Loomis Sayles Funds II

N-Q 1 d257004dnq.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: June 30, 2017

ITEM 1.

SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of June 30, 2017 (Unaudited)

Loomis Sayles Global Equity and Income Fund


Shares		Description	Value (†)
	Common Stocks – 65.4% of Net Assets

		Belgium – 1.2%
	179,618	Anheuser-Busch InBev S.A.	$	19,838,531

		Canada – 1.2%
	406,300	CGI Group, Inc., Class A(b)		20,759,900

		China – 3.8%
	446,629	Alibaba Group Holding Ltd., Sponsored ADR(b)		62,930,026

		France – 1.9%
	288,690	Thales S.A.		31,070,041

		Hong Kong – 2.6%
	5,887,400	AIA Group Ltd.		43,074,335

		India – 0.9%
	568,894	HDFC Bank Ltd.		14,645,622

		Japan – 0.8%
	347,687	Nomura Research Institute Ltd.		13,735,892

		Sweden – 2.7%
	973,553	Assa Abloy AB		21,458,530
	629,403	Atlas Copco AB, A Shares		24,201,646

				45,660,176

		Switzerland – 4.6%
	136,158	Dufry AG, (Registered)(b)		22,344,926
	23,731	Geberit AG, (Registered)		11,081,428
	494,393	Nestle S.A., (Registered)		43,119,796

				76,546,150

		United Kingdom – 3.2%
	9,743,977	Legal & General Group PLC		32,788,455
	444,764	London Stock Exchange Group PLC		21,156,299

				53,944,754

		United States – 42.5%
	194,734	Accenture PLC, Class A		24,084,701
	23,043	Alphabet, Inc., Class C(b)		20,939,865
	39,193	Alphabet, Inc., Class A(b)		36,436,948
	23,588	Amazon.com, Inc.(b)		22,833,184
	252,969	Colgate-Palmolive Co.		18,752,592
	777,020	Comcast Corp., Class A		30,241,618
	327,233	Danaher Corp.		27,615,193
	670	Dex Media, Inc.(b)(c)(d)		2,580
	150,179	EOG Resources, Inc.		13,594,203
	325,632	Facebook, Inc., Class A(b)		49,163,919
	81,994	FactSet Research Systems, Inc.		13,625,763
	135,492	Goldman Sachs Group, Inc. (The)		30,065,675
	783	Hawaiian Telcom Holdco, Inc.(b)		19,567


Shares	Description	Value (†)
Common Stocks – continued

United States – continued
168,500	Intercontinental Exchange, Inc.	$	11,107,520
212,232	LyondellBasell Industries NV, Class A		17,910,258
131,163	M&T Bank Corp.		21,241,848
424,455	Marriott International, Inc., Class A		42,577,081
58,662	McCormick & Co., Inc.		5,720,132
34,075	Mettler-Toledo International, Inc.(b)		20,054,501
548,524	Newell Brands, Inc.		29,411,857
108,665	Northrop Grumman Corp.		27,895,392
14,948	Priceline Group, Inc. (The)(b)		27,960,533
201,927	Roper Technologies, Inc.		46,752,158
177,419	S&P Global, Inc.		25,901,400
89,990	Schlumberger Ltd.		5,924,942
137,776	Sherwin-Williams Co. (The)		48,353,865
273,918	Texas Instruments, Inc.		21,072,512
61,390	Travelers Cos., Inc. (The)		7,767,677
195,494	UnitedHealth Group, Inc.		36,248,497
406,589	Wells Fargo & Co.		22,529,096

			705,805,077

	Total Common Stocks (Identified Cost $816,028,115)		1,088,010,504

Principal Amount (‡)
Bonds and Notes – 29.2%

Non-Convertible Bonds – 28.4%

	Argentina – 0.6%
$ 17,650,000	Argentine Bonos del Tesoro, 15.500%, 10/17/2026, (ARS)		1,187,765
17,825,000	Argentine Bonos del Tesoro, 18.200%, 10/03/2021, (ARS)		1,138,269
17,000,000	Argentine Bonos del Tesoro, 21.200%, 9/19/2018, (ARS)		1,031,804
775,000	Provincia de Buenos Aires, 9.125%, 3/16/2024, 144A		873,580
535,000	Republic of Argentina, 6.875%, 4/22/2021		572,450
1,260,000	Republic of Argentina, 7.125%, 6/28/2117, 144A		1,143,450
1,390,000	Republic of Argentina, 7.625%, 4/22/2046		1,422,665
382,136	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		418,439
1,270,000	YPF S.A., 8.750%, 4/04/2024, 144A		1,447,673
17,745,000	YPF S.A., 16.500%, 5/09/2022, 144A, (ARS)		995,501

			10,231,596

	Australia – 0.2%
970,000	Commonwealth Bank of Australia, 1.375%, 9/06/2018, 144A(e)		965,851
1,150,000	Commonwealth Bank of Australia, 2.250%, 3/10/2020, 144A(e)		1,152,478


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Australia – continued
$	670,000		GAIF Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A(e)	$	658,150
	110,000		Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		117,557
	95,000		Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A		94,759

					2,988,795

			Belgium – 0.1%
	1,040,000		Anheuser-Busch InBev Finance, Inc., 3.650%, 2/01/2026		1,071,481
	440,000		Solvay Finance (America) LLC, 3.400%, 12/03/2020, 144A		454,018

					1,525,499

			Brazil – 0.9%
	800,000		Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		835,040
	8,500	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)		2,385,108
	2,250	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2019, (BRL)		656,583
	8,815	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)		2,536,844
	2,300,000		BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(e)		676,899
	1,000,000		CIMPOR Financial Operations BV, 5.750%, 7/17/2024, 144A		847,050
	400,000		Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A		395,500
	1,180,000		Embraer Netherlands Finance BV, 5.050%, 6/15/2025(e)		1,230,150
	285,000		Embraer Netherlands Finance BV, 5.400%, 2/01/2027		297,825
	915,000		Itau Unibanco Holding S.A., 2.850%, 5/26/2018, 144A		917,287
	1,825,000		Petrobras Global Finance BV, 4.375%, 5/20/2023		1,720,975
	300,000		Petrobras Global Finance BV, 6.875%, 1/20/2040		284,250
	575,000		Raizen Fuels Finance S.A., 5.300%, 1/20/2027, 144A		582,906
	500,000		Tupy Overseas S.A., 6.625%, 7/17/2024, 144A		512,500
	850,000		Vale S.A., 5.625%, 9/11/2042(e)		807,500

					14,686,417

			British Virgin Islands – 0.1%
	985,000		Sinopec Group Overseas Development 2017 Ltd., 2.375%, 4/12/2020, 144A(e)		985,296

			Canada – 2.2%
	471,129		Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A(e)		491,058


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(e)	$	800,036
	3,000,000	BMW Canada Auto Trust, Series 2017-1A, Class A2, 1.677%, 5/20/2020, 144A, (CAD)(e)		2,303,000
	21,030,000	Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)(e)		16,427,985
	970,000	Canadian Imperial Bank of Commerce, 1.600%, 9/06/2019(e)		960,823
	430,000	Enbridge, Inc., 2.900%, 7/15/2022		429,140
	1,335,000	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)(e)		1,035,747
	6,165,000	Province of Ontario Canada, 1.250%, 6/17/2019(e)		6,112,967
	7,200,000	Province of Ontario Canada, 1.875%, 5/21/2020(e)		7,189,956
	600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)(e)		496,633

				36,247,345

		Cayman Islands – 0.1%
	950,000	Latam Finance Ltd., 6.875%, 4/11/2024, 144A		966,293

		Chile – 0.5%
	1,450,000	Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A(e)		1,449,949
	770,000,000	Bonos de la Tesoreria de la Republica de Chile, 4.500%, 3/01/2021, 144A, (CLP)		1,196,228
	200,000	Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022		208,204
	600,000	Chile Government International Bond, 3.125%, 1/21/2026(e)		611,970
	300,000,000	Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(e)		478,979
	1,160,000	CODELCO, Inc., 4.500%, 9/16/2025, 144A(e)		1,235,272
	250,000	Engie Energia Chile S.A., 5.625%, 1/15/2021, 144A		272,592
	800,000	Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A(e)		828,484
	550,000	Itau CorpBanca, 3.125%, 1/15/2018(e)		552,743
	240,000	Latam Airlines Group S.A., 7.250%, 6/09/2020, 144A		253,500
	555,422	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025		546,396
	1,120,000	Transelec S.A., 4.250%, 1/14/2025, 144A(e)		1,158,336

				8,792,653

		China – 0.1%
	800,000	Baidu, Inc., 2.250%, 11/28/2017(e)		800,916


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		China – continued
$	700,000	Baidu, Inc., 3.250%, 8/06/2018(e)	$	708,346
	400,000	China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A(e)		424,276

				1,933,538

		Colombia – 0.3%
	555,000	Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022, 144A		564,712
	1,265,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		432,725
	2,140,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)(e)		722,653
	575,000	Republic of Colombia, 3.875%, 4/25/2027		580,175
	200,000,000	Republic of Colombia, 7.750%, 4/14/2021, (COP)		70,187
	6,150,000,000	Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(e)		2,155,891

				4,526,343

		Dominican Republic – 0.2%
	1,410,000	Dominican Republic, 5.500%, 1/27/2025, 144A		1,455,825
	590,000	Dominican Republic, 5.950%, 1/25/2027, 144A		615,641
	425,000	Dominican Republic, 8.625%, 4/20/2027, 144A		504,505

				2,575,971

		France – 0.7%
	970,000	Air Liquide Finance S.A., 1.375%, 9/27/2019, 144A(e)		958,088
	200,000	AXA S.A., 7.125%, 12/15/2020, (GBP)(e)		308,291
	205,000	BNP Paribas S.A., 3.800%, 1/10/2024, 144A(e)		213,492
	205,000	BNP Paribas S.A., 4.375%, 5/12/2026, 144A		212,312
	390,000	Credit Agricole S.A., (fixed rate to 6/23/2026, variable rate thereafter), 7.500% , (GBP)(f)		570,180
	735,000	Danone S.A., 1.691%, 10/30/2019, 144A(e)		729,129
	500,000	Dexia Credit Local S.A., 2.250%, 2/18/2020, 144A(e)		500,937
	1,100,000	Electricite de France S.A., EMTN, (fixed rate to 1/22/2022, variable rate thereafter), 4.125% , (EUR)(e)(f)		1,325,465
	3,360,000	French Republic Government Bond OAT, 4.250%, 10/25/2023, (EUR)(e)		4,829,149
	1,015,000	Societe Generale S.A., 4.750%, 11/24/2025, 144A(e)		1,064,227
	475,000	Societe Generale S.A., (fixed rate to 4/07/2021, variable rate thereafter), 6.750% , (EUR)(f)		594,188

				11,305,458


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Germany – 0.2%
	500,000	Allianz SE, (fixed rate to 7/07/2025, variable rate thereafter), 2.241%, 7/07/2045, (EUR)	$	573,870
	470,000	Commerzbank AG, EMTN, 4.000%, 3/23/2026, (EUR)		577,753
	675,000	Daimler Finance North America LLC, 1.750%, 10/30/2019, 144A(e)		670,616
	1,800,000	Vonovia Finance BV, EMTN, 1.500%, 6/10/2026, (EUR)(e)		2,048,014

				3,870,253

		Hong Kong – 0.0%
	355,000	AIA Group Ltd., 3.200%, 3/11/2025, 144A(e)		351,840

		Hungary – 0.2%
	1,330,000	Hungary Government International Bond, 5.375%, 3/25/2024		1,497,202
	980,000	Hungary Government International Bond, 5.750%, 11/22/2023(e)		1,120,575

				2,617,777

		India – 0.1%
	550,000	Axis Bank Ltd., 3.250%, 5/21/2020, 144A		556,102
	605,000	Greenko Investment Co., 4.875%, 8/16/2023		588,457
	700,000	State Bank of India, 4.125%, 8/01/2017, 144A		700,903

				1,845,462

		Indonesia – 0.6%
	300,000	Indonesia Government International Bond, 4.125%, 1/15/2025, 144A		309,324
	34,000,000,000	Indonesia Government International Bond, 7.000%, 5/15/2022, (IDR)		2,584,281
	3,500,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		296,466
	781,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		64,398
	35,310,000,000	Indonesia Government International Bond, Series FR53, 8.250%, 7/15/2021, (IDR)		2,789,828
	14,000,000,000	Indonesia Treasury Bond, 8.375%, 3/15/2024, (IDR)(e)		1,136,975
	795,000	Perusahaan Listrik Negara PT, 5.250%, 10/24/2042, 144A		795,000
	545,000	Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR)		667,352
	525,000	Republic of Indonesia, 4.750%, 1/08/2026, 144A		564,181

				9,207,805

		Israel – 0.0%
	510,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		599,437


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Italy – 0.1%
	500,000	Assicurazioni Generali S.p.A., EMTN, 4.125%, 5/04/2026, (EUR)	$	617,247
	530,000	Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR)		639,661
	855,000	UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A		878,248

				2,135,156

		Japan – 0.3%
	900,000	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 1.700%, 3/05/2018, 144A(e)		900,388
	940,000	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 2.150%, 9/14/2018, 144A(e)		941,960
	540,000	Nissan Motor Acceptance Corp., 2.000%, 3/08/2019, 144A(e)		540,432
	1,165,000	Nomura Holdings, Inc., GMTN, 2.750%, 3/19/2019(e)		1,176,658
	850,000	SoftBank Group Corp., 4.500%, 4/15/2020, 144A		883,651

				4,443,089

		Kazakhstan – 0.0%
	475,000	Tengizchevroil Finance Co. International Ltd., 4.000%, 8/15/2026, 144A		457,435

		Korea – 0.4%
	3,700,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)(e)		449,876
	600,000	Industrial Bank of Korea, 2.375%, 7/17/2017, 144A(e)		600,057
	400,000	Korea Development Bank (The), 4.625%, 11/16/2021(e)		432,474
	630,000	Korea Development Bank (The), MTN, 4.500%, 11/22/2019, (AUD)(e)		501,229
	670,000	KT Corp., 2.500%, 7/18/2026, 144A(e)		633,479
	1,125,000	Minera y Metalurgica del Boleo S.A. de CV, 2.875%, 5/07/2019, 144A(e)		1,133,487
	950,000	Shinhan Bank, 2.250%, 4/15/2020, 144A(e)		940,025
	770,000	Shinhan Bank, 3.875%, 3/24/2026, 144A(e)		774,658
	140,000	SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A(e)		179,509
	200,000	Woori Bank, 5.875%, 4/13/2021, 144A(e)		220,095

				5,864,889

		Luxembourg – 0.0%
	500,000	Millicom International Cellular S.A., 4.750%, 5/22/2020, 144A		511,565

		Mexico – 1.2%
	620,000	Alfa SAB de CV, 6.875%, 3/25/2044		675,800


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Mexico – continued
	770,000		America Movil SAB de CV, 2.125%, 3/10/2028, (EUR)(e)	$	894,346
	10,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)(e)		520,361
	675,000		Banco Nacional de Comercio Exterior SNC, (fixed rate to 8/11/2021, variable rate thereafter), 3.800%, 8/11/2026, 144A		673,312
	300,000		Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A(e)		313,200
	1,150,000		Cemex Finance LLC, 6.000%, 4/01/2024, 144A		1,221,990
	300,000		Cemex SAB de CV, 4.375%, 3/05/2023, 144A, (EUR)		362,039
	505,000		Cemex SAB de CV, 5.700%, 1/11/2025, 144A		535,931
	200,000		Cemex SAB de CV, 7.750%, 4/16/2026, 144A		228,750
	800,000		Gruma SAB de CV, 4.875%, 12/01/2024(e)		867,000
	680,000		Grupo Televisa SAB, 5.000%, 5/13/2045(e)		654,146
	10,000,000		Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(e)		433,142
	248,744	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(e)		1,365,253
	899,680	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		5,217,115
	443,452	(†††)	Mexican Fixed Rate Bonds, Series M-30, 10.000%, 11/20/2036, (MXN)(e)		3,181,321
	920,000		Mexichem SAB de CV, 5.875%, 9/17/2044, 144A(e)		921,380
	196,000		Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)(e)		198,252
	1,020,000		Mexico Government International Bond, 4.125%, 1/21/2026(e)		1,060,290
	625,000		Petroleos Mexicanos, 5.625%, 1/23/2046(e)		554,063
	135,000	(†††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)(e)		657,521
	100,000		Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR)		119,863

					20,655,075

			Morocco – 0.1%
	965,000		OCP S.A., 4.500%, 10/22/2025, 144A(e)		972,431
	590,000		OCP S.A., 6.875%, 4/25/2044, 144A		664,571

					1,637,002

			Netherlands – 0.2%
	150,000		AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.625%, 7/01/2022		160,760


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Netherlands – continued
$	870,000	Cooperatieve Rabobank UA, 4.375%, 8/04/2025(e)	$	911,664
	675,000	ING Bank NV, 1.650%, 8/15/2019, 144A(e)		668,355
	800,000	Myriad International Holdings BV, 4.850%, 7/06/2027, 144A		803,400
	580,000	Ziggo Bond Finance BV, 6.000%, 1/15/2027, 144A		586,525
	525,000	Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A		536,156

				3,666,860

		New Zealand – 0.4%
	2,340,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)(e)		1,797,682
	2,925,643	New Zealand Government CPI Linked Bond, 2.000%, 9/20/2025, (NZD)		2,173,114
	2,941,673	New Zealand Government CPI Linked Bond, 3.000%, 9/20/2030, (NZD)(e)		2,422,877

				6,393,673

		Norway – 0.2%
	550,000	Kommunalbanken AS, 1.750%, 9/15/2020, 144A		548,982
	3,815,000	Norway Government Bond, 2.000%, 5/24/2023, 144A, (NOK)		476,663
	13,760,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)(e)		1,767,609

				2,793,254

		Panama – 0.0%
	680,000	Banco Latinoamericano de Comercio Exterior S.A., 3.250%, 5/07/2020, 144A(e)		696,000

		Paraguay – 0.1%
	800,000	Republic of Paraguay, 5.000%, 4/15/2026, 144A		845,000
	572,000	Telefonica Celular del Paraguay S.A., 6.750%, 12/13/2022		597,391

				1,442,391

		Peru – 0.2%
	580,000	Southern Copper Corp., 3.875%, 4/23/2025(e)		594,642
	1,050,000	Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A(e)		1,089,375
	1,050,000	Union Andina de Cementos SAA, 5.875%, 10/30/2021, 144A		1,090,425

				2,774,442

		Portugal – 0.0%
	400,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		413,500


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Portugal – continued
	225,000	EDP Finance BV, EMTN, 2.000%, 4/22/2025, (EUR)	$	261,170

				674,670

		Romania – 0.0%
	410,000	Romanian Government International Bond, 2.875%, 5/26/2028, 144A, (EUR)		482,817

		Russia – 0.1%
	72,000,000	Russian Federal Bond - OFZ, Series 6207, 8.150%, 2/03/2027, (RUB)		1,270,179
	63,000,000	Russian Federal Bond - OFZ, Series 6208, 7.500%, 2/27/2019, (RUB)		1,061,861

				2,332,040

		Singapore – 0.2%
	495,000	BOC Aviation Ltd., 3.000%, 3/30/2020(e)		497,937
	2,000,000	DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A(e)		2,006,420

				2,504,357

		South Africa – 0.2%
	930,000	MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A		896,241
	500,000	Myriad International Holdings BV, 6.000%, 7/18/2020, 144A		540,000
	35,480,000	South Africa Government International Bond, Series R213, 7.000%, 2/28/2031, (ZAR)(e)		2,218,270

				3,654,511

		Spain – 0.5%
	800,000	Gas Natural Fenosa Finance BV, (fixed rate to 4/24/2024, variable rate thereafter), 3.375%, (EUR)(f)		931,921
	725,000	Spain Government International Bond, 0.750%, 7/30/2021, (EUR)(e)		850,788
	430,000	Spain Government International Bond, 1.600%, 4/30/2025, 144A, (EUR)(e)		508,657
	1,335,000	Spain Government International Bond, 4.300%, 10/31/2019, 144A, (EUR)(e)		1,684,505
	2,565,000	Spain Government International Bond, 4.400%, 10/31/2023, 144A, (EUR)(e)		3,598,374
	345,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		375,573

				7,949,818

		Supranationals – 0.2%
	1,115,000	Corporacion Andina de Fomento, 4.375%, 6/15/2022(e)		1,205,672
	1,140,000	International Bank for Reconstruction & Development, 2.500%, 3/12/2020, (AUD)(e)		882,223
	70,000,000	International Finance Corp., 7.800%, 6/03/2019, (INR)(e)		1,123,707

				3,211,602


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Sweden – 0.0%
	2,450,000	Sweden Government Bond, 5.000%, 12/01/2020, (SEK)(e)	$	343,736

		Switzerland – 0.1%
	1,075,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A(e)		1,144,875
	200,000	LafargeHolcim Finance U.S. LLC, 3.500%, 9/22/2026, 144A		197,240

				1,342,115

		Thailand – 0.3%
	1,010,000	Siam Commercial Bank PCL, 3.500%, 4/07/2019, 144A(e)		1,028,839
	950,000	Thai Oil PCL, 3.625%, 1/23/2023, 144A(e)		973,065
	85,000,000	Thailand Government Bond, 2.125%, 12/17/2026, (THB)		2,406,546

				4,408,450

		Trinidad – 0.0%
	415,000	Trinidad Generation UnLtd., 5.250%, 11/04/2027, 144A		414,585

		Turkey – 0.2%
	800,000	Arcelik AS, 5.000%, 4/03/2023, 144A		811,923
	735,000	TC Ziraat Bankasi AS, 4.250%, 7/03/2019		739,072
	4,125,000	Turkey Government Bond, 11.000%, 3/02/2022, (TRY)		1,194,667

				2,745,662

		Ukraine – 0.0%
	575,000	Kernel Holding S.A., 8.750%, 1/31/2022, 144A		616,377

		United Arab Emirates – 0.1%
	850,000	DP World Ltd., 3.250%, 5/18/2020, 144A(e)		861,546
	200,000	DP World Ltd., EMTN, 3.250%, 5/18/2020		202,717
	600,000	JAFZ Sukuk 2019 Ltd., 7.000%, 6/19/2019		651,000

				1,715,263

		United Kingdom – 0.7%
	600,000	Anglo American Capital PLC, 2.625%, 9/27/2017, 144A		600,600
	1,100,000	Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 6.625% (f)		1,120,625
	400,000	Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 7.000% , (GBP)(f)		531,399
	585,000	BP Capital Markets PLC, 3.216%, 11/28/2023(e)		594,107


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United Kingdom – continued
	545,000	FCE Bank PLC, EMTN, 0.869%, 9/13/2021, (EUR)	$	621,732
	300,000	HSBC Holdings PLC, 4.375%, 11/23/2026(e)		311,286
	565,000	HSBC Holdings PLC, (fixed rate to 6/01/2021, variable rate thereafter), 6.875% (f)		610,200
	295,000	HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)(e)		468,287
	150,000	Imperial Brands Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP)		209,218
	400,000	Lloyds Banking Group PLC, 4.500%, 11/04/2024(e)		416,542
	1,020,000	Lloyds Banking Group PLC, (fixed rate to 6/27/2024, variable rate thereafter), 7.500% (f)		1,125,188
	400,000	Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP)		601,315
	1,130,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023(e)		1,244,658
	950,000	Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2020, variable rate thereafter), 7.500% (f)		981,008
	350,000	Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A(e)		362,549
	250,000	Standard Chartered PLC, EMTN, (fixed rate to 10/21/2020, variable rate thereafter), 4.000%, 10/21/2025, (EUR)(e)		307,153
	600,000	United Kingdom Gilt, 2.000%, 9/07/2025, (GBP)(e)		839,181
	130,000	Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR)		154,722
	115,000	Virgin Media Secured Finance PLC, 4.875%, 1/15/2027, (GBP)		153,800

				11,253,570

		United States – 15.5%
	15,000	21st Century Fox America, Inc., 6.400%, 12/15/2035		19,009
	9,890,000	AbbVie, Inc., 2.500%, 5/14/2020		10,004,655
	1,745,000	AES Corp. (The), 4.875%, 5/15/2023		1,777,719
	8,000,000	Ally Financial, Inc., 4.125%, 2/13/2022		8,200,000
	745,000	Ally Financial, Inc., 5.125%, 9/30/2024		785,915
	129,000	Ally Financial, Inc., 8.000%, 12/31/2018		139,159
	1,728,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,116,800
	2,542,120	American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025		2,646,855
	555,000	American Airlines Pass Through Certificates, Series 2017-1B, Class B, 4.950%, 8/15/2026		571,650
	165,125	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		171,684


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	6,190,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024	$	6,046,547
	300,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		274,920
	400,000	Antero Resources Corp., 5.125%, 12/01/2022		400,872
	175,000	Antero Resources Corp., 5.375%, 11/01/2021		176,750
	3,060,000	Antero Resources Corp., 5.625%, 6/01/2023		3,098,250
	1,510,000	AT&T, Inc., 3.400%, 5/15/2025		1,484,466
	3,960,000	AT&T, Inc., 4.125%, 2/17/2026		4,060,065
	495,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		492,792
	925,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		1,049,732
	95,000	Avon Products, Inc., 8.950%, 3/15/2043		84,669
	200,000	Bank of America Corp., 5.490%, 3/15/2019		210,486
	2,700,000	Bank of America Corp., 6.110%, 1/29/2037		3,304,665
	115,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		118,424
	50,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		52,375
	71,000	California Resources Corp., 5.500%, 9/15/2021		41,141
	10,000	California Resources Corp., 6.000%, 11/15/2024		4,682
	1,740,000	California Resources Corp., 8.000%, 12/15/2022, 144A		1,100,550
	880,000	CenturyLink, Inc., 6.450%, 6/15/2021		950,400
	510,000	CenturyLink, Inc., 7.650%, 3/15/2042		473,662
	55,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		54,588
	605,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		562,650
	65,000	Chemours Co. (The), 6.625%, 5/15/2023		68,738
	3,210,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		2,985,300
	315,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		283,500
	495,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		485,100
	190,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		190,475
	95,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		95,000


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	4,274,000	Chesapeake Energy Corp., 8.000%, 12/15/2022, 144A	$	4,519,755
	4,700,000	Chesapeake Energy Corp., 8.000%, 6/15/2027, 144A		4,617,750
	780,000	Chevron Corp., 2.419%, 11/17/2020(e)		789,668
	1,635,000	Cimarex Energy Co., 4.375%, 6/01/2024		1,713,884
	525,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		548,730
	500,000	Citizens Financial Group, Inc., 4.300%, 12/03/2025		521,302
	2,913,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		2,898,435
	155,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		159,844
	480,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		477,600
	265,000	Constellation Brands, Inc., 4.750%, 11/15/2024		288,855
	30,175	Continental Airlines Pass Through Certificates, Series 1999-1, Class B, 6.795%, 2/02/2020		31,081
	1,005,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,030,125
	485,000	Continental Resources, Inc., 3.800%, 6/01/2024		444,076
	640,000	Continental Resources, Inc., 4.500%, 4/15/2023		611,200
	115,000	Continental Resources, Inc., 5.000%, 9/15/2022		112,844
	375,000	Cox Communications, Inc., 4.800%, 2/01/2035, 144A		366,713
	800,000	CPPIB Capital, Inc., 0.375%, 6/20/2024, 144A, (EUR)		901,439
	155,000	Cummins, Inc., 5.650%, 3/01/2098		169,234
	475,000	Dell International LLC/EMC Corp., 6.020%, 6/15/2026, 144A		523,217
	260,000	Delphi Automotive PLC, 1.600%, 9/15/2028, (EUR)		284,195
	147,566	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		167,487
	1,200,000	Devon Energy Corp., 3.250%, 5/15/2022		1,192,612
	42,000	Dillard’s, Inc., 6.625%, 1/15/2018		42,858
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		55,425
	8,000	Dillard’s, Inc., 7.750%, 7/15/2026		9,276
	300,000	Discovery Communications LLC, 1.900%, 3/19/2027, (EUR)		327,090
	395,000	DISH DBS Corp., 5.000%, 3/15/2023		404,875


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	1,495,000	DISH DBS Corp., 5.875%, 11/15/2024	$	1,595,120
	125,000	DPL, Inc., 6.750%, 10/01/2019		130,625
	310,000	DR Horton, Inc., 4.375%, 9/15/2022		329,958
	575,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		732,278
	600,000	EnLink Midstream Partners LP, 4.150%, 6/01/2025		592,508
	410,000	FedEx Corp., 1.000%, 1/11/2023, (EUR)		471,667
	150,000	Foot Locker, Inc., 8.500%, 1/15/2022		175,500
	40,000	Ford Motor Co., 4.346%, 12/08/2026		41,178
	685,000	Ford Motor Co., 5.291%, 12/08/2046		703,029
	25,000	Ford Motor Co., 6.375%, 2/01/2029		28,509
	50,000	Ford Motor Co., 6.625%, 2/15/2028		58,308
	2,105,000	Ford Motor Co., 6.625%, 10/01/2028		2,486,260
	5,000	Ford Motor Co., 7.500%, 8/01/2026		6,155
	5,000,000	Ford Motor Credit Co. LLC, 2.459%, 3/27/2020		5,004,345
	1,600,000	Ford Motor Credit Co. LLC, 3.588%, 6/02/2020, (AUD)(e)		1,242,734
	1,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		1,025,579
	905,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(d)(g)		1,029,676
	2,370,000	Freeport-McMoRan, Inc., 3.875%, 3/15/2023		2,204,100
	210,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		188,475
	2,475,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		2,134,192
	865,000	Frontier Communications Corp., 6.875%, 1/15/2025		681,187
	560,000	Frontier Communications Corp., 11.000%, 9/15/2025		519,400
	205,000	FTS International, Inc., 6.250%, 5/01/2022		168,008
	275,000	Gates Global LLC/Gates Global Co., 6.000%, 7/15/2022, 144A		275,687
	50,000	General Electric Co., GMTN, 3.100%, 1/09/2023		51,852
	740,000	General Electric Co., Series D, (fixed rate to 1/21/2021, variable rate thereafter), 5.000% (e)(f)		785,436
	310,000	General Motors Co., 5.200%, 4/01/2045		304,140


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	5,000,000	General Motors Financial Co., Inc., 2.400%, 4/10/2018	$	5,018,700
	240,000	General Motors Financial Co., Inc., 3.450%, 4/10/2022		243,936
	925,000	General Motors Financial Co., Inc., 5.250%, 3/01/2026		999,104
	170,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		140,250
	130,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		107,900
	3,435,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		4,502,783
	105,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		133,598
	180,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		249,529
	315,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		483,619
	800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)(e)		624,022
	2,295,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,979,004
	165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		181,913
	48,955	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.979%, 8/10/2045(h)		49,347
	1,000,000	HCA Healthcare, Inc., 6.250%, 2/15/2021		1,092,500
	20,000	HCA, Inc., 4.750%, 5/01/2023		21,150
	225,000	HCA, Inc., 7.050%, 12/01/2027		252,000
	820,000	HCA, Inc., 7.500%, 11/06/2033		927,625
	395,000	HCA, Inc., 8.360%, 4/15/2024		472,025
	195,000	HCA, Inc., MTN, 7.580%, 9/15/2025		223,762
	75,000	HCA, Inc., MTN, 7.750%, 7/15/2036		84,750
	855,000	Hecla Mining Co., 6.875%, 5/01/2021		887,062
	490,000	Hewlett Packard Enterprise Co., 6.350%, 10/15/2045		517,870
	310,000	Hexion, Inc., 7.875%, 2/15/2023(c)(d)		158,100
	485,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		520,769
	1,585,000	Hyundai Capital America, 2.750%, 9/27/2026, 144A(e)		1,467,187
	450,000	International Lease Finance Corp., 4.625%, 4/15/2021		478,956
	640,000	International Lease Finance Corp., 5.875%, 8/15/2022		722,535


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	1,250,000	International Lease Finance Corp., 6.250%, 5/15/2019	$	1,340,730
	745,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		767,499
	145,000	iStar, Inc., 4.875%, 7/01/2018		145,911
	3,460,000	iStar, Inc., 5.000%, 7/01/2019		3,494,600
	200,000	iStar, Inc., 7.125%, 2/15/2018		205,000
	48,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		34,500
	5,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,400
	1,070,000	Jefferies Group LLC, 6.250%, 1/15/2036		1,166,372
	15,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(d)(g)		14,035
	5,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		5,065
	1,665,000	KB Home, 8.000%, 3/15/2020		1,873,125
	2,805,000	Kraton Polymers LLC/Kraton Polymers Capital Corp., 10.500%, 4/15/2023, 144A		3,239,775
	140,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		145,250
	330,000	Level 3 Financing, Inc., 5.125%, 5/01/2023		342,580
	760,000	Level 3 Financing, Inc., 5.375%, 5/01/2025		799,900
	20,000	Macy’s Retail Holdings, Inc., 4.500%, 12/15/2034		16,545
	44,000	Masco Corp., 6.500%, 8/15/2032		53,827
	403,000	Masco Corp., 7.750%, 8/01/2029		540,420
	410,000	Micron Technology, Inc., 5.250%, 8/01/2023, 144A		425,785
	254,000	Micron Technology, Inc., 5.500%, 2/01/2025		267,970
	1,430,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		1,472,900
	825,000	Morgan Stanley, 2.125%, 4/25/2018		827,721
	220,000	Morgan Stanley, 2.500%, 1/24/2019		221,698
	450,000	Morgan Stanley, 3.950%, 4/23/2027		454,058
	725,000	Morgan Stanley, 5.750%, 1/25/2021		802,165
	3,150,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		3,288,474
	600,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		718,279


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			United States – continued
$	25,000		MPLX LP, 4.500%, 7/15/2023	$	26,539
	95,000		MPLX LP, 4.875%, 6/01/2025		100,738
	3,000,000		Navient Corp., 5.000%, 10/26/2020		3,112,500
	95,000		Navient Corp., 5.875%, 10/25/2024		96,691
	1,600	(††††)	Navient Corp., 6.000%, 12/15/2043		38,072
	715,000		Navient Corp., MTN, 6.125%, 3/25/2024		736,450
	915,000		Navient LLC, 5.500%, 1/25/2023		929,869
	40,000		Navient LLC, MTN, 4.625%, 9/25/2017		40,100
	60,000		Navient LLC, MTN, 5.500%, 1/15/2019		62,475
	415,000		Navient LLC, MTN, 7.250%, 1/25/2022		453,387
	2,560,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033(d)(g)		2,138,368
	310,000		Navient LLC, Series A, MTN, 8.450%, 6/15/2018		326,430
	4,457,000		New Albertson’s, Inc., 7.450%, 8/01/2029		4,323,290
	525,000		New Albertson’s, Inc., 7.750%, 6/15/2026		525,882
	5,710,000		New Albertson’s, Inc., 8.000%, 5/01/2031		5,658,553
	2,110,000		New Albertson’s, Inc., 8.700%, 5/01/2030		2,152,200
	1,265,000		New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,151,150
	365,000		Newell Brands, Inc., 4.000%, 12/01/2024		379,209
	65,000		Newfield Exploration Co., 5.625%, 7/01/2024		67,763
	670,000		NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025, 144A		613,050
	110,000		NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023, 144A		108,488
	20,000		NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		23,800
	1,019,000		Noble Energy, Inc., 5.625%, 5/01/2021		1,046,768
	120,000		Oasis Petroleum, Inc., 6.875%, 1/15/2023		116,100
	2,275,000		Oceaneering International, Inc., 4.650%, 11/15/2024		2,242,945
	420,000		Old Republic International Corp., 4.875%, 10/01/2024		449,259
	3,693,000		ONEOK Partners LP, 4.900%, 3/15/2025		3,954,040


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	25,000	ONEOK Partners LP, 6.200%, 9/15/2043	$	28,716
	55,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		56,994
	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		695,207
	2,965,000	Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A		3,161,431
	540,000	PulteGroup, Inc., 6.000%, 2/15/2035		541,350
	785,000	PulteGroup, Inc., 6.375%, 5/15/2033		820,325
	220,000	PulteGroup, Inc., 7.875%, 6/15/2032		256,300
	285,000	QEP Resources, Inc., 5.250%, 5/01/2023		269,325
	210,000	QEP Resources, Inc., 5.375%, 10/01/2022		202,125
	255,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		263,287
	1,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,405,087
	650,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		618,384
	400,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		416,000
	60,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		57,017
	476,000	Qwest Corp., 6.875%, 9/15/2033		468,381
	115,000	Qwest Corp., 7.250%, 9/15/2025		127,705
	37,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		38,711
	230,000	Range Resources Corp., 4.875%, 5/15/2025		218,500
	850,000	Range Resources Corp., 5.000%, 8/15/2022, 144A		835,125
	220,000	Range Resources Corp., 5.000%, 3/15/2023, 144A		215,050
	1,075,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		1,152,946
	230,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.500%, 4/15/2023		238,050
	970,000	Santander Holdings USA, Inc., 2.650%, 4/17/2020(e)		967,522
	25,000	Sealed Air Corp., 4.875%, 12/01/2022, 144A		26,625
	640,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		699,200
	420,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		458,850


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	760,000	Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A	$	793,250
	140,000	Silgan Holdings, Inc., 3.250%, 3/15/2025, 144A, (EUR)		163,099
	2,495,000	Springleaf Finance Corp., 5.250%, 12/15/2019		2,595,049
	330,000	Springleaf Finance Corp., 7.750%, 10/01/2021		369,187
	130,000	Springleaf Finance Corp., 8.250%, 10/01/2023		145,275
	2,349,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,611,078
	2,240,000	Sprint Capital Corp., 8.750%, 3/15/2032		2,822,400
	1,720,000	Sprint Communications, Inc., 6.000%, 11/15/2022		1,823,200
	120,000	Sprint Corp., 7.125%, 6/15/2024		133,500
	2,840,000	Sprint Corp., 7.875%, 9/15/2023		3,266,000
	2,910,000	SUPERVALU, Inc., 6.750%, 6/01/2021		2,851,800
	1,365,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.750%, 3/15/2024		1,467,375
	520,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		546,057
	100,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		100,000
	1,360,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,251,200
	820,000	Textron, Inc., 5.950%, 9/21/2021		915,301
	510,000	THC Escrow Corp. III, 5.125%, 5/01/2025, 144A		511,912
	90,000	Time Warner Cable LLC, 4.500%, 9/15/2042		85,634
	565,000	Time Warner Cable LLC, 5.250%, 7/15/2042, (GBP)(e)		878,551
	85,000	Time Warner Cable LLC, 5.500%, 9/01/2041		91,347
	1,680,000	Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026		2,161,409
	171,000	TransDigm, Inc., 6.500%, 7/15/2024		176,558
	185,000	TransDigm, Inc., 6.500%, 5/15/2025		188,237
	6,665,000	TRI Pointe Group, Inc., 4.875%, 7/01/2021		7,014,912
	90,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		92,178
	5,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024		5,275
	870,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		811,275


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	1,191,352	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2022(i)	$	1,185,666
	3,000,000	U.S. Treasury Note, 0.750%, 9/30/2018		2,978,790
	4,345,000	U.S. Treasury Note, 0.875%, 6/15/2019(e)		4,302,567
	2,350,000	U.S. Treasury Note, 1.375%, 5/31/2020		2,338,708
	3,460,000	U.S. Treasury Note, 1.750%, 11/30/2021(e)		3,450,945
	630,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		652,837
	2,940,000	United Rentals North America, Inc., 5.500%, 7/15/2025		3,079,650
	2,635,000	United Rentals North America, Inc., 5.750%, 11/15/2024		2,760,162
	50,000	United Rentals North America, Inc., 7.625%, 4/15/2022		52,250
	1,940,000	United States Steel Corp., 6.650%, 6/01/2037		1,746,000
	690,000	United States Steel Corp., 7.375%, 4/01/2020		746,166
	770,000	United States Steel Corp., 7.500%, 3/15/2022		789,250
	105,078	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		117,688
	53,765	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		58,002
	391,280	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		420,032
	25,000	Viacom, Inc., 4.375%, 3/15/2043		22,222
	176,000	Viacom, Inc., 4.850%, 12/15/2034		174,918
	395,000	Viacom, Inc., 5.250%, 4/01/2044		395,561
	145,000	Viacom, Inc., 5.850%, 9/01/2043		156,586
	1,380,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		1,516,275
	60,000	Weyerhaeuser Co., 6.950%, 10/01/2027		75,302
	315,000	Weyerhaeuser Co., 7.375%, 3/15/2032		433,721
	1,060,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		1,053,375
	590,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		554,600
	130,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		119,610
	55,000	Windstream Services LLC, 7.500%, 6/01/2022		49,088
	1,955,000	Windstream Services LLC, 7.500%, 4/01/2023		1,715,512


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		United States – continued
$	1,105,000	Windstream Services LLC, 7.750%, 10/01/2021	$	1,038,700

				258,081,522

		Uruguay – 0.0%
	17,410,000	Republic of Uruguay, 9.875%, 6/20/2022, 144A, (UYU)		625,356

		Total Non-Convertible Bonds (Identified Cost $445,267,905)		471,085,060

	Convertible Bonds – 0.8%

		United States – 0.8%
	105,000	CalAmp Corp., 1.625%, 5/15/2020		106,969
	190,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		179,788
	60,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		56,100
	15,000	Ciena Corp., 3.750%, 10/15/2018, 144A		20,194
	2,290,000	Dish Network Corp., 3.375%, 8/15/2026, 144A		2,776,625
	530,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(j)		776,450
	275,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		266,234
	468,000	Intel Corp., 3.250%, 8/01/2039		773,370
	1,000,000	KB Home, 1.375%, 2/01/2019		1,069,375
	1,690,000	Nuance Communications, Inc., 1.000%, 12/15/2035		1,628,636
	2,095,000	Old Republic International Corp., 3.750%, 3/15/2018		2,651,484
	1,450,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		1,660,250
	1,660,000	Rovi Corp., 0.500%, 3/01/2020		1,639,781
	40,000	RPM International, Inc., 2.250%, 12/15/2020		47,200
	90,000	Trinity Industries, Inc., 3.875%, 6/01/2036		112,781

		Total Convertible Bonds (Identified Cost $11,511,908)		13,765,237

	Municipals – 0.0%

		United States – 0.0%
	155,000	State of Illinois, 5.100%, 6/01/2033		145,099
	130,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		113,617


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Municipals – continued

		Total Municipals (Identified Cost $252,474)		258,716

		Total Bonds and Notes (Identified Cost $457,032,287)		485,109,013

	Senior Loans – 0.0%

		United States – 0.0%
$	1,908	Dex Media, Inc., Term Loan, 11.226%, 7/29/2021(h)	$	1,932
	120,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.546%, 11/06/2020(h)		117,600

		Total Senior Loans (Identified Cost $123,888)		119,532


Shares
	Preferred Stocks – 0.1%

	Convertible Preferred Stocks – 0.1%

		United States – 0.1%
	460	Chesapeake Energy Corp., 5.000%		28,520
	40	Chesapeake Energy Corp., 5.750%		23,675
	736	Chesapeake Energy Corp., 5.750%		442,060
	84	Chesapeake Energy Corp., Series A, 5.750% 144A		49,718
	5,544	El Paso Energy Capital Trust I, 4.750%		277,754

		Total Convertible Preferred Stocks (Identified Cost $714,389)		821,727

	Non-Convertible Preferred Stock – 0.0%

		United States – 0.0%
	2,585	Arconic, Inc., 5.375% (Identified Cost $125,173)		92,543

		Total Preferred Stocks (Identified Cost $839,562)		914,270


Principal Amount (‡)
	Short-Term Investments – 4.9%
$	2,565	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2017 at 0.000% to be repurchased at $2,565 on 7/03/2017 collateralized by $2,600 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $2,619 including accrued interest(k)		2,565
	49,248,032	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $49,249,427 on 7/03/2017 collateralized by $50,420,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $50,236,824 including accrued interest(k)		49,248,032
	6,000,000	U.S. Treasury Bills, 0.780%, 7/27/17(l)		5,996,718
	5,000,000	U.S. Treasury Bills, 0.825%, 7/13/2017(l)		4,998,925
	10,000,000	U.S. Treasury Bills, 0.872%, 8/03/2017(l)		9,992,660


Principal Amount (‡)	Description	Value (†)
$11,590,000	U.S. Treasury Bills, 0.995%, 10/05/2017(l)	$	11,559,287

	Total Short-Term Investments (Identified Cost $81,797,097)		81,798,187

	Total Investments – 99.6% (Identified Cost $1,355,820,949)(a)		1,655,951,506
	Other assets less liabilities – 0.4%		5,871,367

	Net Assets – 100.0%	$	1,661,822,873

(†)

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.

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 June 30, 2017, 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

$283,869,879

17.1%

3,182,079

0.2%

160,680

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.

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

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

(†††)

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

(††††)

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

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

At June 30, 2017, the net unrealized appreciation on investments based on a cost of $1,356,713,031 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	$	310,326,639
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,088,164	)

Net unrealized appreciation	$	299,238,475

At September 30, 2016, the Fund had a 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 June 30, 2017, the value of these securities amounted to $160,680 and less than 0.01% of net assets.

(d)	Illiquid security.

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

(f)	Perpetual bond with no specified maturity date.

(g)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2017, the value of these securities amounted to $3,182,079 or 0.2% of net assets.

(h)	Variable rate security. Rate as of June 30, 2017 is disclosed.

(i)	Treasury Inflation Protected Security (TIPS).

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

(k)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of June 30, 2017, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

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

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, the value of Rule 144A holdings amounted to $118,296,651 or 7.1% of net assets.

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

CPI	Consumer Price Index

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

ARS	Argentine Peso

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

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

RUB	New Russian Ruble

SEK	Swedish Krona

THB

Thai Baht

TRY	Turkish Lira

UYU	Uruguayan Peso

ZAR	South African Rand

Forward Foreign Currency Contracts

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

At June 30, 2017, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date	Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹	9/20/2017	Australian Dollar		3,428,000	$	2,632,224	$	(54,056	)
Sell²	9/20/2017	Brazilian Real		20,235,000		6,013,462		33,154
Buy¹	9/20/2017	British Pound		2,380,000		3,107,136		59,458
Sell¹	9/20/2017	Canadian Dollar		21,060,000		16,259,786		(629,683	)
Buy³	9/20/2017	Euro		32,550,000		37,326,675		660,402
Sell³	9/20/2017	Euro		1,815,000		2,081,349		(28,956	)
Sell¹	9/20/2017	Indonesian Rupiah		39,600,000,000		2,944,238		5,483
Buy¹	9/20/2017	Japanese Yen		4,016,500,000		35,829,025		(841,126	)
Sell⁴	9/20/2017	Mexican Peso		136,000,000		7,403,798		(31,246	)
Sell¹	9/20/2017	New Zealand Dollar		8,162,000		5,972,705		(102,497	)
Sell⁴	9/20/2017	Norwegian Krone		4,200,000		503,825		(8,489	)
Sell⁴	9/20/2017	South African Rand		29,520,000		2,227,567		70,943
Sell⁴	9/20/2017	Swedish Krona		3,100,000		369,564		(12,180	)

Total							$	(878,793	)

At June 30, 2017, the Fund had the following open forward cross currency contracts:

Settlement Date

Deliver/Units of Currency

Receive/Units of Currency

Unrealized
Appreciation
(Depreciation)

9/20/2017

Norwegian Krone

14,180,000

Euro¹

1,479,307

(4,614

)

¹	Counterparty is Credit Suisse International

²	Counterparty is Bank of America, N.A.

³	Counterparty is Morgan Stanley & Co.

⁴	Counterparty is UBS AG

Fair Value Measurements

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

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2017, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Common Stocks*
Belgium	$	—	$	19,838,531	$	—		$	19,838,531
France		—		31,070,041		—			31,070,041
Hong Kong		—		43,074,335		—			43,074,335
Japan		—		13,735,892		—			13,735,892
Sweden		—		45,660,176		—			45,660,176
Switzerland		—		76,546,150		—			76,546,150
United Kingdom		—		53,944,754		—			53,944,754
United States		705,802,497		—		2,580	(a)		705,805,077
All Other Common Stocks*		98,335,548		—		—			98,335,548

Total Common Stocks		804,138,045		283,869,879		2,580			1,088,010,504

Bonds and Notes
Non-Convertible Bonds
United States		38,072		257,885,350		158,100	(b)		258,081,522
All Other Non-Convertible Bonds*		—		213,003,538		—			213,003,538

Total Non-Convertible Bonds		38,072		470,888,888		158,100			471,085,060

Convertible Bonds*		—		13,765,237		—			13,765,237

Municipals*		—		258,716		—			258,716

Total Bonds and Notes		38,072		484,912,841		158,100			485,109,013

Senior Loans*		—		119,532		—			119,532
Preferred Stocks
Convertible Preferred Stocks
United States		277,754		543,973		—			821,727
All Other Convertible Preferred Stocks*		—		—		—			—

Total Convertible Preferred Stocks		277,754		543,973		—			821,727

Non-Convertible Preferred Stock*		92,543		—		—			92,543

Total Preferred Stocks		370,297		543,973		—			914,270

Short-Term Investments		—		81,798,187		—			81,798,187

Total Investments		804,546,414		851,244,412		160,680			1,655,951,506

Forward Foreign Currency Contracts (unrealized appreciation)		—		829,440		—			829,440

Total	$	804,546,414	$	852,073,852	$	160,680		$	1,656,780,946

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(1,712,847	)	$	—	$	(1,712,847	)

*	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)	Fair valued by the Fund’s adviser.

For the period ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

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 June 30, 2017:

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 June 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2017
Common Stocks
United States	$	1,332	$	—	$	—	$	1,248		$	—	$	—		$	—	$	—	$	2,580	$	1,248
Bonds and Notes
Non-Convertible Bonds United States		118,622		3,521		1,150		41,909			—		(7,102	)		—		—		158,100		42,979
Warrants		3,776		—		5,273		(3,776	)		—		(5,273	)		—		—		—		—

Total	$	123,730	$	3,521	$	6,423	$	39,381			—	$	(12,375	)	$	—	$	—	$	160,680	$	44,227

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended June 30, 2017, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The following is a summary of derivative instruments for the Fund, as of June, 30, 2017:


Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	829,440


Liabilities	Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(1,712,847	)

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 June 30, 2017, 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
Credit Suisse International	$	(1,567,035	)	$	1,510,000

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 June 30, 2017:

Maximum Amount

of Loss - Gross

Maximum Amount
of Loss - Net

$2,339,440

52,182

These amounts include cash and securities received as collateral of $668,707.


Industry Summary at June 30, 2017 (Unaudited)

Internet Software & Services	10.2	%
Capital Markets	6.2
Insurance	5.0
Treasuries	5.0
Chemicals	4.6
Aerospace & Defense	3.8
Banking	3.7
Banks	3.5
IT Services	3.4
Internet & Direct Marketing Retail	3.1
Food Products	2.9
Industrial Conglomerates	2.8
Hotels, Restaurants & Leisure	2.6
Health Care Providers & Services	2.2
Independent Energy	2.0
Building Products	2.0
Other Investments, less than 2% each	31.7
Short-Term Investments	4.9

Total Investments	99.6
Other assets less liabilities (including forward foreign currency contracts)	0.4

Net Assets	100.0	%


Currency Exposure Summary at June 30, 2017 (Unaudited)
United States Dollar	74.7	%
Swiss Franc	4.6
Euro	4.4
British Pound	3.4
Swedish Krona	2.7
Hong Kong Dollar	2.6
Canadian Dollar	2.4
Other, less than 2% each	4.8

Total Investments	99.6
Other assets less liabilities (including forward foreign currency contracts)	0.4

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2017 (Unaudited)

Loomis Sayles Growth Fund


Shares		Description	Value (†)
	Common Stocks – 98.0% of Net Assets

		Air Freight & Logistics – 5.3%
	3,365,296	Expeditors International of Washington, Inc.	$	190,071,918
	1,436,539	United Parcel Service, Inc., Class B		158,866,848

				348,938,766

		Beverages – 6.8%
	4,468,280	Coca-Cola Co. (The)		200,402,358
	5,002,512	Monster Beverage Corp.(b)		248,524,796

				448,927,154

		Biotechnology – 5.1%
	772,301	Amgen, Inc.		133,013,401
	423,636	Regeneron Pharmaceuticals, Inc.(b)		208,064,585

				341,077,986

		Capital Markets – 4.5%
	670,472	FactSet Research Systems, Inc.		111,419,037
	3,490,295	SEI Investments Co.		187,708,065

				299,127,102

		Communications Equipment – 4.5%
	9,462,058	Cisco Systems, Inc.		296,162,415

		Consumer Finance – 1.5%
	1,149,537	American Express Co.		96,836,997

		Energy Equipment & Services – 1.8%
	1,793,487	Schlumberger Ltd.		118,083,184

		Food Products – 3.4%
	14,871,098	Danone S.A., Sponsored ADR		223,363,892

		Health Care Equipment & Supplies – 2.4%
	58,765	Varex Imaging Corp.(b)		1,986,257
	1,523,079	Varian Medical Systems, Inc.(b)		157,166,522

				159,152,779

		Health Care Technology – 2.4%
	2,399,941	Cerner Corp.(b)		159,524,078

		Hotels, Restaurants & Leisure – 3.3%
	2,459,858	Yum China Holdings, Inc.(b)		96,992,201
	1,641,255	Yum! Brands, Inc.		121,058,969

				218,051,170

		Household Products – 2.9%
	2,242,404	Procter & Gamble Co. (The)		195,425,509

		Internet & Direct Marketing Retail – 7.1%
	489,730	Amazon.com, Inc.(b)		474,058,640

		Internet Software & Services – 17.4%
	2,620,463	Alibaba Group Holding Ltd., Sponsored ADR(b)		369,223,237


Shares		Description	Value (†)
	Common Stocks – continued

		Internet Software & Services – continued
	193,276	Alphabet, Inc., Class A(b)	$	179,684,832
	193,009	Alphabet, Inc., Class C(b)		175,393,068
	2,824,442	Facebook, Inc., Class A(b)		426,434,253

				1,150,735,390

		IT Services – 5.8%
	564,448	Automatic Data Processing, Inc.		57,833,342
	3,503,464	Visa, Inc., Class A		328,554,854

				386,388,196

		Machinery – 2.7%
	1,446,528	Deere & Co.		178,776,396

		Pharmaceuticals – 6.5%
	1,323,295	Merck & Co., Inc.		84,809,976
	1,641,317	Novartis AG, Sponsored ADR		137,000,730
	4,852,810	Novo Nordisk AS, Sponsored ADR		208,137,021

				429,947,727

		Semiconductors & Semiconductor Equipment – 3.6%
	384,399	Analog Devices, Inc.		29,906,242
	3,793,399	QUALCOMM, Inc.		209,471,493

				239,377,735

		Software – 11.0%
	2,399,878	Autodesk, Inc.(b)		241,955,700
	2,561,325	Microsoft Corp.		176,552,132
	6,182,559	Oracle Corp.		309,993,509

				728,501,341

		Total Common Stocks (Identified Cost $5,349,772,579)		6,492,456,457

Principal Amount
	Short-Term Investments – 1.7%
$	115,512,471	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $115,515,744 on 7/03/2017 collateralized by $115,835,000 U.S. Treasury Inflation Note, 0.250% due 1/15/2025 valued at $117,824,350 including accrued interest(c) (Identified Cost $115,512,471)		115,512,471


Description	Value (†)
Total Investments – 99.7% (Identified Cost $5,465,285,050)(a)	$	6,607,968,928
Other assets less liabilities – 0.3%		19,959,472

Net Assets – 100.0%	$	6,627,928,400

(†)

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

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

Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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

At June 30, 2017, the net unrealized appreciation on investments based on a cost of $5,465,285,050 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	$	1,190,431,013
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(47,747,135	)

Net unrealized appreciation	$	1,142,683,878

(b)	Non-income producing security.

(c)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of June 30, 2017, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2017, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	6,492,456,457	$	—	$	—	$	6,492,456,457
Short-Term Investments		—		115,512,471		—		115,512,471

Total	$	6,492,456,457	$	115,512,471	$	—	$	6,607,968,928

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

For the period ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.


Industry Summary at June 30, 2017 (Unaudited)

Internet Software & Services	17.4	%
Software	11.0
Internet & Direct Marketing Retail	7.1
Beverages	6.8
Pharmaceuticals	6.5
IT Services	5.8
Air Freight & Logistics	5.3
Biotechnology	5.1
Capital Markets	4.5
Communications Equipment	4.5
Semiconductors & Semiconductor Equipment	3.6
Food Products	3.4
Hotels, Restaurants & Leisure	3.3
Household Products	2.9
Machinery	2.7
Health Care Technology	2.4
Health Care Equipment & Supplies	2.4
Other Investments, less than 2% each	3.3
Short-Term Investments	1.7

Total Investments	99.7
Other assets less liabilities	0.3

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2017 (Unaudited)

Loomis Sayles High Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 89.3% of Net Assets

	Non-Convertible Bonds – 83.0%

		ABS Home Equity – 1.5%
$	106,865	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033	$	108,914
	108,985	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		114,709
	89,051	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		91,007
	29,802	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 3.294%, 11/20/2035(b)(c)		26,896
	227,576	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1.539%, 9/19/2045(b)		175,158
	250,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 5.466%, 11/25/2023(b)		279,069
	305,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3, 4.516%, 10/25/2027(b)		340,955
	163,987	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.891%, 7/19/2035(b)		159,068
	288,937	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 3.466%, 3/25/2035(b)		269,876
	329,673	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1, 3.210%, 3/25/2035(b)		300,682
	60,373	New York Mortgage Trust, Series 2006-1, Class 2A2, 3.584%, 5/25/2036(b)		57,418
	470,000	Vericrest Opportunity Loan Transfer Volt, Series 2017-NPL3, Class A2, 5.875%, 3/25/2047, 144A(b)		474,342
	220,000	VOLT XL LLC, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(b)		219,831

				2,617,925

		ABS Other – 0.1%
	258,333	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)		253,490

		Aerospace & Defense – 2.2%
	210,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		218,925
	95,000	Engility Corp., 8.875%, 9/01/2024		103,194
	770,000	KLX, Inc., 5.875%, 12/01/2022, 144A		808,500
	1,500,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,680,000
	900,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,080,000

				3,890,619

		Airlines – 0.4%
	535,000	Latam Finance Ltd., 6.875%, 4/11/2024, 144A		544,175


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Airlines – continued
$	64,281	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A	$	65,725
	82,699	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		84,555

				694,455

		Automotive – 0.9%
	195,000	Allison Transmission, Inc., 5.000%, 10/01/2024, 144A		199,875
	285,000	Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A		294,975
	115,000	Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026		119,025
	240,000	Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/2023		251,400
	700,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		721,000

				1,586,275

		Banking – 4.6%
	1,985,000	Ally Financial, Inc., 4.625%, 3/30/2025		2,032,997
	485,000	Ally Financial, Inc., 5.750%, 11/20/2025		510,463
	6,605,000	Banco Hipotecario S.A., 21.354%, 1/12/2020, 144A, (ARS)(b)		399,636
	2,855,000	Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)		169,828
	7,075,000	Banco Supervielle S.A., 24.167%, 8/09/2020, 144A, (ARS)(b)		439,137
	1,195,000	Commerzbank AG, 8.125%, 9/19/2023, 144A		1,441,705
	470,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		476,654
	895,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A		944,971
	300,000	Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024		315,141
	335,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		368,991
	1,025,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		1,122,207

				8,221,730

		Brokerage – 0.3%
	535,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		533,662

		Building Materials – 0.8%
	230,000	Cemex SAB de CV, 5.700%, 1/11/2025, 144A		244,088
	350,000	Cemex SAB de CV, 7.750%, 4/16/2026, 144A		400,312
	50,000	Masco Corp., 6.500%, 8/15/2032		61,167


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Building Materials – continued
$	161,000	Masco Corp., 7.750%, 8/01/2029	$	215,900
	245,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		264,906
	180,000	U.S. Concrete, Inc., 6.375%, 6/01/2024		189,900

				1,376,273

		Cable Satellite – 6.8%
	795,000	Altice Financing S.A., 6.625%, 2/15/2023, 144A		843,447
	475,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		490,141
	625,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		656,250
	430,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022		442,642
	15,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		15,806
	865,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A		925,550
	760,000	CSC Holdings LLC, 5.250%, 6/01/2024		775,276
	400,000	CSC Holdings LLC, 5.500%, 4/15/2027, 144A		423,000
	75,000	CSC Holdings LLC, 6.750%, 11/15/2021		83,063
	220,000	CSC Holdings LLC, 10.125%, 1/15/2023, 144A		255,200
	200,000	CSC Holdings LLC, 10.875%, 10/15/2025, 144A		240,340
	895,000	DISH DBS Corp., 5.125%, 5/01/2020		934,156
	1,620,000	DISH DBS Corp., 5.875%, 11/15/2024		1,728,491
	295,000	DISH DBS Corp., 7.750%, 7/01/2026		349,575
	1,485,000	Unitymedia GmbH, 6.125%, 1/15/2025, 144A		1,592,663
	265,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		280,900
	485,000	Virgin Media Finance PLC, 6.375%, 4/15/2023, 144A		509,250
	375,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		390,000
	141,963	Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(d)		144,092
	840,000	Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A		857,850

				11,937,692

		Chemicals – 0.9%
	1,510,000	Hercules LLC, 6.500%, 6/30/2029(e)(f)		1,517,550


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Construction Machinery – 0.5%
$	15,000	United Rentals North America, Inc., 5.500%, 5/15/2027	$	15,450
	800,000	United Rentals North America, Inc., 5.750%, 11/15/2024		838,000

				853,450

		Consumer Cyclical Services – 0.7%
	1,095,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		1,196,287

		Consumer Products – 0.2%
	290,000	Avon International Operations, Inc., 7.875%, 8/15/2022, 144A		300,875

		Electric – 1.4%
	520,000	AES Corp. (The), 5.500%, 4/15/2025		546,301
	150,000	AES Corp. (The), 6.000%, 5/15/2026		160,500
	1,502,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A		1,787,380
	6,632	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		6,632

				2,500,813

		Environmental – 0.1%
	100,000	GFL Environmental, Inc., 5.625%, 5/01/2022, 144A		102,250
	95,000	GFL Environmental, Inc., 9.875%, 2/01/2021, 144A		103,312

				205,562

		Finance Companies – 3.7%
	740,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.500%, 5/15/2021		785,129
	1,055,000	Aircastle Ltd., 4.125%, 5/01/2024		1,075,441
	515,000	Aircastle Ltd., 5.500%, 2/15/2022		561,350
	600,000	iStar, Inc., 4.000%, 11/01/2017		600,000
	505,000	iStar, Inc., 5.000%, 7/01/2019		510,050
	255,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		260,737
	315,000	Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A		322,875
	710,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		733,075
	1,110,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,241,812
	405,000	Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A		413,639

				6,504,108


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Financial Other – 0.9%
$	565,000		Icahn Enterprises LP/Icahn Enterprises Finance Corp, 6.000%, 8/01/2020	$	581,597
	180,000		Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		184,275
	804,000		Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		816,060

					1,581,932

			Food & Beverage – 1.0%
	200,000		BRF GmbH, 4.350%, 9/29/2026, 144A		187,136
	840,000		Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A		861,731
	330,000		JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		310,200
	20,000		JBS USA LUX S.A./JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A		19,990
	385,000		Marfrig Holdings Europe BV, 8.000%, 6/08/2023, 144A		391,137

					1,770,194

			Gaming – 0.8%
	175,000		Boyd Gaming Corp., 6.375%, 4/01/2026		189,219
	375,000		GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026		409,609
	725,000		MGM Resorts International, 6.000%, 3/15/2023		799,312

					1,398,140

			Government Owned - No Guarantee – 2.6%
	170,000		Petrobras Global Finance BV, 5.375%, 1/27/2021		172,839
	740,000		Petrobras Global Finance BV, 5.625%, 5/20/2043		614,015
	320,000		Petrobras Global Finance BV, 6.250%, 3/17/2024		326,080
	50,000		Petrobras Global Finance BV, 6.750%, 1/27/2041		46,890
	160,000		Petrobras Global Finance BV, 6.875%, 1/20/2040		151,600
	405,000		Petrobras Global Finance BV, 7.250%, 3/17/2044		398,216
	820,000		Petrobras Global Finance BV, 7.375%, 1/17/2027		867,560
	85,000		Petrobras Global Finance BV, 8.375%, 5/23/2021		95,148
	160,521	(††)	Petroleos Mexicanos, 7.190%, 9/12/2024, 144A, (MXN)		800,272
	129,850	(††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)		632,438
	510,000		YPF S.A., 23.083%, 7/07/2020, 144A(b)		527,532

					4,632,590


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Health Insurance – 0.2%
$	365,000	Centene Corp., 6.125%, 2/15/2024	$	394,631

		Healthcare – 4.5%
	235,000	CHS/Community Health Systems, Inc., 6.250%, 3/31/2023		242,602
	960,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		838,800
	360,000	Envision Healthcare Corp., 5.625%, 7/15/2022		373,050
	155,000	HCA, Inc., 4.500%, 2/15/2027		159,456
	25,000	HCA, Inc., 5.250%, 4/15/2025		26,875
	90,000	HCA, Inc., 5.250%, 6/15/2026		97,065
	260,000	HCA, Inc., 5.375%, 2/01/2025		274,248
	170,000	HCA, Inc., 7.050%, 12/01/2027		190,400
	655,000	HCA, Inc., 7.500%, 12/15/2023		759,800
	145,000	HCA, Inc., 7.500%, 11/06/2033		164,031
	590,000	HCA, Inc., 7.690%, 6/15/2025		684,400
	480,000	HCA, Inc., 8.360%, 4/15/2024		573,600
	820,000	HCA, Inc., MTN, 7.580%, 9/15/2025		940,950
	515,000	HCA, Inc., MTN, 7.750%, 7/15/2036		581,950
	65,000	MEDNAX, Inc., 5.250%, 12/01/2023, 144A		66,950
	200,000	Quintiles IMS, Inc., 5.000%, 10/15/2026, 144A		206,250
	615,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		565,800
	830,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		900,384
	390,000	THC Escrow Corp. III, 5.125%, 5/01/2025, 144A		391,463

				8,038,074

		Home Construction – 1.4%
	1,200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(c)(e)(g)		12
	750,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(e)(f)		701,745
	800,000	Lennar Corp., 4.750%, 5/30/2025		836,000
	915,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		937,143

				2,474,900


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Independent Energy – 8.2%
$	335,000	Aker BP ASA, 6.000%, 7/01/2022, 144A	$	345,050
	1,205,000	Antero Resources Corp., 5.125%, 12/01/2022		1,207,627
	110,000	Antero Resources Corp., 5.375%, 11/01/2021		111,100
	310,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		310,000
	685,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		585,675
	90,000	California Resources Corp., 5.500%, 9/15/2021		52,151
	41,000	California Resources Corp., 6.000%, 11/15/2024		19,196
	460,000	California Resources Corp., 8.000%, 12/15/2022, 144A		290,950
	140,000	Callon Petroleum Co., 6.125%, 10/01/2024		142,450
	153,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		142,290
	8,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		7,200
	13,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		12,740
	34,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		34,085
	70,000	Concho Resources, Inc., 5.500%, 10/01/2022		71,838
	125,000	Concho Resources, Inc., 5.500%, 4/01/2023		128,438
	795,000	CONSOL Energy, Inc., 5.875%, 4/15/2022		781,087
	645,000	Continental Resources, Inc., 3.800%, 6/01/2024		590,575
	235,000	Continental Resources, Inc., 4.500%, 4/15/2023		224,425
	470,000	Continental Resources, Inc., 5.000%, 9/15/2022		461,187
	690,000	Eclipse Resources Corp., 8.875%, 7/15/2023		686,550
	835,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		751,500
	145,000	Matador Resources Co., 6.875%, 4/15/2023		150,438
	410,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		316,725
	300,000	MEG Energy Corp., 6.500%, 1/15/2025, 144A		273,000
	585,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		454,837
	185,000	Newfield Exploration Co., 5.625%, 7/01/2024		192,863
	625,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		606,250


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Independent Energy – continued
$	100,000	PDC Energy, Inc., 6.125%, 9/15/2024, 144A	$	101,500
	405,000	QEP Resources, Inc., 5.250%, 5/01/2023		382,725
	520,000	QEP Resources, Inc., 5.375%, 10/01/2022		500,500
	1,150,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(h)		626,750
	1,025,000	Rice Energy, Inc., 6.250%, 5/01/2022		1,071,125
	565,000	RSP Permian, Inc., 6.625%, 10/01/2022		586,187
	330,000	Sanchez Energy Corp., 6.125%, 1/15/2023		264,000
	920,000	SM Energy Co., 5.000%, 1/15/2024		814,200
	35,000	SM Energy Co., 6.125%, 11/15/2022		33,250
	60,000	SM Energy Co., 6.500%, 1/01/2023		57,150
	190,000	SM Energy Co., 6.750%, 9/15/2026		181,389
	395,000	Southwestern Energy Co., 6.700%, 1/23/2025		386,112
	55,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		54,656
	455,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		427,700

				14,437,471

		Life Insurance – 0.2%
	340,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		360,060

		Local Authorities – 0.4%
	325,000	Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A		332,355
	270,000	Provincia de Buenos Aires, 7.875%, 6/15/2027, 144A		279,531
	2,390,000	Provincia de Buenos Aires, 24.080%, 5/31/2022, 144A, (ARS)(b)		146,661

				758,547

		Lodging – 0.9%
	150,000	Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024, 144A		152,062
	755,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.625%, 4/01/2025, 144A		778,594
	705,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027, 144A		737,606

				1,668,262

		Media Entertainment – 1.5%
	470,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		467,650


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Media Entertainment – continued
$	1,155,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022	$	1,186,993
	975,000	Viacom, Inc., 4.375%, 3/15/2043		866,677
	49,000	Viacom, Inc., 4.850%, 12/15/2034		48,699
	105,000	Viacom, Inc., (fixed rate to 2/28/2027, variable rate thereafter), 6.250%, 2/28/2057		109,200

				2,679,219

		Metals & Mining – 2.8%
	1,395,000	ArcelorMittal, 7.250%, 3/01/2041		1,537,987
	180,000	Constellium NV, 4.625%, 5/15/2021, 144A, (EUR)		204,785
	460,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(e)(f)(g)		36,800
	145,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		148,625
	270,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		276,075
	1,375,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024		1,295,938
	85,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		73,296
	245,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A		260,925
	440,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		462,616
	440,000	Stillwater Mining Co., 6.125%, 6/27/2022, 144A		433,488
	80,000	Vale Overseas Ltd., 6.875%, 11/10/2039		85,800
	190,000	Vale S.A., 5.625%, 9/11/2042		180,500

				4,996,835

		Midstream – 4.6%
	250,000	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024		261,980
	195,000	AmeriGas Partners LP/AmeriGas Finance Corp., 5.500%, 5/20/2025		198,900
	435,000	Cheniere Corpus Christi Holding LLC, 5.125%, 6/30/2027, 144A		445,875
	66,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		68,145
	75,000	Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042		70,806
	30,000	Kinder Morgan Energy Partners LP, 5.000%, 3/01/2043		28,941
	570,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		569,020
	110,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025, 144A		100,650


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Midstream – continued
$	365,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021	$	362,263
	35,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023, 144A		34,519
	985,000	Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021		1,072,343
	480,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025		529,468
	425,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		481,259
	385,000	SemGroup Corp./Rose Rock Finance Corp., 5.625%, 7/15/2022		370,562
	935,000	Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022		933,831
	973,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		983,946
	95,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		92,744
	640,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		656,000
	355,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019		374,525
	360,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022		382,500
	180,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		193,950

				8,212,227

		Non-Agency Commercial Mortgage-Backed Securities – 1.7%
	935,000	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 9.289%, 5/15/2020, 144A(e)(f)		910,036
	1,020,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		886,677
	1,181,915	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.979%, 8/10/2045(b)		1,191,374
	39,663	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)		39,634

				3,027,721

		Oil Field Services – 0.8%
	430,000	Ensco PLC, 5.750%, 10/01/2044		281,650
	160,000	Noble Holding International Ltd., 5.250%, 3/15/2042		88,000
	160,000	Noble Holding International Ltd., 6.050%, 3/01/2041		94,400
	420,000	Noble Holding International Ltd., 7.750%, 1/15/2024		332,325
	435,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(g)		95,700
	905,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(g)		199,100
	35,000	Parker Drilling Co., 6.750%, 7/15/2022		26,731


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Oil Field Services – continued
$	266,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A	$	271,320

				1,389,226

		Oil, Gas & Consumable Fuels – 0.0%
	650,000	Bonanza Creek Energy, Inc., Zero Coupon, 4/15/2021		—
	370,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		—

				—

		Packaging – 1.4%
	200,000	ARD Finance S.A., PIK, 7.125%, 9/15/2023(d)		213,480
	395,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.625%, 5/15/2023, 144A		404,713
	200,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.250%, 5/15/2024, 144A		218,750
	755,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		868,250
	775,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		809,875

				2,515,068

		Pharmaceuticals – 2.2%
	200,000	Endo Dac/Endo Finance LLC/Endo Finance, Inc., 5.875%, 10/15/2024, 144A		206,000
	1,540,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		1,491,875
	530,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		498,200
	335,000	Valeant Pharmaceuticals International, Inc., 5.375%, 3/15/2020, 144A		323,580
	265,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		224,916
	85,000	Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A		76,713
	1,155,000	Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A		990,412

				3,811,696

		Property & Casualty Insurance – 0.5%
	786,000	HUB International Ltd., 7.875%, 10/01/2021, 144A		819,405

		REITs - Mortgage – 0.1%
	105,000	Starwood Property Trust, Inc., 5.000%, 12/15/2021, 144A		109,200

		Retailers – 1.1%
	40,000	Dillard’s, Inc., 7.000%, 12/01/2028		44,340
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		504,387


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Retailers – continued
$	205,000	Dillard’s, Inc., 7.750%, 5/15/2027	$	236,294
	1,035,000	GameStop Corp., 5.500%, 10/01/2019, 144A		1,064,756
	520,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		96,200

				1,945,977

		Sovereigns – 0.1%
	2,805,000	Argentina Politica Monetaria, 26.250%, 6/21/2020, (ARS)(b)		174,073

		Supermarkets – 0.7%
	335,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 5.750%, 3/15/2025, 144A		311,550
	935,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		850,850

				1,162,400

		Supranational – 3.0%
	30,700,000	European Bank for Reconstruction & Development, GMTN, 6.400%, 3/04/2019, (INR)		478,455
	6,785,000	European Investment Bank, EMTN, 8.750%, 9/18/2021, (TRY)		1,825,429
	5,190,000,000	International Bank for Reconstruction and Development, 4.250%, 6/20/2019, (COP)		1,686,848
	78,090,000	International Finance Corp., 7.800%, 6/03/2019, (INR)		1,253,575

				5,244,307

		Technology – 4.9%
	416,000	Blackboard, Inc., 9.750%, 10/15/2021, 144A		391,040
	170,000	Camelot Finance S.A., 7.875%, 10/15/2024, 144A		183,175
	60,000	CommScope Technologies LLC, 6.000%, 6/15/2025, 144A		64,050
	190,000	Dell International LLC/EMC Corp., 5.875%, 6/15/2021, 144A		199,025
	1,440,000	Dell International LLC/EMC Corp., 6.020%, 6/15/2026, 144A		1,586,173
	580,000	Dell International LLC/EMC Corp., 7.125%, 6/15/2024, 144A		637,568
	680,000	Dell International LLC/EMC Corp., 8.350%, 7/15/2046, 144A		877,596
	480,000	Equinix, Inc., 5.375%, 1/01/2022		506,400
	430,000	First Data Corp., 5.000%, 1/15/2024, 144A		442,225
	800,000	First Data Corp., 7.000%, 12/01/2023, 144A		854,000
	55,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		56,925
	95,000	Micron Technology, Inc., 5.500%, 2/01/2025		100,225


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Technology – continued
$	110,000		Microsemi Corp., 9.125%, 4/15/2023, 144A	$	125,950
	515,000		Open Text Corp., 5.625%, 1/15/2023, 144A		536,887
	190,000		Open Text Corp., 5.875%, 6/01/2026, 144A		204,368
	275,000		Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A		285,313
	405,000		Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A		422,213
	235,000		Western Digital Corp., 7.375%, 4/01/2023, 144A		258,206
	755,000		Western Digital Corp., 10.500%, 4/01/2024		890,658

					8,621,997

			Transportation Services – 0.1%
	275,000		APL Ltd., 8.000%, 1/15/2024(e)(f)		255,750

			Treasuries – 5.2%
	263,668	(††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		1,356,262
	131,759	(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		864,958
	1,765,000		U.S. Treasury Note, 0.750%, 2/28/2018		1,759,622
	955,000		U.S. Treasury Note, 1.250%, 5/31/2019		952,687
	4,245,000		U.S. Treasury Note, 1.250%, 6/30/2019		4,233,394

					9,166,923

			Wireless – 3.5%
	100,000		Altice Luxembourg S.A., 7.250%, 5/15/2022, 144A, (EUR)		121,125
	355,000		Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A		389,169
	785,000		Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A		833,081
	6,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		312,216
	6,100,000		America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		309,220
	105,000		Nokia Oyj, 3.375%, 6/12/2022		105,774
	170,000		Nokia Oyj, 4.375%, 6/12/2027		173,082
	605,000		SFR Group S.A., 7.375%, 5/01/2026, 144A		656,425
	786,000		Sprint Capital Corp., 6.875%, 11/15/2028		873,694
	1,420,000		Sprint Corp., 7.250%, 9/15/2021		1,577,975


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Wireless – continued
$	605,000	T-Mobile USA, Inc., 6.000%, 4/15/2024	$	647,350
	200,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A		202,100

				6,201,211

		Wirelines – 2.6%
	705,000	CenturyLink, Inc., 7.650%, 3/15/2042		654,769
	30,000	CenturyLink, Inc., Series T, 5.800%, 3/15/2022		31,200
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		127,725
	60,000,000	Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)		15,429
	405,000	Frontier Communications Corp., 9.000%, 8/15/2031		325,012
	340,000	Frontier Communications Corp., 10.500%, 9/15/2022		325,125
	15,000	Frontier Communications Corp., 11.000%, 9/15/2025		13,913
	705,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		731,437
	1,545,000	Level 3 Financing, Inc., 5.250%, 3/15/2026		1,603,107
	345,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		372,600
	250,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		289,844
	35,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		42,350

				4,532,511

		Total Non-Convertible Bonds (Identified Cost $143,314,847)		146,571,313


	Convertible Bonds – 6.3%

		Cable Satellite – 0.3%
	470,000	Dish Network Corp., 2.375%, 3/15/2024, 144A		493,794

		Consumer Cyclical Services – 0.4%
	660,000	Macquarie Infrastructure Corp., 2.000%, 10/01/2023		657,112

		Diversified Manufacturing – 0.1%
	260,000	Aerojet Rocketdyne Holdings, Inc., 2.250%, 12/15/2023, 144A		274,300

		Diversified Operations – 0.1%
	160,000	RWT Holdings, Inc., 5.625%, 11/15/2019		167,400


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Convertible Bonds – continued

		Healthcare – 0.5%
$	340,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A		439,025
	400,000	Teladoc, Inc., 3.000%, 12/15/2022, 144A	$	421,500

				860,525

		Leisure – 0.1%
	185,000	Rovi Corp., 0.500%, 3/01/2020		182,747

		Media Entertainment – 0.2%
	265,000	Liberty Media Corp., 2.250%, 9/30/2046, 144A		285,206

		Midstream – 0.6%
	875,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		818,125
	145,000	PDC Energy, Inc., 1.125%, 9/15/2021		131,587
	60,000	SM Energy Co., 1.500%, 7/01/2021		53,925
	170,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		143,650

				1,147,287

		Oil Field Services – 0.4%
	255,000	Hercules Capital, Inc., 4.375%, 2/01/2022, 144A		260,737
	640,000	Nabors Industries, Inc., 0.750%, 1/15/2024, 144A		509,200

				769,937

		Pharmaceuticals – 2.0%
	145,000	Acorda Therapeutics, Inc., 1.750%, 6/15/2021		124,428
	485,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		576,847
	465,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		400,772
	490,000	Impax Laboratories, Inc., 2.000%, 6/15/2022		416,806
	450,000	Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023		437,625
	520,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		551,525
	875,000	Neurocrine Biosciences, Inc., 2.250%, 5/15/2024, 144A		868,985
	100,000	Pacira Pharmaceuticals, Inc., 2.375%, 4/01/2022, 144A		106,000

				3,482,988

		Technology – 1.6%
	1,155,000	Finisar Corp., 0.500%, 12/15/2036, 144A		1,127,569


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Convertible Bonds – continued

		Technology – continued
$	525,000	MagnaChip Semiconductor S.A., 5.000%, 3/01/2021, 144A		715,969
	1,105,000	Nuance Communications, Inc., 1.000%, 12/15/2035	$	1,064,877

				2,908,415

		Total Convertible Bonds (Identified Cost $10,949,399)		11,229,711

		Total Bonds and Notes (Identified Cost $154,264,246)		157,801,024

	Senior Loans – 1.7%

		Consumer Cyclical Services – 0.3%
	449,556	SourceHov LLC, 2014 1st Lien Term Loan, 8.046%, 10/31/2019(b)		446,522

		Independent Energy – 0.3%
	531,086	Chesapeake Energy Corp., Term Loan, 8.686%, 8/23/2021(b)		561,092

		Media Entertainment – 0.0%
	11,706	Dex Media, Inc., Term Loan, 11.226%, 7/29/2021(b)		11,853

		Other Utility – 0.2%
	238,189	PowerTeam Services LLC, 1st Lien Term Loan, 4.546%, 5/06/2020(b)		235,807
	95,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.546%, 11/06/2020(b)		93,100

				328,907

		Supermarkets – 0.2%
	434,310	Albertsons LLC, USD 2017 Term Loan B4, 8/25/2021(i)		428,447

		Wirelines – 0.7%
	1,200,000	Fairpoint Communications, Inc., Refi Term Loan, 9.500%, 2/14/2019(b)		1,200,252

		Total Senior Loans (Identified Cost $2,967,197)		2,977,073


Shares
	Preferred Stocks – 1.3%

	Convertible Preferred Stocks – 1.0%

		Food & Beverage – 0.4%
	7,609	Bunge Ltd., 4.875%		805,128

		Midstream – 0.4%
	988	Chesapeake Energy Corp., 5.750%		593,417


Shares		Description	Value (†)
	Preferred Stocks – continued

	Convertible Preferred Stocks – continued

		Midstream – continued
	20	Chesapeake Energy Corp., 5.750%, 144A		12,013
	137	Chesapeake Energy Corp., 5.750%	$	81,087

				686,517

		Technology – 0.2%
	3,125	Belden, Inc., 6.750%		324,156

		Total Convertible Preferred Stocks (Identified Cost $1,787,814)		1,815,801

	Non-Convertible Preferred Stocks – 0.3%

		Finance Companies – 0.3%
	12,925	iStar, Inc., Series E, 7.875%		327,145
	7,500	iStar, Inc., Series F, 7.800%		188,925
	550	iStar, Inc., Series G, 7.650%		13,810

				529,880

		Total Non-Convertible Preferred Stocks (Identified Cost $417,822)		529,880

		Total Preferred Stocks (Identified Cost $2,205,636)		2,345,681

	Other Investments – 1.1%

		Aircraft ABS – 1.1%
	8,415	Aergen LLC(c)(e)		854,911
	100	ECAF I Blocker Ltd.(c)(e)		990,301

		Total Aircraft ABS (Identified Cost $1,841,500)		1,845,212

	Common Stocks – 1.5%

		Media – 0.0%
	4,113	Dex Media, Inc.(c)(e)(j)		15,835

		Oil, Gas & Consumable Fuels – 1.3%
	24,174	Bonanza Creek Energy, Inc.(j)		766,558
	8,265	Frontera Energy Corp.(j)		218,288
	12,992	Halcon Resources Corp.(j)		58,984
	14,882	Kinder Morgan, Inc.		285,139
	1,725	Rex Energy Corp.(j)		4,985
	162,248	Whiting Petroleum Corp.(j)		893,987

				2,227,941

		Pharmaceuticals – 0.2%
	5,539	Bristol-Myers Squibb Co.		308,633

		Total Common Stocks (Identified Cost $6,395,959)		2,552,409

	Warrants – 0.0%
	10,360	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(e)(j)		—


Shares		Description	Value (†)
	Warrants – continued
$	3,528	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(j)	$	2,187

		Total Warrants (Identified Cost $—)		2,187


Principal Amount
	Short-Term Investments – 4.5%
	37,558	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2017 at 0.000% to be repurchased at $37,558 on 7/03/2017 collateralized by $38,100 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $38,376 including accrued interest(k)		37,558
	6,062,130	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $6,062,302 on 7/03/2017 collateralized by $6,210,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $6,187,439 including accrued interest(k)		6,062,130
	1,935,000	U.S. Treasury Bills, 0.793%, 12/07/2017(l)		1,925,971

		Total Short-Term Investments (Identified Cost $8,027,921)		8,025,659

		Total Investments – 99.4% (Identified Cost $175,702,459)(a)		175,549,245
		Other assets less liabilities – 0.6%		1,088,914

		Net Assets – 100.0%	$	176,638,159

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

(†)

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

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

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

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

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

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 June 30, 2017, 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
	$3,421,881		1.9	%		$1,887,955		1.1	%

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

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

At June 30, 2017, the net unrealized depreciation on investments based on a cost of $175,892,025 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	9,586,149
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(9,928,929	)

Net unrealized depreciation	$	(342,780	)

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 June 30, 2017 is disclosed.

(c)	Fair valued by the Fund’s adviser. At June 30, 2017, the value of these securities amounted to $1,887,955 or 1.1% of net assets.

(d)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended June 30, 2017, interest payments were made in cash.

(e)	Illiquid security.

(f)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2017, the value of these securities amounted to $3,421,881 or 1.9% of net assets.

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

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

(i)	Position is unsettled. Contract rate was not determined at June 30, 2017 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

(j)	Non-income producing security.

(k)

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

144A

ABS	Asset-Backed Securities

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

PIK	Payment-in-Kind

REITs

Real Estate Investment Trusts

ARS	Argentine Peso

COP	Colombian Peso

EUR

Euro

INR	Indian Rupee

MXN	Mexican Peso

TRY	Turkish Lira

Forward Foreign Currency Contracts

At June 30, 2017, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date	Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹	7/06/2017	Mexican Peso		17,074,117	$	940,787	$	1,175

Total							$	1,175

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 June 30, 2017, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	2,591,029	$	26,896	(a)	$	2,617,925
ABS Other		—		—		253,490	(b)		253,490
Home Construction		—		2,474,888		12	(a)		2,474,900
Non-Agency Commercial Mortgage-Backed Securities		—		2,117,685		910,036	(b)		3,027,721
All Other Non-Convertible Bonds*		—		138,197,277		—			138,197,277

Total Non-Convertible Bonds		—		145,380,879		1,190,434			146,571,313

Convertible Bonds*		—		11,229,711		—			11,229,711

Total Bonds and Notes		—		156,610,590		1,190,434			157,801,024

Senior Loans*		—		2,977,073		—			2,977,073
Preferred Stocks
Convertible Preferred Stocks
Food & Beverage		—		805,128		—			805,128
Midstream		—		686,517		—			686,517
All Other Convertible Preferred Stocks*		324,156		—		—			324,156

Total Convertible Preferred Stocks		324,156		1,491,645		—			1,815,801

Non-Convertible Preferred Stocks*		529,880		—		—			529,880

Total Preferred Stocks		854,036		1,491,645		—			2,345,681

Other Investments*		—		—		1,845,212	(c)		1,845,212
Common Stocks
Media		—		—		15,835	(c)		15,835
All Other Common Stocks*		2,536,574		—		—			2,536,574

Total Common Stocks		2,536,574		—		15,835			2,552,409

Warrants(d)		2,187		—		—			2,187
Short-Term Investments		—		8,025,659		—			8,025,659
Forward Foreign Currency Contracts (unrealized appreciation)		—		1,175		—			1,175

Total	$	3,392,797	$	169,106,142	$	3,051,481		$	175,550,420

*	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.

A preferred stock valued at $324,791 was transferred from Level 1 to Level 2 during the period ended June 30, 2017. At September 30, 2016, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At June 30, 2017, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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 June 30 2017:

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 June 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	98,704	$	—	$	5,892		$	3,998	$	—	$	(81,698	)	$	—	$	—		$	26,896	$	3,998
ABS Other		—		—		—			5,444		—		(16,606	)		264,652		—			253,490		5,445
Government Owned - No Guarantee		594,150		—		—			—		—		—			—		(594,150	)		—		—
Home Construction		23		18,790		(1,039,997	)		1,021,217		—		(21	)		—		—			12		(15,620	)
Non-Agency Commercial Mortgage-Backed Securities		908,874		—		—			1,162		—		—			—		—			910,036		1,161
Senior Loans
Wirelines		150,561		57		549			8,156		—		(159,323	)		—		—			—		—
Other Investments
Aircraft ABS		985,586		—		—			18,126		1,841,500		(1,000,000	)		—		—			1,845,212		14,414
Common Stocks
Media		8,177		—		—			7,658		—		—			—		—			15,835		7,658
Warrants		5,383		—		—			—		—		—			—		(5,383	)		—		—

Total	$	2,751,458	$	18,847	$	(1,033,556	)	$	1,065,761	$	1,841,500	$	(1,257,648	)	$	264,652	$	(599,533	)	$	3,051,481	$	17,056

A debt security valued at $264,652 was transferred from Level 2 to Level 3 during the period ended June 30, 2017. 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 June 30, 2017, 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 $594,150 was transferred from Level 3 to Level 2 during the period ended June 30, 2017. 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 was unable to price the security. At June 30, 2017, 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 was transferred from Level 3 to Level 1 during the period ended June 30, 2017. 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 June 30, 2017, 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 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 holding of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended June 30, 2017, the Fund engaged in forward foreign currency transactions for hedging purposes.

The following is a summary of derivative instruments for the Fund, as of June 30, 2017:


Assets	Unrealized Appreciation on forward Foreign currency Contracts
Over-the-counter asset derivatives
Foreign exchange asset contracts	$	1,175

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 NAV of the Fund declines beyond a certain threshold. As of June 30, 2017, the fair value of derivative positions subject to these provisions that are in a net asset position by counterparty.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The 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, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30 2017:

Maximum Amount

of Loss – Gross

Maximum Amount
of Loss – Net

$1,175

1,175


Industry Summary at June 30, 2017 (Unaudited)

Independent Energy	8.5	%
Cable Satellite	7.1
Technology	6.7
Midstream	5.6
Treasuries	5.2
Healthcare	5.0
Banking	4.6
Pharmaceuticals	4.4
Finance Companies	4.0
Wireless	3.5
Wirelines	3.3
Supranational	3.0
Metals & Mining	2.8
Government Owned - No Guarantee	2.6
Aerospace & Defense	2.2
Other Investments, less than 2% each	26.4
Short-Term Investments	4.5

Total Investments	99.4
Other assets less liabilities	0.6

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2017 (Unaudited)

Loomis Sayles Investment Grade Bond Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 86.1% of Net Assets

	Non-Convertible Bonds – 81.8%

		ABS Other – 1.7%
$	53,710,048	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(b)(c)	$	53,092,383
	11,073,181	Trinity Rail Leasing LLC, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		11,408,048
	32,097,362	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		33,201,152
	2,242,353	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		2,176,327
	4,833,034	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		4,870,680

				104,748,590

		Aerospace & Defense – 1.8%
	1,865,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		1,869,345
	1,455,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		1,520,475
	1,295,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,450,400
	1,530,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039		1,836,000
	78,795,000	Textron, Inc., 5.950%, 9/21/2021		87,952,634
	11,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		16,043,562

				110,672,416

		Airlines – 2.2%
	3,812,744	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		4,008,148
	1,822,416	Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021		1,927,205
	18,340,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		18,798,500
	35,959	Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019		36,274
	425,647	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		443,736
	547,161	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		588,198
	44,164,714	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		48,581,186
	1,268,090	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,455,133
	7,762,727	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		8,810,695
	13,902,375	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		15,353,227
	9,789,777	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		10,169,131


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Airlines – continued
$	16,657,441	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024	$	18,073,324
	1,619,605	Virgin Australia Pass Through Certificates, Series 2013-1A, 5.000%, 4/23/2025, 144A		1,686,511

				129,931,268

		Automotive – 1.3%
	23,581,000	Cummins, Inc., 5.650%, 3/01/2098		25,746,467
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		6,373,149
	125,000	Ford Motor Co., 6.500%, 8/01/2018		131,027
	255,000	Ford Motor Co., 6.625%, 2/15/2028		297,371
	240,000	Ford Motor Co., 7.500%, 8/01/2026		295,454
	5,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		5,127,895
	40,126,000	Ford Motor Credit Co. LLC, 6.625%, 8/15/2017		40,345,850
	2,370,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,612,925

				80,930,138

		Banking – 10.7%
	1,468,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,794,630
	7,200,000	American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017		7,258,810
	84,339,000	Bank of America Corp., 6.110%, 1/29/2037		103,226,719
	100,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		102,978
	25,627,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		26,064,837
	25,090,000	Bank of Nova Scotia (The), 2.130%, 6/15/2020, (CAD)		19,510,532
	2,173,000	Bear Stearns Cos. LLC (The), 4.650%, 7/02/2018		2,234,261
	17,000,000	Citigroup, Inc., 3.500%, 5/15/2023		17,247,843
	1,660,000	Citigroup, Inc., 4.500%, 1/14/2022		1,785,011
	22,960,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		17,485,538
	86,800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		67,706,410
	6,645,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		7,173,557
	70,245,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		72,758,787
	36,745,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		27,340,812


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Banking – continued
$	100,000	Keybank NA, 6.950%, 2/01/2028	$	125,194
	5,100,000	Lloyds Banking Group PLC, 5.300%, 12/01/2045		5,817,636
	40,126,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		47,223,086
	1,845,000	Morgan Stanley, 4.350%, 9/08/2026		1,918,132
	30,000,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		23,710,193
	5,900,000	Morgan Stanley, 5.750%, 1/25/2021		6,527,961
	151,076,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		111,260,581
	20,695,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		21,604,752
	38,206,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		41,045,317
	2,875,000	National City Bank of Indiana, 4.250%, 7/01/2018		2,943,301
	8,638,000	National City Corp., 6.875%, 5/15/2019		9,399,034

				643,265,912

		Brokerage – 1.4%
	50,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		54,741,919
	19,498,000	Jefferies Group LLC, 6.250%, 1/15/2036		21,254,126
	8,760,000	Jefferies Group LLC, 6.450%, 6/08/2027		10,039,030

				86,035,075

		Building Materials – 1.0%
	1,610,000	Masco Corp., 6.500%, 8/15/2032		1,969,582
	3,110,000	Masco Corp., 7.125%, 3/15/2020		3,486,528
	2,667,000	Masco Corp., 7.750%, 8/01/2029		3,576,425
	41,379,000	Owens Corning, 7.000%, 12/01/2036		53,770,066

				62,802,601

		Cable Satellite – 1.7%
	17,832,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		14,844,645
	13,630,000	Time Warner Cable LLC, 4.125%, 2/15/2021		14,252,959
	2,800,000	Time Warner Cable LLC, 4.500%, 9/15/2042		2,664,169
	64,548,000	Time Warner Cable LLC, 6.750%, 7/01/2018		67,530,634

				99,292,407


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Chemicals – 0.9%
$	894,000		Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A	$	911,880
	50,500,000		INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		52,025,100

					52,936,980

			Construction Machinery – 0.1%
	6,787,000		Toro Co. (The), 6.625%, 5/01/2037(b)(c)		7,715,177

			Consumer Products – 0.1%
	7,458,000		Hasbro, Inc., 6.600%, 7/15/2028		8,652,876

			Diversified Manufacturing – 0.8%
	35,580,000		General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		26,307,678
	5,305,000		General Electric Co., Series A, MTN, 1.458%, 5/13/2024(d)		5,186,433
	1,395,000		Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018		1,472,192
	11,754,000		Snap-on, Inc., 6.700%, 3/01/2019		12,670,201

					45,636,504

			Electric – 1.7%
	25,467,629		Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		28,858,720
	7,969,787		Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(c)		3,156,913
	30,430,000		EDP Finance BV, 4.125%, 1/15/2020, 144A		31,457,012
	4,491,000		Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		5,734,968
	13,025,000		Enel Finance International NV, 6.000%, 10/07/2039, 144A		15,489,812
	9,007,000		Enel Finance International NV, 6.800%, 9/15/2037, 144A		11,539,714
	3,966,440		Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(b)(c)		4,184,249

					100,421,388

			Finance Companies – 3.8%
	18,830,000		International Lease Finance Corp., 4.625%, 4/15/2021		20,041,654
	62,425	(††)	Navient Corp., 6.000%, 12/15/2043		1,485,403
	5,615,000		Navient Corp., MTN, 6.125%, 3/25/2024		5,783,450
	90,196,000		Navient LLC, 5.500%, 1/25/2023		91,661,685
	3,280,000		Navient LLC, MTN, 7.250%, 1/25/2022		3,583,400
	22,116,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(c)		18,473,495


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Finance Companies – continued
$	14,625,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A	$	15,100,313
	16,717,000	Springleaf Finance Corp., 5.250%, 12/15/2019		17,387,352
	31,883,000	Springleaf Finance Corp., 7.750%, 10/01/2021		35,669,106
	16,599,000	Springleaf Finance Corp., 8.250%, 10/01/2023		18,549,382

				227,735,240

		Government Guaranteed – 0.4%
	4,000,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)		3,103,054
	31,142,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		23,064,056

				26,167,110

		Government Owned - No Guarantee – 0.8%
	3,720,000	Abu Dhabi National Energy Co. PJSC, 6.500%, 10/27/2036, 144A		4,568,532
	12,575,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		14,272,952
	17,435,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		16,441,205
	11,555,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		9,587,761
	1,000,000	Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A		1,272,073

				46,142,523

		Health Insurance – 0.1%
	1,569,000	Cigna Corp., 7.875%, 5/15/2027		2,105,297
	1,174,000	Cigna Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(e)		1,631,242

				3,736,539

		Healthcare – 0.7%
	7,692,000	Boston Scientific Corp., 6.000%, 1/15/2020		8,371,657
	7,374,000	Covidien International Finance S.A., 6.000%, 10/15/2017		7,465,622
	9,385,000	HCA, Inc., 4.500%, 2/15/2027		9,654,819
	4,806,000	HCA, Inc., 7.050%, 12/01/2027		5,382,720
	1,592,000	HCA, Inc., 7.500%, 11/06/2033		1,800,950
	1,295,000	HCA, Inc., 7.690%, 6/15/2025		1,502,200
	2,480,000	HCA, Inc., MTN, 7.580%, 9/15/2025		2,845,800
	3,068,000	HCA, Inc., MTN, 7.750%, 7/15/2036		3,466,840


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Healthcare – continued
$	4,785,000	Tenet Healthcare Corp., 6.875%, 11/15/2031	$	4,402,200

				44,892,808

		Home Construction – 0.2%
	3,990,000	PulteGroup, Inc., 6.000%, 2/15/2035		3,999,975
	3,567,000	PulteGroup, Inc., 6.375%, 5/15/2033		3,727,515
	1,615,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024		1,703,825

				9,431,315

		Independent Energy – 2.1%
	26,520,000	California Resources Corp., 8.000%, 12/15/2022, 144A		16,773,900
	7,335,000	Continental Resources, Inc., 3.800%, 6/01/2024		6,716,073
	60,038,000	EQT Corp., 6.500%, 4/01/2018		61,999,081
	9,787,000	EQT Corp., 8.125%, 6/01/2019		10,799,778
	29,027,000	Noble Energy, Inc., 3.900%, 11/15/2024		29,827,100
	400,000	QEP Resources, Inc., 5.250%, 5/01/2023		378,000
	60,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		55,205

				126,549,137

		Integrated Energy – 0.1%
	7,700,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		8,434,380

		Life Insurance – 1.9%
	1,475,000	American International Group, Inc., 4.875%, 6/01/2022		1,618,451
	600,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(f)		861,594
	5,900,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		7,542,621
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(c)		17,066,445
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		11,509,947
	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(c)		45,365,108
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(c)		8,008,494
	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		3,488,311
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		19,183,610

				114,644,581


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Local Authorities – 2.5%
	37,829,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)	$	29,852,842
	152,895,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		120,413,243
	489,000	Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)		510,226

				150,776,311

		Lodging – 1.0%
	52,516,000	Choice Hotels International, Inc., 5.700%, 8/28/2020		57,111,150

		Media Entertainment – 0.4%
	4,482,000	21st Century Fox America, Inc., 8.150%, 10/17/2036		6,428,802
	358,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		15,506,472
	5,000,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		3,750,000
	1,082,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		1,079,295

				26,764,569

		Metals & Mining – 1.8%
	1,689,997	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(g)(h)(i)		676
	430,000	ArcelorMittal, 6.000%, 3/01/2021		462,788
	4,085,000	ArcelorMittal, 6.750%, 2/25/2022		4,595,625
	47,920,000	ArcelorMittal, 7.250%, 3/01/2041		52,831,800
	19,365,000	ArcelorMittal, 7.500%, 10/15/2039		21,713,006
	15,701,000	Freeport-McMoRan, Inc., 6.500%, 11/15/2020		16,113,151
	4,612,000	United States Steel Corp., 6.650%, 6/01/2037		4,150,800
	3,655,000	Vale Overseas Ltd., 6.875%, 11/21/2036		3,919,988
	4,893,000	Worthington Industries, Inc., 6.500%, 4/15/2020		5,371,374

				109,159,208

		Midstream – 3.1%
	650,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		685,750
	3,328,000	Florida Gas Transmission Co. LLC, 7.900%, 5/15/2019, 144A		3,650,101
	14,300,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		15,422,378
	14,660,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		14,781,326
	3,105,000	Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020		3,342,542


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Midstream – continued
$	7,461,000	Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021	$	8,172,197
	85,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		101,150
	31,311,000	ONEOK Partners LP, 4.900%, 3/15/2025		33,524,218
	9,899,000	Panhandle Eastern Pipe Line Co. LP, 6.200%, 11/01/2017		10,035,616
	47,594,000	Panhandle Eastern Pipe Line Co. LP, 7.000%, 6/15/2018		49,742,536
	1,404,000	Panhandle Eastern Pipe Line Co. LP, 8.125%, 6/01/2019		1,539,271
	15,683,000	Plains All American Pipeline LP/PAA Finance Corp., 6.500%, 5/01/2018		16,242,162
	525,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		544,751
	19,574,000	Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A		19,727,264
	8,405,000	Williams Partners LP, 3.350%, 8/15/2022		8,450,110

				185,961,372

		Mortgage Related – 0.0%
	17,392	FHLMC, 5.000%, 12/01/2031		18,941
	2,828	FNMA, 6.000%, 7/01/2029		3,202

				22,143

		Natural Gas – 0.1%
	3,314,000	NiSource Finance Corp., 6.800%, 1/15/2019		3,540,058

		Non-Agency Commercial Mortgage-Backed Securities – 0.6%
	11,450,000	CDGJ Commercial Mortgage Trust, Series 2014-BXCH, 3.659%, 12/15/2027, 144A(d)		11,442,879
	5,802,734	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		4,471,076
	27,000,000	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)		20,947,694
	2,125,000	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.813%, 3/15/2044, 144A(d)		1,961,335

				38,822,984

		Oil Field Services – 0.1%
	5,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023		4,731,750

		Paper – 1.4%
	363,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		503,217
	7,049,000	International Paper Co., 8.700%, 6/15/2038		10,360,648
	5,270,000	WestRock MWV LLC, 7.550%, 3/01/2047(b)(c)		6,701,917


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Paper – continued
$	4,273,000	WestRock MWV LLC, 8.200%, 1/15/2030	$	6,015,610
	26,007,000	Weyerhaeuser Co., 6.875%, 12/15/2033		33,158,015
	7,374,000	Weyerhaeuser Co., 7.375%, 10/01/2019		8,179,831
	13,539,000	Weyerhaeuser Co., 7.375%, 3/15/2032		18,641,741

				83,560,979

		Property & Casualty Insurance – 0.1%
	2,740,000	Fidelity National Financial, Inc., 5.500%, 9/01/2022		2,913,080
	1,889,000	MBIA Insurance Corp., 12.418%, 1/15/2033, 144A(j)		906,720
	2,212,000	XLIT Ltd., 6.250%, 5/15/2027		2,643,398

				6,463,198

		Railroads – 0.2%
	9,787,000	Canadian Pacific Railway Co., 7.250%, 5/15/2019		10,709,963
	237,000	Missouri Pacific Railroad Co., 4.750%, 1/01/2030(b)(c)		226,101
	1,701,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(c)		1,611,500
	191,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)(c)		190,994

				12,738,558

		REITs - Health Care – 0.1%
	5,972,000	Welltower, Inc., 6.500%, 3/15/2041		7,488,613

		REITs - Single Tenant – 0.6%
	8,690,000	Realty Income Corp., 5.750%, 1/15/2021		9,552,335
	22,701,000	Realty Income Corp., 6.750%, 8/15/2019		24,792,874

				34,345,209

		Restaurants – 0.2%
	10,320,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		11,809,021

		Retailers – 0.6%
	1,255,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		1,273,825
	254,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		257,493
	5,979,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		4,297,406
	5,446,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,703,280


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Retailers – continued
$	10,467,000		Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027	$	10,940,956
	8,064,000		Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		9,769,052
	3,755,000		PVH Corp., 7.750%, 11/15/2023		4,449,675

					34,691,687

			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		4,476,175
	1,120,000		Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040		1,306,794
	3,269,000		Kroger Co. (The), 6.400%, 8/15/2017		3,285,453
	6,595,000		New Albertson’s, Inc., 7.450%, 8/01/2029		6,397,150
	7,875,000		New Albertson’s, Inc., 8.000%, 5/01/2031		7,804,046
	989,000		New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		899,990
	17,290,000		SUPERVALU, Inc., 6.750%, 6/01/2021		16,944,200

					41,113,808

			Supranational – 0.3%
	9,640,000		European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		8,194,719
	12,982,000		Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		9,672,964

					17,867,683

			Technology – 0.5%
	7,487,000		Corning, Inc., 7.250%, 8/15/2036		9,186,736
	16,735,000		KLA-Tencor Corp., 5.650%, 11/01/2034		19,070,369
	1,551,000		Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		1,816,516

					30,073,621

			Treasuries – 26.9%
	132,000,000		Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)		100,267,273
	209,501,000		Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)		161,948,086
	61,795,000		Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)		48,272,340
	391,985,000		Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		3,401,761
	1,195,394,000		Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		9,862,464
	2,755,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		16,253,798


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Treasuries – continued
	2,965,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)	$	17,193,610
	7,555,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		44,503,056
	1,925,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		12,042,420
	23,970,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		157,355,728
	36,850,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		28,309,655
	109,763,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		81,961,522
	290,574,000		Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		38,525,997
	416,760,000		Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		53,536,969
	43,590,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		13,098,447
	23,848,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		7,648,075
	150,000,000		U.S. Treasury Note, 0.625%, 6/30/2018		149,044,950
	125,000,000		U.S. Treasury Note, 0.750%, 1/31/2018		124,691,500
	205,000,000		U.S. Treasury Note, 0.750%, 8/31/2018		203,654,790
	350,000,000		U.S. Treasury Note, 0.750%, 9/30/2018		347,525,500

					1,619,097,941

			Wireless – 0.7%
	559,910,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		29,135,528
	58,200,000		America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		2,950,260
	6,373,000		Sprint Capital Corp., 6.875%, 11/15/2028		7,084,036
	612,000		Sprint Capital Corp., 8.750%, 3/15/2032		771,120
	1,609,000		Sprint Communications, Inc., 6.000%, 11/15/2022		1,705,540
	985,000		Sprint Corp., 7.125%, 6/15/2024		1,095,812

					42,742,296

			Wirelines – 4.4%
	33,710,000		AT&T, Inc., 2.625%, 12/01/2022		33,039,002
	26,815,000		AT&T, Inc., 3.000%, 2/15/2022		26,934,434
	406,000		Bell Canada, Inc., MTN, 7.300%, 2/23/2032, (CAD)		433,645
	2,936,000		BellSouth Telecommunications LLC, 5.850%, 11/15/2045		3,094,045


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Wirelines – continued
$	2,710,000	CenturyLink, Inc., 6.450%, 6/15/2021	$	2,926,800
	670,000	CenturyLink, Inc., 7.650%, 3/15/2042		622,263
	4,990,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		4,952,575
	4,508,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		4,192,440
	195,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		191,588
	24,103,000	Embarq Corp., 7.995%, 6/01/2036		24,344,030
	265,000	Frontier Communications Corp., 7.875%, 1/15/2027		197,425
	1,365,000	Frontier Communications Corp., 9.000%, 8/15/2031		1,095,413
	5,200,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(g)		408,102
	8,450,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(g)		3,233,989
	18,850,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(g)		7,293,125
	2,755,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		2,620,997
	4,370,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		4,544,800
	3,469,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		3,296,521
	12,308,000	Qwest Corp., 6.875%, 9/15/2033		12,110,986
	9,077,000	Qwest Corp., 7.250%, 9/15/2025		10,079,800
	9,474,000	Qwest Corp., 7.250%, 10/15/2035		9,458,339
	2,490,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,632,826
	5,775,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		6,237,000
	4,100,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		6,254,857
	9,100,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		14,352,746
	54,665,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		45,247,428
	32,509,000	Verizon Communications, Inc., 2.450%, 11/01/2022		31,865,777

				261,660,953

		Total Non-Convertible Bonds (Identified Cost $5,018,449,671)		4,921,318,077

	Convertible Bonds – 4.0%

		Finance Companies – 0.1%
	3,905,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		4,988,637


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Convertible Bonds – continued

		Property & Casualty Insurance – 1.0%
$	46,995,000	Old Republic International Corp., 3.750%, 3/15/2018	$	59,478,047

		Technology – 2.9%
	59,019,000	Intel Corp., 3.250%, 8/01/2039		97,528,898
	11,515,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		26,873,131
	352,807	Liberty Interactive LLC, 3.500%, 1/15/2031		341,850
	46,000,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		52,670,000

				177,413,879

		Total Convertible Bonds (Identified Cost $122,557,647)		241,880,563

	Municipals – 0.3%

		Illinois – 0.1%
	9,150,000	State of Illinois, 5.100%, 6/01/2033		8,565,498

		Michigan – 0.0%
	2,195,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		2,188,240

		Virginia – 0.2%
	10,740,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		9,386,545

		Total Municipals (Identified Cost $19,894,516)		20,140,283

		Total Bonds and Notes (Identified Cost $5,160,901,834)		5,183,338,923


Shares
	Common Stocks – 0.8%

		Automobiles – 0.8%
	4,063,816	Ford Motor Co. (Identified Cost $34,826,997)		45,474,101

	Preferred Stocks – 0.0%

		Midstream – 0.0%
	43,031	Chesapeake Energy Corp., 5.000% (Identified Cost $3,673,619)		2,667,922


Principal Amount
	Short-Term Investments – 12.1%
	$ 250,000,000	Federal National Mortgage Association Discount Notes, 0.960%, 08/28/2017(k)		249,603,250
	175,512,651	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $175,517,624 on 7/03/2017 collateralized by $179,680,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $179,027,223 including accrued interest(l)		175,512,651


Principal Amount (‡)		Description	Value (†)
$	250,000,000	U.S. Treasury Bills, 0.790-0.825%, 07/13/2017(k)	$	249,946,250
	50,000,000	U.S. Treasury Bills, 0.780%, 07/27/2017(k)		49,972,650

		Total Short-Term Investments (Identified Cost $725,030,233)		725,034,801

		Total Investments – 99.0% (Identified Cost $5,924,432,683)(a)		5,956,515,747
		Other assets less liabilities – 1.0%		60,526,289

		Net Assets – 100.0%	$	6,017,042,036

(†)

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

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

Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

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

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

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

(†††)

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

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

At June 30, 2017, the net unrealized depreciation on investments based on a cost of $5,967,852,105 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	$	388,577,845
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(399,914,203	)


Net unrealized depreciation	$	(11,336,358	)

(b)	Illiquid security.

(c)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2017, the value of these securities amounted to $165,792,776 or 2.8% of net assets.

(d)	Variable rate security. Rate as of June 30, 2017 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)	Fair valued by the Fund’s adviser. At June 30, 2017, the value of this security amounted to $676 or 0.0% of net assets.

(i)	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.

(j)	Non-income producing security.

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

(l)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of June 30, 2017, 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 June 30, 2017, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	51,656,207	$	53,092,383	(a)	$	104,748,590
Finance Companies		1,485,403		226,249,837		—			227,735,240
Metals & Mining		—		109,158,532		676	(b)		109,159,208
All Other Non-Convertible Bonds*		—		4,479,675,039		—			4,479,675,039

Total Non-Convertible Bonds		1,485,403		4,866,739,615		53,093,059			4,921,318,077

Convertible Bonds*		—		241,880,563		—			241,880,563
Municipals*		—		20,140,283		—			20,140,283

Total Bonds and Notes		1,485,403		5,128,760,461		53,093,059			5,183,338,923

Common Stocks*		45,474,101		—		—			45,474,101
Preferred Stocks*		—		2,667,922		—			2,667,922
Short-Term Investments		—		725,034,801		—			725,034,801

Total	$	46,959,504	$	5,856,463,184	$	53,093,059		$	5,956,515,747

*	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 June 30 2017:

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 June 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	90,763,489	$	—	$	21,228		$	(72,384	)	$	—	$	(1,451,488	)	$	—	$	(36,168,461	)	$	53,092,383	$	(66,063	)
Metals & Mining		676		8,647		—			(8,647	)		—		—			—		—			676		(8,647	)
Non-Agency Commercial Mortgage-Backed Securities		18,290,710		—		(32,180	)		41,470			—		(18,300,000	)		—		—			—		—

Total	$	109,054,875	$	8,647	$	(10,952	)	$	(39,561	)	$	—	$	(19,751,488	)	$	—	$	(36,168,461	)	$	53,093,059	$	(81,032	)

A debt security valued at $36,168,461 was transferred from Level 3 to Level 2 during the period ended June 30, 2017. 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 was unable to price the security. At June 30, 2017, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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


Industry Summary at June 30, 2017 (Unaudited)

Treasuries	26.9	%
Banking	10.7
Wirelines	4.4
Finance Companies	3.9
Technology	3.4
Midstream	3.1
Local Authorities	2.5
Airlines	2.2
Independent Energy	2.1
Other Investments, less than 2% each	27.7
Short-Term Investments	12.1

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%


Currency Exposure Summary at June 30, 2017 (Unaudited)

United States Dollar	74.5	%
Canadian Dollar	8.2
New Zealand Dollar	5.5
Mexican Peso	4.9
Australian Dollar	3.0
Other, less than 2% each	2.9

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 95.7% of Net Assets
		ABS Car Loan – 2.0%
$	1,550,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A	$	1,559,099
	738,275	CPS Auto Receivables Trust, Series 2015-C, Class A, 1.770%, 6/17/2019, 144A		738,585
	361,760	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A		361,815
	1,825,000	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A, 2.420%, 11/15/2023, 144A		1,831,474
	2,875,000	Credit Acceptance Auto Loan Trust, Series 2016-3A, Class A, 2.150%, 4/15/2024, 144A		2,869,015
	79,808	First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A		79,793
	2,310,000	Flagship Credit Auto Trust, Series 2016-4, Class A2, 1.960%, 2/16/2021, 144A		2,309,479
	3,500,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		3,502,831
	725,000	NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A2, 2.740%, 4/15/2021, 144A		732,175
	1,495,000	NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A2, 2.540%, 4/18/2022, 144A		1,499,471

				15,483,737

		ABS Home Equity – 0.5%
	2,246,453	Home Partners of America Trust, Series 2016-1, Class A, 2.859%, 3/17/2033, 144A(b)		2,280,120
	330,895	Mill City Mortgage Trust, Series 2015-1, Class A1, 2.230%, 6/25/2056, 144A(b)		331,034
	1,550,474	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(b)		1,561,009

				4,172,163

		ABS Student Loan – 0.0%
	315,204	SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 2.166%, 1/25/2039, 144A(b)		318,579

		Agency Commercial Mortgage-Backed Securities – 19.8%
	5,151,240	Federal National Mortgage Association, Series 2015-M17, Class FA, 1.925%, 11/25/2022(b)		5,180,166
	1,000,000	Federal National Mortgage Association, Series 2016-M3, Class ASQ2, 2.263%, 2/25/2023		1,000,037
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,329,686
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,575,720
	4,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021		4,165,616
	6,625,000	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021		6,821,729
	2,580,000	FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2, 3.224%, 3/25/2027(b)		2,655,687
	3,458,083	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		3,485,163


Principal Amount		Description	Value (†)
	Bonds and Notes – continued

		Agency Commercial Mortgage-Backed Securities – continued
$	682,762	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018	$	687,544
	2,555,819	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018		2,576,180
	7,769,419	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		7,817,766
	34,370,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		34,377,829
	2,704,724	FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A1, 2.666%, 5/25/2023		2,763,248
	4,100,025	FHLMC Multifamily Structured Pass Through Certificates, Series KABM, Class A, 1.695%, 9/25/2022(b)		4,107,831
	1,257,447	FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 1.546%, 11/25/2021(b)		1,257,055
	9,451,515	FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, 1.645%, 1/25/2023(b)		9,481,131
	4,782,033	FHLMC Multifamily Structured Pass Through Certificates, Series KJ04, Class A1, 1.376%, 10/25/2020		4,751,134
	19,300,000	FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1.695%, 11/25/2022(b)		19,372,564
	24,629,514	FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019		24,640,386
	207,443	Government National Mortgage Association, Series 2003-72, Class Z, 5.251%, 11/16/2045(b)		220,406
	160,854	Government National Mortgage Association, Series 2003-88, Class Z, 4.772%, 3/16/2046(b)		168,939
	3,375,981	Government National Mortgage Association, Series 2013-52, Class KX, 3.507%, 8/16/2051(b)		3,553,761

				149,989,578

		Collateralized Mortgage Obligations – 16.9%
	81,736	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 1.880%, 5/15/2023(b)(c)		79,051
	53,869	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.620%, 8/15/2023(b)(c)		53,187
	208,137	Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029		224,662
	588,222	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		601,010
	1,042,319	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020		1,059,157
	1,587,541	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035		1,770,001
	2,367,443	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035		2,589,733
	2,044,657	Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038		2,191,096
	1,735,587	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.104%, 6/15/2048(b)(d)		1,659,537
	2,011,561	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.218%, 12/15/2036(b)(d)		2,123,825
	795,221	Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 3.259%, 6/15/2043(b)		773,844
	1,613,447	Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033		1,805,317
	54,365	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 1.940%, 9/25/2022(b)(c)		53,782


Principal Amount		Description	Value (†)
	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	53,094	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.760%, 4/25/2024(b)(c)	$	52,549
	11,727	Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 3.706%, 8/25/2042(b)(c)		12,524
	863,737	Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025		935,115
	73,442	Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034		73,485
	873,080	Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 1.276%, 7/25/2037(b)		856,590
	1,894,106	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.430%, 8/25/2038(b)		1,998,331
	5,412,360	Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 2.216%, 7/25/2043(b)		5,284,419
	36,945	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.530%, 4/25/2023(b)(c)		36,564
	10,631	FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.568%, 3/25/2044(b)(c)		11,048
	778,516	FHLMC Structured Pass Through Securities, Series T-62, Class 1A1, 1.892%, 10/25/2044(b)		789,290
	1,292,975	Government National Mortgage Association, Series 2010-H20, Class AF, 1.323%, 10/20/2060(b)		1,283,807
	1,177,602	Government National Mortgage Association, Series 2010-H24, Class FA, 1.343%, 10/20/2060(b)		1,169,579
	1,014,918	Government National Mortgage Association, Series 2011-H06, Class FA, 1.443%, 2/20/2061(b)		1,013,439
	1,692,916	Government National Mortgage Association, Series 2012-124, Class HT, 7.272%, 7/20/2032(b)		1,902,901
	1,587,985	Government National Mortgage Association, Series 2012-H15, Class FA, 1.443%, 5/20/2062(b)		1,590,228
	1,171,068	Government National Mortgage Association, Series 2012-H18, Class NA, 1.513%, 8/20/2062(b)		1,170,837
	4,913,152	Government National Mortgage Association, Series 2012-H29, Class HF, 1.493%, 10/20/2062(b)		4,920,375
	4,255,041	Government National Mortgage Association, Series 2013-H02, Class GF, 1.493%, 12/20/2062(b)		4,262,139
	4,439,441	Government National Mortgage Association, Series 2013-H08, Class FA, 1.343%, 3/20/2063(b)		4,418,614
	3,342,771	Government National Mortgage Association, Series 2013-H10, Class FA, 1.393%, 3/20/2063(b)		3,333,353
	11,266,484	Government National Mortgage Association, Series 2013-H22, Class FT, 1.710%, 4/20/2063(b)		11,360,453
	6,506,776	Government National Mortgage Association, Series 2014-H14, Class FA, 1.493%, 7/20/2064(b)		6,495,242
	4,432,191	Government National Mortgage Association, Series 2014-H15, Class FA, 1.493%, 7/20/2064(b)		4,423,604
	3,796,220	Government National Mortgage Association, Series 2015-H05, Class FA, 1.293%, 4/20/2061(b)		3,795,668
	10,275,470	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		10,227,395
	9,870,449	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		9,686,622
	2,064,916	Government National Mortgage Association, Series 2015-H11, Class FA, 1.243%, 4/20/2065(b)		2,063,274
	5,447,467	Government National Mortgage Association, Series 2015-H19, Class FH, 1.293%, 7/20/2065(b)		5,446,769


Principal Amount		Description	Value (†)
	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	1,688,635	Government National Mortgage Association, Series 2015-H29, Class FA, 1.693%, 10/20/2065(b)	$	1,694,685
	1,050,646	Government National Mortgage Association, Series 2015-H30, Class FA, 1.673%, 8/20/2061(b)		1,054,166
	6,545,401	Government National Mortgage Association, Series 2016-H06, Class FC, 1.913%, 2/20/2066(b)		6,626,471
	4,629,659	Government National Mortgage Association, Series 2016-H10, Class FJ, 1.593%, 4/20/2066(b)		4,640,624
	8,101,450	Government National Mortgage Association, Series 2016-H19, Class FJ, 1.393%, 9/20/2063(b)		8,067,773
	289,585	NCUA Guaranteed Notes, Series 2010-A1, Class A, 1.446%, 12/07/2020(b)		289,758
	691,424	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 1.534%, 10/07/2020(b)		692,358
	1,201,501	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 1.644%, 12/08/2020(b)		1,208,053
	80,476	NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 1.644%, 12/08/2020(b)		80,927

				127,953,231

		Hybrid ARMs – 13.7%
	1,853,710	FHLMC, 2.720%, 7/01/2033(b)		1,954,506
	882,987	FHLMC, 2.796%, 9/01/2038(b)		925,776
	1,156,371	FHLMC, 2.816%, 9/01/2038(b)		1,220,319
	281,908	FHLMC, 2.818%, 9/01/2038(b)		296,650
	4,757,434	FHLMC, 2.865%, 3/01/2037(b)		5,004,879
	1,389,184	FHLMC, 2.880%, 2/01/2036(b)		1,464,685
	706,334	FHLMC, 2.924%, 4/01/2036(b)		729,962
	2,857,004	FHLMC, 2.925%, 2/01/2036(b)		3,003,508
	2,064,051	FHLMC, 3.013%, 9/01/2035(b)		2,189,369
	1,143,145	FHLMC, 3.083%, 3/01/2036(b)		1,205,401
	103,505	FHLMC, 3.106%, 12/01/2037(b)		107,266
	472,647	FHLMC, 3.107%, 2/01/2035(b)		497,841
	779,763	FHLMC, 3.124%, 6/01/2037(b)		805,276
	590,140	FHLMC, 3.135%, 11/01/2038(b)		624,685
	512,483	FHLMC, 3.380%, 12/01/2034(b)		543,249
	732,715	FHLMC, 3.496%, 11/01/2038(b)		776,659
	585,095	FHLMC, 3.513%, 4/01/2037(b)		619,927
	2,250,328	FHLMC, 3.589%, 4/01/2037(b)		2,377,246


Principal Amount		Description	Value (†)
	Bonds and Notes – continued

		Hybrid ARMs – continued
$	1,121,722	FHLMC, 3.637%, 3/01/2038(b)	$	1,195,297
	3,059,906	FHLMC, 3.643%, 9/01/2041(b)		3,208,729
	524,311	FHLMC, 3.888%, 3/01/2037(b)		556,902
	647,001	FNMA, 2.688%, 9/01/2036(b)		680,204
	2,345,114	FNMA, 2.714%, 11/01/2033(b)		2,470,940
	480,164	FNMA, 2.742%, 12/01/2034(b)		502,001
	1,313,879	FNMA, 2.798%, 10/01/2033(b)		1,379,438
	4,688,844	FNMA, 2.807%, 9/01/2037(b)		4,963,580
	172,977	FNMA, 2.815%, 2/01/2037(b)		179,125
	601,966	FNMA, 2.826%, 9/01/2034(b)		631,258
	1,547,608	FNMA, 2.840%, 8/01/2035(b)		1,635,482
	1,201,645	FNMA, 2.852%, 6/01/2033(b)		1,268,667
	1,131,700	FNMA, 2.853%, 1/01/2036(b)		1,195,487
	5,382,805	FNMA, 2.854%, 10/01/2034(b)		5,660,896
	1,300,910	FNMA, 2.857%, 6/01/2036(b)		1,365,257
	3,714,084	FNMA, 2.867%, 12/01/2040(b)		3,900,846
	3,897,426	FNMA, 2.873%, 4/01/2034(b)		4,095,652
	3,446,320	FNMA, 2.873%, 6/01/2037(b)		3,650,951
	3,404,346	FNMA, 2.880%, 7/01/2038(b)		3,566,796
	1,503,842	FNMA, 2.883%, 7/01/2035(b)		1,559,273
	393,409	FNMA, 2.893%, 8/01/2035(b)		416,182
	955,193	FNMA, 2.905%, 8/01/2034(b)		1,017,054
	394,735	FNMA, 2.907%, 8/01/2038(b)		409,826
	276,919	FNMA, 2.933%, 8/01/2033(b)		292,696
	328,306	FNMA, 3.011%, 4/01/2033(b)		344,102
	1,216,118	FNMA, 3.065%, 4/01/2034(b)		1,280,990
	889,900	FNMA, 3.100%, 5/01/2035(b)		945,632
	2,889,650	FNMA, 3.107%, 4/01/2037(b)		3,039,749


Principal Amount		Description	Value (†)
	Bonds and Notes – continued

		Hybrid ARMs – continued
$	631,703	FNMA, 3.119%, 10/01/2033(b)	$	669,977
	425,653	FNMA, 3.130%, 11/01/2035(b)		450,538
	2,854,474	FNMA, 3.138%, 7/01/2035(b)		3,004,148
	616,491	FNMA, 3.163%, 11/01/2036(b)		651,068
	430,105	FNMA, 3.175%, 8/01/2036(b)		455,406
	579,364	FNMA, 3.227%, 7/01/2041(b)		603,783
	4,521,469	FNMA, 3.285%, 10/01/2041(b)		4,750,715
	2,249,906	FNMA, 3.351%, 9/01/2037(b)		2,365,210
	1,513,563	FNMA, 3.372%, 4/01/2037(b)		1,586,752
	1,325,171	FNMA, 3.425%, 12/01/2041(b)		1,393,013
	176,417	FNMA, 3.431%, 1/01/2037(b)		186,665
	3,231,729	FNMA, 3.474%, 7/01/2037(b)		3,427,065
	856,868	FNMA, 3.505%, 2/01/2037(b)		908,713
	4,040,324	FNMA, 3.541%, 3/01/2037(b)		4,263,233
	1,365,909	FNMA, 3.546%, 2/01/2047(b)		1,424,756
	318,489	FNMA, 3.550%, 3/01/2034(b)		336,206
	1,212,140	FNMA, 4.313%, 6/01/2035(b)		1,279,726

				103,517,190

		Mortgage Related – 17.4%
	96,104	FHLMC, 3.000%, 10/01/2026		98,769
	673,794	FHLMC, 4.000%, with various maturities from 2024 to 2042(e)		710,009
	449,056	FHLMC, 4.500%, with various maturities from 2025 to 2034(e)		476,406
	197,394	FHLMC, 5.500%, 10/01/2023		209,557
	243,384	FHLMC, 5.775%, 6/01/2020(b)		249,539
	377,299	FHLMC, 5.903%, 8/01/2020(b)		389,110
	198,220	FHLMC, 5.928%, 10/01/2020(b)		204,601
	282,569	FHLMC, 5.952%, 11/01/2020(b)		292,289
	13,580	FHLMC, 6.000%, 11/01/2019		13,951
	328,537	FHLMC, 6.500%, 12/01/2034		373,224


Principal Amount		Description	Value (†)
	Bonds and Notes – continued

		Mortgage Related – continued
$	377	FHLMC, 7.500%, 6/01/2026	$	420
	660	FHLMC, 10.000%, 7/01/2019		669
	10,600	FHLMC, 11.500%, 4/01/2020		10,737
	179,283	FNMA, 3.000%, 3/01/2042		180,043
	1,898,338	FNMA, 5.000%, with various maturities from 2037 to 2038(e)		2,083,288
	1,045,850	FNMA, 5.500%, with various maturities from 2018 to 2033(e)		1,142,620
	1,288,791	FNMA, 6.000%, with various maturities from 2017 to 2022(e)		1,370,812
	216,772	FNMA, 6.500%, with various maturities from 2032 to 2037(e)		241,135
	8,838	FNMA, 7.000%, 12/01/2022		8,853
	83,187	FNMA, 7.500%, with various maturities from 2030 to 2032(e)		91,605
	4,095,477	GNMA, 2.716%, 2/20/2061(b)		4,262,933
	2,993,985	GNMA, 2.873%, 2/20/2063(b)		3,129,820
	4,086,896	GNMA, 3.147%, 3/20/2063(b)		4,294,014
	2,174,919	GNMA, 3.260%, with various maturities in 2065(b)(e)		2,326,635
	2,256,809	GNMA, 3.349%, 2/20/2063(b)		2,378,293
	1,903,383	GNMA, 4.435%, 3/20/2063(b)		1,993,375
	3,307,780	GNMA, 4.439%, 6/20/2063(b)		3,489,568
	1,773,569	GNMA, 4.454%, 2/20/2063(b)		1,852,038
	3,867,273	GNMA, 4.480%, 2/20/2062(b)		4,005,652
	4,261,196	GNMA, 4.492%, 10/20/2065(b)		4,634,092
	3,774,407	GNMA, 4.527%, 12/20/2061(b)		3,897,600
	14,517,320	GNMA, 4.531%, 12/20/2061(b)		14,918,628
	6,582,585	GNMA, 4.542%, 12/20/2062(b)		6,874,836
	1,852,444	GNMA, 4.555%, 3/20/2062(b)		1,919,867
	3,654,293	GNMA, 4.586%, 6/20/2062(b)		3,796,354
	2,357,285	GNMA, 4.587%, with various maturities from 2061 to 2063(b)(e)		2,449,872
	606,232	GNMA, 4.588%, 7/20/2063(b)		652,553
	10,925,590	GNMA, 4.590%, 11/20/2062(b)		11,394,241


Principal Amount		Description	Value (†)
	Bonds and Notes – continued

		Mortgage Related – continued
$	2,117,119	GNMA, 4.603%, 2/20/2066(b)	$	2,298,313
	1,909,136	GNMA, 4.634%, 3/20/2064(b)		2,055,757
	1,459,746	GNMA, 4.636%, 3/20/2062(b)		1,510,465
	452,778	GNMA, 4.658%, 1/20/2064(b)		488,382
	5,998,015	GNMA, 4.672%, 2/20/2062(b)		6,203,115
	7,869,733	GNMA, 4.683%, with various maturities from 2061 to 2063(b)(e)		8,168,209
	1,632,664	GNMA, 4.685%, 5/20/2064(b)		1,776,476
	2,783,228	GNMA, 4.687%, 2/20/2062(b)		2,872,353
	1,028,643	GNMA, 4.699%, 6/20/2061(b)		1,047,319
	5,824,026	GNMA, 4.700%, with various maturities in 2061(b)(e)		5,958,645
	1,082,268	GNMA, 4.717%, 3/20/2061(b)		1,104,170
	1,070,268	GNMA, 4.741%, 8/20/2062(b)		1,107,405
	426,429	GNMA, 5.035%, 4/20/2061(b)		443,283
	17,158	GNMA, 6.000%, 12/15/2031		19,733
	69,175	GNMA, 6.500%, 5/15/2031		80,145
	69,756	GNMA, 7.000%, 10/15/2028		77,477
	4,001,338	Government National Mortgage Association, Series 2015-H04, Class FL, 1.463%, 2/20/2065(b)		3,989,367
	6,036,427	Government National Mortgage Association, Series 2015-H12, Class FL, 1.223%, 5/20/2065(b)		5,982,638

				131,601,260

		Non-Agency Commercial Mortgage-Backed Securities – 5.1%
	87,378	Banc of America Commercial Mortgage Trust, Series 2007-5, Class A4, 5.492%, 2/10/2051		87,495
	3,445,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2016-ASHF, Class A, 3.059%, 12/15/2033, 144A(b)		3,463,187
	478,172	Barclays Commercial Mortgage Securities, Series 2015-RRI, Class A, 2.409%, 5/15/2032, 144A(b)		478,323
	2,179,799	CDGJ Commercial Mortgage Trust, Series 2014-BXCH, 2.559%, 12/15/2027, 144A(b)		2,182,533
	2,421,529	CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class A, 2.109%, 6/15/2031, 144A(b)		2,420,838
	1,310,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		1,313,104
	2,814,113	Commercial Mortgage Pass Through Certificates, Series 2014-FL5, Class A, 2.529%, 10/15/2031, 144A(b)		2,821,099
	1,488,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, 3.961%, 3/10/2047		1,569,897


Principal Amount		Description	Value (†)
	Bonds and Notes – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	4,282,000	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049	$	4,454,069
	1,399,000	DBUBS Mortgage Trust, Series 2011-LC2A, Class A4, 4.537%, 7/10/2044, 144A		1,499,107
	2,155,234	GP Portfolio Trust, Series 2014-GPP, Class A, 2.359%, 2/15/2027, 144A(b)		2,161,347
	282,668	Greenwich Capital Commercial Mortgage Trust, Series 2007-GG11, Class A4, 5.736%, 12/10/2049		282,454
	5,535,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 2.059%, 10/15/2029, 144A(b)		5,534,996
	814,982	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 2.139%, 7/15/2031, 144A(b)		815,474
	4,115,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.859%, 7/15/2036, 144A(b)		4,139,359
	1,040,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A4, 3.134%, 12/15/2048		1,063,898
	383,958	Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 2.222%, 4/15/2032, 144A(b)		383,908
	3,700,000	Starwood Retail Property Trust, Inc., 2.347%, 11/15/2027, 144A(b)		3,663,201
	144,301	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046		144,186

				38,478,475

		Sovereigns – 0.3%
	1,955,000	U.S. Department of Housing and Urban Development, Series 4, 1.880%, 8/01/2019		1,968,353

		Treasuries – 20.0%
	23,145,000	U.S. Treasury Note, 1.125%, 6/30/2021		22,588,988
	25,890,000	U.S. Treasury Note, 1.125%, 8/31/2021		25,211,397
	7,145,000	U.S. Treasury Note, 1.375%, 1/31/2021		7,070,199
	7,895,000	U.S. Treasury Note, 1.875%, 4/30/2022		7,893,460
	17,015,000	U.S. Treasury Note, 2.000%, 12/31/2021		17,137,967
	16,740,000	U.S. Treasury Note, 2.000%, 6/30/2024		16,592,219
	14,520,000	U.S. Treasury Note, 2.000%, 11/15/2026		14,158,133
	13,945,000	U.S. Treasury Note, 2.125%, 9/30/2021		14,135,112
	26,120,000	U.S. Treasury Note, 2.250%, 1/31/2024		26,365,894

				151,153,369

		Total Bonds and Notes (Identified Cost $733,386,496)		724,635,935

	Short-Term Investments – 3.9%
	5,915,000	Federal Home Loan Bank Discount Notes, 0.600%-0.929%, 7/07/2017(f)(g)		5,914,344
	16,550,000	Federal Home Loan Bank Discount Notes, 0.900%, 7/31/2017(f)		16,537,124
	7,175,000	U.S. Treasury Bills, 0.655%, 07/06/2017(f)		7,174,548



Total Short-Term Investments (Identified Cost $29,627,563)		29,626,016

Total Investments – 99.6% (Identified Cost $763,014,059)(a)		754,261,951
Other assets less liabilities – 0.4%		2,753,452

Net Assets – 100.0%	$	757,015,403

(†)

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.

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 June 30, 2017, securities of the Fund were fair valued as follows:

Securities fair

valued by the

Fund’s adviser

Percentage of
Net Assets

$ 298,705

0.0%

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

At June 30, 2017, the net unrealized depreciation on investments based on a cost of $763,124,318 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	3,056,838
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,919,205	)

Net unrealized depreciation	$	(8,862,367	)

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 June 30, 2017 is disclosed.

(c)	Fair valued by the Fund’s adviser. At June 30, 2017, the value of these securities amounted to $298,705 or 0.0% of net assets.

(d)	Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.

(e)

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.

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

(g)	The Fund’s investment in Federal Home Loan Bank Discount Notes is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

144A

ABS	Asset-Backed Securities

ARMs	Adjustable Rate Mortgages

FHLMC

Federal Home Loan Mortgage Corp.

FNMA	Federal National Mortgage Association

GNMA	Government National Mortgage Association

REMIC

Real Estate Mortgage Investment Conduit

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2017, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Agency Commercial Mortgage-Backed Securities	$	—	$	146,435,817	$	3,553,761	(a)	$	149,989,578
Collateralized Mortgage Obligations		—		127,654,526		298,705	(b)		127,953,231
All Other Non-Convertible Bonds*		—		446,693,126		—			446,693,126

Total Non-Convertible Bonds		—		720,783,469		3,852,466			724,635,935

Total Bonds and Notes		—		720,783,469		3,852,466			724,635,935

Short-Term Investments		—		29,626,016		—			29,626,016

Total	$	—	$	750,409,485	$	3,852,466		$	754,261,951

*	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 June 30, 2017:

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 June 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Held at June 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Student Loan	$	400,000	$	—	$	—		$	—	$	—	$	—		$	—	$	(400,000	)	$	—	$	—
Agency Commercial Mortgage-Backed Securities		11,781,022		—		(1,437,492	)		1,196,297		—		(7,986,066	)		—		—			3,553,761		53,291
Collateralized Mortgage Obligations		1,488,611		—		(25,919	)		33,496		—		(484,759	)		—		(712,724	)		298,705		3,226
Non-Agency Commercial Mortgage-Backed Securities		3,037,018		—		(3,950	)		6,932		—		(3,040,000	)		—		—			—		—

Total	$	16,706,651	$	—	$	(1,467,361	)	$	1,236,725	$	—	$	(11,510,825	)	$	—	$	(1,112,724	)	$	3,852,466	$	56,517

A debt security valued at $400,000 was transferred from Level 3 to Level 2 during the period ended June 30, 2017. 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 was unable to price the security. At June 30, 2017, 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.

Debt securities valued at $712,724 were transferred from Level 3 to Level 2 during the period ended June 30, 2017. At September 30, 2016, these securities were 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 securities. At June 30, 2017, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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


Industry Summary at June 30, 2017 (Unaudited)

Treasuries	20.0	%
Agency Commercial Mortgage-Backed Securities	19.8
Mortgage Related	17.4
Collateralized Mortgage Obligations	16.9
Hybrid ARMs	13.7
Non-Agency Commercial Mortgage-Backed Securities	5.1
ABS Car Loan	2.0
Other Investments, less than 2% each	0.8
Short-Term Investments	3.9

Total Investments	99.6
Other assets less liabilities	0.4

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)
	Common Stocks – 96.7% of Net Assets

		Aerospace & Defense – 2.8%
	229,920	Hexcel Corp.	$	12,137,477
	148,839	KLX, Inc.(b)		7,441,950
	305,338	Mercury Systems, Inc.(b)		12,851,676

				32,431,103

		Air Freight & Logistics – 0.7%
	417,918	Echo Global Logistics, Inc.(b)		8,316,568

		Auto Components – 3.0%
	154,224	Dorman Products, Inc.(b)		12,765,120
	307,343	Fox Factory Holding Corp.(b)		10,941,411
	107,950	LCI Industries		11,054,080

				34,760,611

		Banks – 3.7%
	226,353	Chemical Financial Corp.		10,957,749
	205,195	Pinnacle Financial Partners, Inc.		12,886,246
	305,628	Renasant Corp.		13,368,169
	79,114	UMB Financial Corp.		5,922,474

				43,134,638

		Biotechnology – 3.2%
	306,652	Genomic Health, Inc.(b)		9,981,523
	623,803	Ironwood Pharmaceuticals, Inc.(b)		11,777,401
	479,870	Lexicon Pharmaceuticals, Inc.(b)		7,893,861
	136,957	Prothena Corp. PLC(b)		7,412,113

				37,064,898

		Building Products – 3.0%
	243,388	Apogee Enterprises, Inc.		13,834,174
	127,772	Patrick Industries, Inc.(b)		9,308,190
	169,280	Trex Co., Inc.(b)		11,453,485

				34,595,849

		Capital Markets – 2.6%
	316,529	Financial Engines, Inc.		11,584,961
	91,028	MarketAxess Holdings, Inc.		18,305,731

				29,890,692

		Chemicals – 0.5%
	96,001	Ingevity Corp.(b)		5,510,457

		Commercial Services & Supplies – 1.2%
	286,140	Healthcare Services Group, Inc.		13,399,936

		Construction & Engineering – 2.0%
	239,244	Granite Construction, Inc.		11,541,130
	462,437	Primoris Services Corp.		11,533,179

				23,074,309


Shares		Description	Value (†)
	Common Stocks – continued

		Consumer Finance – 0.6%
	189,543	Green Dot Corp., Class A(b)	$	7,303,092

		Distributors – 1.1%
	106,914	Pool Corp.		12,569,879

		Diversified Consumer Services – 2.7%
	192,832	Bright Horizons Family Solutions, Inc.(b)		14,888,559
	203,882	Grand Canyon Education, Inc.(b)		15,986,387

				30,874,946

		Diversified Telecommunication Services – 1.7%
	299,884	Cogent Communications Holdings, Inc.		12,025,348
	674,843	ORBCOMM, Inc.(b)		7,625,726

				19,651,074

		Electrical Equipment – 0.8%
	269,081	Generac Holdings, Inc.(b)		9,721,897

		Electronic Equipment, Instruments & Components – 2.3%
	284,759	II-VI, Inc.(b)		9,767,234
	115,271	IPG Photonics Corp.(b)		16,725,822

				26,493,056

		Energy Equipment & Services – 1.2%
	156,158	Dril-Quip, Inc.(b)		7,620,510
	430,073	Forum Energy Technologies, Inc.(b)		6,709,139

				14,329,649

		Health Care Equipment & Supplies – 9.9%
	407,143	AtriCure, Inc.(b)		9,873,218
	126,029	Inogen, Inc.(b)		12,025,687
	310,865	Insulet Corp.(b)		15,950,483
	450,793	Merit Medical Systems, Inc.(b)		17,197,753
	140,756	Neogen Corp.(b)		9,727,647
	374,406	NxStage Medical, Inc.(b)		9,386,358
	85,970	Penumbra, Inc.(b)		7,543,868
	481,113	Spectranetics Corp.(b)		18,474,739
	508,532	Wright Medical Group NV(b)		13,979,545

				114,159,298

		Health Care Providers & Services – 4.5%
	318,808	AMN Healthcare Services, Inc.(b)		12,449,453
	348,783	HealthEquity, Inc.(b)		17,379,857
	390,913	Teladoc, Inc.(b)		13,564,681
	211,966	Tivity Health, Inc.(b)		8,446,845

				51,840,836

		Health Care Technology – 1.7%
	243,871	Medidata Solutions, Inc.(b)		19,070,712

		Hotels, Restaurants & Leisure – 2.7%
	304,719	Chuy’s Holdings, Inc.(b)		7,130,425
	550,110	Planet Fitness, Inc., Class A		12,839,567
	370,068	Wingstop, Inc.		11,435,101

				31,405,093


Shares		Description	Value (†)
	Common Stocks – continued

		Household Durables – 1.9%
	245,568	Installed Building Products, Inc.(b)	$	13,002,826
	99,675	iRobot Corp.(b)		8,386,654

				21,389,480

		Internet Software & Services – 7.6%
	351,891	2U, Inc.(b)		16,510,726
	275,780	Envestnet, Inc.(b)		10,920,888
	129,015	LogMeIn, Inc.		13,482,067
	352,560	Mimecast Ltd.(b)		9,441,557
	392,432	Q2 Holdings, Inc.(b)		14,500,362
	679,263	Quotient Technology, Inc.(b)		7,811,525
	210,996	Wix.com Ltd.(b)		14,685,322

				87,352,447

		IT Services – 4.1%
	390,568	Acxiom Corp.(b)		10,146,957
	180,443	Blackhawk Network Holdings, Inc.(b)		7,867,315
	173,839	Euronet Worldwide, Inc.(b)		15,188,313
	322,192	InterXion Holding NV(b)		14,749,950

				47,952,535

		Life Sciences Tools & Services – 2.1%
	356,725	Accelerate Diagnostics, Inc.(b)		9,756,429
	199,186	PRA Health Sciences, Inc.(b)		14,940,942

				24,697,371

		Machinery – 3.2%
	170,336	Albany International Corp., Class A		9,095,942
	178,466	Astec Industries, Inc.		9,906,648
	39,643	Middleby Corp. (The)(b)		4,817,021
	128,117	RBC Bearings, Inc.(b)		13,037,186

				36,856,797

		Multiline Retail – 1.1%
	309,968	Ollie’s Bargain Outlet Holdings, Inc.(b)		13,204,637

		Oil, Gas & Consumable Fuels – 0.6%
	152,221	PDC Energy, Inc.(b)		6,562,247

		Pharmaceuticals – 2.6%
	259,480	Aclaris Therapeutics, Inc.(b)		7,037,098
	236,550	Dermira, Inc.(b)		6,893,067
	362,803	Supernus Pharmaceuticals, Inc.(b)		15,636,809

				29,566,974

		Professional Services – 1.3%
	225,155	WageWorks, Inc.(b)		15,130,416

		Semiconductors & Semiconductor Equipment – 4.5%
	218,317	MKS Instruments, Inc.		14,692,734
	151,392	Monolithic Power Systems, Inc.		14,594,189
	292,287	Semtech Corp.(b)		10,449,260
	186,823	Silicon Laboratories, Inc.(b)		12,769,352

				52,505,535


Shares		Description	Value (†)
	Common Stocks – continued

		Software – 9.4%
	152,152	Blackbaud, Inc.	$	13,047,034
	528,907	Callidus Software, Inc.(b)		12,799,550
	203,072	CommVault Systems, Inc.(b)		11,463,414
	256,856	Guidewire Software, Inc.(b)		17,648,576
	177,361	HubSpot, Inc.(b)		11,661,486
	283,377	RealPage, Inc.(b)		10,187,403
	491,473	RingCentral, Inc., Class A(b)		17,963,338
	67,339	Ultimate Software Group, Inc. (The)(b)		14,145,230

				108,916,031

		Specialty Retail – 1.0%
	586,024	Tile Shop Holdings, Inc.		12,101,396

		Textiles, Apparel & Luxury Goods – 1.5%
	125,354	Columbia Sportswear Co.		7,278,053
	259,964	Steven Madden Ltd.(b)		10,385,562

				17,663,615

		Thrifts & Mortgage Finance – 1.0%
	309,829	Essent Group Ltd.(b)		11,507,049

		Trading Companies & Distributors – 2.9%
	242,214	Beacon Roofing Supply, Inc.(b)		11,868,486
	267,148	BMC Stock Holdings, Inc.(b)		5,837,184
	294,842	SiteOne Landscape Supply, Inc.(b)		15,349,474

				33,055,144

		Total Common Stocks (Identified Cost $830,803,240)		1,118,060,267


Principal Amount
	Short-Term Investments – 3.7%
$	42,946,491	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $42,947,708 on 7/03/2017 collateralized by $43,070,000 U.S. Treasury Inflation Note, 0.250% due 1/15/2025 valued at $43,809,684 including accrued interest(c) (Identified Cost $42,946,491)		42,946,491


Description	Value (†)
Total Investments – 100.4% (Identified Cost $873,749,731)(a)	$	1,161,006,758
Other assets less liabilities – (0.4)%		(4,811,946	)

Net Assets – 100.0%	$	1,156,194,812

(†)

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

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

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

At June 30, 2017, the net unrealized appreciation on investments based on a cost of $873,749,731 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	$	302,725,525
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(15,468,498	)

Net unrealized appreciation	$	287,257,027

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 June 30, 2017, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2017, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,118,060,267	$	—	$	—	$	1,118,060,267
Short-Term Investments		—		42,946,491		—		42,946,491

Total	$	1,118,060,267	$	42,946,491	$	—	$	1,161,006,758

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

For the period ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.


Industry Summary at June 30, 2017 (Unaudited)

Health Care Equipment & Supplies	9.9	%
Software	9.4
Internet Software & Services	7.6
Semiconductors & Semiconductor Equipment	4.5
Health Care Providers & Services	4.5
IT Services	4.1
Banks	3.7
Biotechnology	3.2
Machinery	3.2
Auto Components	3.0
Building Products	3.0
Trading Companies & Distributors	2.9
Aerospace & Defense	2.8
Hotels, Restaurants & Leisure	2.7
Diversified Consumer Services	2.7
Capital Markets	2.6
Pharmaceuticals	2.6
Electronic Equipment, Instruments & Components	2.3
Life Sciences Tools & Services	2.1
Construction & Engineering	2.0
Other Investments, less than 2% each	17.9
Short-Term Investments	3.7

Total Investments	100.4
Other assets less liabilities	(0.4	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2017 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund


Shares		Description	Value (†)
	Common Stocks – 97.2% of Net Assets

		Aerospace & Defense – 3.7%
	2,440	HEICO Corp.	$	175,290
	3,102	Hexcel Corp.		163,754
	3,379	Mercury Systems, Inc.(b)		142,222

				481,266

		Air Freight & Logistics – 1.8%
	3,695	XPO Logistics, Inc.(b)		238,808

		Auto Components – 1.1%
	1,436	LCI Industries		147,046

		Banks – 4.6%
	3,857	Columbia Banking System, Inc.		153,701
	1,159	First Republic Bank		116,016
	6,443	Home BancShares, Inc.		160,431
	3,483	Western Alliance Bancorp(b)		171,363

				601,511

		Biotechnology – 3.0%
	9,829	Ironwood Pharmaceuticals, Inc.(b)		185,571
	2,370	Neurocrine Biosciences, Inc.(b)		109,020
	1,813	Prothena Corp. PLC(b)		98,120

				392,711

		Building Products – 1.3%
	1,767	American Woodmark Corp.(b)		168,837

		Capital Markets – 6.2%
	2,024	CBOE Holdings, Inc.		184,994
	996	MarketAxess Holdings, Inc.		200,296
	1,451	MSCI, Inc.		149,438
	3,426	SEI Investments Co.		184,250
	2,177	Stifel Financial Corp.(b)		100,098

				819,076

		Commercial Services & Supplies – 3.5%
	3,952	Healthcare Services Group, Inc.		185,072
	3,530	KAR Auction Services, Inc.		148,154
	4,535	Ritchie Bros. Auctioneers, Inc.		130,336

				463,562

		Consumer Finance – 0.7%
	7,972	SLM Corp.(b)		91,678

		Diversified Consumer Services – 3.2%
	2,706	Bright Horizons Family Solutions, Inc.(b)		208,930
	2,684	Grand Canyon Education, Inc.(b)		210,453

				419,383

		Diversified Telecommunication Services – 1.3%
	4,322	Cogent Communications Holdings, Inc.		173,312


Shares		Description	Value (†)
	Common Stocks – continued

		Electrical Equipment – 2.0%
	3,860	Generac Holdings, Inc.(b)	$	139,462
	2,892	Sensata Technologies Holding NV(b)		123,546

				263,008

		Electronic Equipment, Instruments & Components – 4.8%
	507	Coherent, Inc.(b)		114,070
	5,326	National Instruments Corp.		214,212
	922	Rogers Corp.(b)		100,148
	5,644	Trimble, Inc.(b)		201,321

				629,751

		Energy Equipment & Services – 1.3%
	1,961	Dril-Quip, Inc.(b)		95,697
	2,859	Oil States International, Inc.(b)		77,622

				173,319

		Health Care Equipment & Supplies – 9.8%
	1,741	Align Technology, Inc.(b)		261,359
	1,303	Cantel Medical Corp.		101,517
	1,839	DexCom, Inc.(b)		134,523
	5,749	Merit Medical Systems, Inc.(b)		219,324
	1,526	Penumbra, Inc.(b)		133,906
	1,328	STERIS PLC		108,232
	1,335	West Pharmaceutical Services, Inc.		126,184
	7,544	Wright Medical Group NV(b)		207,385

				1,292,430

		Health Care Providers & Services – 3.4%
	4,173	HealthEquity, Inc.(b)		207,941
	1,293	WellCare Health Plans, Inc.(b)		232,171

				440,112

		Health Care Technology – 2.5%
	3,568	Cotiviti Holdings, Inc.(b)		132,516
	3,169	Veeva Systems, Inc., Class A(b)		194,291

				326,807

		Hotels, Restaurants & Leisure – 5.1%
	2,322	Dunkin’ Brands Group, Inc.		127,989
	8,165	Planet Fitness, Inc., Class A		190,571
	2,243	Six Flags Entertainment Corp.		133,705
	1,078	Vail Resorts, Inc.		218,651

				670,916

		Internet Software & Services – 3.9%
	829	CoStar Group, Inc.(b)		218,525
	4,739	GTT Communications, Inc.(b)		149,989
	1,711	j2 Global, Inc.		145,589

				514,103

		IT Services – 3.4%
	3,121	Black Knight Financial Services, Inc., Class A(b)		127,805
	1,837	Broadridge Financial Solutions, Inc.		138,804


Shares		Description	Value (†)
	Common Stocks – continued

		IT Services – continued
	1,400	Gartner, Inc.(b)	$	172,914

				439,523

		Leisure Products – 1.1%
	2,367	Brunswick Corp.		148,482

		Life Sciences Tools & Services – 1.5%
	2,028	ICON PLC(b)		198,318

		Machinery – 6.8%
	3,916	Altra Industrial Motion Corp.		155,857
	5,816	Gardner Denver Holding, Inc.(b)		125,684
	1,241	Middleby Corp. (The)(b)		150,794
	3,575	Sun Hydraulics Corp.		152,545
	1,965	Toro Co. (The)		136,155
	1,376	WABCO Holdings, Inc.(b)		175,453

				896,488

		Media – 1.6%
	5,904	Live Nation Entertainment, Inc.(b)		205,754

		Oil, Gas & Consumable Fuels – 1.8%
	1,420	Diamondback Energy, Inc.(b)		126,110
	3,822	Parsley Energy, Inc., Class A(b)		106,061

				232,171

		Professional Services – 1.3%
	4,070	TransUnion(b)		176,272

		Real Estate Management & Development – 1.1%
	2,262	First Service Corp.		144,723

		Semiconductors & Semiconductor Equipment – 3.7%
	2,461	Advanced Energy Industries, Inc.(b)		159,202
	2,998	MACOM Technology Solutions Holdings, Inc.(b)		167,199
	2,384	Silicon Laboratories, Inc.(b)		162,946

				489,347

		Software – 8.9%
	2,070	Blackbaud, Inc.		177,503
	7,692	Callidus Software, Inc.(b)		186,146
	2,898	Guidewire Software, Inc.(b)		199,122
	2,862	HubSpot, Inc.(b)		188,176
	1,648	Paylocity Holding Corp.(b)		74,457
	3,079	PTC, Inc.(b)		169,714
	862	Ultimate Software Group, Inc. (The)(b)		181,072

				1,176,190

		Specialty Retail – 0.9%
	3,788	Camping World Holdings, Inc., Class A		116,860

		Textiles, Apparel & Luxury Goods – 0.7%
	1,636	Columbia Sportswear Co.		94,986


Shares		Description	Value (†)
	Common Stocks – continued

		Trading Companies & Distributors – 1.2%
	7,284	BMC Stock Holdings, Inc.(b)	$	159,155

		Total Common Stocks (Identified Cost $10,293,661)		12,785,905

Principal Amount
	Short-Term Investments – 2.8%
$	376,882	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340%, to be repurchased at $376,893 on 7/03/2017 collateralized by $390,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $388,583 including accrued interest(c) (Identified Cost $376,882)		376,882

		Total Investments – 100.0% (Identified Cost $10,670,543)(a)		13,162,787
		Other assets less liabilities – (0.0)%		(3,933	)

		Net Assets – 100.0%	$	13,158,854

(†)

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

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

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

At June 30, 2017, the net unrealized appreciation on investments based on a cost of $10,670,543 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		$	2,621,878


Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(129,634	)

Net unrealized appreciation	$	2,492,244

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 June 30, 2017, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

SLM	Sallie Mae

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2017, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	12,785,905	$	—	$	—	$	12,785,905
Short-Term Investments		—		376,882		—		376,882

Total	$	12,785,905	$	376,882	$	—	$	13,162,787

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

For the period ended June 30,2017, there were no transfers among Levels 1, 2 and 3.


Industry Summary at June 30, 2017 (Unaudited)

Health Care Equipment & Supplies	9.8	%
Software	8.9
Machinery	6.8
Capital Markets	6.2
Hotels, Restaurants & Leisure	5.1
Electronic Equipment, Instruments & Components	4.8
Banks	4.6
Internet Software & Services	3.9
Semiconductors & Semiconductor Equipment	3.7
Aerospace & Defense	3.7
Commercial Services & Supplies	3.5
Health Care Providers & Services	3.4
IT Services	3.4
Diversified Consumer Services	3.2
Biotechnology	3.0
Health Care Technology	2.5
Electrical Equipment	2.0
Other Investments, less than 2% each	18.7
Short-Term Investments	2.8

Total Investments	100.0
Other assets less liabilities	(0.0	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2017 (Unaudited)

Loomis Sayles Strategic Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 72.9% of Net Assets

	Non-Convertible Bonds – 66.2%

		ABS Other – 0.3%
$	20,765,836	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(b)(c)	$	14,016,939
	8,183,222	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(b)(c)		2,358,404
	42,000,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(b)(c)(d)		42,000
	11,238,245	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(b)(e)		10,835,783

				27,253,126

		Aerospace & Defense – 1.1%
	620,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		477,502
	10,225,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		10,248,824
	3,145,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		3,286,525
	22,548,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		25,253,760
	20,755,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		24,906,000
	5,310,000	Textron Financial Corp., 2.917%, 2/15/2067, 144A(f)		4,579,875
	24,513,000	TransDigm, Inc., 6.500%, 7/15/2024		25,309,673
	17,765,000	TransDigm, Inc., 6.500%, 5/15/2025		18,075,888

				112,138,047

		Airlines – 2.7%
	130,040,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		136,945,124
	12,054,116	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		12,532,906
	175,117	Continental Airlines Pass Through Certificates, Series 1999-1, Class B, 6.795%, 2/02/2020		180,370
	2,366,465	Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021		2,502,536
	2,231,854	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		2,334,675
	21,015,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		21,540,375
	930	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		922
	326,033	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		350,486
	474,975	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		505,849
	34,032,343	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		37,162,298


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Airlines – continued
$	5,218,799	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021	$	5,630,040
	48,950,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		51,519,875
	2,909,655	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A		2,975,005
	3,939,899	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		4,028,350

				278,208,811

		Automotive – 0.3%
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,422,715
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,655,773
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,487,143
	26,055,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		26,836,650

				35,402,281

		Banking – 4.9%
	6,000,000	Ally Financial, Inc., 8.000%, 11/01/2031		7,350,000
	265,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		272,891
	1,500,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(g)		1,541,250
	7,045,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		7,165,364
	10,000,000	Bank of Nova Scotia (The), 2.462%, 3/14/2019, (CAD)		7,823,180
	36,445,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		27,755,245
	3,450,000	Cooperatieve Rabobank UA, 3.950%, 11/09/2022		3,603,221
	25,000,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		20,067,281
	19,245,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		19,517,451
	45,620,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		33,944,423
	800,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		941,496
	36,195,000	Morgan Stanley, 4.350%, 9/08/2026		37,629,697
	35,325,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		27,918,753
	185,000,000	Morgan Stanley, 5.000%, 9/30/2021, (AUD)		151,832,673
	74,310,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		54,725,925
	46,735,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		48,789,471


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Banking – continued
$	10,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026	$	11,971,310
	53,095,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		42,120,204

				504,969,835

		Brokerage – 1.1%
	5,000,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		4,987,500
	22,540,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		23,385,250
	43,025,000	Jefferies Group LLC, 5.125%, 1/20/2023		46,852,418
	20,010,000	Jefferies Group LLC, 6.250%, 1/15/2036		21,812,240
	15,215,000	Jefferies Group LLC, 6.450%, 6/08/2027		17,436,512

				114,473,920

		Building Materials – 0.5%
	19,945,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		19,856,045
	1,859,000	Masco Corp., 6.500%, 8/15/2032		2,274,195
	195,000	Masco Corp., 7.125%, 3/15/2020		218,609
	1,226,000	Masco Corp., 7.750%, 8/01/2029		1,644,056
	2,000,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		2,162,500
	18,640,000	Owens Corning, 7.000%, 12/01/2036		24,221,804

				50,377,209

		Cable Satellite – 1.4%
	850,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		892,500
	975,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A		1,038,375
	3,315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		3,493,181
	4,360,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		4,659,750
	17,679,000	DISH DBS Corp., 5.875%, 11/15/2024		18,862,963
	25,270,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		21,036,574
	4,835,000	Time Warner Cable LLC, 4.500%, 9/15/2042		4,600,449
	135,000	Time Warner Cable LLC, 5.875%, 11/15/2040		150,474
	44,800,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		53,452,458
	11,275,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		9,346,565


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Cable Satellite – continued
$	7,000,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A	$	7,420,000
	20,300,000	VTR Finance BV, 6.875%, 1/15/2024, 144A		21,518,000

				146,471,289

		Chemicals – 2.0%
	19,810,000	Aruba Investments, Inc., 8.750%, 2/15/2023, 144A		20,453,825
	6,605,000	Chemours Co. (The), 6.625%, 5/15/2023		6,984,787
	33,788,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		34,463,760
	20,000,000	Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A		20,950,000
	26,164,000	Hexion, Inc., 7.875%, 2/15/2023(b)(c)		13,343,640
	8,757,000	Hexion, Inc., 9.200%, 3/15/2021(b)(c)		4,728,780
	16,660,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		11,370,450
	90,205,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		92,929,191
	885,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		796,500

				206,020,933

		Construction Machinery – 0.1%
	840,000	Komatsu Mining Corp., 6.625%, 11/15/2036		1,128,427
	5,105,000	United Rentals North America, Inc., 5.750%, 11/15/2024		5,347,487
	1,979,000	United Rentals North America, Inc., 7.625%, 4/15/2022		2,068,055

				8,543,969

		Consumer Cyclical Services – 0.1%
	670,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		686,750
	5,500,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		6,008,750

				6,695,500

		Consumer Products – 0.1%
	11,880,000	Avon Products, Inc., 8.950%, 3/15/2043		10,588,050

		Diversified Manufacturing – 0.4%
	57,000,000	General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		42,145,521

		Electric – 1.2%
	5,093,000	AES Corp. (The), 4.875%, 5/15/2023		5,188,494


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

			Electric – continued
$	9,505,000		AES Corp. (The), 5.500%, 3/15/2024	$	9,897,081
	10,185,000		AES Corp. (The), 5.500%, 4/15/2025		10,700,157
	34,852,340		Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		39,493,034
	47,979,300		Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(e)		19,005,081
	790,733		CE Generation LLC, 7.416%, 12/15/2018		751,196
	6,145,000		Dynegy, Inc., 7.625%, 11/01/2024		5,960,650
	29,959,000		EDP Finance BV, 4.125%, 1/15/2020, 144A		30,970,116
	3,570,000		Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		4,558,859
	313,903		Red Oak Power LLC, Series A, 8.540%, 11/30/2019		313,903

					126,838,571

			Finance Companies – 2.8%
	4,095,000		iStar, Inc., 4.875%, 7/01/2018		4,120,717
	14,060,000		iStar, Inc., 5.000%, 7/01/2019		14,200,600
	2,260,000		Navient Corp., 5.875%, 10/25/2024		2,300,228
	109,950	(††)	Navient Corp., 6.000%, 12/15/2043		2,616,261
	30,265,000		Navient Corp., MTN, 6.125%, 3/25/2024		31,172,950
	22,945,000		Navient LLC, 5.500%, 1/25/2023		23,317,856
	5,910,000		Navient LLC, MTN, 4.625%, 9/25/2017		5,924,775
	7,780,000		Navient LLC, MTN, 5.500%, 1/15/2019		8,100,925
	6,490,000		Navient LLC, MTN, 7.250%, 1/25/2022		7,090,325
	50,910,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(e)		42,525,123
	46,475,000		Springleaf Finance Corp., 5.250%, 12/15/2019		48,338,647
	34,265,000		Springleaf Finance Corp., 7.750%, 10/01/2021		38,333,969
	55,015,000		Springleaf Finance Corp., 8.250%, 10/01/2023		61,479,262

					289,521,638

			Food & Beverage – 0.0%
	4,880,000		Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		5,093,500


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Government Owned – No Guarantee – 0.7%
$	22,160,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A	$	25,152,176
	21,145,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		19,939,735
	30,955,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		25,684,911

				70,776,822

		Healthcare – 3.0%
	28,815,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		25,177,106
	40,686,000	HCA, Inc., 5.875%, 5/01/2023		44,296,882
	14,620,000	HCA, Inc., 7.050%, 12/01/2027		16,374,400
	20,447,000	HCA, Inc., 7.500%, 12/15/2023		23,718,520
	24,215,000	HCA, Inc., 7.500%, 11/06/2033		27,393,219
	14,056,000	HCA, Inc., 7.690%, 6/15/2025		16,304,960
	32,745,000	HCA, Inc., 8.360%, 4/15/2024		39,130,275
	10,815,000	HCA, Inc., MTN, 7.580%, 9/15/2025		12,410,213
	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036		10,725,960
	955,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		969,325
	29,130,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		30,589,704
	25,780,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		25,780,000
	33,959,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		31,242,280
	1,015,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		1,101,072
	990,000	Tenet Healthcare Corp., 8.125%, 4/01/2022		1,050,638
	7,685,000	THC Escrow Corp. III, 5.125%, 5/01/2025, 144A		7,713,819

				313,978,373

		Home Construction – 0.8%
	3,075,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		3,221,062
	13,360,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(b)(e)		12,500,418
	1,095,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		1,109,334
	47,260,000	PulteGroup, Inc., 6.000%, 2/15/2035		47,378,150
	13,190,000	PulteGroup, Inc., 6.375%, 5/15/2033		13,783,550


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Home Construction – continued
$	10,305,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019	$	10,554,381
	195,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024		205,725

				88,752,620

		Independent Energy – 3.0%
	595,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		581,211
	540,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		494,856
	4,810,000	Antero Resources Corp., 5.625%, 6/01/2023		4,870,125
	28,825,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		28,825,000
	8,145,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		7,228,687
	8,225,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		7,032,375
	15,000,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		13,407,600
	8,645,000	California Resources Corp., 5.500%, 9/15/2021		5,009,345
	1,188,000	California Resources Corp., 6.000%, 11/15/2024		556,210
	49,315,000	California Resources Corp., 8.000%, 12/15/2022, 144A		31,191,737
	1,310,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		1,218,300
	55,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		55,000
	21,335,000	Chesapeake Energy Corp., 8.000%, 1/15/2025, 144A		21,121,650
	37,475,000	Chesapeake Energy Corp., 8.000%, 6/15/2027, 144A		36,819,187
	15,215,000	Continental Resources, Inc., 3.800%, 6/01/2024		13,931,158
	5,450,000	Continental Resources, Inc., 4.500%, 4/15/2023		5,204,750
	550,000	Continental Resources, Inc., 5.000%, 9/15/2022		539,688
	19,290,000	Eclipse Resources Corp., 8.875%, 7/15/2023		19,193,550
	6,475,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		5,827,500
	180,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		139,050
	4,515,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		3,510,412
	1,022,000	Noble Energy, Inc., 5.625%, 5/01/2021		1,049,850
	1,065,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023		1,030,388
	7,170,000	Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A		7,829,927


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Independent Energy – continued
$	2,055,000	QEP Resources, Inc., 5.250%, 5/01/2023	$	1,941,975
	17,187,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(h)		9,366,915
	2,565,000	Rice Energy, Inc., 6.250%, 5/01/2022		2,680,425
	1,735,000	RSP Permian, Inc., 6.625%, 10/01/2022		1,800,062
	17,908,000	Sanchez Energy Corp., 6.125%, 1/15/2023		14,326,400
	9,520,000	Sanchez Energy Corp., 7.750%, 6/15/2021		8,615,600
	8,241,000	SM Energy Co., 5.000%, 1/15/2024		7,293,285
	21,280,000	SM Energy Co., 6.125%, 11/15/2022		20,216,000
	801,000	SM Energy Co., 6.500%, 11/15/2021		778,973
	2,522,000	SM Energy Co., 6.500%, 1/01/2023		2,402,205
	1,110,000	Southwestern Energy Co., 6.700%, 1/23/2025		1,085,025
	10,845,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		10,777,219
	10,735,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		10,090,900
	945,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		869,476

				308,912,016

		Life Insurance – 0.7%
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(e)		17,066,445
	1,225,000	Genworth Holdings, Inc., 3.184%, 11/15/2066(f)		465,500
	3,230,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		2,664,750
	6,955,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		5,772,650
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(e)		33,711,160
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(e)		11,092,511

				70,773,016

		Local Authorities – 1.4%
	95,480,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		78,040,937
	82,840,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		65,241,067

				143,282,004

		Media Entertainment – 1.2%
	111,590,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		4,833,428


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Media Entertainment – continued
$	64,250,000	iHeartCommunications, Inc., 9.000%, 3/01/2021	$	48,187,500
	33,370,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		24,693,800
	7,180,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		7,440,275
	17,950,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		18,802,625
	16,200,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		15,774,750
	1,445,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		1,441,388
	283,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		296,089
	5,925,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		6,413,812

				127,883,667

		Metals & Mining – 1.6%
	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		2,080,640
	25,271,000	ArcelorMittal, 7.250%, 3/01/2041		27,861,277
	8,705,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		10,550,538
	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		12,592,088
	1,105,000	Freeport-McMoRan, Inc., 3.550%, 3/01/2022		1,035,584
	14,645,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		15,397,753
	51,000,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		55,590,000
	2,431,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		2,534,318
	16,135,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		12,753,219
	11,719,000	United States Steel Corp., 6.650%, 6/01/2037		10,547,100
	4,835,000	United States Steel Corp., 6.875%, 4/01/2021		4,992,138
	2,655,000	United States Steel Corp., 7.375%, 4/01/2020		2,871,117
	10,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020		10,977,670

				171,894,723

		Midstream – 0.2%
	8,935,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		9,636,290


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Midstream – continued
$	10,230,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025, 144A	$	9,360,450
	1,720,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023, 144A		1,696,350
	505,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		600,950
	3,185,492	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		3,488,113

				24,782,153

		Non-Agency Commercial Mortgage-Backed Securities – 0.6%
	24,519,493	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.979%, 8/10/2045(f)		24,715,720
	10,650,173	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		8,206,086
	29,570,323	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(b)(e)		30,007,963

				62,929,769

		Oil Field Services – 1.9%
	19,335,000	FTS International, Inc., 6.250%, 5/01/2022		15,845,999
	7,120,000	Global Marine, Inc., 7.000%, 6/01/2028		6,194,400
	12,610,000	Noble Holding International Ltd., 7.750%, 1/15/2024		9,977,662
	17,482,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(i)		3,846,040
	40,403,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(i)		8,888,660
	18,385,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		14,248,375
	12,020,000	Precision Drilling Corp., 5.250%, 11/15/2024		10,487,450
	594,000	Precision Drilling Corp., 6.500%, 12/15/2021		581,378
	1,548,586	Precision Drilling Corp., 6.625%, 11/15/2020		1,513,743
	84,744,750	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		86,439,645
	39,300,000	Transocean, Inc., 5.800%, 10/15/2022		36,450,750
	1,320,000	Transocean, Inc., 6.800%, 3/15/2038		963,600

				195,437,702

		Packaging – 0.0%
	1,705,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		1,781,725

		Paper – 0.4%
	15,225,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		21,105,991
	4,865,000	WestRock MWV LLC, 7.950%, 2/15/2031		6,784,262


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Paper – continued
$	8,750,000	WestRock MWV LLC, 8.200%, 1/15/2030	$	12,318,416
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,564,314

				43,772,983

		Property & Casualty Insurance – 0.2%
	12,510,000	MBIA Insurance Corp., 12.418%, 1/15/2033, 144A(d)(f)		6,004,800
	3,000,000	Sirius International Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(f)(g)		3,011,250
	17,870,000	XL Group PLC, (fixed rate to 4/15/2017, variable rate thereafter), 3.616%(f)(g)		16,663,775

				25,679,825

		Railroads – 0.0%
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(e)		1,092,334

		Restaurants – 0.0%
	1,330,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		1,800,249

		Retailers – 0.8%
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,685,729
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,739,265
	10,270,000	Foot Locker, Inc., 8.500%, 1/15/2022		12,015,900
	830,000	J.C. Penney Corp., Inc., 5.650%, 6/01/2020		816,513
	1,968,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		1,995,060
	27,224,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		19,567,250
	2,510,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		1,706,800
	2,710,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		2,960,675
	12,275,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		12,830,824
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		7,710,816
	3,765,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		696,525
	22,871,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		21,327,207

				87,052,564

		Sovereigns – 1.0%
	102,530,000	Portugal Government International Bond, 5.125%, 10/15/2024, 144A		104,580,600


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Supermarkets – 2.1%
$	1,720,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 5.750%, 3/15/2025, 144A	$	1,599,600
	4,555,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 6/15/2024, 144A		4,520,837
	87,380,000	New Albertson’s, Inc., 7.450%, 8/01/2029		84,758,600
	25,595,000	New Albertson’s, Inc., 7.750%, 6/15/2026		25,638,000
	29,135,000	New Albertson’s, Inc., 8.000%, 5/01/2031		28,872,494
	8,720,000	New Albertson’s, Inc., 8.700%, 5/01/2030		8,894,400
	17,557,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		15,976,870
	2,290,000	Safeway, Inc., 7.250%, 2/01/2031		2,152,600
	34,580,000	SUPERVALU, Inc., 6.750%, 6/01/2021		33,888,400
	13,060,000	SUPERVALU, Inc., 7.750%, 11/15/2022		12,700,850

				219,002,651

		Supranational – 0.2%
	24,450,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		18,217,837

		Technology – 1.0%
	4,537,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		4,803,549
	17,060,000	Amkor Technology, Inc., 6.375%, 10/01/2022		17,763,725
	56,340,000	KLA-Tencor Corp., 4.650%, 11/01/2024		60,845,115
	15,170,000	KLA-Tencor Corp., 5.650%, 11/01/2034		17,286,974
	165,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		193,246

				100,892,609

		Transportation Services – 0.1%
	10,503,000	APL Ltd., 8.000%, 1/15/2024(b)(e)		9,767,790

		Treasuries – 21.4%
	312,000,000	Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)		236,995,373
	29,490,000	Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)		22,796,307
	80,645,000	Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)		62,997,376
	1,010,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(h)		1,052,634
	1,100,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(h)		938,791


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)(h)	$	3,374,093
	4,455,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(h)		3,717,851
	5,820,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(h)		4,828,740
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(h)		3,308,159
	4,680,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(h)		3,870,503
	5,970,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(h)		4,930,963
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2042, (EUR)(h)		3,304,915
	1,605,660,000		Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		13,934,390
	4,496,156,000		Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		37,095,030
	10,000,000	(†††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		51,438,253
	9,930,439	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		54,504,082
	4,250,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		25,073,917
	7,740,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		44,883,151
	27,224,481	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		160,366,987
	3,035,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		18,986,361
	21,700,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		142,453,871
	252,700,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		194,134,325
	175,365,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		145,502,952
	458,725,000		Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		60,820,438
	658,049,000		Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		84,532,941
	162,850,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		48,935,125
	55,925,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		17,935,198
	275,000,000		U.S. Treasury Note, 0.500%, 7/31/2017		274,918,875
	250,000,000		U.S. Treasury Note, 0.750%, 9/30/2018		248,232,500
	250,000,000		U.S. Treasury Note, 1.000%, 11/30/2018		248,789,000

					2,224,653,101

			Wireless – 1.2%
	293,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		15,246,575


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Wireless – continued
	134,600,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)	$	6,823,110
	49,955,000	Sprint Capital Corp., 6.875%, 11/15/2028		55,528,479
	6,260,000	Sprint Capital Corp., 8.750%, 3/15/2032		7,887,600
	21,052,000	Sprint Communications, Inc., 6.000%, 11/15/2022		22,315,120
	8,200,000	Sprint Corp., 7.125%, 6/15/2024		9,122,500
	4,727,000	Sprint Corp., 7.250%, 9/15/2021		5,252,879

				122,176,263

		Wirelines – 3.7%
	4,370,000	Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD)		4,286,428
	7,545,000	Bell Canada, Inc., Series M-17, 6.100%, 3/16/2035, (CAD)		7,346,775
	28,385,000	CenturyLink, Inc., 6.450%, 6/15/2021		30,655,800
	765,000	CenturyLink, Inc., 7.650%, 3/15/2042		710,494
	7,410,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		7,354,425
	2,965,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,757,450
	7,940,000	CenturyLink, Inc., Series W, 6.750%, 12/01/2023		8,550,427
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		343,875
	3,620,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		3,783,624
	10,703,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		10,649,485
	5,330,000	Embarq Corp., 7.995%, 6/01/2036		5,383,300
	16,755,000	Frontier Communications Corp., 6.250%, 9/15/2021		14,953,837
	18,725,000	Frontier Communications Corp., 6.875%, 1/15/2025		14,745,937
	38,336,000	Frontier Communications Corp., 7.875%, 1/15/2027		28,560,320
	25,745,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		26,710,437
	4,667,000	Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A(i)		1,621,782
	16,550,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(i)		6,334,027
	29,750,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(i)		11,510,370
	42,460,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		40,394,746
	12,463,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		12,961,520


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Non-Convertible Bonds – continued

		Wirelines – continued
$	33,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031	$	31,734,601
	26,401,000	Qwest Corp., 6.875%, 9/15/2033		25,978,399
	30,646,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		32,403,855
	16,440,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		17,755,200
	18,600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		15,395,631
	14,776,000	Verizon Communications, Inc., 2.450%, 11/01/2022		14,483,642
	1,225,000	Windstream Services LLC, 7.500%, 6/01/2022		1,093,313
	3,760,000	Windstream Services LLC, 7.500%, 4/01/2023		3,299,400

				381,759,100

		Total Non-Convertible Bonds (Identified Cost $7,295,154,433)		6,886,374,696

	Convertible Bonds – 5.2%

		Building Materials – 0.3%
	9,592,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		9,076,430
	19,486,000	KB Home, 1.375%, 2/01/2019		20,837,841

				29,914,271

		Cable Satellite – 1.5%
	133,515,000	Dish Network Corp., 3.375%, 8/15/2026, 144A		161,886,938

		Chemicals – 0.0%
	4,305,000	RPM International, Inc., 2.250%, 12/15/2020		5,079,900

		Diversified Manufacturing – 0.1%
	4,727,000	Trinity Industries, Inc., 3.875%, 6/01/2036		5,923,522

		Healthcare – 0.1%
	4,930,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A		6,365,863

		Leisure – 0.3%
	27,795,000	Rovi Corp., 0.500%, 3/01/2020		27,456,457

		Midstream – 0.3%
	20,275,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		18,957,125
	9,965,000	SM Energy Co., 1.500%, 7/01/2021		8,956,044


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Convertible Bonds – continued

		Midstream – continued
$	1,000,000	Whiting Petroleum Corp., 1.250%, 4/01/2020	$	845,000

				28,758,169

		Pharmaceuticals – 0.1%
	1,655,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		1,968,416
	7,595,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		6,545,940

				8,514,356

		Property & Casualty Insurance – 0.5%
	42,319,000	Old Republic International Corp., 3.750%, 3/15/2018		53,559,984

		Technology – 2.0%
	695,000	Ciena Corp., 3.750%, 10/15/2018, 144A		935,644
	77,448,000	Intel Corp., 3.250%, 8/01/2039		127,982,820
	5,233,865	Liberty Interactive LLC, 3.500%, 1/15/2031		5,071,312
	13,270,000	Nuance Communications, Inc., 1.000%, 12/15/2035		12,788,166
	2,480,000	Nuance Communications, Inc., 1.250%, 4/01/2025, 144A		2,501,700
	39,460,000	Nuance Communications, Inc., 1.500%, 11/01/2035		40,569,812
	10,415,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		11,925,175
	11,570,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		12,777,619

				214,552,248

		Total Convertible Bonds (Identified Cost $442,670,737)		542,011,708

	Municipals – 1.5%

		District of Columbia – 0.1%
	3,850,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		5,481,206

		Illinois – 0.1%
	17,570,000	State of Illinois, 5.100%, 6/01/2033		16,447,628

		Michigan – 0.1%
	11,805,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		11,768,641

		Puerto Rico – 0.4%
	63,900,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(i)		38,819,250


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued

	Municipals – continued

		Virginia – 0.8%
$	97,200,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046	$	84,950,856

		Total Municipals (Identified Cost $180,419,792)		157,467,581

		Total Bonds and Notes (Identified Cost $7,918,244,962)		7,585,853,985

	Loan Participations – 0.1%

		ABS Other – 0.1%
	10,920,381	Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039 (f) (Identified Cost $11,002,284)		10,920,381

	Senior Loans – 1.9%

		Automotive – 0.3%
	21,803,470	IBC Capital Ltd., 1st Lien Term Loan, 4.978%, 9/09/2021(f)		21,421,909
	5,948,124	IBC Capital Ltd., 2nd Lien Term Loan, 8.228%, 9/09/2022(f)		5,516,885

				26,938,794

		Chemicals – 0.3%
	31,355,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.796%, 12/20/2020(f)		31,942,906

		Construction Machinery – 0.3%
	43,444,701	Onsite U.S. Finco LLC, Term Loan, 5.716%, 7/30/2021(b)(e)(f)		31,062,961

		Consumer Cyclical Services – 0.7%
	28,250,786	SourceHov LLC, 2014 1st Lien Term Loan, 8.046%, 10/31/2019(f)		28,060,094
	43,000,000	SourceHov LLC, 2014 2nd Lien Term Loan, 11.796%, 4/30/2020(f)		43,000,000

				71,060,094

		Financial Other – 0.1%
	12,847,086	DBRS Ltd., Term Loan, 6.452%, 3/04/2022(f)		12,525,909

		Media Entertainment – 0.0%
	862,305	Dex Media, Inc., Term Loan, 11.226%, 7/29/2021(f)		873,084

		Natural Gas – 0.0%
	1,429,245	Southcross Holdings Borrower LP, Exit Term Loan B, 3.500%, 4/13/2023(f)		1,243,443

		Oil Field Services – 0.1%
	2,618,182	FTS International, Inc., New Term Loan B, 5.976%, 4/16/2021(f)		2,088,000
	5,413,154	Paragon Offshore Finance Co., Term Loan B, 6.000%, 7/18/2021(f)(i)		2,070,532


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued

	Oil Field Services – continued
$	2,895,476	Petroleum Geo-Services ASA, New Term Loan B, 3.796%, 3/19/2021(f)	$	2,312,761

				6,471,293

		Other Utility – 0.0%
	1,298,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.546%, 11/06/2020(f)		1,272,040

		Retailers – 0.0%
	2,614,748	Toys “R” Us Property Co. I LLC, New Term Loan B, 6.226%, 8/21/2019(f)		2,454,594

		Technology – 0.1%
	9,507,380	IQOR U.S., Inc., 2nd Lien Term Loan, 9.898%, 4/01/2022(f)		9,032,011

		Transportation Services – 0.0%
	3,495,979	OSG Bulk Ships, Inc., OBS Term Loan, 5.430%, 8/05/2019(f)		3,312,440

		Total Senior Loans (Identified Cost $220,253,944)		198,189,569


Shares
	Common Stocks – 4.7%

		Diversified Telecommunication Services – 0.1%
	232,155	Hawaiian Telcom Holdco, Inc.(d)		5,801,553

		Media – 0.0%
	303,043	Dex Media, Inc.(b)(c)(d)		1,166,716

		Oil, Gas & Consumable Fuels – 0.0%
	846,398	Chesapeake Energy Corp.(d)		4,206,598
	2,943	Frontera Energy Corp.(d)		77,728
	1,514	Southcross Holdings Group LLC(b)(c)(d)		—
	1,514	Southcross Holdings LP, Class A(b)(c)(d)		866,765

				5,151,091

		Pharmaceuticals – 4.6%
	8,514,190	Bristol-Myers Squibb Co.		474,410,667

		Total Common Stocks (Identified Cost $223,305,612)		486,530,027

	Preferred Stocks – 1.8%
	Convertible Preferred Stocks – 1.3%

		Banking – 0.3%
	19,062	Bank of America Corp., Series L, 7.250%		24,056,053
	8,533	Wells Fargo & Co., Series L, Class A, 7.500%		11,187,702

				35,243,755


Shares		Description	Value (†)
	Preferred Stocks – continued

	Convertible Preferred Stocks – continued

		Communications – 0.0%
	10,483	Cincinnati Bell, Inc., 6.750%	$	524,255

		Energy – 0.1%
	242,297	El Paso Energy Capital Trust I, 4.750%		12,139,080

		Midstream – 0.7%
	172,972	Chesapeake Energy Corp., 4.500%		9,297,072
	231,033	Chesapeake Energy Corp., 5.000%		14,324,046
	32,522	Chesapeake Energy Corp., Series A, 5.750%, 144A		19,248,959
	43,178	Chesapeake Energy Corp., 5.750%, 144A		25,933,786
	6,017	Chesapeake Energy Corp., 5.750%		3,613,961

				72,417,824

		REITs - Health Care – 0.1%
	116,700	Welltower, Inc., 6.500%		7,732,542

		REITs - Mortgage – 0.0%
	38,767	iStar, Inc., Series J, 4.500%		1,964,711

		Technology – 0.1%
	63,993	Belden, Inc., 6.750%		6,637,994

		Total Convertible Preferred Stocks (Identified Cost $153,938,131)		136,660,161

	Non-Convertible Preferred Stocks – 0.5%

		Electric – 0.0%
	393	Entergy New Orleans, Inc., 4.750%		40,737

		Finance Companies – 0.1%
	39,200	iStar, Inc., Series E, 7.875%		992,191
	39,300	iStar, Inc., Series F, 7.800%		989,967
	10,425	iStar, Inc., Series G, 7.650%		261,772

				2,243,930

		Home Construction – 0.0%
	208,246	Hovnanian Enterprises, Inc., 7.625%(d)		1,478,547

		Metals & Mining – 0.3%
	906,807	Arconic, Inc., 5.375%		32,463,690


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%	$	1,986,521

		REITs - Warehouse/Industrials – 0.1%
	116,192	ProLogis, Inc., Series Q, 8.540%		8,714,400

		Total Non-Convertible Preferred Stocks (Identified Cost $52,073,989)		46,927,825

		Total Preferred Stocks (Identified Cost $206,012,120)		183,587,986

	Closed-End Investment Companies – 0.0%
	170,282	NexPoint Credit Strategies Fund (Identified Cost $10,230,310)		3,708,742


Principal Amount
	Short-Term Investments – 17.2%
$	412,640,000	Federal National Mortgage Association Discount Notes, 0.960%, 08/28/2017(k)		411,985,141
	1,289,453	Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2017 at 0.000% to be repurchased at $1,289,453 on 7/03/2017 collateralized by $1,305,800 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $1,315,252 including accrued interest(l)		1,289,453
	273,263,976	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $273,271,718 on 7/03/2017 collateralized by $278,970,000 U.S. Treasury Note, 2.125% due 5/15/2025 valued at $278,731,481 including accrued interest(l)		273,263,976
	100,000,000	U.S. Treasury Bills, 0.780%, 07/27/2017(k)		99,945,300
	400,000,000	U.S. Treasury Bills, 0.825%, 07/13/2017(k)		399,914,000
	104,715,000	U.S. Treasury Bills, 0.995%, 10/05/2017(k)		104,437,505
	500,000,000	U.S. Treasury Bills, 0.930%, 09/21/2017(k)		498,918,500

		Total Short-Term Investments (Identified Cost $1,789,766,865)		1,789,753,875

		Total Investments – 98.6% (Identified Cost $10,378,816,097)(a)		10,258,544,565
		Other assets less liabilities – 1.4%		144,331,416

		Net Assets – 100.0%	$	10,402,875,981

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

(†)

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

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

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

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 June 30, 2017, 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
$220,775,569	2.1%	$	36,526,525		0.4	%

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

(†††)

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

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

At June 30, 2017, the net unrealized depreciation on investments based on a cost of $10,420,469,876 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	$	743,701,985
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(905,627,296	)

Net unrealized depreciation	$	(161,925,311	)

(b)	Illiquid security.

(c)	Fair valued by the Fund’s adviser. At June 30, 2017, the value of these securities amounted to $36,526,525 or 0.4% of net assets.

(d)	Non-income producing security.

(e)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2017, the value of these securities amounted to $220,775,569 or 2.1% of net assets.

(f)	Variable rate security. Rate as of June 30, 2017 is disclosed.

(g)	Perpetual bond with no specified maturity date.

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

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

(l)

144A

ABS	Asset-Backed Securities

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 June 30, 2017, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	10,835,783	$	16,417,343	(a)	$	27,253,126
Airlines		—		278,207,889		922	(b)		278,208,811
Chemicals		—		187,948,513		18,072,420	(c)		206,020,933
Finance Companies		2,616,261		286,905,377		—			289,521,638
Metals & Mining		—		171,891,442		3,281	(c)		171,894,723
Non-Agency Commercial Mortgage-Backed Securities		—		32,921,806		30,007,963	(b)		62,929,769
All Other Non-Convertible Bonds*		—		5,850,545,696		—			5,850,545,696

Total Non-Convertible Bonds		2,616,261		6,819,256,506		64,501,929			6,886,374,696

Convertible Bonds*		—		542,011,708		—			542,011,708
Municipals*		—		157,467,581		—			157,467,581

Total Bonds and Notes		2,616,261		7,518,735,795		64,501,929			7,585,853,985

Loan Participations*		—		—		10,920,381(b)			10,920,381
Senior Loans*				198,189,569		—			198,189,569
Common Stocks
Media		—		—		1,166,716	(a)		1,166,716
Oil, Gas & Consumable Fuels		4,284,326		—		866,765	(c)(d)		5,151,091
All Other Common Stocks*		480,212,220		—		—			480,212,220

Total Common Stocks		484,496,546		—		2,033,481			486,530,027

Preferred Stocks
Convertible Preferred Stocks
Midstream		9,297,072		63,120,752		—			72,417,824
REITs - Mortgage		—		1,964,711		—			1,964,711
All Other Convertible Preferred Stocks*		62,277,626		—		—			62,277,626

Total Convertible Preferred Stocks		71,574,698		65,085,463		—			136,660,161

Non-Convertible Preferred Stocks
Electric		—		40,737		—			40,737
REITs - Office Property		—		1,986,521		—			1,986,521
REITs - Warehouse/Industrials		—		8,714,400		—			8,714,400
All Other Non-Convertible Preferred Stocks*		36,186,167		—		—			36,186,167

Total Non-Convertible Preferred Stocks		36,186,167		10,741,658		—			46,927,825

Total Preferred Stocks		107,760,865		75,827,121		—			183,587,986

Closed-End Investment Companies		3,708,742		—		—			3,708,742
Short-Term Investments		—		1,789,753,875		—			1,789,753,875

Total	$	598,582,414	$	9,582,506,360		$77,455,791		$	10,258,544,565

*	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.

(d)	Includes a security fair valued at zero using Level 3 inputs.

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 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 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 June 30, 2017:

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 June 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	15,268,979	$	—	$	—		$	(204,504	)	$	1,352,868	$	—		$	—	$	—	$	16,417,343	$	(204,504	)
Airlines		138,786		—		8,931			(10,644	)		—		(136,151	)		—		—		922		(11	)
Chemicals		12,834,270		251,683		—			4,986,467			—		—			—		—		18,072,420		4,986,467
Metals & Mining		3,281		41,715		—			(41,715	)		—		—			—		—		3,281		(41,715	)
Non-Agency Commercial Mortgage-Backed Securities		—		—		—			240,915			—		(406,918	)		30,173,966		—		30,007,963		240,915
Transportation Services		10,567,554		17,723		1,770,584			(1,888,603	)		—		(10,467,258	)		—		—		—		—
Loan Participations
ABS Other		12,813,862		—		(15,295	)		161,091			—		(2,039,277	)		—		—		10,920,381		161,091
Senior Loans
Wirelines		14,173,305		—		—			824,901			—		(14,998,206	)		—		—		—		—
Common Stocks
Media		602,449		—		—			564,267			—		—			—		—		1,166,716		564,267
Oil, Gas & Consumable Fuels		545,040		—		—			321,725			—		—			—		—		866,765		321,725
Warrants
Oil, Gas & Consumable Fuels		112,975		—		157,748			(112,975	)		—		(157,748	)		—		—		—		—

Total	$	67,060,501	$	311,121	$	1,921,968		$	4,840,925		$	1,352,868	$	(28,205,558	)	$	30,173,966	$	—	$	77,455,791	$	6,028,235

A debt security valued at $30,173,966 was transferred from Level 2 to Level 3 during the period ended June 30, 2017. 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 June 30, 2017, 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.

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


Industry Summary at June 30, 2017 (Unaudited)

Treasuries	21.4	%
Banking	5.2
Pharmaceuticals	4.7
Wirelines	3.7
Technology	3.2
Healthcare	3.1
Independent Energy	3.0
Cable Satellite	2.9
Finance Companies	2.9
Airlines	2.7
Chemicals	2.3
Supermarkets	2.1
Oil Field Services	2.0
Other Investments, less than 2% each	22.2
Short-Term Investments	17.2

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%


Currency Exposure Summary at June 30, 2017 (Unaudited)

United States Dollar	77.5	%
New Zealand Dollar	5.0
Mexican Peso	4.9
Canadian Dollar	4.6
Australian Dollar	3.1
Other, less than 2% each	3.5

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2017 (Unaudited)

Loomis Sayles Value Fund


Shares		Description	Value (†)
	Common Stocks – 97.4% of Net Assets

		Aerospace & Defense – 3.7%
	74,104	Northrop Grumman Corp.	$	19,023,238
	216,429	United Technologies Corp.		26,428,145

				45,451,383

		Automobiles – 0.9%
	207,262	Harley-Davidson, Inc.		11,196,293

		Banks – 14.2%
	1,428,198	Bank of America Corp.		34,648,083
	411,447	Citigroup, Inc.		27,517,575
	533,537	Fifth Third Bancorp		13,850,621
	416,029	JPMorgan Chase & Co.		38,025,051
	216,060	PNC Financial Services Group, Inc. (The)		26,979,412
	605,634	Wells Fargo & Co.		33,558,180

				174,578,922

		Beverages – 1.4%
	154,897	PepsiCo, Inc.		17,889,055

		Building Products – 1.7%
	481,894	Johnson Controls International PLC		20,894,924

		Capital Markets – 2.6%
	130,579	Ameriprise Financial, Inc.		16,621,401
	174,537	State Street Corp.		15,661,205

				32,282,606

		Chemicals – 1.5%
	233,057	E.I. du Pont de Nemours & Co.		18,810,030

		Communications Equipment – 3.2%
	646,362	Cisco Systems, Inc.		20,231,130
	181,973	Harris Corp.		19,849,615

				40,080,745

		Construction Materials – 1.0%
	101,320	Vulcan Materials Co.		12,835,218

		Consumer Finance – 2.3%
	160,497	American Express Co.		13,520,267
	230,163	Discover Financial Services		14,313,837

				27,834,104

		Containers & Packaging – 1.5%
	419,229	Sealed Air Corp.		18,764,690

		Diversified Telecommunication Services – 1.3%
	360,853	Verizon Communications, Inc.		16,115,695

		Electric Utilities – 3.1%
	142,242	NextEra Energy, Inc.		19,932,372


Shares		Description	Value (†)
	Common Stocks – continued

		Electric Utilities – continued
	273,952	PG&E Corp.	$	18,182,194

				38,114,566

		Electrical Equipment – 1.1%
	176,630	Eaton Corp. PLC		13,747,113

		Energy Equipment & Services – 2.4%
	278,787	Baker Hughes, Inc.		15,196,679
	327,736	Halliburton Co.		13,997,605

				29,194,284

		Food & Staples Retailing – 1.0%
	147,579	CVS Health Corp.		11,874,206

		Food Products – 1.4%
	386,226	Mondelez International, Inc., Class A		16,681,101

		Health Care Equipment & Supplies – 3.8%
	426,471	Abbott Laboratories		20,730,755
	290,701	Medtronic PLC		25,799,714

				46,530,469

		Health Care Providers & Services – 5.4%
	88,280	Aetna, Inc.		13,403,552
	56,890	Humana, Inc.		13,688,872
	104,846	Laboratory Corp. of America Holdings(b)		16,160,962
	125,047	UnitedHealth Group, Inc.		23,186,215

				66,439,601

		Household Durables – 1.3%
	299,421	Newell Brands, Inc.		16,054,954

		Industrial Conglomerates – 1.5%
	141,347	Honeywell International, Inc.		18,840,142

		Insurance – 6.4%
	337,187	American International Group, Inc.		21,080,931
	404,105	FNF Group		18,116,027
	405,884	MetLife, Inc.		22,299,267
	136,618	Travelers Cos., Inc. (The)		17,286,276

				78,782,501

		Internet & Direct Marketing Retail – 1.2%
	581,487	Liberty Interactive Corp./QVC Group, Class A(b)		14,269,691

		IT Services – 1.5%
	73,580	Alliance Data Systems Corp.		18,887,250

		Machinery – 1.3%
	248,950	Pentair PLC		16,565,133

		Media – 2.1%
	680,923	Comcast Corp., Class A		26,501,523

		Multiline Retail – 0.7%
	113,766	Dollar General Corp.		8,201,391


Shares		Description	Value (†)
	Common Stocks – continued

		Oil, Gas & Consumable Fuels – 6.1%
	317,597	Anadarko Petroleum Corp.	$	14,399,848
	218,209	Chevron Corp.		22,765,745
	195,006	Hess Corp.		8,554,913
	325,705	Marathon Petroleum Corp.		17,044,143
	223,006	Royal Dutch Shell PLC, Sponsored ADR		11,861,689

				74,626,338

		Pharmaceuticals – 5.7%
	72,166	Allergan PLC		17,542,833
	139,918	Eli Lilly & Co.		11,515,252
	241,514	Merck & Co., Inc.		15,478,632
	756,578	Pfizer, Inc.		25,413,455

				69,950,172

		Real Estate Management & Development – 1.0%
	349,328	CBRE Group, Inc., Class A(b)		12,715,539

		REITs - Diversified – 1.9%
	294,962	Outfront Media, Inc.		6,819,521
	485,125	Weyerhaeuser Co.		16,251,688

				23,071,209

		Road & Rail – 1.5%
	149,109	Norfolk Southern Corp.		18,146,565

		Semiconductors & Semiconductor Equipment – 1.3%
	284,381	QUALCOMM, Inc.		15,703,519

		Software – 4.7%
	317,248	Microsoft Corp.		21,867,905
	526,048	Oracle Corp.		26,376,047
	364,182	Symantec Corp.		10,288,141

				58,532,093

		Specialty Retail – 1.1%
	114,078	Advance Auto Parts, Inc.		13,300,354

		Technology Hardware, Storage & Peripherals – 2.1%
	110,896	Apple, Inc.		15,971,242
	337,084	Diebold Nixdorf, Inc.		9,438,352

				25,409,594

		Tobacco – 1.6%
	172,400	Philip Morris International, Inc.		20,248,380

		Wireless Telecommunication Services – 0.9%
	373,314	Vodafone Group PLC, Sponsored ADR		10,725,311

		Total Common Stocks (Identified Cost $898,561,054)		1,199,846,664


Principal Amount	Description	Value (†)
Short-Term Investments – 2.3%
$ 28,108,800	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $28,109,595 on 7/03/2017 collateralized by $28,190,000 U.S. Treasury Inflation Note, 0.250% due 1/15/2025 valued at $28,674,135 including accrued interest(c) (Identified Cost $28,108,800)	$	28,108,800

	Total Investments – 99.7% (Identified Cost $926,669,854)(a)		1,227,955,464
	Other assets less liabilities – 0.3%		3,656,211

	Net Assets – 100.0%	$	1,231,611,675

(†)

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

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

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

At June 30, 2017, the net unrealized appreciation on investments based on a cost of $926,669,854 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	$	328,960,074
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(27,674,464	)

Net unrealized appreciation	$	301,285,610

(b)	Non-income producing security.

(c)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of June 30, 2017, 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.

REITs

Real Estate Investment Trusts

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2017, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,199,846,664	$	—	$	—	$	1,199,846,664
Short-Term Investments		—		28,108,800		—		28,108,800

Total	$	1,199,846,664	$	28,108,800	$	—	$	1,227,955,464

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

For the period ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.


Industry Summary at June 30, 2017 (Unaudited)

Banks	14.2	%
Insurance	6.4
Oil, Gas & Consumable Fuels	6.1
Pharmaceuticals	5.7
Health Care Providers & Services	5.4
Software	4.7
Health Care Equipment & Supplies	3.8
Aerospace & Defense	3.7
Communications Equipment	3.2
Electric Utilities	3.1
Capital Markets	2.6
Energy Equipment & Services	2.4
Consumer Finance	2.3
Media	2.1
Technology Hardware, Storage & Peripherals	2.1
Other Investments, less than 2% each	29.6
Short-Term Investments	2.3

Total Investments	99.7
Other assets less liabilities	0.3

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 Giunta

Name:		David Giunta
Title:		Chief Executive Officer
Date:		August 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 Giunta

Name:		David Giunta
Title:		Chief Executive Officer
Date:		August 22, 2017

By:		/s/ Michael C. Kardok

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