Mortgage Related	16.8
Collateralized Mortgage Obligations	16.6
Hybrid ARMs	11.4
Non-Agency Commercial Mortgage-Backed Securities	5.2
Other Investments, less than 2% each	4.4
Short-Term Investments	6.0

Total Investments	102.1
Other assets less liabilities	(2.1	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2016 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)
	Common Stocks – 96.8% of Net Assets
		Aerospace & Defense – 1.2%
	244,334	Hexcel Corp.	$	12,568,541

		Air Freight & Logistics – 0.7%
	280,612	Echo Global Logistics, Inc.(b)		7,029,331

		Auto Components – 2.3%
	163,892	Dorman Products, Inc.(b)		11,973,949
	114,717	LCI Industries		12,360,757

				24,334,706

		Banks – 4.5%
	221,141	Chemical Financial Corp.		11,979,208
	218,058	Pinnacle Financial Partners, Inc.		15,111,419
	158,608	PrivateBancorp, Inc.		8,594,968
	292,555	Renasant Corp.		12,351,672

				48,037,267

		Biotechnology – 3.3%
	202,278	Acceleron Pharma, Inc.(b)		5,162,135
	289,619	Genomic Health, Inc.(b)		8,511,902
	662,910	Ironwood Pharmaceuticals, Inc.(b)		10,135,894
	457,549	Lexicon Pharmaceuticals, Inc.(b)		6,327,903
	107,011	Prothena Corp. PLC(b)		5,263,871

				35,401,705

		Building Products – 2.4%
	258,646	Apogee Enterprises, Inc.		13,853,080
	179,893	Trex Co., Inc.(b)		11,585,109

				25,438,189

		Capital Markets – 2.5%
	336,372	Financial Engines, Inc.		12,361,671
	96,735	MarketAxess Holdings, Inc.		14,212,306

				26,573,977

		Commercial Services & Supplies – 2.1%
	277,949	Healthcare Services Group, Inc.		10,887,262
	284,114	Team, Inc.(b)		11,151,475

				22,038,737

		Construction & Engineering – 2.2%
	254,242	Granite Construction, Inc.		13,983,310
	441,769	Primoris Services Corp.		10,063,498

				24,046,808

		Distributors – 1.1%
	113,616	Pool Corp.		11,854,693

		Diversified Consumer Services – 3.7%
	204,920	Bright Horizons Family Solutions, Inc.(b)		14,348,498
	216,664	Grand Canyon Education, Inc.(b)		12,664,011


Shares		Description	Value (†)
	Common Stocks – continued
		Diversified Consumer Services – continued
	559,936	Nord Anglia Education, Inc.(b)	$	13,046,509

				40,059,018

		Diversified Telecommunication Services – 2.1%
	318,684	Cogent Communications Holdings, Inc.		13,177,583
	1,157,451	ORBCOMM, Inc.(b)		9,572,120

				22,749,703

		Electrical Equipment – 1.1%
	285,949	Generac Holdings, Inc.(b)		11,649,562

		Electronic Equipment, Instruments & Components – 2.0%
	122,497	IPG Photonics Corp.(b)		12,091,679
	294,023	Orbotech Ltd.(b)		9,823,308

				21,914,987

		Energy Equipment & Services – 1.6%
	165,947	Dril-Quip, Inc.(b)		9,965,117
	341,216	Forum Energy Technologies, Inc.(b)		7,506,752

				17,471,869

		Food Products – 1.1%
	304,298	Snyder’s-Lance, Inc.		11,666,785

		Health Care Equipment & Supplies – 9.6%
	242,812	AtriCure, Inc.(b)		4,751,831
	271,344	Cynosure, Inc., Class A(b)		12,373,286
	209,544	Inogen, Inc.(b)		14,075,070
	314,574	Insulet Corp.(b)		11,853,148
	91,304	Integra LifeSciences Holdings Corp.(b)		7,832,970
	390,759	Merit Medical Systems, Inc.(b)		10,355,113
	149,580	Neogen Corp.(b)		9,872,280
	97,983	Nevro Corp.(b)		7,119,445
	83,089	NxStage Medical, Inc.(b)		2,177,763
	394,575	Spectranetics Corp.(b)		9,667,088
	540,412	Wright Medical Group NV(b)		12,418,668

				102,496,662

		Health Care Providers & Services – 3.3%
	300,188	AMN Healthcare Services, Inc.(b)		11,542,229
	384,006	Ensign Group, Inc. (The)		8,528,773
	370,648	HealthEquity, Inc.(b)		15,018,657

				35,089,659

		Health Care Technology – 1.4%
	220,271	Evolent Health, Inc., Class A(b)		3,260,011
	239,563	Medidata Solutions, Inc.(b)		11,899,094

				15,159,105

		Hotels, Restaurants & Leisure – 4.6%
	323,822	Chuy’s Holdings, Inc.(b)		10,508,024
	534,467	Planet Fitness, Inc., Class A		10,742,787
	137,763	Texas Roadhouse, Inc.		6,645,687
	86,827	Vail Resorts, Inc.		14,006,063


Shares		Description	Value (†)
	Common Stocks – continued
		Hotels, Restaurants & Leisure – continued
	264,371	Wingstop, Inc.	$	7,822,738

				49,725,299

		Household Durables – 2.4%
	223,343	Installed Building Products, Inc.(b)		9,224,066
	170,938	iRobot Corp.(b)		9,991,326
	97,102	Universal Electronics, Inc.(b)		6,267,934

				25,483,326

		Internet Software & Services – 6.5%
	339,455	2U, Inc.(b)		10,234,568
	154,351	Criteo S.A., Sponsored ADR(b)		6,340,739
	293,029	Envestnet, Inc.(b)		10,329,272
	137,103	LogMeIn, Inc.		13,237,295
	417,034	Q2 Holdings, Inc.(b)		12,031,431
	490,357	Quotient Technology, Inc.(b)		5,271,338
	287,417	Wix.com Ltd.(b)		12,804,427

				70,249,070

		IT Services – 3.5%
	79,781	EPAM Systems, Inc.(b)		5,130,716
	184,737	Euronet Worldwide, Inc.(b)		13,380,501
	136,002	ExlService Holdings, Inc.(b)		6,859,941
	342,391	InterXion Holding NV(b)		12,007,652

				37,378,810

		Life Sciences Tools & Services – 2.8%
	296,078	Accelerate Diagnostics, Inc.(b)		6,143,618
	242,646	INC Research Holdings, Inc., Class A(b)		12,763,180
	211,673	PRA Health Sciences, Inc.(b)		11,667,416

				30,574,214

		Machinery – 3.5%
	189,654	Astec Industries, Inc.		12,794,059
	91,230	Middleby Corp. (The)(b)		11,751,336
	136,149	RBC Bearings, Inc.(b)		12,635,989

				37,181,384

		Oil, Gas & Consumable Fuels – 1.1%
	161,764	PDC Energy, Inc.(b)		11,740,831

		Pharmaceuticals – 2.2%
	236,187	Dermira, Inc.(b)		7,163,552
	200,517	Medicines Co. (The)(b)		6,805,547
	385,547	Supernus Pharmaceuticals, Inc.(b)		9,735,062

				23,704,161

		Professional Services – 1.6%
	239,270	WageWorks, Inc.(b)		17,347,075

		Real Estate Management & Development – 0.6%
	197,728	HFF, Inc., Class A		5,981,272

		Semiconductors & Semiconductor Equipment – 6.4%
	280,078	Inphi Corp.(b)		12,497,080


Shares		Description	Value (†)
	Common Stocks – continued
		Semiconductors & Semiconductor Equipment – continued
	243,820	Intersil Corp.	$	5,437,186
	299,601	MKS Instruments, Inc.		17,796,300
	182,755	Monolithic Power Systems, Inc.		14,973,117
	172,333	Semtech Corp.(b)		5,437,106
	198,535	Silicon Laboratories, Inc.(b)		12,904,775

				69,045,564

		Software – 6.6%
	161,690	Blackbaud, Inc.		10,348,160
	562,064	Callidus Software, Inc.(b)		9,442,675
	166,388	CommVault Systems, Inc.(b)		8,552,343
	272,958	Guidewire Software, Inc.(b)		13,465,018
	96,515	HubSpot, Inc.(b)		4,536,205
	472,668	RingCentral, Inc., Class A(b)		9,736,961
	83,524	Ultimate Software Group, Inc. (The)(b)		15,230,602

				71,311,964

		Specialty Retail – 1.5%
	90,496	Monro Muffler Brake, Inc.		5,176,371
	580,560	Tile Shop Holdings, Inc.(b)		11,349,948

				16,526,319

		Textiles, Apparel & Luxury Goods – 2.4%
	171,892	Columbia Sportswear Co.		10,021,304
	89,396	Oxford Industries, Inc.		5,375,381
	276,261	Steven Madden Ltd.(b)		9,876,331

				25,273,016

		Thrifts & Mortgage Finance – 1.0%
	329,253	Essent Group Ltd.(b)		10,657,920

		Trading Companies & Distributors – 1.9%
	214,609	Beacon Roofing Supply, Inc.(b)		9,887,037
	313,326	SiteOne Landscape Supply, Inc.(b)		10,881,812

				20,768,849

		Total Common Stocks (Identified Cost $837,175,375)		1,038,530,378


Description	Value (†)
Total Investments – 100.6% (Identified Cost $878,340,398)(a)	$	1,079,695,401
Other assets less liabilities – (0.6)%		(6,843,573	)

Net Assets – 100.0%	$	1,072,851,828

(†)

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, 2016, the net unrealized appreciation on investments based on a cost of $878,340,398 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	$	220,939,479
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(19,584,476	)

Net unrealized appreciation	$	201,355,003

At September 30, 2016, the Fund had a short-term capital loss carryforward of $7,329,238 with no expiration date. At September 30, 2016, late-year ordinary and post-October capital loss deferrals were $3,107,069. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of December 31, 2016, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2016, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,038,530,378	$	—	$	—	$	1,038,530,378

Short-Term Investments		—		41,165,023		—		41,165,023

Total	$	1,038,530,378	$	41,165,023	$	—	$	1,079,695,401

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

For the period ended December 31, 2016, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2016 (Unaudited)


Health Care Equipment & Supplies	9.6	%
Software	6.6
Internet Software & Services	6.5
Semiconductors & Semiconductor Equipment	6.4
Hotels, Restaurants & Leisure	4.6
Banks	4.5
Diversified Consumer Services	3.7
IT Services	3.5
Machinery	3.5
Biotechnology	3.3
Health Care Providers & Services	3.3
Life Sciences Tools & Services	2.8
Capital Markets	2.5
Household Durables	2.4
Building Products	2.4
Textiles, Apparel & Luxury Goods	2.4
Auto Components	2.3
Construction & Engineering	2.2
Pharmaceuticals	2.2
Diversified Telecommunication Services	2.1
Commercial Services & Supplies	2.1
Electronic Equipment, Instruments & Components	2.0
Other Investments, less than 2% each	15.9
Short-Term Investments	3.8

Total Investments	100.6
Other assets less liabilities	(0.6	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2016 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund


Shares		Description	Value (†)
	Common Stocks – 97.0% of Net Assets
		Aerospace & Defense – 4.0%
	1,605	HEICO Corp.	$	123,826
	3,425	Hexcel Corp.		176,182
	817	TransDigm Group, Inc.		203,400

				503,408

		Air Freight & Logistics – 1.1%
	3,358	XPO Logistics, Inc.(b)		144,931

		Auto Components – 1.3%
	1,586	LCI Industries		170,891

		Banks – 5.0%
	2,989	Columbia Banking System, Inc.		133,548
	2,326	First Republic Bank		214,318
	4,248	Home BancShares, Inc.		117,967
	3,411	Western Alliance Bancorp(b)		166,150

				631,983

		Biotechnology – 1.9%
	10,855	Ironwood Pharmaceuticals, Inc.(b)		165,973
	1,887	Neurocrine Biosciences, Inc.(b)		73,027

				239,000

		Building Products – 0.8%
	1,267	American Woodmark Corp.(b)		95,342

		Capital Markets – 4.6%
	2,023	CBOE Holdings, Inc.		149,479
	1,100	MarketAxess Holdings, Inc.		161,612
	1,602	MSCI, Inc.		126,206
	2,898	SEI Investments Co.		143,045

				580,342

		Commercial Services & Supplies – 3.9%
	3,881	Healthcare Services Group, Inc.		152,019
	3,898	KAR Auction Services, Inc.		166,133
	5,009	Ritchie Bros. Auctioneers, Inc.		170,306

				488,458

		Diversified Consumer Services – 4.4%
	2,487	Bright Horizons Family Solutions, Inc.(b)		174,140
	2,973	Grand Canyon Education, Inc.(b)		173,772
	8,981	Nord Anglia Education, Inc.(b)		209,257

				557,169

		Diversified Telecommunication Services – 1.6%
	4,773	Cogent Communications Holdings, Inc.		197,364

		Electrical Equipment – 3.6%
	803	Acuity Brands, Inc.		185,380
	4,262	Generac Holdings, Inc.(b)		173,634


Shares		Description	Value (†)
	Common Stocks – continued
		Electrical Equipment – continued
	2,540	Sensata Technologies Holding NV(b)	$	98,933

				457,947

		Electronic Equipment, Instruments & Components – 4.2%
	1,365	Coherent, Inc.(b)		187,531
	4,986	National Instruments Corp.		153,668
	6,233	Trimble, Inc.(b)		187,925

				529,124

		Energy Equipment & Services – 1.8%
	2,164	Dril-Quip, Inc.(b)		129,948
	2,441	Oil States International, Inc.(b)		95,199

				225,147

		Food & Staples Retailing – 1.1%
	1,187	Casey’s General Stores, Inc.		141,111

		Health Care Equipment & Supplies – 8.2%
	1,923	Align Technology, Inc.(b)		184,858
	2,369	Cantel Medical Corp.		186,559
	2,030	DexCom, Inc.(b)		121,191
	1,373	Penumbra, Inc.(b)		87,597
	1,841	STERIS PLC		124,065
	1,788	West Pharmaceutical Services, Inc.		151,676
	7,655	Wright Medical Group NV(b)		175,912

				1,031,858

		Health Care Providers & Services – 6.1%
	3,144	HealthEquity, Inc.(b)		127,395
	1,924	MEDNAX, Inc.(b)		128,254
	3,358	Surgical Care Affiliates, Inc.(b)		155,374
	2,492	VCA, Inc.(b)		171,076
	1,427	WellCare Health Plans, Inc.(b)		195,613

				777,712

		Health Care Technology – 3.0%
	1,178	athenahealth, Inc.(b)		123,890
	5,332	HealthStream, Inc.(b)		133,567
	3,069	Veeva Systems, Inc., Class A(b)		124,908

				382,365

		Hotels, Restaurants & Leisure – 6.2%
	2,240	Dunkin’ Brands Group, Inc.		117,465
	574	Panera Bread Co., Class A(b)		117,722
	7,809	Planet Fitness, Inc., Class A		156,961
	2,109	Six Flags Entertainment Corp.		126,456
	1,608	Texas Roadhouse, Inc.		77,570
	1,191	Vail Resorts, Inc.		192,120

				788,294

		Internet Software & Services – 4.5%
	781	CoStar Group, Inc.(b)		147,211
	4,557	GTT Communications, Inc.(b)		131,014
	1,714	j2 Global, Inc.		140,205


Shares		Description	Value (†)
	Common Stocks – continued
		Internet Software & Services – continued
	2,226	SPS Commerce, Inc.(b)	$	155,575

				574,005

		IT Services – 5.2%
	2,414	Black Knight Financial Services, Inc., Class A(b)		91,249
	4,363	Booz Allen Hamilton Holding Corp.		157,373
	2,029	Broadridge Financial Solutions, Inc.		134,523
	1,986	ExlService Holdings, Inc.(b)		100,174
	1,789	Gartner, Inc.(b)		180,814

				664,133

		Leisure Products – 1.1%
	2,614	Brunswick Corp.		142,568

		Life Sciences Tools & Services – 1.3%
	2,240	ICON PLC(b)		168,448

		Machinery – 3.6%
	1,371	Middleby Corp. (The)(b)		176,598
	3,265	Sun Hydraulics Corp.		130,502
	2,728	Toro Co. (The)		152,632

				459,732

		Media – 1.2%
	5,642	Live Nation Entertainment, Inc.(b)		150,077

		Oil, Gas & Consumable Fuels – 2.4%
	1,569	Diamondback Energy, Inc.(b)		158,563
	4,221	Parsley Energy, Inc., Class A(b)		148,748

				307,311

		Professional Services – 1.1%
	4,495	TransUnion(b)		139,030

		Real Estate Management & Development – 1.1%
	2,908	First Service Corp.		138,072

		Semiconductors & Semiconductor Equipment – 3.9%
	3,026	Advanced Energy Industries, Inc.(b)		165,674
	3,308	MACOM Technology Solutions Holdings, Inc.(b)		153,094
	2,633	Silicon Laboratories, Inc.(b)		171,145

				489,913

		Software – 6.5%
	2,286	Blackbaud, Inc.		146,304
	8,495	Callidus Software, Inc.(b)		142,716
	3,201	Guidewire Software, Inc.(b)		157,906
	2,621	HubSpot, Inc.(b)		123,187
	2,411	Paylocity Holding Corp.(b)		72,354
	986	Ultimate Software Group, Inc. (The)(b)		179,797

				822,264

		Specialty Retail – 1.1%
	4,183	Camping World Holdings, Inc., Class A		136,324


Shares		Description	Value (†)
	Common Stocks – continued
		Textiles, Apparel & Luxury Goods – 1.2%
	2,499	Columbia Sportswear Co.	$	145,692

		Total Common Stocks (Identified Cost $10,906,953)		12,280,015


Principal Amount
Short-Term Investments – 3.5%
$ 447,951	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2016 at 0.030% to be repurchased at $447,952 on 1/03/2017 collateralized by $470,000 U.S. Treasury Note, 2.000% due 8/15/2025 valued at $457,046 including accrued interest(c) (Identified Cost $447,951)		447,951

	Total Investments – 100.5% (Identified Cost $11,354,904)(a)		12,727,966
	Other assets less liabilities – (0.5)%		(68,242	)

	Net Assets – 100.0%	$	12,659,724

(†)

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, 2016, the net unrealized appreciation on investments based on a cost of $11,354,904 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	$	1,690,145
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(317,083	)

Net unrealized appreciation	$	1,373,062

At September 30, 2016, the Fund had a short-term capital loss carryforward of $1,072,253 with no expiration date and a long-term capital loss carryforward of $29,020 with no expiration date. At September 30, 2016, late-year ordinary and post-October capital loss deferrals were $7,917. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of December 31, 2016, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2016, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	12,280,015	$	—	$	—	$	12,280,015
Short-Term Investments		—		447,951		—		447,951

Total	$	12,280,015	$	447,951	$	—	$	12,727,966

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

For the period ended December 31, 2016, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2016 (Unaudited)


Health Care Equipment & Supplies	8.2	%
Software	6.5
Hotels, Restaurants & Leisure	6.2
Health Care Providers & Services	6.1
IT Services	5.2
Banks	5.0
Capital Markets	4.6
Internet Software & Services	4.5
Diversified Consumer Services	4.4
Electronic Equipment, Instruments & Components	4.2
Aerospace & Defense	4.0
Semiconductors & Semiconductor Equipment	3.9
Commercial Services & Supplies	3.9
Machinery	3.6
Electrical Equipment	3.6
Health Care Technology	3.0
Oil, Gas & Consumable Fuels	2.4
Other Investments, less than 2% each	17.7
Short-Term Investments	3.5

Total Investments	100.5
Other assets less liabilities	(0.5	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2016 (Unaudited)

Loomis Sayles Strategic Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 78.9% of Net Assets
	Non-Convertible Bonds – 71.0%
		ABS Other – 0.2%
	$ 20,153,619	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(b)(c)	$	12,817,702
	7,882,954	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(b)(c)		2,271,867
	42,000,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(b)(c)(d)		609,000
	11,238,245	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(b)(e)		10,800,138

				26,498,707

		Aerospace & Defense – 1.3%
	3,949,000	Arconic, Inc., 5.870%, 2/23/2022		4,225,430
	5,075,000	Arconic, Inc., 5.900%, 2/01/2027		5,290,688
	1,405,000	Arconic, Inc., 5.950%, 2/01/2037		1,366,714
	4,330,000	Arconic, Inc., 6.750%, 1/15/2028		4,641,760
	620,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		421,368
	11,800,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		10,369,250
	16,246,000	KLX, Inc., 5.875%, 12/01/2022, 144A		16,733,380
	22,548,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		22,829,850
	20,755,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		22,441,344
	5,310,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		3,863,025
	24,513,000	TransDigm, Inc., 6.500%, 7/15/2024		25,646,726
	17,765,000	TransDigm, Inc., 6.500%, 5/15/2025		18,608,837

				136,438,372

		Airlines – 2.9%
	144,285,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		148,974,262
	10,157,634	American Airlines Pass Through Certificates, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		10,162,103
	12,417,134	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		12,698,755
	136,151	Continental Airlines Pass Through Certificates, Series 1997-4, Class B, 6.900%, 7/02/2018		137,512
	440,970	Continental Airlines Pass Through Certificates, Series 1999-1, Class B, 6.795%, 2/02/2020		453,097
	2,568,157	Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021		2,664,462


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
	$ 2,379,778	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022	$	2,430,776
	21,015,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		21,855,600
	930	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		921
	432,962	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		460,023
	671,482	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		723,925
	6,442,952	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		6,508,348
	34,669,397	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		38,278,828
	5,498,371	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		6,103,192
	48,950,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		50,785,625
	3,508,260	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A		3,560,112
	5,119,770	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		5,222,166

				311,019,707

		Automotive – 0.3%
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,382,333
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,622,266
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,275,620
	26,055,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		26,901,788

				35,182,007

		Banking – 5.4%
	6,000,000	Ally Financial, Inc., 8.000%, 11/01/2031		6,959,520
	7,045,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		7,068,530
	265,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		268,208
	1,500,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(f)		1,541,250
	10,000,000	Bank of Nova Scotia (The), 2.462%, 3/14/2019, (CAD)		7,599,449
	36,445,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		26,013,740
	22,091,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		15,577,357
	3,450,000	Cooperatieve Rabobank UA, 3.950%, 11/09/2022		3,549,081
	25,000,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		19,486,463


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	$ 9,090,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A	$	9,112,389
	19,245,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		17,785,940
	45,620,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		32,053,701
	800,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		876,984
	36,195,000	Morgan Stanley, 4.350%, 9/08/2026		37,090,754
	35,325,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		26,215,508
	185,000,000	Morgan Stanley, 5.000%, 9/30/2021, (AUD)		139,102,888
	74,310,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		52,917,411
	100,265,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		73,653,817
	950,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		1,177,135
	46,735,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		47,974,506
	10,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		11,950,620
	53,095,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		40,771,614

				578,746,865

		Brokerage – 1.0%
	5,000,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		4,825,000
	22,540,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		22,314,600
	43,025,000	Jefferies Group LLC, 5.125%, 1/20/2023		45,027,426
	20,010,000	Jefferies Group LLC, 6.250%, 1/15/2036		20,407,379
	15,215,000	Jefferies Group LLC, 6.450%, 6/08/2027		16,686,549

				109,260,954

		Building Materials – 0.5%
	19,945,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		18,424,194
	6,995,000	Masco Corp., 6.500%, 8/15/2032		7,586,917
	3,475,000	Masco Corp., 7.125%, 3/15/2020		3,909,375
	2,630,000	Masco Corp., 7.750%, 8/01/2029		3,218,749
	2,000,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		2,160,000
	18,640,000	Owens Corning, 7.000%, 12/01/2036		22,100,590

				57,399,825


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Cable Satellite – 1.3%
	$ 850,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A	$	875,500
	975,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A		1,004,250
	3,315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		3,464,175
	4,360,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		4,523,500
	17,679,000	DISH DBS Corp., 5.875%, 11/15/2024		18,191,691
	25,270,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		20,541,415
	4,835,000	Time Warner Cable LLC, 4.500%, 9/15/2042		4,378,847
	135,000	Time Warner Cable LLC, 5.875%, 11/15/2040		143,970
	44,800,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		50,106,160
	11,275,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		8,659,996
	7,000,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		7,210,000
	20,300,000	VTR Finance BV, 6.875%, 1/15/2024, 144A		20,959,750

				140,059,254

		Chemicals – 3.4%
	19,810,000	Aruba Investments, Inc., 8.750%, 2/15/2023, 144A		20,206,200
	99,610,000	Chemours Co. (The), 6.625%, 5/15/2023		98,613,900
	18,370,000	Chemours Co. (The), 7.000%, 5/15/2025		18,094,450
	85,854,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		85,854,000
	20,000,000	Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A		21,250,000
	26,164,000	Hexion, Inc., 7.875%, 2/15/2023(b)(c)		10,465,600
	6,010,000	Hexion, Inc., 8.875%, 2/01/2018		5,979,950
	8,757,000	Hexion, Inc., 9.200%, 3/15/2021(b)(c)		3,765,510
	16,660,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		12,994,800
	90,205,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		89,428,786
	885,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		747,825

				367,401,021

		Construction Machinery – 0.1%
	840,000	Joy Global, Inc., 6.625%, 11/15/2036		1,044,120


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Construction Machinery – continued
	$ 5,105,000	United Rentals North America, Inc., 5.750%, 11/15/2024	$	5,360,250
	4,178,000	United Rentals North America, Inc., 7.625%, 4/15/2022		4,397,345

				10,801,715

		Consumer Cyclical Services – 0.1%
	670,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		698,475
	5,500,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		5,788,750

				6,487,225

		Consumer Products – 0.1%
	11,545,000	Avon Products, Inc., 8.950%, 3/15/2043		10,130,737

		Diversified Manufacturing – 0.5%
	57,000,000	General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		40,045,364
	25,320,000	General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		17,630,211

				57,675,575

		Electric – 1.3%
	5,093,000	AES Corp. (The), 4.875%, 5/15/2023		5,030,356
	9,505,000	AES Corp. (The), 5.500%, 3/15/2024		9,671,338
	10,185,000	AES Corp. (The), 5.500%, 4/15/2025		10,134,075
	37,660,419	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		41,090,304
	49,217,455	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(e)		14,638,256
	1,022,976	CE Generation LLC, 7.416%, 12/15/2018		956,483
	19,705,000	Dynegy, Inc., 7.625%, 11/01/2024		18,177,862
	29,959,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		30,615,701
	3,570,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		4,478,094
	369,967	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		369,967

				135,162,436

		Finance Companies – 4.4%
	4,095,000	iStar, Inc., 4.875%, 7/01/2018		4,089,881
	14,060,000	iStar, Inc., 5.000%, 7/01/2019		14,112,725
	23,175,000	iStar, Inc., 5.850%, 3/15/2017		23,279,287


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Finance Companies – continued
	$ 10,400,000	iStar, Inc., 7.125%, 2/15/2018	$	10,712,000
	19,915,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		19,915,000
	2,260,000	Navient Corp., 5.875%, 10/25/2024		2,147,000
	109,950(††)	Navient Corp., 6.000%, 12/15/2043		2,433,194
	30,265,000	Navient Corp., MTN, 6.125%, 3/25/2024		29,394,881
	14,465,000	Navient Corp., Series A, MTN, 5.000%, 6/15/2018		14,465,000
	23,020,000	Navient LLC, 4.875%, 6/17/2019		23,825,700
	22,945,000	Navient LLC, 5.500%, 1/25/2023		22,256,650
	5,910,000	Navient LLC, MTN, 4.625%, 9/25/2017		6,006,038
	7,780,000	Navient LLC, MTN, 5.500%, 1/15/2019		8,071,750
	6,490,000	Navient LLC, MTN, 7.250%, 1/25/2022		6,871,288
	2,160,000	Navient LLC, MTN, 8.000%, 3/25/2020		2,396,304
	50,910,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(e)		42,000,750
	51,680,000	Springleaf Finance Corp., 5.250%, 12/15/2019		52,067,600
	121,575,000	Springleaf Finance Corp., 7.750%, 10/01/2021		128,261,625
	55,015,000	Springleaf Finance Corp., 8.250%, 10/01/2023		57,490,675

				469,797,348

		Food & Beverage – 0.0%
	4,880,000	Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		5,099,600

		Government Owned - No Guarantee – 0.6%
	22,160,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		22,433,698
	21,145,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		18,474,387
	30,955,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		22,881,936

				63,790,021

		Healthcare – 2.8%
	2,160,000	BioScrip, Inc., 8.875%, 2/15/2021		1,620,000
	1,290,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		896,550
	40,686,000	HCA, Inc., 5.875%, 5/01/2023		43,228,875


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
	$ 14,620,000	HCA, Inc., 7.050%, 12/01/2027	$	14,985,500
	20,447,000	HCA, Inc., 7.500%, 12/15/2023		22,645,052
	24,215,000	HCA, Inc., 7.500%, 11/06/2033		25,667,900
	43,928,000	HCA, Inc., 7.690%, 6/15/2025		47,771,700
	32,745,000	HCA, Inc., 8.360%, 4/15/2024		37,165,575
	10,815,000	HCA, Inc., MTN, 7.580%, 9/15/2025		11,653,162
	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036		10,037,790
	955,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		946,644
	29,130,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		28,401,750
	25,530,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		22,530,225
	33,559,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		25,882,379
	1,015,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		1,058,138
	990,000	Tenet Healthcare Corp., 8.125%, 4/01/2022		934,065

				295,425,305

		Home Construction – 1.0%
	3,075,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		3,121,125
	13,360,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(b)(e)		10,020,000
	29,735,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		22,821,612
	3,620,000	KB Home, 4.750%, 5/15/2019		3,692,400
	47,260,000	PulteGroup, Inc., 6.000%, 2/15/2035		45,369,600
	13,190,000	PulteGroup, Inc., 6.375%, 5/15/2033		13,157,025
	10,305,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		10,485,338
	195,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024		200,850

				108,867,950

		Independent Energy – 2.0%
	595,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		584,079
	540,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		507,358
	4,810,000	Antero Resources Corp., 5.625%, 6/01/2023		4,924,238


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
	$ 8,145,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A	$	7,350,862
	7,480,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		6,601,100
	15,000,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		14,625,000
	1,705,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021(d)		1,270,225
	8,645,000	California Resources Corp., 5.500%, 9/15/2021		6,786,325
	1,188,000	California Resources Corp., 6.000%, 11/15/2024		871,695
	24,150,000	California Resources Corp., 8.000%, 12/15/2022, 144A		21,493,500
	1,310,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		1,195,375
	55,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		55,000
	8,890,000	Chesapeake Energy Corp., 8.000%, 1/15/2025, 144A		9,067,800
	6,505,000	Continental Resources, Inc., 3.800%, 6/01/2024		6,000,862
	19,290,000	Eclipse Resources Corp., 8.875%, 7/15/2023		20,133,937
	180,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		160,200
	1,570,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		1,420,850
	1,022,000	Noble Energy, Inc., 5.625%, 5/01/2021		1,057,985
	1,940,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023		1,988,500
	7,170,000	Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A		7,528,500
	2,055,000	QEP Resources, Inc., 5.250%, 5/01/2023		2,060,138
	17,187,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(g)		8,937,240
	6,250,000	Rice Energy, Inc., 6.250%, 5/01/2022		6,421,875
	7,200,000	RSP Permian, Inc., 6.625%, 10/01/2022		7,614,000
	17,908,000	Sanchez Energy Corp., 6.125%, 1/15/2023		17,012,600
	9,520,000	Sanchez Energy Corp., 7.750%, 6/15/2021		9,686,600
	8,241,000	SM Energy Co., 5.000%, 1/15/2024		7,767,142
	21,280,000	SM Energy Co., 6.125%, 11/15/2022		21,546,000
	801,000	SM Energy Co., 6.500%, 11/15/2021		817,020
	2,522,000	SM Energy Co., 6.500%, 1/01/2023		2,562,983


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
	$ 1,110,000	Southwestern Energy Co., 6.700%, 1/23/2025	$	1,134,975
	10,845,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		10,887,404
	3,855,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		3,838,963
	945,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		945,000

				214,855,331

		Industrial Other – 0.1%
	6,880,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		7,275,600

		Life Insurance – 0.8%
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(e)		16,670,040
	1,225,000	Genworth Holdings, Inc., 2.908%, 11/15/2066(h)		563,500
	3,230,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		2,632,450
	27,200,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		22,440,000
	10,990,000	Genworth Holdings, Inc., 6.500%, 6/15/2034		8,792,000
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(e)		29,830,900
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(e)		9,940,778

				90,869,668

		Local Authorities – 1.3%
	95,480,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		73,429,819
	82,840,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		62,421,629

				135,851,448

		Media Entertainment – 1.3%
	111,590,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		3,997,223
	64,250,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		47,545,000
	33,370,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		24,526,950
	7,180,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		7,449,250
	17,950,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		18,802,625
	27,185,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		25,621,862
	2,410,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		2,346,738
	283,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		284,415


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Media Entertainment – continued
	$ 5,925,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021	$	6,102,750

				136,676,813

		Metals & Mining – 2.1%
	8,202,122	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(c)(i)(j)		3,281
	2,000,000	AK Steel Corp., 7.625%, 10/01/2021		2,147,500
	25,271,000	ArcelorMittal, 7.750%, 3/01/2041		26,913,615
	30,695,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		31,539,112
	8,705,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		9,150,165
	23,112,000	Cliffs Natural Resources, Inc., 8.000%, 9/30/2020, 144A		24,036,480
	26,350,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(b)(e)(i)		2,108,000
	12,315,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		12,130,275
	14,645,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		15,578,619
	51,000,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		55,462,500
	4,200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		4,173,750
	16,135,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		12,227,582
	11,719,000	United States Steel Corp., 6.650%, 6/01/2037		10,107,637
	4,835,000	United States Steel Corp., 6.875%, 4/01/2021		4,883,350
	2,655,000	United States Steel Corp., 7.375%, 4/01/2020		2,847,488
	10,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020		10,966,280

				224,275,634

		Midstream – 0.2%
	8,935,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		9,728,348
	505,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		535,300
	3,350,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		3,391,875
	3,185,492	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		3,424,403

				17,079,926

		Non-Agency Commercial Mortgage-Backed Securities – 1.3%
	24,938,188	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR1, 2.404%, 5/13/2031, 144A(b)(e)(h)		24,828,043
	12,902,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR2, 2.904%, 5/13/2031, 144A(b)(e)(h)		12,938,431


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
	$ 8,622,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR3, 3.354%, 5/13/2031, 144A(b)(e)(h)	$	8,698,894
	16,080,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR4, 4.454%, 5/13/2031, 144A(b)(e)(h)		15,711,671
	35,060,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.793%, 8/10/2045(h)		34,632,941
	12,123,010	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		9,020,589
	29,883,891	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(b)(e)		30,164,053

				135,994,622

		Oil Field Services – 1.8%
	19,335,000	FTS International, Inc., 6.250%, 5/01/2022		15,951,375
	7,120,000	Global Marine, Inc., 7.000%, 6/01/2028		5,767,200
	17,482,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(b)(e)(i)		3,059,350
	40,403,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(b)(e)(i)		7,070,525
	18,385,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		16,914,200
	12,020,000	Precision Drilling Corp., 5.250%, 11/15/2024		11,238,700
	594,000	Precision Drilling Corp., 6.500%, 12/15/2021		602,910
	1,548,586	Precision Drilling Corp., 6.625%, 11/15/2020		1,571,815
	500,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		31,250
	89,205,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		90,041,743
	39,300,000	Transocean, Inc., 5.550%, 10/15/2022		34,485,750
	1,320,000	Transocean, Inc., 6.800%, 3/15/2038		1,023,000

				187,757,818

		Packaging – 0.0%
	1,705,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		1,700,738

		Paper – 0.4%
	15,225,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		20,491,069
	4,865,000	WestRock MWV LLC, 7.950%, 2/15/2031		6,402,428
	8,750,000	WestRock MWV LLC, 8.200%, 1/15/2030		11,422,915
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,416,227

				41,732,639


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Property & Casualty Insurance – 0.2%
	$ 12,510,000	MBIA Insurance Corp., 12.140%, 1/15/2033, 144A(d)(h)	$	5,754,600
	3,000,000	Sirius International Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(f)		3,018,750
	17,870,000	XL Group PLC, (fixed rate to 4/15/2017, variable rate thereafter), 6.500%(f)		13,938,600

				22,711,950

		Railroads – 0.0%
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(e)		1,046,328

		Restaurants – 0.0%
	1,330,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		1,714,900

		Retailers – 0.9%
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,772,279
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,738,245
	10,270,000	Foot Locker, Inc., 8.500%, 1/15/2022		12,041,575
	830,000	J.C. Penney Corp., Inc., 5.650%, 6/01/2020		818,588
	3,335,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		3,410,038
	27,224,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		22,902,190
	2,510,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		2,058,200
	8,170,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		8,823,600
	12,275,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		13,711,899
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		7,307,987
	3,765,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		592,988
	22,871,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		22,470,757

				99,648,346

		Sovereigns – 1.9%
	206,715,000	Portugal Government International Bond, 5.125%, 10/15/2024		199,996,762

		Supermarkets – 2.0%
	4,555,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 6/15/2024, 144A		4,748,588
	79,276,000	New Albertson’s, Inc., 7.450%, 8/01/2029		74,915,820
	25,595,000	New Albertson’s, Inc., 7.750%, 6/15/2026		25,371,044


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supermarkets – continued
	$ 25,685,000	New Albertson’s, Inc., 8.000%, 5/01/2031	$	24,593,387
	5,815,000	New Albertson’s, Inc., 8.700%, 5/01/2030		5,844,075
	16,482,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		14,751,390
	34,580,000	SUPERVALU, Inc., 6.750%, 6/01/2021		34,925,800
	23,400,000	SUPERVALU, Inc., 7.750%, 11/15/2022		23,604,750

				208,754,854

		Supranational – 0.2%
	24,450,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		17,527,966

		Technology – 1.5%
	4,537,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		4,707,138
	44,160,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		46,036,800
	34,955,000	Amkor Technology, Inc., 6.375%, 10/01/2022		36,440,587
	56,340,000	KLA-Tencor Corp., 4.650%, 11/01/2024		59,642,200
	15,170,000	KLA-Tencor Corp., 5.650%, 11/01/2034		15,847,629
	2,562,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		2,653,668
	165,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		202,439

				165,530,461

		Transportation Services – 0.1%
	10,503,000	APL Ltd., 8.000%, 1/15/2024(b)(e)		6,787,564
	1,863,683	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(c)(k)		1,905,616
	2,122,894	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(c)(k)		2,165,352

				10,858,532

		Treasuries – 20.5%
	312,000,000	Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)		230,329,036
	29,490,000	Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)		22,148,085
	80,645,000	Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)		61,493,577
	6,710,000	Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)		6,922,019
	1,010,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(g)		846,297
	1,100,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(g)		742,585


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%, 2/24/2036, (EUR)(g)	$	2,670,785
	4,455,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(g)		2,930,973
	5,820,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(g)		3,808,211
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(g)		2,627,449
	4,680,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(g)		3,056,508
	5,970,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(g)		3,910,621
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2042, (EUR)(g)		2,625,184
	1,605,660,000		Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		10,608,825
	4,496,156,000		Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		28,729,902
	10,000,000	(†††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		42,802,845
	9,930,439	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		46,712,893
	4,250,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		20,464,229
	7,740,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		37,159,721
	27,224,481	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		136,228,455
	3,035,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		15,572,302
	21,700,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		121,138,815
	252,700,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		185,736,001
	175,365,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		138,330,478
	458,725,000		Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		59,156,712
	836,485,000		Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		98,179,113
	658,049,000		Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		82,940,990
	162,850,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		43,780,917
	55,925,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		15,915,609
	275,000,000		U.S. Treasury Note, 0.500%, 7/31/2017		274,720,600
	250,000,000		U.S. Treasury Note, 0.750%, 9/30/2018		248,310,500
	250,000,000		U.S. Treasury Note, 1.000%, 11/30/2018		249,199,250

					2,199,799,487


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – 1.0%
	293,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)	$	12,809,249
	134,600,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		5,689,332
	49,955,000	Sprint Capital Corp., 6.875%, 11/15/2028		49,330,562
	6,260,000	Sprint Capital Corp., 8.750%, 3/15/2032		6,886,000
	21,052,000	Sprint Communications, Inc., 6.000%, 11/15/2022		21,209,890
	8,200,000	Sprint Corp., 7.125%, 6/15/2024		8,446,000
	4,727,000	Sprint Corp., 7.250%, 9/15/2021		5,022,438

				109,393,471

		Wirelines – 4.2%
	4,370,000	Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD)		4,046,054
	7,545,000	Bell Canada, Inc., Series M-17, 6.100%, 3/16/2035, (CAD)		6,789,460
	64,380,000	CenturyLink, Inc., 6.450%, 6/15/2021		67,759,950
	765,000	CenturyLink, Inc., 7.650%, 3/15/2042		669,375
	7,410,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		6,706,050
	2,965,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,586,963
	7,940,000	CenturyLink, Inc., Series W, 6.750%, 12/01/2023		8,118,650
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		341,250
	3,620,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		3,828,150
	10,703,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		10,622,728
	5,330,000	Embarq Corp., 7.995%, 6/01/2036		4,996,875
	16,755,000	Frontier Communications Corp., 6.250%, 9/15/2021		15,875,362
	18,725,000	Frontier Communications Corp., 6.875%, 1/15/2025		15,869,437
	38,336,000	Frontier Communications Corp., 7.875%, 1/15/2027		31,723,040
	25,745,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		26,452,987
	4,667,000	Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A(i)		1,475,939
	16,550,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(i)		5,243,831
	29,750,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(i)		9,629,778
	42,460,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		38,532,450


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
	$ 12,463,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021	$	12,899,205
	32,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		29,479,450
	26,401,000	Qwest Corp., 6.875%, 9/15/2033		25,207,965
	39,171,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		36,233,175
	22,645,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		21,625,975
	31,690,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		23,776,528
	18,600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		15,099,573
	14,776,000	Verizon Communications, Inc., 2.450%, 11/01/2022		14,272,257
	1,225,000	Windstream Services LLC, 7.500%, 6/01/2022		1,200,500
	3,760,000	Windstream Services LLC, 7.500%, 4/01/2023		3,619,000

				444,681,957

		Total Non-Convertible Bonds (Identified Cost $8,328,457,160)		7,600,979,875

	Convertible Bonds – 6.5%
		Building Materials – 0.3%
	9,592,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		8,932,550
	19,486,000	KB Home, 1.375%, 2/01/2019		18,962,314

				27,894,864

		Cable Satellite – 1.4%
	133,515,000	Dish Network Corp., 3.375%, 8/15/2026, 144A		151,956,759

		Chemicals – 0.1%
	4,305,000	RPM International, Inc., 2.250%, 12/15/2020		5,152,547

		Diversified Manufacturing – 0.1%
	4,727,000	Trinity Industries, Inc., 3.875%, 6/01/2036		6,047,605

		Healthcare – 0.0%
	4,930,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A		4,729,719

		Leisure – 0.3%
	27,795,000	Rovi Corp., 0.500%, 3/01/2020		28,051,270

		Metals & Mining – 0.0%
	1,615,000	TimkenSteel Corp., 6.000%, 6/01/2021		2,348,816


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Midstream – 0.7%
	$ 63,121,000	Chesapeake Energy Corp., 2.250%, 12/15/2038	$	62,016,382
	5,856,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		5,877,960
	2,315,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		2,505,988
	1,000,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		877,500

				71,277,830

		Pharmaceuticals – 0.0%
	1,655,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		1,939,453

		Property & Casualty Insurance – 0.5%
	44,291,000	Old Republic International Corp., 3.750%, 3/15/2018		55,419,114

		Technology – 3.1%
	7,185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		9,704,241
	139,146,000	Intel Corp., 3.250%, 8/01/2039		245,331,791
	5,306,120	Liberty Interactive LLC, 3.500%, 1/15/2031		4,976,961
	12,820,000	Nuance Communications, Inc., 1.000%, 12/15/2035		11,611,843
	39,460,000	Nuance Communications, Inc., 1.500%, 11/01/2035		38,251,537
	10,415,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		11,000,844
	11,570,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		11,960,487

				332,837,704

		Total Convertible Bonds (Identified Cost $543,174,812)		687,655,681

	Municipals – 1.4%
		District of Columbia – 0.1%
	3,850,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		5,118,306

		Illinois – 0.1%
	17,570,000	State of Illinois, 5.100%, 6/01/2033		15,528,717

		Michigan – 0.1%
	12,040,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		11,084,626

		Puerto Rico – 0.4%
	63,900,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(i)		42,972,750


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – continued
		Virginia – 0.7%
	$ 97,200,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046	$	77,411,052

		Total Municipals (Identified Cost $180,448,486)		152,115,451

		Total Bonds and Notes (Identified Cost $9,052,080,458)		8,440,751,007

	Loan Participations – 0.1%
		ABS Other – 0.1%
	12,879,163	Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039 (b)(e)(h) (Identified Cost $12,975,757)		12,621,580

	Senior Loans – 2.1%
		Automotive – 0.3%
	21,914,997	IBC Capital Ltd., 1st Lien Term Loan, 4.985%, 9/09/2021(h)		21,641,059
	5,948,124	IBC Capital Ltd., 2nd Lien Term Loan, 8.000%, 9/09/2022(h)		5,561,496

				27,202,555

		Chemicals – 0.4%
	1,023,191	Ascend Performance Materials Operations LLC, Term Loan B, 6.500%, 8/12/2022(h)		1,029,586
	4,800,945	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(h)		4,827,351
	6,147,386	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 8.750%, 8/01/2022(h)		6,130,112
	31,355,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.750%, 12/20/2020(h)		31,198,225

				43,185,274

		Construction Machinery – 0.3%
	43,668,067	Onsite U.S. Finco LLC, Term Loan, 5.500%, 7/30/2021(h)		34,497,773

		Consumer Cyclical Services – 0.5%
	29,041,018	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(h)		26,064,314
	43,000,000	SourceHov LLC, 2014 2nd Lien Term Loan, 11.500%, 4/30/2020(h)		27,874,750

				53,939,064

		Diversified Manufacturing – 0.1%
	9,830,009	Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(h)		5,087,030

		Financial Other – 0.1%
	12,912,800	DBRS Ltd., Term Loan, 6.250%, 3/04/2022(h)		11,750,648

		Industrial Other – 0.1%
	4,699,393	Eastman Kodak Co., Exit Term Loan, 7.250%, 9/03/2019(h)		4,708,228


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
		Media Entertainment – 0.0%
	$ 1,950,549	Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(h)	$	1,943,234

		Natural Gas – 0.0%
	1,390,141	Southcross Holdings Borrower LP, Exit Term Loan B, 3.500%, 4/13/2023(h)		1,054,186

		Oil Field Services – 0.1%
	2,618,182	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(h)		2,129,446
	5,413,154	Paragon Offshore Finance Co., Term Loan B, 5.500%, 7/18/2021(b)(e)(h)(i)		1,984,841
	2,910,439	Petroleum Geo-Services ASA, New Term Loan B, 3.498%, 3/19/2021(h)		2,337,257
	2,760,596	UTEX Industries, Inc., 2nd Lien Term Loan 2014, 8.250%, 5/22/2022(h)		1,927,807

				8,379,351

		Other Utility – 0.0%
	1,298,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(h)		1,291,510

		Retailers – 0.0%
	2,703,454	Toys “R” Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(h)		2,631,353

		Technology – 0.1%
	9,507,380	IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(h)		8,105,041

		Transportation Services – 0.0%
	3,495,979	OSG Bulk Ships, Inc., OBS Term Loan, 5.250%, 8/05/2019(h)		3,404,209

		Wirelines – 0.1%
	14,998,206	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(h)		14,970,159

		Total Senior Loans (Identified Cost $266,764,142)		222,149,615


Shares
	Common Stocks – 13.1%
		Diversified Telecommunication Services – 1.2%
	232,155	Hawaiian Telcom Holdco, Inc.(d)	5,752,801
	119,794	Level 3 Communications, Inc.(d)	6,751,590
	2,511,895	Telecom Italia SpA, Sponsored ADR	18,311,714
	10,974,105	Telefonica S.A., Sponsored ADR	100,961,766

			131,777,871

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

		Household Durables – 0.1%
	56,461	KB Home	892,648


Shares		Description	Value (†)
	Common Stocks – continued
		Household Durables – continued
	156,636	Lennar Corp., Class A	$	6,724,384

				7,617,032

		Internet Software & Services – 0.0%
	303,043	Dex Media, Inc.(c)(d)		727,303

		Metals & Mining – 0.5%
	7,117,734	ArcelorMittal, (Registered)(d)		51,959,458

		Oil, Gas & Consumable Fuels – 0.7%
	846,398	Chesapeake Energy Corp.(d)		5,941,714
	37,937	Halcon Resources Corp.(d)		354,332
	47,245	Pacific Exploration and Production Corp.(d)		2,066,584
	4,610,004	Repsol S.A., Sponsored ADR		65,001,056
	257,805	Rex Energy Corp.(d)		121,478
	1,514	Southcross Holdings Group LLC(c)(d)		—
	1,514	Southcross Holdings LP, Class A(c)(d)		537,470

				74,022,634

		Pharmaceuticals – 4.6%
	8,514,190	Bristol-Myers Squibb Co.		497,569,264

		REITs - Diversified – 0.1%
	68,842	NexPoint Residential Trust, Inc.		1,537,930
	452,307	Weyerhaeuser Co.		13,609,918

				15,147,848

		Semiconductors & Semiconductor Equipment – 5.9%
	17,300,541	Intel Corp.		627,490,622

		Total Common Stocks (Identified Cost $1,121,024,988)		1,406,312,032

	Preferred Stocks – 1.8%
	Convertible Preferred Stocks – 1.4%
		Banking – 0.3%
	19,062	Bank of America Corp., Series L, 7.250%		22,241,542
	8,533	Wells Fargo & Co., Series L, Class A, 7.500%		10,154,270

				32,395,812

		Communications – 0.0%
	10,483	Cincinnati Bell, Inc., 6.750%		511,151

		Electric – 0.2%
	374,193	AES Trust III, 6.750%		18,859,327

		Energy – 0.1%
	242,297	El Paso Energy Capital Trust I, 4.750%		12,030,046


Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Midstream – 0.6%
	172,972	Chesapeake Energy Corp., 4.500%(d)	$	8,017,252
	231,033	Chesapeake Energy Corp., 5.000%(d)		10,738,414
	32,522	Chesapeake Energy Corp., Series A, 5.750%, 144A(d)		17,866,774
	43,178	Chesapeake Energy Corp., 5.750%, 144A(d)		24,125,707
	6,017	Chesapeake Energy Corp., 5.750%(d)		3,361,999

				64,110,146

		REITs - Health Care – 0.1%
	116,700	Welltower, Inc., 6.500%		7,023,006

		REITs - Hotels – 0.0%
	167,167	FelCor Lodging Trust, Inc., Series A, 1.950%		4,164,130

		REITs - Mortgage – 0.0%
	38,767	iStar, Inc., Series J, 4.500%		2,015,884

		Technology – 0.1%
	69,655	Belden, Inc., 6.750%		7,360,444

		Total Convertible Preferred Stocks (Identified Cost $175,880,702)		148,469,946

	Non-Convertible Preferred Stocks – 0.4%
		Electric – 0.0%
	393	Entergy New Orleans, Inc., 4.750%		40,725

		Finance Companies – 0.1%
	39,200	iStar, Inc., Series E, 7.875%		950,600
	39,300	iStar, Inc., Series F, 7.800%		958,134
	10,425	iStar, Inc., Series G, 7.650%		250,200
	101,175	SLM Corp., Series A, 6.970%		5,180,160

				7,339,094

		Home Construction – 0.0%
	208,246	Hovnanian Enterprises, Inc., 7.625%(d)		1,503,536

		Metals & Mining – 0.2%
	906,807	Arconic, Inc., 5.375%		27,340,231


Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		REITs - Office Property – 0.0%
	1,596	Highwoods Realty LP, Series A, 8.625%	$	1,875,300

		REITs - Warehouse/Industrials – 0.1%
	116,192	ProLogis, Inc., Series Q, 8.540%		7,149,445

		Total Non-Convertible Preferred Stocks (Identified Cost $56,449,808)		45,248,331

		Total Preferred Stocks (Identified Cost $232,330,510)		193,718,277

	Closed-End Investment Companies – 0.0%
	170,282	NexPoint Credit Strategies Fund (Identified Cost $10,230,310)		3,877,321

	Warrants – 0.0%
	72,104	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(d) (Identified Cost $0)		165,839


Principal Amount (‡)
	Short-Term Investments – 2.7%
	$ 1,918,100	Repurchase Agreement with State Street Bank and Trust Company, dated 12/30/2016 at 0.000% to be repurchased at $1,918,100 on 1/03/2017 collateralized by $1,934,700 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $1,956,492 including accrued interest(l)		1,918,100
	231,439,204	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2016 at 0.030% to be repurchased at $231,439,977 on 1/03/2017 collateralized by $242,765,000 U.S. Treasury Note, 2.000% due 8/15/2025 valued at $236,074,153; including accrued interest(l)		231,439,204
	50,000,000	U.S. Treasury Bills, 0.642%, 06/22/2017(m)		49,853,750

		Total Short-Term Investments (Identified Cost $283,204,057)		283,211,054

		Total Investments – 98.7% (Identified Cost $10,978,610,222)(a)		10,562,806,725
		Other assets less liabilities – 1.3%		142,073,433

		Net Assets – 100.0%	$	10,704,880,158

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

(†)

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.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

As of December 31, 2016, securities of the Fund were fair valued as follows:

Securities

classified as

fair valued

Percentage
of
Net Assets

Securities fair
valued by the
Fund’s
adviser

Percentage
of
Net Assets

$260,920,142

2.4%

$35,268,701

0.3%

(††)	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, 2016, the net unrealized depreciation on investments based on a cost of $11,022,052,891 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	$	1,001,201,458
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,460,447,624	)

Net unrealized depreciation	$	(459,246,166	)

(b)	Illiquid security.

(c)	Fair valued by the Fund’s adviser. At December 31, 2016, the value of these securities amounted to $35,268,701 or 0.3% of net assets.

(d)	Non-income producing security.

(e)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2016, the value of these securities amounted to $260,920,142 or 2.4% of net assets.

(f)	Perpetual bond with no specified maturity date.

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

(h)	Variable rate security. Rate as of December 31, 2016 is disclosed.

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

(j)	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.

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

(l)

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

144A

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

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, 2016, at value:

Strategic Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	10,800,138	$	15,698,569	(a)	$	26,498,707
Airlines		—		307,458,674		3,561,033	(b)		311,019,707
Chemicals		—		353,169,911		14,231,110	(c)		367,401,021
Finance Companies		2,433,194		467,364,154		—			469,797,348
Metals & Mining		—		224,272,353		3,281	(c)		224,275,634
Transportation Services		—		6,787,564		4,070,968	(c)		10,858,532
All Other Non-Convertible Bonds*		—		6,191,128,926		—			6,191,128,926

Total Non-Convertible Bonds		2,433,194		7,560,981,720		37,564,961			7,600,979,875

Convertible Bonds*		—		687,655,681		—			687,655,681
Municipals*		—		152,115,451		—			152,115,451

Total Bonds and Notes		2,433,194		8,400,752,852		37,564,961			8,440,751,007

Loan Participations*						12,621,580	(b)		12,621,580
Senior Loans*				222,149,615		—			222,149,615
Common Stocks
Internet Software & Services		—		—		727,303	(c)		727,303
Oil, Gas & Consumable Fuels		73,485,164		—		537,470	(c)		74,022,634
All Other Common Stocks*		1,331,562,095		—		—			1,331,562,095

Total Common Stocks		1,405,047,259		—		1,264,773			1,641,083,227

Preferred Stocks
Convertible Preferred Stocks
Midstream		8,017,252		45,354,480		10,738,414	(b)		64,110,146
REITs—Mortgage		—		2,015,884		—			2,015,884
All Other Convertible Preferred Stocks*		82,343,916		—		—			82,343,916

Total Convertible Preferred Stocks		90,361,168		47,370,364		10,738,414			148,469,946

Non-Convertible Preferred Stocks
Electric		—		40,725		—			40,725
REITs—Office Property		—		1,875,300		—			1,875,300
REITs—Warehouse/Industrials		—		7,149,445		—			7,149,445
All Other Non-Convertible Preferred Stocks*		36,182,861		—		—			36,182,861

Total Non-Convertible Preferred Stocks		36,182,861		9,065,470		—			45,248,331

Total Preferred Stocks		126,544,029		56,435,834		10,738,414			193,718,277

Closed-End Investment Companies		3,877,321		—		—			3,877,321
Warrants		165,839		—		—			165,839
Short-Term Investments		—		283,211,054		—			283,211,054

Total	$	1,538,067,642	$	8,962,549,355	$	62,189,728		$	10,562,806,725

*	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 Funds’ 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 Funds 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 Funds do 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 Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2016 and/or December 31, 2016:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		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, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	15,268,979	$	—	$	—		$	(10,794	)	$	440,384	$	—		$	—	$	—		$	15,698,569	$	(10,794	)
Airlines		138,786		—		—			(5,164	)		—		(292,009	)		3,857,273		(137,853	)		3,561,033		(5,164	)
Chemicals		12,834,270		82,348		—			1,314,492			—		—			—		—			14,231,110		1,314,492
Metals & Mining		3,281		13,375		—			(13,375	)		—		—			—		—			3,281		(13,375	)
Transportation Services		10,567,554		17,723		1,201,973			(1,184,474	)		—		(6,531,808	)		—		—			4,070,968		(1,184,474	)
Loan Participations
ABS Other		12,813,862				(604	)		(111,183	)		—		(80,495	)		—		—			12,621,580		(112,693	)
Senior Loans
Wirelines		14,173,305																	(14,173,305	)
Common Stocks
Internet Software & Services		602,449		—		—			124,854			—		—			—		—			727,303		124,854
Oil, Gas & Consumable Fuels		545,040		—		—			(7,570	)		—		—			—		—			537,470		(7,570	)
Preferred Stocks
Convertible
Preferred Stocks
Midstream		—		—		—			832,874			—		—			9,905,540		—			10,738,414		832,874
Warrants		112,975		—		—			—			—		—			—		(112,975	)		—		—

Total	$	67,060,501	$	113,446	$	1,201,369		$	939,660		$	440,384	$	(6,904,312	)	$	13,762,813	$	(14,424,133	)	$	62,189,728	$	938,150

Debt securities valued at $13,762,813 were transferred from Level 2 to Level 3 during the period ended December 31, 2016. At September 30, 2016, 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, 2016, 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 $14,311,158 were transferred from Level 3 to Level 2 during the period ended December 31, 2016. At September 30, 2016, 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 these securities. At December 31, 2016, 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.

Warrants valued at $112,975 were transferred from Level 3 to Level 1 during the period ended December 31, 2016. At September 30, 2016, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the security. At December 31, 2016, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

Industry Summary at December 31, 2016 (Unaudited)


Treasuries	20.5	%
Semiconductors & Semiconductor Equipment	5.9
Banking	5.7
Technology	4.8
Pharmaceuticals	4.6
Finance Companies	4.5
Wirelines	4.3
Chemicals	3.9
Airlines	2.9
Metals & Mining	2.8


Healthcare	2.8
Cable Satellite	2.7
Independent Energy	2.0
Supermarkets	2.0
Other Investments, less than 2% each	26.6
Short-Term Investments	2.7

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2016 (Unaudited)


United States Dollar	77.6	%
New Zealand Dollar	4.8
Canadian Dollar	4.6
Mexican Peso	4.1
Australian Dollar	3.5
Norwegian Krone	2.3
Other, less than 2% each	1.8

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2016 (Unaudited)

Loomis Sayles Value Fund


Shares		Description	Value (†)
	Common Stocks – 99.6% of Net Assets
		Aerospace & Defense – 3.6%
	79,199	Northrop Grumman Corp.	$	18,420,104
	227,534	United Technologies Corp.		24,942,277

				43,362,381

		Automobiles – 1.0%
	214,103	Harley-Davidson, Inc.		12,490,769

		Banks – 14.4%
	1,501,473	Bank of America Corp.		33,182,553
	388,596	Citigroup, Inc.		23,094,260
	560,912	Fifth Third Bancorp		15,127,797
	485,422	JPMorgan Chase & Co.		41,887,064
	228,110	PNC Financial Services Group, Inc. (The)		26,679,746
	636,709	Wells Fargo & Co.		35,089,033

				175,060,453

		Beverages – 1.4%
	162,845	PepsiCo, Inc.		17,038,472

		Building Products – 1.2%
	354,713	Johnson Controls International PLC		14,610,628

		Capital Markets – 2.3%
	137,280	Ameriprise Financial, Inc.		15,229,843
	161,818	State Street Corp.		12,576,495

				27,806,338

		Chemicals – 1.5%
	245,016	E.I. du Pont de Nemours & Co.		17,984,175

		Communications Equipment – 3.1%
	667,693	Cisco Systems, Inc.		20,177,682
	175,574	Harris Corp.		17,991,068

				38,168,750

		Construction Materials – 1.2%
	116,288	Vulcan Materials Co.		14,553,443

		Consumer Finance – 2.5%
	168,733	American Express Co.		12,499,741
	241,972	Discover Financial Services		17,443,761

				29,943,502

		Containers & Packaging – 1.3%
	359,215	Sealed Air Corp.		16,286,808

		Diversified Telecommunication Services – 1.5%
	331,723	Verizon Communications, Inc.		17,707,374


Shares		Description	Value (†)
	Common Stocks – continued
		Electric Utilities – 2.9%
	149,541	NextEra Energy, Inc.	$	17,864,168
	288,009	PG&E Corp.		17,502,307

				35,366,475

		Electrical Equipment – 1.2%
	222,366	Eaton Corp. PLC		14,918,535

		Energy Equipment & Services – 2.9%
	145,345	Baker Hughes, Inc.		9,443,064
	485,097	Halliburton Co.		26,238,897

				35,681,961

		Food & Staples Retailing – 1.3%
	207,135	CVS Health Corp.		16,345,023

		Food Products – 1.5%
	405,610	Mondelez International, Inc., Class A		17,980,691

		Health Care Equipment & Supplies – 2.5%
	289,232	Abbott Laboratories		11,109,401
	268,798	Medtronic PLC		19,146,482

				30,255,883

		Health Care Providers & Services – 3.4%
	70,666	Aetna, Inc.		8,763,291
	47,549	Humana, Inc.		9,701,422
	140,124	UnitedHealth Group, Inc.		22,425,445

				40,890,158

		Household Durables – 1.2%
	320,362	Newell Brands, Inc.		14,304,163

		Industrial Conglomerates – 1.6%
	162,269	Honeywell International, Inc.		18,798,864

		Insurance – 7.3%
	333,180	American International Group, Inc.		21,759,986
	424,839	FNF Group		14,427,532
	354,010	MetLife, Inc.		19,077,599
	146,840	Travelers Cos., Inc. (The)		17,976,153
	354,317	Unum Group		15,565,146

				88,806,416

		Internet & Direct Marketing Retail – 1.0%
	611,322	Liberty Interactive Corp./QVC Group, Class A(b)		12,214,214

		IT Services – 1.4%
	72,052	Alliance Data Systems Corp.		16,463,882

		Machinery – 1.2%
	261,722	Pentair PLC		14,674,753

		Media – 2.1%
	375,827	Comcast Corp., Class A		25,950,854


Shares		Description	Value (†)
	Common Stocks – continued
		Multiline Retail – 1.2%
	196,062	Dollar General Corp.	$	14,522,312

		Oil, Gas & Consumable Fuels – 7.5%
	294,112	Anadarko Petroleum Corp.		20,508,430
	229,406	Chevron Corp.		27,001,086
	263,991	Hess Corp.		16,443,999
	285,262	Marathon Petroleum Corp.		14,362,942
	234,447	Royal Dutch Shell PLC, Sponsored ADR		12,749,228

				91,065,685

		Pharmaceuticals – 7.5%
	75,868	Allergan PLC		15,933,039
	180,795	Eli Lilly & Co.		13,297,472
	368,828	Merck & Co., Inc.		21,712,904
	747,702	Pfizer, Inc.		24,285,361
	420,319	Teva Pharmaceutical Industries Ltd., Sponsored ADR		15,236,564

				90,465,340

		Real Estate Management & Development – 1.1%
	405,718	CBRE Group, Inc., Class A(b)		12,776,060

		REITs - Diversified – 1.8%
	249,786	Outfront Media, Inc.		6,212,178
	510,015	Weyerhaeuser Co.		15,346,351

				21,558,529

		Road & Rail – 1.4%
	162,432	Norfolk Southern Corp.		17,554,026

		Semiconductors & Semiconductor Equipment – 1.5%
	274,757	QUALCOMM, Inc.		17,914,156

		Software – 5.0%
	454,509	Microsoft Corp.		28,243,189
	497,034	Oracle Corp.		19,110,957
	537,686	Symantec Corp.		12,845,319

				60,199,465

		Specialty Retail – 1.3%
	95,348	Advance Auto Parts, Inc.		16,125,254

		Technology Hardware, Storage & Peripherals – 1.6%
	167,257	Apple, Inc.		19,371,706

		Textiles, Apparel & Luxury Goods – 0.8%
	111,949	Ralph Lauren Corp.		10,111,234

		Tobacco – 1.6%
	209,889	Philip Morris International, Inc.		19,202,745

		Wireless Telecommunication Services – 0.8%
	403,107	Vodafone Group PLC, Sponsored ADR		9,847,904

		Total Common Stocks (Identified Cost $919,532,936)		1,208,379,381


Description	Value (†)
Total Investments – 99.6% (Identified Cost $919,532,936)(a)	$	1,208,379,381
Other assets less liabilities – 0.4%		4,523,266

Net Assets – 100.0%	$	1,212,902,647

(†)

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, 2016, the net unrealized appreciation on investments based on a cost of $919,532,936 (excludes proceeds received from short sales $102,513) 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	$	318,006,967
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(29,160,522	)

Net unrealized appreciation	$	288,846,445

(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, 2016, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,208,379,381	$	—	$	—	$	1,208,379,381

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

For the period ended December 31, 2016, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2016 (Unaudited)


Banks	14.4	%
Oil, Gas & Consumable Fuels	7.5
Pharmaceuticals	7.5
Insurance	7.3
Software	5.0
Aerospace & Defense	3.6
Health Care Providers & Services	3.4
Communications Equipment	3.1
Energy Equipment & Services	2.9
Electric Utilities	2.9
Health Care Equipment & Supplies	2.5
Consumer Finance	2.5
Capital Markets	2.3
Media	2.1
Other Investments, less than 2% each	32.6

Total Investments	99.6
Other assets less liabilities	0.4

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 22, 2017

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 22, 2017

By:		/s/ Michael C. Kardok

Name: Michael C. Kardok
Title: Treasurer
Date: February 22, 2017