Loomis Sayles Funds II

0001193125-19-056186.txt : 20190228 0001193125-19-056186.hdr.sgml : 20190228 20190228102135 ACCESSION NUMBER: 0001193125-19-056186 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20181231 FILED AS OF DATE: 20190228 DATE AS OF CHANGE: 20190228 EFFECTIVENESS DATE: 20190228 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LOOMIS SAYLES FUNDS II CENTRAL INDEX KEY: 0000872649 IRS NUMBER: 043113285 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-06241 FILM NUMBER: 19640987 BUSINESS ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 BUSINESS PHONE: 617-449-2810 MAIL ADDRESS: STREET 1: 888 BOYLSTON STREET STREET 2: 8TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS I DATE OF NAME CHANGE: 20031119 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS DATE OF NAME CHANGE: 20031015 FORMER COMPANY: FORMER CONFORMED NAME: LOOMIS SAYLES FUNDS II DATE OF NAME CHANGE: 20030718

0000872649 S000006698 Loomis Sayles Global Allocation Fund

C000018226 Class Y LSWWX

C000027670 Class A LGMAX

C000027671 Class C LGMCX

C000182249 Class N LGMNX

0000872649 S000006699 Loomis Sayles Growth Fund

C000018227 Class A LGRRX

C000018229 Class C LGRCX

C000018230 Class Y LSGRX

C000125484 Class N LGRNX

0000872649 S000006702 Loomis Sayles Limited Term Government and Agency Fund

C000018239 Class A NEFLX

C000018241 Class C NECLX

C000018242 Class Y NELYX

C000182250 Class N LGANX

0000872649 S000006705 Loomis Sayles Small Cap Growth Fund

C000018249 Institutional Class LSSIX

C000018250 Retail Class LCGRX

C000125486 Class N LSSNX

0000872649 S000006706 Loomis Sayles Strategic Income Fund

C000018251 Class A NEFZX

C000018253 Class C NECZX

C000018254 Class Y NEZYX

C000082999 Admin Class NEZAX

C000125487 Class N NEZNX

0000872649 S000049859 Loomis Sayles Small/Mid Cap Growth Fund

C000157445 Institutional Class LSMIX

N-Q 1 d679978dnq.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)

888 Boylston Street, Suite 800, Boston, Massachusetts 02199-8197

(Address of principal executive offices) (Zip code)

Russell L. Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2822

Date of fiscal year end: September 30

Date of reporting period: December 31, 2018

ITEM 1.

SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of December 31, 2018 (Unaudited)

Loomis Sayles Global Allocation Fund


Shares		Description	Value (†)
	Common Stocks – 62.9% of Net Assets

		Canada – 1.7%
	620,600	CGI Group, Inc., Class A(a)	$	37,957,882

		China – 2.2%
	351,870	Alibaba Group Holding Ltd., Sponsored ADR(a)		48,230,821

		France – 1.5%
	278,068	Thales S.A.		32,494,225

		Hong Kong – 2.8%
	7,472,400	AIA Group Ltd.		62,071,806

		India – 1.0%
	731,384	HDFC Bank Ltd.		22,248,574

		Japan – 0.8%
	508,687	Nomura Research Institute Ltd.		18,863,452

		Sweden – 1.7%
	784,165	Assa Abloy AB		14,041,880
	1,000,745	Atlas Copco AB, Class A		23,875,802

				37,917,682

		Switzerland – 4.8%
	651,560	Julius Baer Group Ltd.		23,219,320
	678,030	Nestle S.A., (Registered)		55,030,777
	244,132	Temenos AG, (Registered)		29,335,574

				107,585,671

		United Kingdom – 4.6%
	1,659,857	Halma PLC		28,915,398
	11,232,835	Legal & General Group PLC		33,096,073
	485,209	London Stock Exchange Group PLC		25,172,902
	189,826	Reckitt Benckiser Group PLC		14,536,175

				101,720,548

		United States – 41.8%
	235,665	Accenture PLC, Class A		33,231,122
	21,256	Alphabet, Inc., Class C(a)		22,012,926
	43,324	Alphabet, Inc., Class A(a)		45,271,847
	35,588	Amazon.com, Inc.(a)		53,452,108
	4,058	Arconic, Inc.		68,418
	8,835	Booking Holdings, Inc.(a)		15,217,581
	872,121	CBRE Group, Inc., Class A(a)		34,919,725
	381	Cincinnati Bell, Inc.(a)		2,964
	577,266	Danaher Corp.		59,527,670
	670	Dex Media, Inc.(a)(b)		6,734
	178,944	EOG Resources, Inc.		15,605,706
	248,637	Facebook, Inc., Class A(a)		32,593,824
	137,304	Goldman Sachs Group, Inc. (The)		22,936,633
	456,631	Intercontinental Exchange, Inc.		34,398,013
	300,975	LyondellBasell Industries NV, Class A		25,029,081


Shares		Description	Value (†)
	Common Stocks – continued

		United States – continued
	270,013	M&T Bank Corp.	$	38,646,961
	501,826	Marriott International, Inc., Class A		54,478,231
	190,223	McCormick & Co., Inc.		26,486,651
	52,596	Mettler-Toledo International, Inc.(a)		29,747,246
	205,771	Northrop Grumman Corp.		50,393,318
	7,460	NVR, Inc.(a)		18,179,945
	239,386	Parker Hannifin Corp.		35,702,028
	245,073	Roper Technologies, Inc.		65,316,856
	177,117	S&P Global, Inc.		30,099,263
	171,395	Sherwin-Williams Co. (The)		67,437,077
	399,293	Texas Instruments, Inc.		37,733,188
	90,936	Travelers Cos., Inc. (The)		10,889,586
	109,571	Tyler Technologies, Inc.(a)		20,360,483
	206,168	UnitedHealth Group, Inc.		51,360,572

				931,105,757

		Total Common Stocks (Identified Cost $1,207,225,948)		1,400,196,418


Principal Amount (‡)
	Bonds and Notes – 26.9%

	Non-Convertible Bonds – 26.4%

		Argentina – 0.2%
	$ 775,000	Provincia de Buenos Aires, 9.125%, 3/16/2024, 144A		641,777
	535,000	Republic of Argentina, 6.875%, 4/22/2021		483,378
	2,460,000	Republic of Argentina, 7.125%, 6/28/2117		1,758,900
	1,390,000	Republic of Argentina, 7.625%, 4/22/2046		1,007,055
	355,000	YPF S.A., 8.750%, 4/04/2024, 144A		333,700
	17,745,000	YPF S.A., 16.500%, 5/09/2022, 144A, (ARS)		306,278

				4,531,088

		Australia – 0.2%
	1,675,000	Australia Government Bond, Series 133, 5.500%, 4/21/2023, (AUD)(c)		1,353,423
	1,150,000	Commonwealth Bank of Australia, 2.250%, 3/10/2020, 144A(c)		1,139,862
	670,000	GAIF Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A(c)		632,677
	110,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		112,429


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

	Non-Convertible Bonds – continued

			Australia – continued
	$ 935,000		National Australia Bank, 2.500%, 1/12/2021(c)	$	920,648
	95,000		Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A		91,177

					4,250,216

			Belgium – 0.1%
	1,435,000		Anheuser Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc., 3.650%, 2/01/2026, 144A		1,356,862
	440,000		Solvay Finance (America) LLC, 3.400%, 12/03/2020, 144A		439,762

					1,796,624

			Brazil – 0.7%
	800,000		Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		821,608
	8,500	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL)		2,184,962
	10,980	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)		2,824,846
	2,300	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2027, (BRL)		590,686
	1,085,000		Brazilian Government International Bond, 4.625%, 1/13/2028		1,043,238
	1,000,000		CIMPOR Financial Operations BV, 5.750%, 7/17/2024, 144A		830,000
	400,000		Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A		384,500
	1,100,000		Embraer Netherlands Finance BV, 5.050%, 6/15/2025(c)		1,112,386
	1,045,000		Klabin Finance S.A., 5.250%, 7/16/2024		1,020,390
	580,000		Petrobras Global Finance BV, 4.375%, 5/20/2023		553,245
	935,000		Petrobras Global Finance BV, 5.299%, 1/27/2025		892,925
	1,350,000		Petrobras Global Finance BV, 5.999%, 1/27/2028		1,271,039
	150,000		Petrobras Global Finance BV, 6.875%, 1/20/2040		142,727
	575,000		Raizen Fuels Finance S.A., 5.300%, 1/20/2027, 144A		558,181
	500,000		Tupy Overseas S.A., 6.625%, 7/17/2024, 144A		506,755

					14,737,488

			Canada – 2.8%
	435,325		Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A(c)		430,031
	895,000		Air Canada Pass Through Trust, Series 2017-1, Class AA, 3.300%, 7/15/2031, 144A(c)		841,381


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

	Non-Convertible Bonds – continued

		Canada – continued
	$ 1,010,000	Antares Holdings LP, 6.000%, 8/15/2023, 144A	$	998,429
	815,000	Bank of Montreal, 1.750%, 6/15/2021, 144A(c)		792,987
	2,347,511	BMW Canada Auto Trust, Series 2017-1A, Class A2, 1.677%, 5/20/2020, 144A, (CAD)(c)		1,715,083
	12,965,000	Canadian Government Bond, 0.500%, 3/01/2022, (CAD)(c)		9,097,627
	25,500,000	Canadian Government Bond, 0.750%, 3/01/2021, (CAD)(c)		18,239,448
	16,770,000	Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)(c)		12,281,212
	970,000	Canadian Imperial Bank of Commerce, 1.600%, 9/06/2019(c)		961,250
	800,000	CPPIB Capital, Inc., 0.375%, 6/20/2024, 144A, (EUR)(c)		921,064
	430,000	Enbridge, Inc., 2.900%, 7/15/2022		416,138
	905,000	Export Development Canada, 1.800%, 9/01/2022, (CAD)(c)		654,010
	445,000	GMF Canada Leasing Trust, Series 2018-1A, Class A2, 3.030%, 6/21/2021, 144A, (CAD)		326,905
	1,335,000	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)(c)		970,300
	6,165,000	Province of Ontario Canada, 1.250%, 6/17/2019(c)		6,123,861
	7,200,000	Province of Ontario Canada, 1.875%, 5/21/2020(c)		7,118,222
	1,690,000	Tornoto-Dominion Bank (The), Series GMTN, 3.500%, 7/19/2023(c)		1,701,634

				63,589,582

		Chile – 0.5%
	815,000,000	Bonos de la Tesoreria de la Republica de Chile, 4.500%, 3/01/2026, (CLP)(c)		1,195,657
	1,250,000	Corp. Nacional del Cobre de Chile, 3.625%, 8/01/2027, 144A(c)		1,190,437
	1,700,000	Corp. Nacional del Cobre de Chile, 4.500%, 9/16/2025(c)		1,721,555
	1,160,000	Corp. Nacional del Cobre de Chile, 4.500%, 9/16/2025, 144A(c)		1,174,708
	525,000	Enel Chile S.A., 4.875%, 6/12/2028		523,688
	250,000	Engie Energia Chile S.A., 5.625%, 1/15/2021, 144A		255,629
	800,000	Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A(c)		792,447
	240,000	Latam Airlines Group S.A., 7.250%, 6/09/2020, 144A		244,982
	736,237	Latam Airlines Pass Through Trust, Series 2015-1, Class A, 4.200%, 8/15/2029		708,628


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

	Non-Convertible Bonds – continued

		Chile – continued
	$ 457,111	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025	$	437,958
	950,000	Latam Finance Ltd., 6.875%, 4/11/2024, 144A		935,522
	935,000	Republic of Chile, 3.240%, 2/06/2028(c)		897,132
	1,120,000	Transelec S.A., 4.250%, 1/14/2025, 144A(c)		1,083,320

				11,161,663

		China – 0.3%
	920,000	Alibaba Group Holding Ltd., 3.400%, 12/06/2027(c)		850,686
	795,000	Baidu, Inc., 3.875%, 9/29/2023		792,281
	400,000	China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A(c)		408,730
	835,000	Country Garden Holdings Co. Ltd., 7.500%, 3/09/2020		844,851
	905,000	Industrial & Commercial Bank of China Ltd., 2.957%, 11/08/2022(c)		885,506
	890,000	Longfor Group Holdings Ltd., 3.900%, 4/16/2023		841,862
	985,000	Sinopec Group Overseas Development 2017 Ltd., 2.375%, 4/12/2020, 144A(c)		973,810
	500,000	Tencent Holdings Ltd., 2.985%, 1/19/2023, 144A(c)		485,921
	1,820,000	Three Gorges Finance I Cayman Islands Ltd., 3.150%, 6/02/2026(c)		1,719,172

				7,802,819

		Colombia – 0.3%
	435,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, (COP)		139,535
	830,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		266,239
	2,140,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)(c)		662,273
	575,000	Republic of Colombia, 3.875%, 4/25/2027		549,125
	200,000,000	Republic of Colombia, 7.750%, 4/14/2021, (COP)		64,080
	7,073,300,000	Republic of Colombia, Series B, 6.250%, 11/26/2025, (COP)		2,151,651
	6,150,000,000	Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(c)		1,995,319
	870,000	Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A		879,787

				6,708,009


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

	Non-Convertible Bonds – continued

		Denmark – 0.0%
	$ 670,000	Danske Bank AS, 3.875%, 9/12/2023, 144A	$	644,991
		Dominican Republic – 0.1%
	1,410,000	Dominican Republic, 5.500%, 1/27/2025, 144A		1,397,663
	590,000	Dominican Republic, 5.950%, 1/25/2027, 144A		586,613
	995,000	Dominican Republic, 6.000%, 7/19/2028, 144A		990,453
	425,000	Dominican Republic, 8.625%, 4/20/2027, 144A		486,094

				3,460,823

		France – 1.8%
	970,000	Air Liquide Finance S.A., 1.375%, 9/27/2019, 144A(c)		958,738
	200,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		279,689
	205,000	BNP Paribas S.A., 4.375%, 5/12/2026, 144A		197,276
	1,415,000	Caisse d’Amortissement de la Dette Sociale, 1.875%, 2/12/2022(c)		1,376,840
	250,000	Credit Agricole S.A., 4.125%, 1/10/2027, 144A		241,075
	390,000	Credit Agricole S.A., (fixed rate to 6/23/2026, variable rate thereafter), 7.500%, (GBP)(d)		514,307
	735,000	Danone S.A., 1.691%, 10/30/2019, 144A(c)		724,888
	500,000	Dexia Credit Local S.A., 2.250%, 2/18/2020, 144A(c)		497,056
	1,300,000	Edenred, 1.875%, 3/30/2027, (EUR)		1,472,069
	1,215,000	Electricite de France S.A., 4.500%, 9/21/2028, 144A		1,177,623
	1,100,000	Electricite de France SA, (fixed rate to 1/29/2026, variable rate thereafter), 6.000%, (GBP)(d)		1,359,959
	20,000,000	French Republic Government Bond OAT, 4.250%, 10/25/2023, (EUR)(c)		27,721,413
	500,000	Holding d’Infrastructures de Transport, EMTN, 0.625%, 3/27/2023, (EUR)		553,063
	500,000	Holding d’Infrastructures de Transport, EMTN, 1.625%, 11/27/2027, (EUR)		532,847
	1,015,000	Societe Generale S.A., 4.750%, 11/24/2025, 144A(c)		1,002,637
	475,000	Societe Generale S.A., (fixed rate to 4/07/2021, variable rate thereafter), 6.750%, (EUR)(d)		550,716

				39,160,196

		Germany – 0.3%
	200,000	Allianz SE, (fixed rate to 7/07/2025, variable rate thereafter), 2.241%, 7/07/2045, (EUR)(c)		225,320


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

	Non-Convertible Bonds – continued

		Germany – continued
	$ 865,000	Bayer U.S. Finance II LLC, 4.250%, 12/15/2025, 144A	$	841,871
	285,000	Bayer U.S. Finance II LLC, 4.375%, 12/15/2028, 144A		272,104
	235,000	Commerzbank AG, EMTN, 4.000%, 3/23/2026, (EUR)		278,677
	675,000	Daimler Finance North America LLC, 1.750%, 10/30/2019, 144A(c)		666,027
	100,000	Deutsche Bank AG, EMTN, 4.500%, 5/19/2026, (EUR)		113,500
	380,000	Deutsche Telekom International Finance BV, 2.820%, 1/19/2022, 144A		371,449
	1,825,000	Deutsche Telekom International Finance BV, 4.375%, 6/21/2028, 144A		1,796,922
	1,850,000	RWE AG, (fixed rate to 10/21/2020, variable rate thereafter), 2.750%, 4/21/2075, (EUR)		2,079,809

				6,645,679

		Hong Kong – 0.1%
	355,000	AIA Group Ltd., 3.200%, 3/11/2025, 144A(c)		341,913
	1,135,000	AIA Group Ltd., 3.900%, 4/06/2028, 144A		1,135,802

				1,477,715

		India – 0.1%
	650,000	Greenko Dutch BV, 5.250%, 7/24/2024, 144A		582,868
	1,630,000	ICICI Bank Ltd., 3.800%, 12/14/2027		1,470,330

				2,053,198

		Indonesia – 0.5%
	875,000	Chandra Asri Petrochemical Tbk PT, 4.950%, 11/08/2024		758,906
	35,310,000,000	Indonesia Government International Bond, 8.250%, 7/15/2021, (IDR)		2,489,257
	300,000	Indonesia Government International Bond, 4.125%, 1/15/2025, 144A		295,180
	735,000	Indonesia Government International Bond, 4.750%, 1/08/2026		744,624
	34,000,000,000	Indonesia Government International Bond, 7.000%, 5/15/2022, (IDR)		2,300,313
	3,500,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		256,399
	781,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		55,694
	14,000,000,000	Indonesia Treasury Bond, 8.375%, 3/15/2024, (IDR)(c)		989,151
	795,000	Perusahaan Listrik Negara PT, 5.250%, 10/24/2042, 144A		718,203


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

	Non-Convertible Bonds – continued

		Indonesia – continued
	$ 1,475,000	Perusahaan Listrik Negara PT, MTN, 4.125%, 5/15/2027	$	1,364,249
	545,000	Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR)		656,280
	525,000	Republic of Indonesia, 4.750%, 1/08/2026, 144A		532,649

				11,160,905

		Ireland – 0.1%
	475,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.500%, 5/15/2021		476,371
	1,250,000	Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A		1,222,482

				1,698,853

		Israel – 0.1%
	510,000	Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036		456,692
	780,000	Teva Pharmaceutical Finance Netherlands II BV, 0.375%, 7/25/2020, (EUR)		869,075

				1,325,767

		Italy – 0.8%
	500,000	Assicurazioni Generali SpA, EMTN, 4.125%, 5/04/2026, (EUR)		595,933
	215,000	Enel Finance International NV, 1.375%, 6/01/2026, (EUR)		238,202
	1,250,000	Enel Finance International NV, 2.875%, 5/25/2022, 144A		1,177,758
	485,000	Enel Finance International NV, 4.625%, 9/14/2025, 144A		465,347
	210,000	Enel Finance International NV, EMTN, 1.125%, 9/16/2026, (EUR)		227,232
	425,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A		389,588
	530,000	Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR)		606,869
	3,305,000	Italy Buoni Poliennali Del Tesoro, 2.000%, 2/01/2028, (EUR)		3,621,799
	4,255,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)		5,443,151
	3,335,000	Republic of Italy, 2.500%, 11/15/2025, (EUR)		3,867,310
	1,775,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,535,375
	430,000	UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A		379,544

				18,548,108


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

	Non-Convertible Bonds – continued

			Japan – 0.1%
	$ 1,165,000		Nomura Holdings, Inc., GMTN, 2.750%, 3/19/2019(c)	$	1,164,002

			Korea – 0.4%
	765,000		Export-Import Bank of Korea, 3.000%, 11/01/2022(c)		753,967
	1,100,000		Hyundai Capital Services, Inc., 3.750%, 3/05/2023, 144A		1,085,605
	1,575,000		Kia Motors Corp., 3.000%, 4/25/2023, 144A		1,513,163
	630,000		Korea Development Bank (The), MTN, 4.500%, 11/22/2019, (AUD)(c)		449,896
	910,000		Korea Gas Corp., 2.750%, 7/20/2022, 144A(c)		891,218
	670,000		KT Corp., 2.500%, 7/18/2026, 144A(c)		606,290
	1,125,000		Minera y Metalurgica del Boleo SAPI de CV, 2.875%, 5/07/2019, 144A(c)		1,123,854
	1,440,000,000		Republic of Korea, Series 2209, 2.000%, 9/10/2022, (KRW)(c)		1,295,577
	770,000		Shinhan Bank Co. Ltd., 3.875%, 3/24/2026, 144A(c)		743,281
	140,000		SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A(c)		167,619
	200,000		Woori Bank, 5.875%, 4/13/2021, 144A(c)		208,966

					8,839,436

			Mexico – 0.6%
	620,000		Alfa SAB de CV, 6.875%, 3/25/2044		608,375
	770,000		America Movil SAB de CV, 2.125%, 3/10/2028, (EUR)(c)		905,959
	10,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)(c)		449,069
	675,000		Banco Nacional de Comercio Exterior SNC, (fixed rate to 8/11/2021, variable rate thereafter), 3.800%, 8/11/2026, 144A		644,632
	1,150,000		Cemex Finance LLC, 6.000%, 4/01/2024, 144A		1,142,801
	1,055,000		Cemex SAB de CV, 2.750%, 12/05/2024, 144A, (EUR)		1,125,373
	800,000		Gruma SAB de CV, 4.875%, 12/01/2024(c)		802,000
	10,000,000		Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(c)		330,388
	142,000	(†††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		610,372
	190,229	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c)		923,927
	3,600,000		Mexico Government International Bond, 4.000%, 10/02/2023		3,583,224


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

	Non-Convertible Bonds – continued

		Mexico – continued
	196,000	Mexico Government International Bond, 4.000%, 3/15/2115, (EUR)(c)	$	196,294
	1,020,000	Mexico Government International Bond, 4.125%, 1/21/2026(c)		997,050
	100,000	Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR)		114,977
	835,000	Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026		779,690
	1,010,000	Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023		931,897

				14,146,028

		Netherlands – 0.1%
	870,000	Cooperatieve Rabobank UA, 4.375%, 8/04/2025(c)		854,497
	675,000	ING Bank NV, 1.650%, 8/15/2019, 144A(c)		668,597
	1,105,000	Ziggo BV, 5.500%, 1/15/2027, 144A		988,975

				2,512,069

		Norway – 0.2%
	17,000,000	City of Oslo, Norway, 3.550%, 2/12/2021, (NOK)(c)		2,040,684
	550,000	Kommunalbanken AS, 1.750%, 9/15/2020, 144A(c)		541,646
	13,760,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)(c)		1,613,197
	3,815,000	Norway Government Bond, Series 475, 2.000%, 5/24/2023, 144A, (NOK)(c)		452,876

				4,648,403

		Panama – 0.0%
	680,000	Banco Latinoamericano de Comercio Exterior S.A., 3.250%, 5/07/2020, 144A(c)		672,500

		Paraguay – 0.1%
	800,000	Republic of Paraguay, 5.000%, 4/15/2026, 144A		808,000
	572,000	Telefonica Celular del Paraguay S.A., 6.750%, 12/13/2022		576,862

				1,384,862

		Peru – 0.1%
	580,000	Southern Copper Corp., 3.875%, 4/23/2025(c)		559,575
	1,050,000	Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A(c)		1,011,937
	350,000	Union Andina de Cementos SAA, 5.875%, 10/30/2021, 144A		355,688

				1,927,200


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

	Non-Convertible Bonds – continued

		Poland – 0.1%
	5,380,000	Republic of Poland Government Bond, Series 0726, 2.500%, 7/25/2026, (PLN)(c)	$	1,422,505
		Portugal – 0.0%
	400,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		400,416

		Senegal – 0.0%
	625,000	Republic of Senegal, 4.750%, 3/13/2028, 144A, (EUR)		658,448

		Singapore – 0.2%
	785,000	BOC Aviation Ltd., 2.750%, 9/18/2022, 144A		755,294
	495,000	BOC Aviation Ltd., 3.000%, 3/30/2020(c)		492,218
	345,000	DBS Group Holdings Ltd., (fixed rate to 12/11/2023, variable rate thereafter), 4.520%, 12/11/2028, 144A		353,487
	3,215,000	United Overseas Bank Ltd., 3.200%, 4/23/2021, 144A(c)		3,219,823

				4,820,822

		South Africa – 0.3%
	930,000	MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A		843,426
	500,000	Myriad International Holdings BV, 6.000%, 7/18/2020, 144A		513,280
	78,915,000	South Africa Government International Bond, Series R213, 7.000%, 2/28/2031, (ZAR)(c)		4,505,491

				5,862,197

		Spain – 0.4%
	400,000	Banco Santander S.A., 3.125%, 2/23/2023		378,178
	100,000	Iberdrola International BV, EMTN, 0.375%, 9/15/2025, (EUR)		108,768
	700,000	Naturgy Finance BV, EMTN, 1.500%, 1/29/2028, (EUR)		783,751
	725,000	Spain Government International Bond, 0.750%, 7/30/2021, (EUR)(c)		850,076
	430,000	Spain Government International Bond, 1.600%, 4/30/2025, 144A, (EUR)(c)		518,808
	760,000	Spain Government International Bond, 4.300%, 10/31/2019, 144A, (EUR)(c)		904,556
	2,565,000	Spain Government International Bond, 4.400%, 10/31/2023, 144A, (EUR)(c)		3,497,332
	1,300,000	Telefonica Emisiones SAU Co., EMTN, 1.495%, 9/11/2025, (EUR)		1,490,770

				8,532,239


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

	Non-Convertible Bonds – continued

		Supranationals – 0.1%
	$ 1,115,000	Corporacion Andina de Fomento, 4.375%, 6/15/2022(c)	$	1,153,969
	1,140,000	International Bank for Reconstruction & Development, 2.500%, 3/12/2020, (AUD)(c)		805,657

				1,959,626

		Sweden – 0.0%
	2,450,000	Sweden Government Bond, 5.000%, 12/01/2020, (SEK)(c)		305,110

		Switzerland – 0.1%
	300,000	Argentum Netherlands BV for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2026, variable rate thereafter), 3.500%, 10/01/2046, (EUR)		354,358
	1,075,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A(c)		967,628
	900,000	Syngenta Finance NV, EMTN, 1.250%, 9/10/2027, (EUR)		879,582

				2,201,568

		Thailand – 0.3%
	1,570,000	Kasikornbank PCL, EMTN, 3.256%, 7/12/2023		1,528,115
	1,010,000	Siam Commercial Bank PCL, 3.500%, 4/07/2019, 144A(c)		1,010,076
	85,000,000	Thailand Government Bond, 2.125%, 12/17/2026, (THB)		2,550,676
	950,000	Thaioil Treasury Center Co. Ltd., 3.625%, 1/23/2023, 144A		941,298

				6,030,165

		Trinidad – 0.0%
	415,000	Trinidad Generation UnLtd., 5.250%, 11/04/2027, 144A		391,656

		Turkey – 0.2%
	3,875,000	Turkey Government International Bond, 6.125%, 10/24/2028		3,623,435

		United Arab Emirates – 0.2%
	1,610,000	Abu Dhabi Crude Oil Pipeline LLC, 3.650%, 11/02/2029(c)		1,526,280
	1,275,000	DP World Crescent Ltd., 4.848%, 9/26/2028, 144A		1,249,347
	850,000	DP World Ltd., 3.250%, 5/18/2020, 144A(c)		843,089
	200,000	DP World Ltd., MTN, 3.250%, 5/18/2020		198,374

				3,817,090


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

	Non-Convertible Bonds – continued

		United Kingdom – 0.4%
	$ 95,000	Avon Products, Inc., 8.950%, 3/15/2043	$	73,625
	445,000	FCE Bank PLC, EMTN, 1.615%, 5/11/2023, (EUR)		488,103
	300,000	HSBC Holdings PLC, 4.375%, 11/23/2026(c)		290,436
	565,000	HSBC Holdings PLC, (fixed rate to 6/01/2021, variable rate thereafter), 6.875%(d)		580,679
	295,000	HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)(c)		430,161
	635,000	Lloyds Banking Group PLC, 4.050%, 8/16/2023		627,332
	400,000	Lloyds Banking Group PLC, 4.500%, 11/04/2024(c)		386,250
	1,020,000	Lloyds Banking Group PLC, (fixed rate to 6/27/2024, variable rate thereafter), 7.500%(d)		984,096
	1,130,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023(c)		1,143,676
	950,000	Royal Bank of Scotland Group PLC, (fixed rate to 8/10/2020, variable rate thereafter), 7.500%(d)		943,816
	350,000	Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A(c)		329,071
	250,000	Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR)		294,535
	500,000	United Kingdom Gilt, 1.750%, 7/22/2019, (GBP)		640,748
	130,000	Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR)		146,862
	115,000	Virgin Media Secured Finance PLC, 4.875%, 1/15/2027, (GBP)		137,418
	1,660,000	Vodafone Group PLC, 4.375%, 5/30/2028		1,610,314

				9,107,122

		United States – 13.5%
	9,890,000	AbbVie, Inc., 2.500%, 5/14/2020		9,796,135
	1,745,000	AES Corp. (The), 4.875%, 5/15/2023		1,705,737
	480,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		427,200
	8,000,000	Ally Financial, Inc., 4.125%, 2/13/2022		7,770,000
	745,000	Ally Financial, Inc., 5.125%, 9/30/2024		739,412
	1,728,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,918,080
	1,595,329	American Airlines Pass Through Certificates, Series 2016-3, Class B, 3.750%, 4/15/2027		1,531,332
	598,152	American Airlines Pass Through Certificates, Series 2017-2, Class B, 3.700%, 4/15/2027		578,553


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

	Non-Convertible Bonds – continued

		United States – continued
	$ 149,955	American Airlines Pass Through Certificates, Series 2013-1, Class A, 4.000%, 1/15/2027	$	148,916
	2,140,427	American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025		2,203,342
	487,013	American Airlines Pass Through Certificates, Series 2017-1B, Class B, 4.950%, 8/15/2026		485,659
	6,190,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		5,871,477
	300,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		254,220
	400,000	Antero Resources Corp., 5.125%, 12/01/2022		376,000
	175,000	Antero Resources Corp., 5.375%, 11/01/2021		168,875
	3,060,000	Antero Resources Corp., 5.625%, 6/01/2023		2,907,000
	260,000	Aptiv PLC, 1.600%, 9/15/2028, (EUR)		269,930
	1,510,000	AT&T, Inc., 3.400%, 5/15/2025		1,421,896
	3,960,000	AT&T, Inc., 4.300%, 2/15/2030		3,742,143
	570,000	AT&T, Inc., 4.500%, 3/09/2048		487,753
	625,000	AT&T, Inc., 4.550%, 3/09/2049		537,997
	925,000	Aviation Capital Group LLC, 6.750%, 4/06/2021, 144A		981,631
	200,000	Bank of America Corp., 5.490%, 3/15/2019		200,908
	2,700,000	Bank of America Corp., 6.110%, 1/29/2037		2,967,399
	115,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		111,849
	3,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		2,790
	585,000	BP Capital Markets America, Inc., 3.216%, 11/28/2023		576,558
	71,000	California Resources Corp., 5.500%, 9/15/2021		50,999
	10,000	California Resources Corp., 6.000%, 11/15/2024		6,100
	2,225,000	California Resources Corp., 8.000%, 12/15/2022, 144A		1,507,437
	60,000	CenturyLink, Inc., 5.625%, 4/01/2025		52,800
	55,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		48,400
	880,000	CenturyLink, Inc., Series S, 6.450%, 6/15/2021		877,800
	34,000	Chemours Co. (The), 6.625%, 5/15/2023		34,340


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

	Non-Convertible Bonds – continued

		United States – continued
	$ 3,210,000	Chesapeake Energy Corp., 4.875%, 4/15/2022	$	2,800,725
	315,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		271,688
	495,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		465,300
	190,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		183,825
	95,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		92,150
	4,700,000	Chesapeake Energy Corp., 8.000%, 6/15/2027		3,948,000
	780,000	Chevron Corp., 2.419%, 11/17/2020(c)		772,822
	1,635,000	Cimarex Energy Co., 4.375%, 6/01/2024		1,625,897
	445,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		367,125
	420,000	Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A		346,500
	500,000	Citizens Financial Group, Inc., 4.300%, 12/03/2025		493,447
	2,913,000	Clear Channel Worldwide Holdings, Inc., Series B, 7.625%, 3/15/2020		2,840,175
	390,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		343,200
	265,000	Constellation Brands, Inc., 4.750%, 11/15/2024		274,550
	485,000	Continental Resources, Inc., 3.800%, 6/01/2024		459,135
	640,000	Continental Resources, Inc., 4.500%, 4/15/2023		629,873
	92,000	Continental Resources, Inc., 5.000%, 9/15/2022		91,347
	375,000	Cox Communications, Inc., 4.800%, 2/01/2035, 144A		341,895
	395,000	CSC Holdings LLC, 5.375%, 2/01/2028, 144A		363,274
	155,000	Cummins, Inc., 5.650%, 3/01/2098		164,478
	475,000	Dell International LLC/EMC Corp., 6.020%, 6/15/2026, 144A		477,148
	113,552	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		123,555
	1,200,000	Devon Energy Corp., 3.250%, 5/15/2022		1,169,340
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		50,913
	8,000	Dillard’s, Inc., 7.750%, 7/15/2026		8,369
	1,680,000	DISH DBS Corp., 5.000%, 3/15/2023		1,398,600


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	$	1,203,475
	310,000	DR Horton, Inc., 4.375%, 9/15/2022		313,598
	340,000	Enable Midstream Partners LP, 5.000%, 5/15/2044		279,446
	235,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		291,069
	1,075,000	Energy Transfer Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		1,097,080
	600,000	EnLink Midstream Partners LP, 4.150%, 6/01/2025		540,922
	1,310,000	Federal National Mortgage Association, Series 2017-M14, Class A2, 2.876%, 11/25/2027(c)(e)		1,270,698
	410,000	FedEx Corp., 1.000%, 1/11/2023, (EUR)		474,455
	70,000	Foot Locker, Inc., 8.500%, 1/15/2022		75,600
	40,000	Ford Motor Co., 4.346%, 12/08/2026		35,632
	685,000	Ford Motor Co., 5.291%, 12/08/2046		562,372
	25,000	Ford Motor Co., 6.375%, 2/01/2029		24,982
	50,000	Ford Motor Co., 6.625%, 2/15/2028		49,824
	2,105,000	Ford Motor Co., 6.625%, 10/01/2028		2,125,866
	5,000	Ford Motor Co., 7.500%, 8/01/2026		5,410
	5,000,000	Ford Motor Credit Co. LLC, 2.459%, 3/27/2020		4,894,666
	770,000	Ford Motor Credit Co. LLC, 3.470%, 4/05/2021		748,377
	1,600,000	Ford Motor Credit Co. LLC, 3.588%, 6/02/2020, (AUD)(c)		1,130,870
	865,000	Frontier Communications Corp., 6.875%, 1/15/2025		438,988
	560,000	Frontier Communications Corp., 11.000%, 9/15/2025		348,572
	131,000	Gates Global LLC/Gates Global Co., 6.000%, 7/15/2022, 144A		128,380
	50,000	General Electric Co., GMTN, 3.100%, 1/09/2023		46,655
	740,000	General Electric Co., Series D, (fixed rate to 1/21/2021, variable rate thereafter), 5.000%(c)(d)		566,100
	310,000	General Motors Co., 5.200%, 4/01/2045		256,914
	240,000	General Motors Financial Co., Inc., 3.450%, 4/10/2022		232,095
	925,000	General Motors Financial Co., Inc., 5.250%, 3/01/2026		905,115


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

	Non-Convertible Bonds – continued

		United States – continued
	100,000	General Motors Financial Co., Inc., EMTN, 0.955%, 9/07/2023, (EUR)	$	109,768
	3,435,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		4,311,761
	105,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		126,615
	180,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		240,671
	315,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		460,732
	905,000	Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A		998,175
	2,295,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,591,706
	1,935,000	Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027		1,697,962
	165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		160,875
	2,447	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.780%, 8/10/2045(e)		2,479
	1,000,000	HCA Healthcare, Inc., 6.250%, 2/15/2021		1,022,500
	20,000	HCA, Inc., 4.750%, 5/01/2023		19,700
	6,670,000	HCA, Inc., 5.375%, 9/01/2026		6,486,575
	225,000	HCA, Inc., 7.050%, 12/01/2027		234,563
	820,000	HCA, Inc., 7.500%, 11/06/2033		861,000
	395,000	HCA, Inc., 8.360%, 4/15/2024		434,500
	195,000	HCA, Inc., MTN, 7.580%, 9/15/2025		206,700
	75,000	HCA, Inc., MTN, 7.750%, 7/15/2036		77,813
	855,000	Hecla Mining Co., 6.875%, 5/01/2021		837,900
	490,000	Hewlett Packard Enterprise Co., 6.350%, 10/15/2045		457,383
	310,000	Hexion, Inc., 7.875%, 2/15/2023(f)(g)		170,500
	485,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		492,736
	1,585,000	Hyundai Capital America, 2.750%, 9/27/2026, 144A(c)		1,382,865
	450,000	International Lease Finance Corp., 4.625%, 4/15/2021		454,290
	1,250,000	International Lease Finance Corp., 6.250%, 5/15/2019		1,261,058
	745,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		739,482


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

	Non-Convertible Bonds – continued

			United States – continued
	$ 1,685,000		iStar, Inc., 5.000%, 7/01/2019	$	1,679,734
	48,000		J.C. Penney Corp., Inc., 6.375%, 10/15/2036		15,120
	5,000		J.C. Penney Corp., Inc., 7.625%, 3/01/2097		1,625
	1,070,000		Jefferies Group LLC, 6.250%, 1/15/2036		1,072,885
	7,760,000		Jeld-Wen, Inc., 4.625%, 12/15/2025, 144A		6,790,000
	15,000		K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		12,000
	1,665,000		KB Home, 8.000%, 3/15/2020		1,719,112
	330,000		Level 3 Financing, Inc., 5.125%, 5/01/2023		318,450
	760,000		Level 3 Financing, Inc., 5.375%, 5/01/2025		712,500
	140,000		Level 3 Parent LLC, 5.750%, 12/01/2022		137,550
	3,000		Macy’s Retail Holdings, Inc., 4.500%, 12/15/2034		2,400
	44,000		Masco Corp., 6.500%, 8/15/2032		48,640
	403,000		Masco Corp., 7.750%, 8/01/2029		480,255
	254,000		Micron Technology, Inc., 5.500%, 2/01/2025		248,603
	1,430,000		Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		1,301,300
	220,000		Morgan Stanley, 2.500%, 1/24/2019		219,910
	450,000		Morgan Stanley, 3.950%, 4/23/2027		424,257
	725,000		Morgan Stanley, 5.750%, 1/25/2021		755,922
	3,150,000		Morgan Stanley, MTN, 4.100%, 5/22/2023		3,154,550
	600,000		Morgan Stanley, MTN, 6.250%, 8/09/2026		664,392
	25,000		MPLX LP, 4.500%, 7/15/2023		25,250
	95,000		MPLX LP, 4.875%, 6/01/2025		95,870
	3,890,000		Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A		3,783,025
	3,000,000		Navient Corp., 5.000%, 10/26/2020		2,872,500
	95,000		Navient Corp., 5.875%, 10/25/2024		79,325
	1,600	(††††)	Navient Corp., 6.000%, 12/15/2043		26,293


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

	Non-Convertible Bonds – continued

		United States – continued
	$ 935,000	Navient Corp., 6.750%, 6/15/2026	$	776,050
	750,000	Navient Corp., MTN, 6.125%, 3/25/2024		643,125
	915,000	Navient LLC, 5.500%, 1/25/2023		800,625
	415,000	Navient LLC, MTN, 7.250%, 1/25/2022		400,475
	3,418,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033		2,255,880
	4,583,000	New Albertsons LP, 7.450%, 8/01/2029		3,666,400
	525,000	New Albertsons LP, 7.750%, 6/15/2026		429,230
	5,540,000	New Albertsons LP, 8.000%, 5/01/2031		4,508,674
	2,150,000	New Albertsons LP, 8.700%, 5/01/2030		1,806,000
	1,309,000	New Albertsons LP, Series C, MTN, 6.625%, 6/01/2028		968,660
	365,000	Newell Brands, Inc., 4.000%, 12/01/2024		359,583
	65,000	Newfield Exploration Co., 5.625%, 7/01/2024		65,813
	900,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025		774,000
	405,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023		388,800
	20,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		22,800
	540,000	Nissan Motor Acceptance Corp., 2.000%, 3/08/2019, 144A(c)		539,071
	1,765,000	Nissan Motor Acceptance Corp., 3.650%, 9/21/2021, 144A		1,756,543
	120,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023		110,850
	2,275,000	Oceaneering International, Inc., 4.650%, 11/15/2024		1,785,852
	420,000	Old Republic International Corp., 4.875%, 10/01/2024		436,568
	3,693,000	ONEOK Partners LP, 4.900%, 3/15/2025		3,741,586
	25,000	ONEOK Partners LP, 6.200%, 9/15/2043		26,797
	55,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		54,725
	140,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		137,550
	310,000	Owens Corning, 7.000%, 12/01/2036		342,848
	2,965,000	Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A		2,816,750


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

	Non-Convertible Bonds – continued

		United States – continued
	585,000	Prologis LP, 2.250%, 6/30/2029, (GBP)	$	698,919
	540,000	PulteGroup, Inc., 6.000%, 2/15/2035		467,100
	785,000	PulteGroup, Inc., 6.375%, 5/15/2033		716,312
	220,000	PulteGroup, Inc., 7.875%, 6/15/2032		227,700
	285,000	QEP Resources, Inc., 5.250%, 5/01/2023		252,225
	210,000	QEP Resources, Inc., 5.375%, 10/01/2022		191,100
	135,000	Quicken Loans, Inc., 5.250%, 1/15/2028, 144A		119,475
	120,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		112,200
	575,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		482,212
	15,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		12,225
	453,000	Qwest Corp., 6.875%, 9/15/2033		404,684
	115,000	Qwest Corp., 7.250%, 9/15/2025		118,402
	540,000	Radian Group, Inc., 4.500%, 10/01/2024		489,375
	230,000	Range Resources Corp., 4.875%, 5/15/2025		188,600
	850,000	Range Resources Corp., 5.000%, 8/15/2022		760,750
	220,000	Range Resources Corp., 5.000%, 3/15/2023		193,600
	970,000	Santander Holdings USA, Inc., 2.650%, 4/17/2020(c)		957,450
	25,000	Sealed Air Corp., 4.875%, 12/01/2022, 144A		24,750
	640,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		632,000
	420,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		428,400
	140,000	Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR)		159,795
	2,495,000	Springleaf Finance Corp., 5.250%, 12/15/2019		2,500,938
	1,170,000	Springleaf Finance Corp., 5.625%, 3/15/2023		1,079,325
	860,000	Springleaf Finance Corp., 6.875%, 3/15/2025		769,700
	2,310,000	Springleaf Finance Corp., 7.125%, 3/15/2026		2,061,675
	330,000	Springleaf Finance Corp., 7.750%, 10/01/2021		331,238


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

	Non-Convertible Bonds – continued

		United States – continued
	$ 130,000	Springleaf Finance Corp., 8.250%, 10/01/2023	$	133,575
	2,349,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,219,805
	2,240,000	Sprint Capital Corp., 8.750%, 3/15/2032		2,363,200
	1,720,000	Sprint Communications, Inc., 6.000%, 11/15/2022		1,687,888
	120,000	Sprint Corp., 7.125%, 6/15/2024		118,841
	2,840,000	Sprint Corp., 7.875%, 9/15/2023		2,914,550
	1,365,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.750%, 3/15/2024		1,385,475
	950,000	Tenet Healthcare Corp., 5.125%, 5/01/2025		885,875
	100,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		93,875
	1,405,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,180,200
	820,000	Textron, Inc., 5.950%, 9/21/2021		865,058
	90,000	Time Warner Cable LLC, 4.500%, 9/15/2042		72,351
	85,000	Time Warner Cable LLC, 5.500%, 9/01/2041		77,459
	1,680,000	Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026		2,030,929
	171,000	TransDigm, Inc., 6.500%, 7/15/2024		166,298
	185,000	TransDigm, Inc., 6.500%, 5/15/2025		176,675
	6,665,000	TRI Pointe Group, Inc., 4.875%, 7/01/2021		6,365,075
	90,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		89,325
	5,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024		4,463
	656,000	TRU Taj LLC/TRU Taj Finance, Inc., 11.000%, 1/22/2019, 144A		658,467
	4,380,000	U.S. Treasury Bond, 3.000%, 8/15/2048		4,359,298
	12,878,080	U.S. Treasury Inflation Indexed Note, 0.625%, 4/15/2023(c)(h)		12,664,116
	9,467,197	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2022(c)(h)		9,158,280
	4,083,273	U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2027(c)(h)		3,873,633
	5,285,000	U.S. Treasury Note, 1.750%, 11/30/2021(c)		5,178,474
	6,555,000	U.S. Treasury Note, 2.750%, 5/31/2023(c)		6,626,439


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

	Non-Convertible Bonds – continued

		United States – continued
	$ 15,150,000	U.S. Treasury Note, 2.750%, 2/28/2025(c)	$	15,303,275
	12,650,000	U.S. Treasury Note, 2.875%, 10/15/2021		12,783,418
	9,515,000	U.S. Treasury Note, 2.875%, 5/15/2028(c)		9,661,070
	466,319	United Airlines Pass Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027		445,587
	2,940,000	United Rentals North America, Inc., 5.500%, 7/15/2025		2,770,950
	2,635,000	United Rentals North America, Inc., 5.750%, 11/15/2024		2,536,187
	460,000	United Rentals North America, Inc., 6.500%, 12/15/2026		453,100
	1,940,000	United States Steel Corp., 6.650%, 6/01/2037		1,459,850
	91,703	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		97,823
	49,163	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021(i)		50,757
	346,280	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		358,700
	25,000	Viacom, Inc., 4.375%, 3/15/2043		19,739
	395,000	Viacom, Inc., 5.250%, 4/01/2044		357,439
	145,000	Viacom, Inc., 5.850%, 9/01/2043		142,219
	1,150,000	Walmart, Inc., 3.700%, 6/26/2028		1,167,173
	60,000	Weyerhaeuser Co., 6.950%, 10/01/2027		70,325
	315,000	Weyerhaeuser Co., 7.375%, 3/15/2032		385,194
	525,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		498,750
	195,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		177,704
	3,052,000	Windstream Services LLC/Windstream Finance Corp., 9.000%, 6/30/2025, 144A		2,067,730
	65,000	Windstream Services LLC/Windstream Finance Corp., 10.500%, 6/30/2024, 144A		49,400

				301,594,356

		Total Non-Convertible Bonds (Identified Cost $602,902,548)		586,774,979

	Convertible Bonds – 0.5%

		United States – 0.5%
	1,450,000	Booking Holdings, Inc., 0.900%, 9/15/2021		1,600,129


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

	Convertible Bonds – continued

		United States – continued
	$ 105,000	CalAmp Corp., 1.625%, 5/15/2020	$	99,352
	60,000	Chesapeake Energy Corp., 5.500%, 9/15/2026		48,292
	545,000	DISH Network Corp., 2.375%, 3/15/2024		433,910
	2,290,000	DISH Network Corp., 3.375%, 8/15/2026		1,849,212
	290,000	Evolent Health, Inc., 2.000%, 12/01/2021		321,573
	1,855,000	iStar, Inc., 3.125%, 9/15/2022		1,671,429
	855,000	KB Home, 1.375%, 2/01/2019		849,654
	2,020,000	Nuance Communications, Inc., 1.000%, 12/15/2035		1,736,897
	240,000	Nuance Communications, Inc., 1.250%, 4/01/2025		210,418
	10,000	Nuance Communications, Inc., 1.500%, 11/01/2035		9,361
	1,660,000	Rovi Corp., 0.500%, 3/01/2020		1,556,433
	380,000	SM Energy Co., 1.500%, 7/01/2021		353,215
	825,000	Western Digital Corp., 1.500%, 2/01/2024, 144A		668,581

		Total Convertible Bonds (Identified Cost $12,119,121)		11,408,456

	Municipals – 0.0%

		United States – 0.0%
	155,000	State of Illinois, 5.100%, 6/01/2033		147,782
	130,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		122,677

		Total Municipals (Identified Cost $254,202)		270,459

		Total Bonds and Notes (Identified Cost $615,275,871)		598,453,894


Shares
	Preferred Stocks – 0.1%

		United States – 0.1%
	460	Chesapeake Energy Corp., 5.000%		23,865
	40	Chesapeake Energy Corp., 5.750%(i)		17,100
	736	Chesapeake Energy Corp., 5.750%		379,667


Shares		Description	Value (†)
	Preferred Stocks – continued

		United States – continued
	84	Chesapeake Energy Corp., Series A, 5.750% 144A(i)	$	35,910
	38,269	El Paso Energy Capital Trust I, 4.750%		1,597,730

		Total Preferred Stocks (Identified Cost $2,255,025)		2,054,272


Principal Amount (‡)
	Short-Term Investments – 8.7%
	$ 3,707,000	Ford Motor Credit Co. LLC, 4.331%, 12/02/2019(l)		3,571,685
	54,303,491	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $54,308,017 on 1/02/2019 collateralized by $5,655,00 U.S. Treasury Bond, 2.750% due 8/15/2042 valued at $5,453,467; $52,210,000 U.S. Treasury Bond, 2.750% due 11/15/2042 valued at $49,939,283 including accrued interest(k)		54,303,491
	35,000,000	U.S. Treasury Bills, 2.160%-2.200%, 4/25/2019(l)(m)		34,735,647
	7,000,000	U.S. Treasury Bills, 2.310%, 2/14/2019(l)		6,979,975
	5,000,000	U.S. Treasury Bills, 2.330%, 3/28/2019(l)		4,972,006
	60,500,000	U.S. Treasury Bills, 2.460%, 5/30/2019(l)		59,896,538
	29,535,000	U.S. Treasury Bills, 2.536%, 8/15/2019(l)		29,070,516

		Total Short-Term Investments (Identified Cost $193,528,506)		193,529,858

		Total Investments – 98.6% (Identified Cost $2,018,285,350)		2,194,234,442
		Other assets less liabilities – 1.4%		31,759,824

		Net Assets – 100.0%	$	2,225,994,266

(†)

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

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

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

In those cases, the official close price is used.

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

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

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

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

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. 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 pursuant to the Fund’s pricing policies and procedures.

As of December 31, 2018, securities held by the Fund were fair valued as follows:

Equity

securities¹

Percentage of

Net Assets

Securities classified

as fair valued

Percentage of

Net Assets

$382,901,958

17.2%

$170,500

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)	Non-income producing security.

(b)	Securities subject to restriction on resale. At December 31, 2018, the restricted securities held by the Fund are as follows:

Acquisition Date

Acquisition Cost

Value

% of Net Assets

Dex Media, Inc.

August 12, 2016

3,266

6,734

Less than 0.1%

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

(d)	Perpetual bond with no specified maturity date.

(e)

Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2018 is disclosed.

(f)	Illiquid security.

(g)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2018, the value of these securities amounted to $170,500 or less than 0.1% of net assets.

(h)	Treasury Inflation Protected Security (TIPS).

(i)	Level 3 security. Value has been determined using significant unobservable inputs.

(k)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of December 31, 2018, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

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

(m)	The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2018, the value of Rule 144A holdings amounted to $109,213,589 or 4.9% of net assets.

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

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

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

JPY	Japanese Yen

KRW	South Korean Won

MXN	Mexican Peso

NOK	Norwegian Krone

PLN	Polish Zloty

SEK	Swedish Krona

THB

Thai Baht

ZAR	South African Rand

Forward Foreign Currency Contracts

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

At December 31, 2018, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency			In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Bank of America, N.A.		1/09/2019	ARS		B	22,765,000	$	517,386	$	599,414	$	82,028
Bank of America, N.A.		1/09/2019	ARS		S	22,765,000		534,390		599,414		(65,024	)
Bank of America, N.A.		3/06/2019	BRL		S	24,270,000		6,197,967		6,233,546		(35,579	)
Credit Suisse International		3/20/2019	CAD		S	47,640,000		35,744,485		34,958,670		785,815
Credit Suisse International		3/20/2019	COP		S	2,593,255,000		809,381		795,627		13,754
Credit Suisse International		3/20/2019	GBP		B	5,230,000		6,651,917		6,690,986		39,069
Credit Suisse International		3/20/2019	IDR		S	48,690,115,000		3,301,473		3,357,785		(56,312	)
Credit Suisse International		3/20/2019	JPY		B	7,275,500,000		64,692,273		66,766,033		2,073,760
Goldman Sachs & Co.		3/20/2019	MXN		B	66,055,000		3,173,708		3,321,443		147,735
HSBC Bank USA		3/20/2019	AUD		B	905,000		653,781		638,274		(15,507	)
Morgan Stanley Capital Services, Inc.		3/20/2019	EUR		B	46,720,000		53,379,469		53,874,963		495,494
UBS AG		3/20/2019	NOK		S	4,200,000		496,303		487,395		8,908
UBS AG		3/20/2019	SEK		B	7,350,000		820,117		834,408		14,291
UBS AG		3/20/2019	THB		S	83,000,000		2,540,643		2,554,357		(13,714	)
UBS AG		3/20/2019	ZAR		S	16,010,000		1,125,131		1,102,603		22,528

Total											$	3,497,246

At December 31, 2018, the Fund had the following open forward cross currency contracts:

Counterparty

Settlement
Date

Deliver/Units
of Currency

Receive/Units
of Currency

Notional
Value

Unrealized
Appreciation
(Depreciation)

Credit Suisse International

3/20/2019

NOK

14,180,000

EUR

1,463,432

1,687,550

42,012

Fair Value Measurements

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

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Common Stocks
France	$	—	$	32,494,225	$	—		$	32,494,225
Hong Kong		—		62,071,806		—			62,071,806
India		—		22,248,574		—			22,248,574
Japan		—		18,863,452		—			18,863,452
Sweden		—		37,917,682		—			37,917,682
Switzerland		—		107,585,671		—			107,585,671
United Kingdom		—		101,720,548		—			101,720,548
United States		931,099,023		6,734		—			931,105,757
All Other Common Stocks*		86,188,703		—		—			86,188,703

Total Common Stocks		1,017,287,726		382,908,692		—			1,400,196,418

Bonds and Notes
Non-Convertible Bonds
United States		26,293		301,517,306		50,757	(a)		301,594,356
All Other Non-Convertible Bonds*		—		285,180,623		—			285,180,623

Total Non-Convertible Bonds		26,293		586,697,929		50,757			586,774,979

Convertible Bonds*		—		11,408,456		—			11,408,456
Municipals*		—		270,459		—			270,459

Total Bonds and Notes		26,293		598,376,844		50,757			598,453,894

Preferred Stocks*		1,597,730		403,532		53,010	(a)		2,054,272

Short-Term Investments		—		193,529,858		—			193,529,858

Total Investments		1,018,911,749		1,175,218,926		103,767			2,194,234,442

Forward Foreign Currency Contracts (unrealized appreciation)		—		3,725,394		—			3,725,394

Total	$	1,018,911,749	$	1,178,944,320	$	103,767		$	2,197,959,836

Liability Valuation Inputs


Descriptions	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(186,136	)	$	—	$	(186,136	)

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

(a)	Valued using broker-dealer bid prices.

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2018 and/or December 31, 2018:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2018		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2018		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2018
Bonds and Notes
Non-Convertible Bonds
United States	$	124,748	$	—	$	—	$	(534	)	$	—	$	(894	)	$	52,185	$	(124,748	)	$	50,757	$	(534	)
Preferred Stocks
United States		—		—		—		(21,244	)		—		—			74,254		—			53,010		(21,244	)

Total	$	124,748	$	—	$	—	$	(21,778	)	$	—	$	(894	)	$	126,439	$	(124,748	)	$	103,767	$	(21,778	)

A debt security valued at $52,185 was transferred from Level 2 to Level 3 during the period ended December 31, 2018. At September 30, 2018, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2018, 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 $124,748 was transferred from Level 3 to Level 2 during the period ended December 31, 2018. At September 30, 2018, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At December 31, 2018, 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.

Preferred stocks valued at $74,254 were transferred from Level 2 to Level 3 during the period ended December 31, 2018. At September 30, 2018, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2018, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the securities.

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

Derivatives

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

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended December 31, 2018, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The following is a summary of derivative instruments for the Fund, as of December 31, 2018:


Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	3,725,394

Liabilities	Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(186,136	)

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

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of December 31, 2018, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty:	Derivatives			Collateral Pledged
Bank of America, N.A	$	(18,575	)	$	—
HSBC Bank USA		(15,507	)		—

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

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2018:


Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
$	3,725,394	$	1,038,340

These amounts include cash received as collateral of $2,535,000.

Industry Summary at December 31, 2018 (Unaudited)


Treasuries	9.1	%
Capital Markets	6.0
Internet & Direct Marketing Retail	5.3
Insurance	4.8
Interactive Media & Services	4.5
Chemicals	4.2
IT Services	4.0
Aerospace & Defense	4.0
Food Products	3.7
Industrial Conglomerates	2.9
Banks	2.7
Machinery	2.7
Health Care Equipment & Supplies	2.7
Hotels, Restaurants & Leisure	2.5
Health Care Providers & Services	2.3
Banking	2.3
Software	2.2
Other Investments, less than 2% each	24.0
Short-Term Investments	8.7

Total Investments	98.6
Other assets less liabilities (including forward foreign currency contracts)	1.4

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2018 (Unaudited)


United States Dollar	73.2	%
Swiss Franc	4.8
British Pound	4.7
Euro	4.2
Canadian Dollar	3.7
Hong Kong Dollar	2.8
Other, less than 2% each	5.2

Total Investments	98.6
Other assets less liabilities (including forward foreign currency contracts)	1.4

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2018 (Unaudited)

Loomis Sayles Growth Fund


Shares		Description	Value (†)
	Common Stocks – 97.6% of Net Assets

		Air Freight & Logistics – 4.1%
	3,229,116	Expeditors International of Washington, Inc.	$	219,870,508
	745,999	United Parcel Service, Inc., Class B		72,757,283

				292,627,791

		Beverages – 6.1%
	4,300,948	Coca-Cola Co. (The)		203,649,888
	4,797,373	Monster Beverage Corp.(a)		236,126,699

				439,776,587

		Biotechnology – 5.6%
	744,932	Amgen, Inc.		145,015,912
	692,098	Regeneron Pharmaceuticals, Inc.(a)		258,498,603

				403,514,515

		Capital Markets – 3.9%
	642,382	FactSet Research Systems, Inc.		128,559,910
	3,341,817	SEI Investments Co.		154,391,945

				282,951,855

		Communications Equipment – 2.9%
	4,890,575	Cisco Systems, Inc.		211,908,615

		Consumer Finance – 1.2%
	877,878	American Express Co.		83,679,331

		Energy Equipment & Services – 1.6%
	3,278,194	Schlumberger Ltd.		118,277,240

		Food Products – 2.9%
	14,706,514	Danone S.A., Sponsored ADR		205,597,066

		Health Care Equipment & Supplies – 1.8%
	1,160,939	Varian Medical Systems, Inc.(a)		131,545,998

		Health Care Technology – 2.2%
	2,947,586	Cerner Corp.(a)		154,571,410

		Hotels, Restaurants & Leisure – 6.6%
	3,602,159	Starbucks Corp.		231,979,040
	2,835,489	Yum China Holdings, Inc.		95,073,946
	1,575,871	Yum! Brands, Inc.		144,854,062

				471,907,048

		Household Products – 5.1%
	2,331,395	Colgate-Palmolive Co.		138,764,630
	2,461,925	Procter & Gamble Co. (The)		226,300,146

				365,064,776

		Interactive Media & Services – 10.4%
	194,559	Alphabet, Inc., Class A(a)		203,306,373
	194,290	Alphabet, Inc., Class C(a)		201,208,667
	2,647,607	Facebook, Inc., Class A(a)		347,074,801

				751,589,841


Shares		Description	Value (†)
	Common Stocks – continued

		Internet & Direct Marketing Retail – 11.3%
	2,494,077	Alibaba Group Holding Ltd., Sponsored ADR(a)	$	341,863,134
	313,743	Amazon.com, Inc.(a)		471,232,574

				813,095,708

		IT Services – 7.4%
	553,932	Automatic Data Processing, Inc.		72,631,564
	3,478,690	Visa, Inc., Class A		458,978,358

				531,609,922

		Machinery – 2.9%
	1,391,585	Deere & Co.		207,582,734

		Pharmaceuticals – 6.2%
	1,297,595	Merck & Co., Inc.		99,149,234
	1,574,402	Novartis AG, Sponsored ADR		135,099,436
	4,637,101	Novo Nordisk AS, Sponsored ADR		213,631,243

				447,879,913

		Semiconductors & Semiconductor Equipment – 2.9%
	3,669,890	QUALCOMM, Inc.		208,853,440

		Software – 12.5%
	2,284,271	Autodesk, Inc.(a)		293,780,093
	2,477,932	Microsoft Corp.		251,683,553
	7,893,517	Oracle Corp.		356,392,293

				901,855,939

		Total Common Stocks (Identified Cost $5,791,339,217)		7,023,889,729


Principal Amount
	Short-Term Investments – 2.2%
	$ 162,897,009	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $162,910,583 on 1/02/2019 collateralized by $121,385,000 U.S. Treasury Inflation Indexed Bond, 2.125% due 2/15/2041 valued at $166,159,557 including accrued interest(b) (Identified Cost $162,897,009)		162,897,009

		Total Investments – 99.8% (Identified Cost $5,954,236,226)		7,186,786,738
		Other assets less liabilities – 0.2%		10,942,581

		Net Assets – 100.0%	$	7,197,729,319

(†)

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)	Non-income producing security.

(b)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks^*	$	7,023,889,729	$	—	$	—	$	7,023,889,729
Short-Term Investments		—		162,897,009		—		162,897,009

Total	$	7,023,889,729	$	162,897,009	$	—	$	7,186,786,738

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

For the period ended December 31, 2018, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2018 (Unaudited)


Software	12.5	%
Internet & Direct Marketing Retail	11.3
Interactive Media & Services	10.4
IT Services	7.4
Hotels, Restaurants & Leisure	6.6
Pharmaceuticals	6.2
Beverages	6.1
Biotechnology	5.6
Household Products	5.1
Air Freight & Logistics	4.1
Capital Markets	3.9
Communications Equipment	2.9
Semiconductors & Semiconductor Equipment	2.9
Machinery	2.9
Food Products	2.9
Health Care Technology	2.2
Other Investments, less than 2% each	4.6
Short-Term Investments	2.2

Total Investments	99.8
Other assets less liabilities	0.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2018 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 82.8% of Net Assets

		ABS Car Loan – 1.6%
	$1,550,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A	$	1,540,563
	528,390	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A, 2.420%, 11/15/2023, 144A		527,703
	2,250,986	Credit Acceptance Auto Loan Trust, Series 2016-3A, Class A, 2.150%, 4/15/2024, 144A		2,240,629
	1,874,472	First Investors Auto Owner Trust, Series 2018-2A, Class A1, 3.230%, 12/15/2022, 144A		1,876,583
	875,405	Flagship Credit Auto Trust, Series 2016-4, Class A2, 1.960%, 2/16/2021, 144A		873,788
	2,090,000	Foursight Capital Automobile Receivables Trust, Series 2018-2, Class A3, 3.640%, 5/15/2023, 144A		2,105,512
	725,000	NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A2, 2.740%, 4/15/2021, 144A		724,161
	1,495,000	NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A2, 2.540%, 4/18/2022, 144A		1,484,988
	685,000	NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A2, 2.560%, 10/17/2022, 144A		678,643

				12,052,570

		ABS Home Equity – 0.3%
	948,929	CoreVest American Finance Trust, Series 2017-1, Class A, 2.968%, 10/15/2049, 144A		930,079
	975,304	Towd Point Mortgage Trust, Series 2015-2, Class 1A12, 2.750%, 11/25/2060, 144A(a)		959,777

				1,889,856

		ABS Other – 0.9%
	1,112,550	Diamond Resorts Owner Trust, Series 2018-1, Class A, 3.700%, 1/21/2031, 144A		1,121,552
	825,000	Navistar Financial Dealer Note Master Owner Trust II, Series 2018-1, Class A, 1-month LIBOR + 0.630%, 3.136%, 9/25/2023, 144A(b)		824,690
	4,588,589	SoFi Consumer Loan Program Trust, Series 2018-4, Class A, 3.540%, 11/26/2027, 144A		4,593,492

				6,539,734

		ABS Student Loan – 0.0%
	134,207	SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1-month LIBOR + 0.950%, 3.456%, 1/25/2039, 144A(b)		135,060

		Agency Commercial Mortgage-Backed Securities – 15.3%
	2,285,183	Federal National Mortgage Association, Series 2015-M17, Class FA, 1-month LIBOR + 0.930%, 3.231%, 11/25/2022(b)		2,304,433
	929,763	Federal National Mortgage Association, Series 2016-M3, Class ASQ2, 2.263%, 2/25/2023		915,394
	13,445,000	FHLMC Multifamily Structured Pass Through Certificates, Series KJ20, Class A2, 3.799%, 12/25/2025		13,942,903
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,053,435
	4,252,510	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,327,728
	4,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021		4,027,255


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

		Agency Commercial Mortgage-Backed Securities – continued
	$6,607,731	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021	$	6,605,326
	2,580,000	FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2, 3.224%, 3/25/2027		2,574,041
	1,983,156	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		1,978,863
	30,417,628	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		30,232,579
	2,568,449	FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A1, 2.666%, 5/25/2023		2,547,554
	5,170,000	FHLMC Multifamily Structured Pass Through Certificates, Series K732, Class A2, 3.700%, 5/25/2025		5,331,573
	332,516	FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 1-month LIBOR + 0.330%, 2.677%, 11/25/2021(b)		331,532
	3,375,260	FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, 1-month LIBOR + 0.650%, 2.997%, 1/25/2023(b)		3,376,307
	5,109,890	FHLMC Multifamily Structured Pass Through Certificates, Series KF53, Class A, 1-month LIBOR + 0.390%, 2.737%, 10/25/2025(b)		5,078,732
	1,445,509	FHLMC Multifamily Structured Pass Through Certificates, Series KI01, Class A, 1-month LIBOR + 0.160%, 2.507%, 9/25/2022(b)		1,441,710
	3,104,210	FHLMC Multifamily Structured Pass Through Certificates, Series KI02, Class A, 1-month LIBOR + 0.200%, 2.547%, 2/25/2023(b)		3,100,926
	10,261,000	FHLMC Multifamily Structured Pass Through Certificates, Series KJ21, Class A2, 3.700%, 9/25/2026		10,644,968
	3,415,892	FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019		3,394,817
	7,085,000	FHLMC Multifamily Structured Pass Through Certificates, Series Q008, Class A, 1-month LIBOR + 0.390%, 2.690%, 10/25/2045(b)		7,058,166
	170,925	Government National Mortgage Association, Series 2003-72, Class Z, 5.271%, 11/16/2045(a)		178,551
	151,707	Government National Mortgage Association, Series 2003-88, Class Z, 4.764%, 3/16/2046(a)		156,089

				115,602,882

		Collateralized Mortgage Obligations – 12.8%
	49,138	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 7-year Treasury - 0.200%, 2.770%, 5/15/2023(b)(c)(d)		47,721
	34,172	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 10-year Treasury - 0.650%, 2.410%, 8/15/2023(b)(c)(d)		33,739
	138,369	Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029		145,331
	53,351	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		53,405
	222,127	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020		221,932
	1,154,658	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035		1,264,303
	1,741,019	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035		1,866,969
	1,292,390	Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038		1,403,449
	1,284,654	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 2.855%, 6/15/2048(a)(e)		1,168,241


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

		Collateralized Mortgage Obligations – continued
	$1,487,986	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.114%, 12/15/2036(a)(e)	$	1,539,037
	732,179	Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 1-month LIBOR + 2.100%, 4.555%, 6/15/2043(b)		710,667
	1,256,424	Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033		1,370,067
	27,132	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 7-year Treasury - 0.050%, 2.760%, 9/25/2022(b)(c)(d)		26,863
	33,741	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 10-year Treasury - 0.500%, 2.560%, 4/25/2024(b)(c)(d)		33,370
	8,865	Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 4.494%, 8/25/2042(a)(c)(d)		8,942
	529,917	Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025		547,697
	623,164	Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 1-month LIBOR + 0.060%, 2.375%, 7/25/2037(b)		612,500
	1,307,221	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.475%, 8/25/2038(a)		1,325,718
	5,412,360	Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1-month LIBOR + 1.000%, 3.506%, 7/25/2043(b)		5,283,370
	14,781	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 10-year Treasury - 0.650%, 2.240%, 4/25/2023(b)(c)(d)		14,630
	8,992	FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 4.081%, 3/25/2044(a)(c)(d)		9,215
	592,708	FHLMC Structured Pass Through Securities, Series T-62, Class 1A1, 12-month MTA + 1.200%, 3.357%, 10/25/2044(b)		596,179
	1,122,836	Government National Mortgage Association, Series 2010-H20, Class AF, 1-month LIBOR + 0.330%, 2.644%, 10/20/2060(b)		1,120,787
	1,059,652	Government National Mortgage Association, Series 2010-H24, Class FA, 1-month LIBOR + 0.350%, 2.664%, 10/20/2060(b)		1,058,182
	865,953	Government National Mortgage Association, Series 2011-H06, Class FA, 1-month LIBOR + 0.450%, 2.764%, 2/20/2061(b)		867,081
	1,916,499	Government National Mortgage Association, Series 2011-H23, Class HA, 3.000%, 12/20/2061		1,911,273
	1,191,996	Government National Mortgage Association, Series 2012-124, Class HT, 7.253%, 7/20/2032(a)		1,194,106
	311,038	Government National Mortgage Association, Series 2012-H15, Class FA, 1-month LIBOR + 0.450%, 2.764%, 5/20/2062(b)		311,064
	976,263	Government National Mortgage Association, Series 2012-H18, Class NA, 1-month LIBOR + 0.520%, 2.834%, 8/20/2062(b)		979,023
	1,690,009	Government National Mortgage Association, Series 2012-H29, Class HF, 1-month LIBOR + 0.500%, 2.814%, 10/20/2062(b)		1,688,401
	920,253	Government National Mortgage Association, Series 2013-H02, Class GF, 1-month LIBOR + 0.500%, 2.814%, 12/20/2062(b)		920,677
	3,903,749	Government National Mortgage Association, Series 2013-H08, Class FA, 1-month LIBOR + 0.350%, 2.664%, 3/20/2063(b)		3,899,357
	2,640,794	Government National Mortgage Association, Series 2013-H10, Class FA, 1-month LIBOR + 0.400%, 2.714%, 3/20/2063(b)		2,640,750
	9,333,748	Government National Mortgage Association, Series 2013-H22, Class FT, 1-year CMT + 0.650%, 3.310%, 4/20/2063(b)		9,383,528
	5,620,856	Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 2.774%, 7/20/2064(b)		5,640,544
	3,874,540	Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 2.814%, 7/20/2064(b)		3,890,311


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

		Collateralized Mortgage Obligations – continued
	$3,383,938	Government National Mortgage Association, Series 2015-H04, Class FL, 1-month LIBOR + 0.470%, 2.784%, 2/20/2065(b)	$	3,391,994
	119,359	Government National Mortgage Association, Series 2015-H05, Class FA, 1-month LIBOR + 0.300%, 2.614%, 4/20/2061(b)		119,228
	3,147,090	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		3,118,065
	6,959,776	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		6,689,565
	382,638	Government National Mortgage Association, Series 2015-H11, Class FA, 1-month LIBOR + 0.250%, 2.564%, 4/20/2065(b)		382,310
	5,056,928	Government National Mortgage Association, Series 2015-H12, Class FL, 1-month LIBOR + 0.230%, 2.544%, 5/20/2065(b)		5,036,867
	2,229,850	Government National Mortgage Association, Series 2015-H19, Class FH, 1-month LIBOR + 0.300%, 2.614%, 7/20/2065(b)		2,227,768
	358,516	Government National Mortgage Association, Series 2015-H29, Class FA, 1-month LIBOR + 0.700%, 3.014%, 10/20/2065(b)		359,120
	180,762	Government National Mortgage Association, Series 2015-H30, Class FA, 1-month LIBOR + 0.680%, 2.994%, 8/20/2061(b)		181,040
	5,794,107	Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 3.234%, 2/20/2066(b)		5,886,640
	3,293,429	Government National Mortgage Association, Series 2016-H10, Class FJ, 1-month LIBOR + 0.600%, 2.914%, 4/20/2066(b)		3,297,896
	5,233,626	Government National Mortgage Association, Series 2016-H19, Class FJ, 1-month LIBOR + 0.400%, 2.714%, 9/20/2063(b)		5,232,973
	5,361,084	Government National Mortgage Association, Series 2017-H24, Class FJ, 1-month LIBOR + 0.250%, 2.564%, 10/20/2067(b)		5,354,338
	229,241	NCUA Guaranteed Notes, Series 2010-A1, Class A, 1-month LIBOR + 0.350%, 2.737%, 12/07/2020(b)		229,406
	421,260	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 1-month LIBOR + 0.450%, 2.830%, 10/07/2020(b)		421,782
	946,407	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 1-month LIBOR + 0.560%, 2.940%, 12/08/2020(b)		948,986
	62,428	NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 1-month LIBOR + 0.560%, 2.940%, 12/08/2020(b)		62,704

				96,729,111

		Hybrid ARMs – 7.8%
	1,288,231	FHLMC, 12-month LIBOR + 1.796%, 3.804%, 4/01/2037(b)		1,350,917
	317,107	FHLMC, 1-year CMT + 2.250%, 3.975%, 2/01/2035(b)		335,202
	401,141	FHLMC, 12-month LIBOR + 1.835%, 4.082%, 3/01/2038(b)		421,956
	215,850	FHLMC, 12-month LIBOR + 2.180%, 4.084%, 3/01/2037(b)		228,373
	766,267	FHLMC, 1-year CMT + 2.245%, 4.091%, 3/01/2036(b)		810,612
	563,752	FHLMC, 1-year CMT + 2.165%, 4.173%, 4/01/2036(b)		579,854
	654,711	FHLMC, 1-year CMT + 2.106%, 4.173%, 9/01/2038(b)		687,823
	265,719	FHLMC, 12-month LIBOR + 1.713%, 4.222%, 4/01/2037(b)		277,058


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

		Hybrid ARMs – continued
	$1,969,291	FHLMC, 1-year CMT + 2.276%, 4.234%, 2/01/2036(b)	$	2,078,077
	474,936	FHLMC, 6-month LIBOR + 1.660%, 4.235%, 6/01/2037(b)		483,308
	1,876,168	FHLMC, 12-month LIBOR + 1.896%, 4.271%, 9/01/2041(b)		1,961,878
	267,626	FHLMC, 12-month LIBOR + 1.614%, 4.301%, 11/01/2038(b)		279,611
	361,680	FHLMC, 12-month LIBOR + 1.850%, 4.315%, 11/01/2038(b)		379,974
	3,115,537	FHLMC, 1-year CMT + 2.252%, 4.415%, 3/01/2037(b)		3,273,761
	79,217	FHLMC, 12-month LIBOR + 1.719%, 4.415%, 12/01/2037(b)		81,913
	178,289	FHLMC, 1-year CMT + 2.214%, 4.432%, 9/01/2038(b)		186,592
	1,429,792	FHLMC, 1-year CMT + 2.220%, 4.441%, 7/01/2033(b)		1,501,897
	782,676	FHLMC, 1-year CMT + 2.249%, 4.486%, 9/01/2038(b)		823,304
	1,306,649	FHLMC, 12-month LIBOR + 1.771%, 4.520%, 9/01/2035(b)		1,367,743
	281,018	FHLMC, 12-month LIBOR + 1.935%, 4.574%, 12/01/2034(b)		296,734
	1,082,010	FHLMC, 1-year CMT + 2.286%, 4.746%, 2/01/2036(b)		1,138,917
	647,717	FNMA, 12-month LIBOR + 1.800%, 3.550%, 12/01/2041(b)		680,639
	802,023	FNMA, 1-year CMT + 2.185%, 3.599%, 1/01/2036(b)		848,696
	498,344	FNMA, 12-month LIBOR + 1.765%, 3.692%, 2/01/2037(b)		522,844
	659,694	FNMA, 12-month LIBOR + 1.635%, 3.784%, 4/01/2037(b)		689,677
	1,830,335	FNMA, 12-month LIBOR + 1.776%, 3.889%, 3/01/2037(b)		1,924,263
	1,152,602	FNMA, 12-month LIBOR + 1.820%, 3.917%, 2/01/2047(b)		1,223,237
	433,840	FNMA, 1-year CMT + 2.138%, 3.925%, 9/01/2034(b)		456,166
	76,095	FNMA, 12-month LIBOR + 1.807%, 3.955%, 1/01/2037(b)		79,838
	1,410,137	FNMA, 12-month LIBOR + 1.736%, 3.998%, 9/01/2037(b)		1,479,461
	77,333	FNMA, 6-month LIBOR + 1.543%, 4.022%, 2/01/2037(b)		79,811
	1,855,490	FNMA, 12-month LIBOR + 1.573%, 4.026%, 4/01/2037(b)		1,934,877
	227,755	FNMA, 12-month LIBOR + 1.800%, 4.045%, 3/01/2034(b)		239,278
	814,396	FNMA, 1-year CMT + 2.235%, 4.067%, 4/01/2034(b)		860,579
	214,181	FNMA, 1-year CMT + 2.193%, 4.068%, 4/01/2033(b)		222,157


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

		Hybrid ARMs – continued
	$ 949,389	FNMA, 6-month LIBOR + 1.544%, 4.073%, 7/01/2035(b)	$	980,221
	1,567,331	FNMA, 12-month LIBOR + 1.610%, 4.195%, 7/01/2035(b)		1,634,305
	2,769,035	FNMA, 1-year CMT + 2.218%, 4.225%, 4/01/2034(b)		2,918,456
	2,284,643	FNMA, 1-year CMT + 2.189%, 4.232%, 12/01/2040(b)		2,399,963
	780,882	FNMA, 1-year CMT + 2.177%, 4.235%, 6/01/2036(b)		823,822
	3,637,046	FNMA, 1-year CMT + 2.191%, 4.260%, 10/01/2034(b)		3,832,858
	390,297	FNMA, 12-month LIBOR + 1.677%, 4.275%, 11/01/2036(b)		408,187
	1,843,385	FNMA, 12-month LIBOR + 1.584%, 4.311%, 9/01/2037(b)		1,914,355
	200,188	FNMA, 12-month LIBOR + 1.574%, 4.324%, 8/01/2035(b)		209,533
	817,845	FNMA, 12-month LIBOR + 1.643%, 4.360%, 7/01/2038(b)		849,463
	391,269	FNMA, 1-year CMT + 2.145%, 4.368%, 9/01/2036(b)		411,640
	272,871	FNMA, 12-month LIBOR + 1.802%, 4.368%, 7/01/2041(b)		284,626
	1,322,412	FNMA, 1-year CMT + 2.272%, 4.383%, 6/01/2037(b)		1,388,224
	612,520	FNMA, 1-year CMT +2.287%, 4.389%, 6/01/2033(b)		640,810
	547,153	FNMA, 1-year CMT + 2.480%, 4.392%, 5/01/2035(b)		580,296
	377,339	FNMA, 12-month LIBOR + 1.657%, 4.407%, 8/01/2038(b)		389,363
	693,620	FNMA, 12-month LIBOR + 1.712%, 4.462%, 8/01/2034(b)		725,118
	575,694	FNMA, 1-year CMT + 2.223%, 4.473%, 8/01/2035(b)		605,901
	1,702,410	FNMA, 1-year CMT + 2.183%, 4.474%, 11/01/2033(b)		1,789,464
	274,992	FNMA, 12-month LIBOR + 1.746%, 4.497%, 11/01/2035(b)		287,726
	363,420	FNMA, 12-month LIBOR + 1.659%, 4.503%, 10/01/2033(b)		379,033
	256,482	FNMA, 1-year CMT + 2.500%, 4.531%, 8/01/2036(b)		272,595
	449,933	FNMA, 1-year CMT + 2.185%, 4.570%, 12/01/2034(b)		467,573
	573,981	FNMA, 1-year CMT + 2.287%, 4.623%, 10/01/2033(b)		599,945
	122,326	FNMA, 1-year CMT + 2.439%, 4.641%, 8/01/2033(b)		128,580
	2,305,148	FNMA, 12-month LIBOR + 1.800%, 4.663%, 10/01/2041(b)		2,403,751
	1,315,238	FNMA, 6-month LIBOR + 2.288%, 4.848%, 7/01/2037(b)		1,393,353
	528,389	FNMA, 12-month LIBOR + 2.473%, 5.098%, 6/01/2035(b)		562,970

				59,069,158


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

		Mortgage Related – 8.5%
	$ 67,024	FHLMC, 3.000%, 10/01/2026	$	67,274
	489,321	FHLMC, 4.000%, with various maturities from 2024 to 2042(f)		502,993
	253,561	FHLMC, 4.500%, with various maturities from 2025 to 2034(f)		261,000
	108,145	FHLMC, 5.500%, 10/01/2023		111,273
	86,436	FHLMC, COFI + 1.250%, 5.772%, 6/01/2020(b)		87,250
	119,636	FHLMC, COFI + 1.250%, 5.895%, 8/01/2020(b)		121,025
	93,906	FHLMC, COFI + 1.250%, 5.922%, 10/01/2020(b)		95,114
	131,881	FHLMC, COFI + 1.250%, 5.953%, 11/01/2020(b)		133,520
	3,538	FHLMC, 6.000%, 11/01/2019		3,553
	246,555	FHLMC, 6.500%, 12/01/2034		277,920
	219	FHLMC, 7.500%, 6/01/2026		234
	135,197	FNMA, 3.000%, 3/01/2042		132,904
	1,410,308	FNMA, 5.000%, with various maturities from 2037 to 2038(f)		1,497,327
	670,933	FNMA, 5.500%, with various maturities from 2023 to 2033(f)		700,254
	697,251	FNMA, 6.000%, with various maturities from 2021 to 2022(f)		719,331
	183,729	FNMA, 6.500%, with various maturities from 2032 to 2037(f)		198,966
	71,436	FNMA, 7.500%, with various maturities from 2030 to 2032(f)		76,838
	3,241,873	GNMA, 1-month LIBOR + 1.716%, 3.968%, 2/20/2061(b)		3,377,158
	2,563,819	GNMA, 1-month LIBOR + 1.890%, 4.151%, 2/20/2063(b)		2,673,068
	1,280,609	GNMA, 4.382%, 12/20/2061(a)		1,286,704
	1,410,074	GNMA, 4.402%, 3/20/2063(a)		1,430,178
	3,377,233	GNMA, 1-month LIBOR + 2.150%, 4.411%, 3/20/2063(b)		3,516,760
	1,311,081	GNMA, 4.415%, 2/20/2063(a)		1,327,212
	2,873,118	GNMA, 4.428%, 6/20/2063(a)		2,921,304
	1,797,113	GNMA, 4.440%, 2/20/2062(a)		1,804,605
	206,594	GNMA, 4.445%, 8/20/2061(a)		208,011
	4,560,756	GNMA, 4.482%, 12/20/2061(a)		4,572,660
	3,475,112	GNMA, 4.498%, 10/20/2065(a)		3,680,880
	1,862,921	GNMA, 4.504%, 6/20/2062(a)		1,876,039
	928,205	GNMA, 4.510%, 3/20/2062(a)		932,984
	840,433	GNMA, 1-month LIBOR + 2.260%, 4.521%, 5/20/2065(b)		890,866
	883,711	GNMA, 1-month LIBOR + 2.283%, 4.534%, 6/20/2065(b)		941,667


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

		Mortgage Related – continued
	$ 4,282,621	GNMA, 4.535%, 12/20/2062(a)	$	4,332,451
	1,037,352	GNMA, 4.554%, 4/20/2063(a)		1,051,053
	6,834,158	GNMA, 4.572%, 11/20/2062(a)		6,903,913
	481,363	GNMA, 4.598%, 7/20/2063(a)		504,476
	1,901,586	GNMA, 4.602%, 2/20/2066(a)		2,005,549
	556,338	GNMA, 4.619%, 3/20/2062(a)		558,884
	1,872,622	GNMA, 4.624%, 3/20/2064(a)		1,971,228
	1,834,327	GNMA, 1-month LIBOR + 2.366%, 4.629%, 2/20/2063(b)		1,918,620
	185,963	GNMA, 4.645%, 8/20/2061(a)		187,055
	397,835	GNMA, 4.651%, 1/20/2064(a)		419,839
	2,290,919	GNMA, 4.665%, 2/20/2062(a)		2,300,853
	2,899,311	GNMA, 4.674%, with various maturities from 2062 to 2063(a)(f)		3,008,390
	1,496,200	GNMA, 4.688%, 5/20/2064(a)		1,583,786
	35,669	GNMA, 4.700%, with various maturities in 2061(a)(f)		36,148
	243,934	GNMA, 4.701%, 8/20/2061(a)		244,473
	43,118	GNMA, 4.707%, 3/20/2061(a)		43,708
	401,546	GNMA, 4.709%, 8/20/2062(a)		404,406
	165,980	GNMA, 4.998%, 4/20/2061(a)		167,975
	12,469	GNMA, 6.000%, 12/15/2031		13,561
	52,283	GNMA, 6.500%, 5/15/2031		58,828
	58,862	GNMA, 7.000%, 10/15/2028		63,996

				64,206,064

		Non-Agency Commercial Mortgage-Backed Securities – 2.1%
	1,310,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		1,283,223
	1,488,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, 3.961%, 3/10/2047		1,525,467
	4,282,000	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049		4,323,316
	1,398,894	DBUBS Mortgage Trust, Series 2011-LC2A, Class A4, 4.537%, 7/10/2044, 144A		1,438,234
	2,600,000	Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A		2,595,774
	1,040,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A4, 3.134%, 12/15/2048		1,033,500
	3,356,982	Starwood Retail Property Trust, Inc., Series 2014-STAR, Class A, 1-month LIBOR + 1.220%, 3.675%, 11/15/2027, 144A(b)		3,259,538

				15,459,052

		Sovereigns – 0.3%
	1,955,000	U.S. Department of Housing and Urban Development, 1.880%, 8/01/2019		1,946,457

		Treasuries – 33.2%
	18,165,000	U.S. Treasury Note, 1.125%, 8/31/2021		17,533,482
	20,945,000	U.S. Treasury Note, 1.250%, 7/31/2023		19,808,570
	5,000,000	U.S. Treasury Note, 1.375%, 9/30/2023		4,747,070
	26,050,000	U.S. Treasury Note, 1.750%, 11/30/2021		25,524,930
	8,460,000	U.S. Treasury Note, 1.750%, 6/30/2022		8,255,109
	12,605,000	U.S. Treasury Note, 1.750%, 9/30/2022		12,272,149


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

		Treasuries – continued
	$ 7,895,000	U.S. Treasury Note, 1.875%, 4/30/2022	$	7,743,885
	17,015,000	U.S. Treasury Note, 2.000%, 12/31/2021		16,782,373
	2,855,000	U.S. Treasury Note, 2.000%, 11/15/2026		2,725,298
	13,945,000	U.S. Treasury Note, 2.125%, 9/30/2021		13,812,631
	13,805,000	U.S. Treasury Note, 2.250%, 1/31/2024		13,625,427
	7,355,000	U.S. Treasury Note, 2.250%, 11/15/2027		7,104,758
	8,000,000	U.S. Treasury Note, 2.375%, 12/31/2020		7,982,188
	6,660,000	U.S. Treasury Note, 2.500%, 12/31/2020		6,659,740
	2,675,000	U.S. Treasury Note, 2.625%, 12/31/2023		2,689,002
	7,835,000	U.S. Treasury Note, 2.875%, 11/15/2021		7,922,226
	67,520,000	U.S. Treasury Note, 2.875%, 10/31/2023		68,643,575
	6,030,000	U.S. Treasury Note, 2.875%, 11/30/2023		6,135,054

				249,967,467

		Total Bonds and Notes (Identified Cost $629,772,408)		623,597,411

	Short-Term Investments – 17.0%
	40,270,000	Federal Home Loan Bank Discount Notes, 2.100%, 1/04/2019(g)		40,264,684
	57,355,000	Federal Home Loan Bank Discount Notes, 2.100%, 1/07/2019(g)		57,336,016
	9,430,944	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $9,431,730 on 1/02/2019 collateralized by $7,810,000 U.S. Treasury Bond, 4.375% due 5/15/2041 valued at $9,625,630 including accrued interest(h)		9,430,944
	21,030,000	U.S. Treasury Bills, 2.365%-2.413%, 4/18/2019(g)(i)		20,881,775

		Total Short-Term Investments (Identified Cost $127,914,609)		127,913,419

		Total Investments – 99.8% (Identified Cost $757,687,017)		751,510,830
		Other assets less liabilities – 0.2%		1,845,103

		Net Assets – 100.0%	$	753,355,933

(†)

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

As of December 31, 2018, securities held by the Fund were fair valued as follows:


Securities fair valued by the Fund’s adviser	Percentage of Net Assets
$174,480		Less than 0.1	%

(a)

(b)	Variable rate security. Rate as of December 31, 2018 is disclosed.

(c)	Level 3 security. Value has been determined using significant unobservable inputs.

(d)	Fair valued by the Fund’s adviser. At December 31, 2018, the value of these securities amounted to $174,480 or less than 0.1% of net assets.

(e)	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.

(f)

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.

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

(h)

(i)	The Fund’s investment in U.S. Government/Agency securities 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

CMT	Constant Maturity Treasury

COFI	Cost Of Funds Index

FHLMC

Federal Home Loan Mortgage Corp.

FNMA	Federal National Mortgage Association

GNMA	Government National Mortgage Association

LIBOR

London Interbank Offered Rate

MTA	Monthly Treasury Average Interest

REMIC

Real Estate Mortgage Investment Conduit

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Collateralized Mortgage Obligations	$	—	$	96,554,631	$	174,480	(a)	$	96,729,111
All Other Bonds and Notes*		—		526,868,300		—			526,868,300

Total Bonds and Notes		—		623,422,931		174,480			623,597,411

Short-Term Investments		—		127,913,419		—			127,913,419

Total	$	—	$	751,336,350	$	174,480		$	751,510,830

*	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.

For the period ended December 31, 2018, there were no transfers among Levels 1, 2 and 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2018 and/or December 31, 2018:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2018		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2018		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2018
Bonds and Notes
Collateralized Mortgage Obligations	$	191,318	$	—	$	(21	)	$	310	$	—	$	(17,127	)	$	—	$	—	$	174,480	$	18

Industry Summary at December 31, 2018 (Unaudited)


Treasuries	33.2	%
Agency Commercial Mortgage-Backed Securities	15.3
Collateralized Mortgage Obligations	12.8
Mortgage Related	8.5
Hybrid ARMs	7.8
Non-Agency Commercial Mortgage-Backed Securities	2.1
Other Investments, less than 2% each	3.1
Short-Term Investments	17.0

Total Investments	99.8
Other assets less liabilities	0.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2018 (Unaudited)

Loomis Sayles Small Cap Growth Fund


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

		Aerospace & Defense – 3.6%
	332,286	AAR Corp.	$	12,407,559
	306,281	Astronics Corp.(a)		9,326,257
	249,920	Hexcel Corp.		14,330,413
	199,083	Mercury Systems, Inc.(a)		9,414,635

				45,478,864

		Auto Components – 0.5%
	278,068	Stoneridge, Inc.(a)		6,854,376

		Banks – 2.7%
	226,365	Chemical Financial Corp.		8,287,222
	250,761	Pacific Premier Bancorp, Inc.(a)		6,399,421
	205,182	Pinnacle Financial Partners, Inc.		9,458,890
	163,274	UMB Financial Corp.		9,954,816

				34,100,349

		Beverages – 0.8%
	173,321	MGP Ingredients, Inc.		9,887,963

		Biotechnology – 4.7%
	344,065	Aimmune Therapeutics, Inc.(a)		8,230,035
	120,295	Argenx SE, ADR(a)		11,556,740
	141,707	Blueprint Medicines Corp.(a)		7,639,424
	229,731	Genomic Health, Inc.(a)		14,796,974
	289,385	Myriad Genetics, Inc.(a)		8,412,422
	250,456	Xencor, Inc.(a)		9,056,489

				59,692,084

		Building Products – 1.6%
	127,295	AAON, Inc.		4,462,963
	268,273	Trex Co., Inc.(a)		15,924,685

				20,387,648

		Capital Markets – 0.5%
	297,946	Artisan Partners Asset Management, Inc., Class A		6,587,586

		Chemicals – 1.3%
	198,146	Ingevity Corp.(a)		16,582,839

		Construction & Engineering – 0.8%
	539,530	Primoris Services Corp.		10,321,209

		Consumer Finance – 1.4%
	219,635	Green Dot Corp., Class A(a)		17,465,375

		Distributors – 1.5%
	130,466	Pool Corp.		19,393,771

		Diversified Consumer Services – 5.2%
	122,437	Bright Horizons Family Solutions, Inc.(a)		13,645,604


Shares		Description	Value (†)
	Common Stocks – continued

		Diversified Consumer Services – continued
	564,631	Chegg, Inc.(a)	$	16,046,813
	203,882	Grand Canyon Education, Inc.(a)		19,601,215
	1,122,268	Laureate Education, Inc., Class A(a)		17,103,364

				66,396,996

		Diversified Telecommunication Services – 1.1%
	324,547	Cogent Communications Holdings, Inc.		14,672,770

		Electrical Equipment – 1.3%
	337,560	Generac Holdings, Inc.(a)		16,776,732

		Electronic Equipment, Instruments & Components – 0.4%
	80,410	Novanta, Inc.(a)		5,065,830

		Energy Equipment & Services – 1.0%
	447,837	Cactus, Inc., Class A(a)		12,275,212

		Entertainment – 1.0%
	647,741	IMAX Corp.(a)		12,184,008

		Food & Staples Retailing – 0.9%
	377,044	Chefs’ Warehouse, Inc. (The)(a)		12,057,867

		Food Products – 1.1%
	447,660	Freshpet, Inc.(a)		14,396,746

		Health Care Equipment & Supplies – 7.6%
	533,947	AtriCure, Inc.(a)		16,338,778
	218,947	Insulet Corp.(a)		17,366,876
	196,158	iRhythm Technologies, Inc.(a)		13,629,058
	242,817	Merit Medical Systems, Inc.(a)		13,551,617
	78,852	Penumbra, Inc.(a)		9,635,714
	174,747	Tactile Systems Technology, Inc.(a)		7,959,726
	697,496	Wright Medical Group NV(a)		18,985,841

				97,467,610

		Health Care Providers & Services – 4.3%
	131,981	Amedisys, Inc.(a)		15,456,295
	288,309	AMN Healthcare Services, Inc.(a)		16,335,588
	269,038	BioTelemetry, Inc.(a)		16,066,949
	69,305	LHC Group, Inc.(a)		6,506,354

				54,365,186

		Health Care Technology – 5.3%
	440,381	Evolent Health, Inc., Class A(a)		8,785,601
	270,516	HMS Holdings Corp.(a)		7,609,615
	262,539	Medidata Solutions, Inc.(a)		17,700,379
	265,214	Teladoc Health, Inc.(a)		13,146,658
	507,333	Vocera Communications, Inc.(a)		19,963,554

				67,205,807

		Hotels, Restaurants & Leisure – 3.2%
	394,380	Planet Fitness, Inc., Class A(a)		21,146,656
	298,481	Wingstop, Inc.		19,159,495

				40,306,151


Shares		Description	Value (†)
	Common Stocks – continued

		Insurance – 3.1%
	360,863	Goosehead Insurance, Inc., Series A(a)	$	9,487,089
	327,284	Kinsale Capital Group, Inc.		18,183,899
	467,770	Trupanion, Inc.(a)		11,909,424

				39,580,412

		Internet & Direct Marketing Retail – 0.7%
	362,281	Duluth Holdings, Inc., Class B(a)		9,140,350

		IT Services – 6.6%
	138,296	Euronet Worldwide, Inc.(a)		14,158,745
	297,102	EVERTEC, Inc.		8,526,827
	557,087	Evo Payments, Inc., Class A(a)		13,743,336
	312,018	InterXion Holding NV(a)		16,898,895
	342,301	Virtusa Corp.(a)		14,578,600
	398,127	WNS Holdings Ltd., ADR(a)		16,426,720

				84,333,123

		Leisure Products – 0.7%
	254,239	Malibu Boats, Inc., Class A(a)		8,847,517

		Life Sciences Tools & Services – 2.3%
	649,544	NeoGenomics, Inc.(a)		8,190,750
	227,512	PRA Health Sciences, Inc.(a)		20,922,003

				29,112,753

		Machinery – 6.5%
	272,710	Albany International Corp., Class A		17,025,285
	152,173	Chart Industries, Inc.(a)		9,895,810
	706,857	Harsco Corp.(a)		14,038,180
	514,713	Kornit Digital Ltd.(a)		9,635,427
	143,084	Proto Labs, Inc.(a)		16,138,445
	128,172	RBC Bearings, Inc.(a)		16,803,349

				83,536,496

		Oil, Gas & Consumable Fuels – 0.5%
	236,690	PDC Energy, Inc.(a)		7,043,894

		Pharmaceuticals – 1.2%
	332,362	Horizon Pharma PLC(a)		6,494,353
	255,666	Supernus Pharmaceuticals, Inc.(a)		8,493,225

				14,987,578

		Professional Services – 1.6%
	220,624	Huron Consulting Group, Inc.(a)		11,320,217
	139,209	ICF International, Inc.		9,017,959

				20,338,176


Shares		Description	Value (†)
	Common Stocks – continued

		Semiconductors & Semiconductor Equipment – 2.9%
	131,384	MKS Instruments, Inc.	$	8,488,720
	133,678	Monolithic Power Systems, Inc.		15,540,068
	169,085	Silicon Laboratories, Inc.(a)		13,325,589

				37,354,377

		Software – 14.2%
	202,448	Cornerstone OnDemand, Inc.(a)		10,209,453
	312,170	Envestnet, Inc.(a)		15,355,642
	473,073	Five9, Inc.(a)		20,682,752
	167,624	Globant S.A.(a)		9,440,584
	203,270	Guidewire Software, Inc.(a)		16,308,352
	117,236	HubSpot, Inc.(a)		14,740,082
	493,340	Mimecast Ltd.(a)		16,591,024
	373,273	Q2 Holdings, Inc.(a)		18,495,677
	507,411	Rapid7, Inc.(a)		15,810,927
	342,301	RealPage, Inc.(a)		16,495,485
	219,254	RingCentral, Inc., Class A(a)		18,075,300
	179,367	Varonis Systems, Inc.(a)		9,488,514

				181,693,792

		Textiles, Apparel & Luxury Goods – 3.7%
	201,358	Columbia Sportswear Co.		16,932,194
	698,444	Crocs, Inc.(a)		18,145,575
	424,282	Steven Madden Ltd.		12,838,774

				47,916,543

		Thrifts & Mortgage Finance – 0.5%
	201,281	Essent Group Ltd.(a)		6,879,785

		Trading Companies & Distributors – 1.7%
	518,882	BMC Stock Holdings, Inc.(a)		8,032,293
	252,443	SiteOne Landscape Supply, Inc.(a)		13,952,525

				21,984,818

		Total Common Stocks (Identified Cost $1,016,898,364)		1,252,672,593


Principal Amount
	Short-Term Investments – 3.0%
	$ 38,837,112	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $38,840,349 on 1/02/2019 collateralized by $32,145,000 U.S. Treasury Bond, 4.375% due 5/15/2041 valued at $39,617,909 including accrued interest(b) (Identified Cost $38,837,112)		38,837,112

		Total Investments – 101.0% (Identified Cost $1,055,735,476)		1,291,509,705
		Other assets less liabilities – (1.0)%		(12,718,276	)

		Net Assets – 100.0%	$	1,278,791,429

(†)

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)	Non-income producing security.

(b)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,252,672,593	$	—	$	—	$	1,252,672,593
Short-Term Investments		—		38,837,112		—		38,837,112

Total	$	1,252,672,593	$	38,837,112	$	—	$	1,291,509,705

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

For the period ended December 31, 2018, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2018 (Unaudited)


Software	14.2	%
Health Care Equipment & Supplies	7.6
IT Services	6.6
Machinery	6.5
Health Care Technology	5.3
Diversified Consumer Services	5.2
Biotechnology	4.7
Health Care Providers & Services	4.3
Textiles, Apparel & Luxury Goods	3.7
Aerospace & Defense	3.6
Hotels, Restaurants & Leisure	3.2
Insurance	3.1
Semiconductors & Semiconductor Equipment	2.9
Banks	2.7
Life Sciences Tools & Services	2.3
Other Investments, less than 2% each	22.1
Short-Term Investments	3.0

Total Investments	101.0
Other assets less liabilities	(1.0	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2018 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund


Shares		Description	Value (†)
	Common Stocks – 98.7% of Net Assets

		Aerospace & Defense – 3.2%
	3,294	HEICO Corp.	$	255,219
	3,562	Hexcel Corp.		204,245

				459,464

		Banks – 2.8%
	3,366	Columbia Banking System, Inc.		122,152
	2,219	UMB Financial Corp.		135,293
	3,608	Western Alliance Bancorp(a)		142,480

				399,925

		Biotechnology – 3.2%
	1,093	Argenx SE, ADR(a)		105,004
	1,958	Ascendis Pharma AS, ADR(a)		122,669
	2,005	Blueprint Medicines Corp.(a)		108,090
	1,855	Neurocrine Biosciences, Inc.(a)		132,465

				468,228

		Capital Markets – 3.5%
	1,032	MarketAxess Holdings, Inc.		218,072
	982	Morningstar, Inc.		107,863
	1,226	MSCI, Inc.		180,749

				506,684

		Chemicals – 1.7%
	2,964	Ingevity Corp.(a)		248,057

		Commercial Services & Supplies – 2.9%
	4,484	KAR Auction Services, Inc.		213,977
	6,145	Ritchie Bros. Auctioneers, Inc.		201,064

				415,041

		Communications Equipment – 1.3%
	5,492	Ciena Corp.(a)		186,234

		Consumer Finance – 0.8%
	1,458	Green Dot Corp., Class A(a)		115,940

		Distributors – 0.8%
	754	Pool Corp.		112,082

		Diversified Consumer Services – 4.5%
	2,080	Bright Horizons Family Solutions, Inc.(a)		231,816
	2,780	Grand Canyon Education, Inc.(a)		267,269
	10,551	Laureate Education, Inc., Class A(a)		160,797

				659,882

		Diversified Telecommunication Services – 1.4%
	4,477	Cogent Communications Holdings, Inc.		202,405


Shares		Description	Value (†)
	Common Stocks – continued

		Electrical Equipment – 2.5%
	4,709	Generac Holdings, Inc.(a)	$	234,037
	3,035	Sensata Technologies Holding PLC(a)		136,090

				370,127

		Electronic Equipment, Instruments & Components – 4.2%
	4,247	FLIR Systems, Inc.		184,914
	4,898	National Instruments Corp.		222,271
	6,047	Trimble, Inc.(a)		199,007

				606,192

		Energy Equipment & Services – 0.9%
	4,659	Cactus, Inc., Class A(a)		127,703

		Entertainment – 1.7%
	5,099	Live Nation Entertainment, Inc.(a)		251,126

		Food & Staples Retailing – 1.3%
	7,872	Sprouts Farmers Market, Inc.(a)		185,071

		Food Products – 1.1%
	9,844	Nomad Foods Ltd.(a)		164,592

		Health Care Equipment & Supplies – 9.3%
	3,107	Globus Medical, Inc.(a)		134,471
	1,822	Haemonetics Corp.(a)		182,291
	2,263	Insulet Corp.(a)		179,501
	1,198	LivaNova PLC(a)		109,581
	3,606	Merit Medical Systems, Inc.(a)		201,251
	911	Penumbra, Inc.(a)		111,324
	1,755	West Pharmaceutical Services, Inc.		172,043
	9,278	Wright Medical Group NV(a)		252,547

				1,343,009

		Health Care Providers & Services – 2.9%
	1,957	LHC Group, Inc.(a)		183,723
	1,032	WellCare Health Plans, Inc.(a)		243,645

				427,368

		Health Care Technology – 3.0%
	3,026	Medidata Solutions, Inc.(a)		204,013
	2,630	Veeva Systems, Inc., Class A(a)		234,912

				438,925

		Hotels, Restaurants & Leisure – 4.9%
	5,194	Planet Fitness, Inc., Class A(a)		278,502
	3,638	Texas Roadhouse, Inc.		217,189
	995	Vail Resorts, Inc.		209,766

				705,457

		Insurance – 1.3%
	2,836	Kemper Corp.		188,254


Shares		Description	Value (†)
	Common Stocks – continued

		IT Services – 7.6%
	4,520	Black Knight, Inc.(a)	$	203,671
	3,625	Booz Allen Hamilton Holding Corp.		163,379
	1,712	Broadridge Financial Solutions, Inc.		164,780
	1,854	EPAM Systems, Inc.(a)		215,083
	6,696	Evo Payments, Inc., Class A(a)		165,190
	1,384	WEX, Inc.(a)		193,843

				1,105,946

		Life Sciences Tools & Services – 1.9%
	2,101	ICON PLC(a)		271,470

		Machinery – 3.6%
	4,057	Altra Industrial Motion Corp.		102,033
	6,742	Gardner Denver Holdings, Inc.(a)		137,874
	3,942	Sun Hydraulics Corp.		130,835
	1,426	WABCO Holdings, Inc.(a)		153,067

				523,809

		Oil, Gas & Consumable Fuels – 0.9%
	1,472	Diamondback Energy, Inc.		136,454

		Pharmaceuticals – 1.3%
	3,770	Horizon Pharma PLC(a)		73,666
	2,988	Zogenix, Inc.(a)		108,942

				182,608

		Professional Services – 3.1%
	745	CoStar Group, Inc.(a)		251,318
	3,381	TransUnion		192,041

				443,359

		Real Estate Management & Development – 1.0%
	2,119	First Service Corp.		145,109

		Semiconductors & Semiconductor Equipment – 2.8%
	2,212	Advanced Energy Industries, Inc.(a)		94,961
	3,197	Semtech Corp.(a)		146,646
	2,148	Silicon Laboratories, Inc.(a)		169,284

				410,891

		Software – 11.7%
	3,002	Guidewire Software, Inc.(a)		240,850
	1,975	HubSpot, Inc.(a)		248,317
	2,678	j2 Global, Inc.		185,800
	2,890	Paylocity Holding Corp.(a)		174,007
	3,515	PTC, Inc.(a)		291,394
	964	Tyler Technologies, Inc.(a)		179,130
	864	Ultimate Software Group, Inc. (The)(a)		211,568
	2,819	Zendesk, Inc.(a)		164,545

				1,695,611


Shares		Description	Value (†)
	Common Stocks – continued

		Specialty Retail – 0.8%
	1,126	Five Below, Inc.(a)	$	115,212

		Textiles, Apparel & Luxury Goods – 3.0%
	1,559	Carter’s, Inc.		127,246
	2,425	Columbia Sportswear Co.		203,918
	6,012	Under Armour, Inc., Class A(a)		106,232

				437,396

		Trading Companies & Distributors – 1.8%
	8,587	BMC Stock Holdings, Inc.(a)		132,927
	2,440	SiteOne Landscape Supply, Inc.(a)		134,859

				267,786

		Total Common Stocks (Identified Cost $14,996,956)		14,317,417


Principal Amount
	Short-Term Investments – 1.4%
	$ 197,196	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $197,213 on 1/02/2019 collateralized by $200,000 U.S. Treasury Bond, 3.125% due 2/15/2043 valued at $205,645 including accrued interest(b) (Identified Cost $197,196)		197,196

		Total Investments – 100.1% (Identified Cost $15,194,152)		14,514,613
		Other assets less liabilities – (0.1)%		(14,329	)

		Net Assets – 100.0%	$	14,500,284

(†)

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)	Non-income producing security.

(b)

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

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	14,317,417	$	—	$	—	$	14,317,417
Short-Term Investments		—		197,196		—		197,196

Total	$	14,317,417	$	197,196	$	—	$	14,514,613

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

For the period ended December 31, 2018, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2018 (Unaudited)


Software	11.7	%
Health Care Equipment & Supplies	9.3
IT Services	7.6
Hotels, Restaurants & Leisure	4.9
Diversified Consumer Services	4.5
Electronic Equipment, Instruments & Components	4.2
Machinery	3.6
Capital Markets	3.5
Biotechnology	3.2
Aerospace & Defense	3.2
Professional Services	3.1
Health Care Technology	3.0
Textiles, Apparel & Luxury Goods	3.0
Health Care Providers & Services	2.9
Commercial Services & Supplies	2.9
Semiconductors & Semiconductor Equipment	2.8
Banks	2.8
Electrical Equipment	2.5
Other Investments, less than 2% each	20.0
Short-Term Investments	1.4

Total Investments	100.1
Other assets less liabilities	(0.1	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2018 (Unaudited)

Loomis Sayles Strategic Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 71.7% of Net Assets

	Non-Convertible Bonds – 65.6%

		ABS Other – 0.4%
	$ 22,634,002	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(a)(b)(c)(d)	$	17,303,695
	9,154,407	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(a)(b)(c)(d)		4,437,141
	42,000,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(a)(b)(c)(d)(e)		—
	9,214,686	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(d)(f)		8,830,591

				30,571,427

		Aerospace & Defense – 1.0%
	620,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		420,494
	10,225,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		9,125,813
	3,145,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		3,247,244
	9,576,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A		8,933,163
	8,815,000	Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A		9,255,750
	5,310,000	Textron Financial Corp., 3-month LIBOR + 1.735%, 4.351%, 2/15/2067, 144A(g)		3,823,200
	24,513,000	TransDigm, Inc., 6.500%, 7/15/2024		23,838,892
	17,765,000	TransDigm, Inc., 6.500%, 5/15/2025		16,965,575

				75,610,131

		Airlines – 2.7%
	130,040,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		130,365,100
	1,868,814	American Airlines Pass Through Certificates, Series 2016-3, Class B, 3.750%, 4/15/2027		1,793,846
	1,108,954	American Airlines Pass Through Certificates, Series 2017-2, Class B, 3.700%, 4/15/2027		1,072,619
	10,946,717	American Airlines Pass Through Certificates, Series 2013-1, Class A, 4.000%, 1/15/2027		10,870,856
	1,761,389	Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021		1,787,422
	1,788,181	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		1,809,228
	930	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		966
	193,163	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		201,505
	422,037	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA Insured), 6.264%, 5/20/2023(a)		427,692
	4,772,133	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021(a)		4,926,846
	48,950,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		49,341,600
	1,051,798	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A		1,066,345

				203,664,025

		Automotive – 0.5%
	1,210,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		1,076,900
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,215,693


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

	Non-Convertible Bonds – continued

		Automotive – continued
	$ 1,345,000	Ford Motor Co., 7.500%, 8/01/2026	$	1,455,249
	4,795,000	Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027		4,207,613
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		4,852,575
	26,055,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		23,710,050

				36,518,080

		Banking – 4.7%
	6,000,000	Ally Financial, Inc., 8.000%, 11/01/2031		6,660,000
	983,000	Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028		918,269
	265,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		257,739
	7,045,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		6,771,414
	36,445,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		24,943,855
	3,450,000	Cooperatieve Rabobank UA, 3.950%, 11/09/2022		3,438,746
	2,165,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		1,683,374
	25,000,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		18,437,408
	19,245,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		17,452,955
	36,195,000	Morgan Stanley, 4.350%, 9/08/2026		35,174,457
	185,000,000	Morgan Stanley, GMTN, 5.000%, 9/30/2021, (AUD)		137,328,147
	46,735,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		46,802,501
	10,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		11,073,198
	53,095,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		38,950,464

				349,892,527

		Brokerage – 1.4%
	3,325,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		3,233,562
	1,675,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.250%, 8/15/2024, 144A		1,549,375
	22,540,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		22,483,650
	43,025,000	Jefferies Group LLC, 5.125%, 1/20/2023		43,991,734
	20,010,000	Jefferies Group LLC, 6.250%, 1/15/2036		20,063,945
	15,215,000	Jefferies Group LLC, 6.450%, 6/08/2027		15,909,254

				107,231,520

		Building Materials – 0.3%
	5,565,000	American Woodmark Corp., 4.875%, 3/15/2026, 144A		4,925,025
	1,859,000	Masco Corp., 6.500%, 8/15/2032		2,055,030
	195,000	Masco Corp., 7.125%, 3/15/2020		203,702
	1,226,000	Masco Corp., 7.750%, 8/01/2029		1,461,024
	10,800,000	Owens Corning, 7.000%, 12/01/2036		11,944,385

				20,589,166

		Cable Satellite – 1.4%
	850,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		826,625
	975,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A		934,781
	3,315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		3,281,850
	4,360,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		4,229,200
	17,880,000	CSC Holdings LLC, 5.375%, 2/01/2028, 144A		16,443,878


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

	Non-Convertible Bonds – continued

			Cable Satellite – continued
	$ 17,679,000		DISH DBS Corp., 5.875%, 11/15/2024	$	14,231,595
	25,270,000		Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		18,902,338
	4,835,000		Time Warner Cable LLC, 4.500%, 9/15/2042		3,886,872
	135,000		Time Warner Cable LLC, 5.875%, 11/15/2040		128,933
	11,275,000		Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		8,387,949
	7,000,000		Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		6,723,500
	18,245,000		VTR Finance BV, 6.875%, 1/15/2024, 144A		18,245,000
	6,150,000		Ziggo BV, 5.500%, 1/15/2027, 144A		5,504,250

					101,726,771

			Chemicals – 2.1%
	19,810,000		Aruba Investments, Inc., 8.750%, 2/15/2023, 144A		19,611,900
	3,416,000		Chemours Co. (The), 6.625%, 5/15/2023		3,450,160
	18,254,000		Consolidated Energy Finance S.A., 6.500%, 5/15/2026, 144A		17,478,205
	26,164,000		Hexion, Inc., 7.875%, 2/15/2023(d)(f)		14,390,200
	8,757,000		Hexion, Inc., 9.200%, 3/15/2021(d)(f)		4,816,350
	21,660,000		Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		9,530,400
	90,205,000		INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		89,536,926
	885,000		TPC Group, Inc., 8.750%, 12/15/2020, 144A		840,750

					159,654,891

			Construction Machinery – 0.1%
	1,310,000		United Rentals North America, Inc., 4.875%, 1/15/2028		1,149,525
	5,105,000		United Rentals North America, Inc., 5.750%, 11/15/2024		4,913,563
	3,850,000		United Rentals North America, Inc., 6.500%, 12/15/2026		3,792,250

					9,855,338

			Consumer Cyclical Services – 0.1%
	5,500,000		ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		5,610,000

			Consumer Products – 0.1%
	11,880,000		Avon Products, Inc., 8.950%, 3/15/2043		9,207,000

			Electric – 1.2%
	5,093,000		AES Corp. (The), 4.875%, 5/15/2023		4,978,408
	9,371,000		AES Corp. (The), 5.500%, 4/15/2025		9,322,739
	31,019,830		Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		33,672,281
	29,959,000		EDP Finance BV, 4.125%, 1/15/2020, 144A		29,990,157
	3,570,000		Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		4,303,504
	5,991,000		Vistra Energy Corp., 7.625%, 11/01/2024		6,320,505

					88,587,594

			Finance Companies – 3.5%
	6,847,000		iStar, Inc., 5.000%, 7/01/2019		6,825,603
	2,260,000		Navient Corp., 5.875%, 10/25/2024		1,887,100
	109,950	(††)	Navient Corp., 6.000%, 12/15/2043		1,806,845
	47,944,000		Navient Corp., MTN, 6.125%, 3/25/2024		41,111,980
	22,945,000		Navient LLC, 5.500%, 1/25/2023		20,076,875
	6,490,000		Navient LLC, MTN, 7.250%, 1/25/2022		6,262,850


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

	Non-Convertible Bonds – continued

		Finance Companies – continued
	$ 50,910,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033	$	33,600,600
	45,875,000	Springleaf Finance Corp., 5.250%, 12/15/2019		45,984,182
	23,115,000	Springleaf Finance Corp., 6.875%, 3/15/2025		20,687,925
	4,075,000	Springleaf Finance Corp., 7.125%, 3/15/2026		3,636,938
	26,970,000	Springleaf Finance Corp., 7.750%, 10/01/2021		27,071,138
	55,015,000	Springleaf Finance Corp., 8.250%, 10/01/2023		56,527,912

				265,479,948

		Financial Other – 0.3%
	25,465,000	Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A		24,764,712

		Gaming – 0.1%
	5,475,000	International Game Technology PLC, 6.250%, 1/15/2027, 144A		5,256,000

		Government Guaranteed – 0.9%
	95,480,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		70,130,420

		Government Owned - No Guarantee – 0.9%
	22,160,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		23,105,279
	21,145,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		20,169,581
	30,955,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		25,940,600

				69,215,460

		Healthcare – 3.5%
	40,686,000	HCA, Inc., 5.875%, 5/01/2023		41,194,575
	14,620,000	HCA, Inc., 7.050%, 12/01/2027		15,241,350
	20,447,000	HCA, Inc., 7.500%, 12/15/2023		21,878,290
	24,215,000	HCA, Inc., 7.500%, 11/06/2033		25,425,750
	14,056,000	HCA, Inc., 7.690%, 6/15/2025		14,969,640
	32,745,000	HCA, Inc., 8.360%, 4/15/2024		36,019,500
	10,815,000	HCA, Inc., MTN, 7.580%, 9/15/2025		11,463,900
	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036		9,847,950
	955,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		923,963
	18,365,000	Tenet Healthcare Corp., 5.125%, 5/01/2025		17,125,362
	40,800,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		38,301,000
	35,329,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		29,676,360
	1,015,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		1,030,225
	990,000	Tenet Healthcare Corp., 8.125%, 4/01/2022		992,475

				264,090,340

		Home Construction – 1.0%
	151,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		140,430
	13,360,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		10,688,000
	47,260,000	PulteGroup, Inc., 6.000%, 2/15/2035		40,879,900
	13,190,000	PulteGroup, Inc., 6.375%, 5/15/2033		12,035,875
	10,305,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		10,227,712
	195,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024		174,038

				74,145,955


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

	Non-Convertible Bonds – continued

		Independent Energy – 4.0%
	$ 595,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024	$	564,383
	540,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		457,596
	4,810,000	Antero Resources Corp., 5.625%, 6/01/2023		4,569,500
	18,736,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		19,163,181
	8,145,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		7,798,837
	8,225,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		7,114,625
	17,375,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		9,730,000
	8,645,000	California Resources Corp., 5.500%, 9/15/2021		6,209,617
	1,188,000	California Resources Corp., 6.000%, 11/15/2024		724,680
	50,620,000	California Resources Corp., 8.000%, 12/15/2022, 144A		34,295,050
	1,310,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		1,142,975
	55,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		53,350
	21,335,000	Chesapeake Energy Corp., 8.000%, 1/15/2025		18,828,137
	39,020,000	Chesapeake Energy Corp., 8.000%, 6/15/2027		32,776,800
	15,215,000	Continental Resources, Inc., 3.800%, 6/01/2024		14,403,574
	5,450,000	Continental Resources, Inc., 4.500%, 4/15/2023		5,363,766
	440,000	Continental Resources, Inc., 5.000%, 9/15/2022		436,878
	19,290,000	Eclipse Resources Corp., 8.875%, 7/15/2023		16,541,175
	1,567,000	Halcon Resources Corp., 6.750%, 2/15/2025		1,143,910
	15,580,000	Lonestar Resources America, Inc., 11.250%, 1/01/2023, 144A		14,436,584
	180,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		170,100
	12,740,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		12,166,700
	1,065,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023		983,794
	7,170,000	Pan American Energy LLC, 7.875%, 5/07/2021, 144A		7,178,962
	2,055,000	QEP Resources, Inc., 5.250%, 5/01/2023		1,818,675
	17,908,000	Sanchez Energy Corp., 6.125%, 1/15/2023		3,223,440
	9,520,000	Sanchez Energy Corp., 7.750%, 6/15/2021		2,237,200
	8,241,000	SM Energy Co., 5.000%, 1/15/2024		7,169,670
	15,904,000	SM Energy Co., 6.125%, 11/15/2022		15,029,280
	1,110,000	Southwestern Energy Co., 6.200%, 1/23/2025		992,063
	14,955,000	Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.750%, 4/15/2023, 144A		11,814,450
	19,960,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		18,962,000
	3,550,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		3,235,115
	21,785,000	Whiting Petroleum Corp., 6.625%, 1/15/2026		18,680,637

				299,416,704

		Life Insurance – 0.8%
	15,000,000	Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A		16,544,338
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(d)(f)		31,762,404
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(d)(f)		11,137,449

				59,444,191

		Media Entertainment – 1.3%
	1,000,000	Clear Channel Worldwide Holdings, Inc., Series B, 7.625%, 3/15/2020		975,000
	111,590,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		3,686,798
	16,770,000	iHeartCommunications, Inc., 9.000%, 12/15/2019(h)		11,235,900
	47,480,000	iHeartCommunications, Inc., 9.000%, 3/01/2021(h)		31,811,600


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

	Non-Convertible Bonds – continued

		Media Entertainment – continued
	$ 33,370,000	iHeartCommunications, Inc., 9.000%, 9/15/2022(h)	$	22,191,050
	7,180,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		7,144,100
	17,950,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		17,635,875

				94,680,323

		Metals & Mining – 1.1%
	8,202,122	1839688 Alberta ULC, 14.000% PIK, 14.000% Cash, 2/13/2020(a)(b)(d)(h)(i)		4,101
	2,000,000	AK Steel Corp., 7.625%, 10/01/2021		1,805,000
	25,271,000	ArcelorMittal, 6.750%, 3/01/2041		26,686,730
	8,705,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		9,143,241
	12,315,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		11,422,162
	1,810,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		1,493,250
	16,135,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		11,789,234
	11,719,000	United States Steel Corp., 6.650%, 6/01/2037		8,818,548
	10,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020		10,334,479

				81,496,745

		Midstream – 0.5%
	8,935,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		9,330,122
	13,667,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025		11,753,620
	8,125,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023		7,800,000
	505,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		575,700
	11,820,000	Summit Midstream Partners LP, Series A, (fixed rate to 12/15/2022, variable rate thereafter), 9.500%(j)		10,924,753

				40,384,195

		Non-Agency Commercial Mortgage-Backed Securities – 0.1%
	1,225,797	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.780%, 8/10/2045(k)		1,241,653
	2,492,246	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		1,825,554

				3,067,207

		Oil Field Services – 2.5%
	11,165,000	Ensco PLC, 7.750%, 2/01/2026		8,262,100
	7,120,000	Global Marine, Inc., 7.000%, 6/01/2028		5,767,200
	12,610,000	Noble Holding International Ltd., 7.750%, 1/15/2024		9,552,075
	19,385,000	Noble Holding International Ltd., 7.875%, 2/01/2026, 144A		16,525,712
	18,385,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		11,214,850
	12,020,000	Precision Drilling Corp., 5.250%, 11/15/2024		9,976,600
	401,770	Precision Drilling Corp., 6.500%, 12/15/2021		373,646
	2,080,000	Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025, 144A		1,778,400
	71,364,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		68,331,030
	39,300,000	Transocean, Inc., 5.800%, 10/15/2022		34,584,000
	28,580,000	Transocean, Inc., 6.800%, 3/15/2038		19,005,700

				185,371,313

		Paper – 0.6%
	15,225,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		20,356,772
	4,865,000	WestRock MWV LLC, 7.950%, 2/15/2031		6,212,415
	8,750,000	WestRock MWV LLC, 8.200%, 1/15/2030		11,108,915
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,328,701

				41,006,803


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

	Non-Convertible Bonds – continued

		Property & Casualty Insurance – 0.3%
	$ 12,510,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 13.696%, 1/15/2033, 144A(e)(g)	$	7,631,100
	17,870,000	XL Group PLC, 3-month LIBOR + 2.458%, 4.894%(g)(j)		16,674,140

				24,305,240

		Retailers – 0.6%
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,385,681
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,569,240
	4,570,000	Foot Locker, Inc., 8.500%, 1/15/2022		4,935,600
	7,000	J.C. Penney Corp., Inc., 5.650%, 6/01/2020		5,598
	27,224,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		8,575,560
	2,510,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		815,750
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		6,740,837
	17,163,000	TRU Taj LLC/TRU Taj Finance, Inc., 11.000%, 1/22/2019, 144A		17,227,533

				43,255,799

		Supermarkets – 2.1%
	11,495,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 5.750%, 3/15/2025		10,058,125
	9,465,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 6/15/2024		8,778,787
	87,475,000	New Albertsons LP, 7.450%, 8/01/2029		69,980,000
	25,595,000	New Albertsons LP, 7.750%, 6/15/2026		20,925,960
	28,915,000	New Albertsons LP, 8.000%, 5/01/2031		23,532,184
	9,390,000	New Albertsons LP, 8.700%, 5/01/2030		7,887,600
	18,387,000	New Albertsons LP, Series C, MTN, 6.625%, 6/01/2028		13,606,380
	2,290,000	Safeway, Inc., 7.250%, 2/01/2031		1,992,300

				156,761,336

		Technology – 1.3%
	4,537,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		4,661,767
	17,060,000	Amkor Technology, Inc., 6.375%, 10/01/2022		17,107,768
	56,340,000	KLA-Tencor Corp., 4.650%, 11/01/2024		57,738,478
	15,170,000	KLA-Tencor Corp., 5.650%, 11/01/2034		15,464,474
	135,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		154,255
	1,775,000	Seagate Hdd Cayman, 4.875%, 6/01/2027		1,506,422

				96,633,164

		Transportation Services – 0.1%
	10,503,000	APL Ltd., 8.000%, 1/15/2024(d)(f)		9,342,944

		Treasuries – 18.9%
	312,000,000	Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)		224,447,114
	80,645,000	Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)		59,058,935


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

	Non-Convertible Bonds – continued

			Treasuries – continued
	1,010,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(l)	$	1,142,285
	1,100,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(l)		1,070,195
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(l)		3,818,834
	4,455,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(l)		4,257,458
	5,820,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(l)		5,545,608
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(l)		3,764,365
	4,680,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(l)		4,393,208
	5,970,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(l)		5,595,455
	4,000,000		Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2042, (EUR)(l)		3,758,481
	1,605,660,000		Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		13,187,572
	4,496,156,000		Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		35,038,648
	10,000,000	(†††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		42,983,958
	9,930,439	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		48,231,359
	4,250,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		19,957,001
	7,740,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		36,580,354
	27,224,481	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		135,204,267
	3,035,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		15,183,224
	21,700,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		117,281,092
	252,700,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		170,724,206
	175,365,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		129,356,478
	458,725,000		Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		56,300,542
	658,049,000		Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		77,148,473
	162,850,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		42,227,762
	55,925,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		16,006,894
	144,325,000		U.S. Treasury Bond, 3.000%, 8/15/2048		143,642,839

					1,415,906,607

			Wireless – 1.4%
	293,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		13,157,734
	134,600,000		America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		5,445,164
	49,955,000		Sprint Capital Corp., 6.875%, 11/15/2028		47,207,475
	6,260,000		Sprint Capital Corp., 8.750%, 3/15/2032		6,604,300
	21,052,000		Sprint Communications, Inc., 6.000%, 11/15/2022		20,658,959
	8,200,000		Sprint Corp., 7.125%, 6/15/2024		8,120,788
	4,727,000		Sprint Corp., 7.250%, 9/15/2021		4,838,085

					106,032,505

			Wirelines – 3.8%
	12,810,000		AT&T, Inc., 4.500%, 3/09/2048		10,961,606
	14,095,000		AT&T, Inc., 4.550%, 3/09/2049		12,132,912
	4,370,000		Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD)		3,860,081


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

	Non-Convertible Bonds – continued

		Wirelines – continued
	7,545,000	Bell Canada, Inc., Series M-17, 6.100%, 3/16/2035, (CAD)	$	6,535,666
	1,240,000	CenturyLink, Inc., 5.625%, 4/01/2025		1,091,200
	7,410,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		6,520,800
	28,385,000	CenturyLink, Inc., Series S, 6.450%, 6/15/2021		28,314,037
	7,940,000	CenturyLink, Inc., Series W, 6.750%, 12/01/2023		7,652,175
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		289,366
	3,085,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		2,545,125
	21,035,000	Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A		17,353,875
	8,581,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		7,551,280
	3,045,000	Embarq Corp., 7.995%, 6/01/2036		2,755,725
	18,725,000	Frontier Communications Corp., 6.875%, 1/15/2025		9,502,938
	38,336,000	Frontier Communications Corp., 7.875%, 1/15/2027		18,775,823
	25,745,000	Level 3 Parent LLC, 5.750%, 12/01/2022		25,294,462
	37,595,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		31,528,295
	7,590,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		6,185,850
	25,098,000	Qwest Corp., 6.875%, 9/15/2033		22,421,123
	30,646,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		26,508,790
	16,440,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		14,839,237
	14,223,000	Verizon Communications, Inc., 4.329%, 9/21/2028		14,275,056
	6,309,000	Windstream Services LLC/Windstream Finance Corp., 9.000%, 6/30/2025, 144A		4,274,348
	8,865,000	Windstream Services LLC/Windstream Finance Corp., 10.500%, 6/30/2024, 144A		6,737,400

				287,907,170

		Total Non-Convertible Bonds (Identified Cost $5,664,859,177)		4,916,813,551

	Convertible Bonds – 4.4%

		Building Materials – 0.2%
	16,682,000	KB Home, 1.375%, 2/01/2019		16,577,704

		Cable Satellite – 1.7%
	14,660,000	DISH Network Corp., 2.375%, 3/15/2024		11,671,793
	138,515,000	DISH Network Corp., 3.375%, 8/15/2026		111,853,079

				123,524,872

		Healthcare – 0.1%
	8,835,000	Evolent Health, Inc., 2.000%, 12/01/2021		9,796,902

		Independent Energy – 0.4%
	31,000,000	Chesapeake Energy Corp., 5.500%, 9/15/2026		24,950,722
	6,625,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		6,263,374

				31,214,096

		Leisure – 0.4%
	27,795,000	Rovi Corp., 0.500%, 3/01/2020		26,060,870

		Midstream – 0.1%
	10,955,000	SM Energy Co., 1.500%, 7/01/2021		10,182,826


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

Convertible Bonds – continued

	Pharmaceuticals – 0.0%
$ 870,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024	$	865,127
715,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		795,438

			1,660,565

	REITs - Diversified – 0.2%
14,245,000	iStar, Inc., 3.125%, 9/15/2022		12,835,315

	Technology – 1.3%
10,415,000	Booking Holdings, Inc., 0.900%, 9/15/2021		11,493,338
5,009,424	Liberty Interactive LLC, 3.500%, 1/15/2031		5,881,900
23,990,000	Nuance Communications, Inc., 1.000%, 12/15/2035		20,627,801
11,265,000	Nuance Communications, Inc., 1.250%, 4/01/2025		9,876,476
39,710,000	Nuance Communications, Inc., 1.500%, 11/01/2035		37,172,293
17,000,000	Western Digital Corp., 1.500%, 2/01/2024, 144A		13,776,817

			98,828,625

	Total Convertible Bonds (Identified Cost $372,098,489)		330,681,775

Municipals – 1.7%

	District of Columbia – 0.1%
3,850,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		5,404,745

	Illinois – 0.2%
17,570,000	State of Illinois, 5.100%, 6/01/2033		16,751,765

	Michigan – 0.1%
8,930,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		8,716,037

	Puerto Rico – 0.4%
63,900,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(h)		34,346,250

	Virginia – 0.9%
69,695,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		65,769,081

	Total Municipals (Identified Cost $150,607,012)		130,987,878

	Total Bonds and Notes (Identified Cost $6,187,564,678)		5,378,483,204

Loan Participations – 0.1%

	ABS Other – 0.1%
8,404,525	Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039 (a)(k) (Identified Cost $8,467,559)		7,858,231

Senior Loans – 1.1%

	Chemicals – 0.4%
31,355,000	Houghton International, Inc., New 2nd Lien Term Loan, 1-month LIBOR + 8.500%, 11.022%, 12/20/2020(g)		31,041,450


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

		Construction Machinery – 0.4%
	$ 21,276,992	Onsite Rental Group Pty Ltd., Notes, 6.100%, 10/26/2023, 144A(c)(d)(f)	$	16,383,284
	15,562,263	Onsite Rental Group Pty Ltd., Term Loan B, 1-month LIBOR + 4.500%, 7.006%, 10/26/2022(d)(f)(g)		15,251,017

				31,634,301

		Financial Other – 0.2%
	12,649,944	DBRS Ltd., Term Loan, 3-month LIBOR + 5.250%, 7.957%, 3/04/2022(g)		12,460,195

		Oil Field Services – 0.0%
	2,850,584	Petroleum Geo-Services ASA, New Term Loan B, 3-month LIBOR + 2.500%, 5.310%, 3/19/2021(g)		2,559,825

		Technology – 0.1%
	9,507,380	IQOR U.S., Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.750%, 11.148%, 4/01/2022(g)		6,883,343

		Total Senior Loans (Identified Cost $87,302,579)		84,579,114


Shares
	Common Stocks – 8.2%

		Aerospace & Defense – 0.3%
	1,423,650	Arconic, Inc.		24,002,739

		Diversified Telecommunication Services – 3.0%
	7,868,481	AT&T, Inc.		224,566,448
	112,848	Cincinnati Bell, Inc.(e)		877,957

				225,444,405

		Electronic Equipment, Instruments & Components – 0.2%
	417,387	Corning, Inc.		12,609,261

		Media – 0.1%
	303,043	Dex Media, Inc.(c)(e)		3,045,582

		Oil, Gas & Consumable Fuels – 0.1%
	846,398	Chesapeake Energy Corp.(e)		1,777,436
	5,886	Frontera Energy Corp.(e)		57,688
	156,902	Paragon Offshore Ltd., Litigation Units, Class A(c)(e)		137,289
	225,503	Paragon Offshore Ltd., Litigation Units, Class B(c)(e)		7,667,102
	1,514	Southcross Holdings Group LLC(c)(e)		—
	1,514	Southcross Holdings LP, Class A(c)(e)		719,150

				10,358,665

		Pharmaceuticals – 4.5%
	6,514,190	Bristol-Myers Squibb Co.		338,607,596

		Specialty Retail – 0.0%
	11,662,687	Onsite Rental Group Pty Ltd.(a)(b)(c)(d)(e)		—

		Total Common Stocks (Identified Cost $494,355,393)		614,068,248


Shares		Description	Value (†)
	Preferred Stocks – 1.8%

	Convertible Preferred Stocks – 1.7%

		Banking – 0.3%
	19,062	Bank of America Corp., Series L, 7.250%	$	23,875,155

		Communications – 0.0%
	3,704	Cincinnati Bell, Inc., Series B, 6.750%		104,934

		Energy – 0.1%
	242,297	El Paso Energy Capital Trust I, 4.750%		10,115,900

		Independent Energy – 0.5%
	172,972	Chesapeake Energy Corp., 4.500%		7,273,473
	231,033	Chesapeake Energy Corp., 5.000%		11,985,992
	32,522	Chesapeake Energy Corp., Series A, 5.750%, 144A(a)		13,903,155

				33,162,620

		Midstream – 0.5%
	22,483	Chesapeake Energy Corp., 5.750%(a)		9,611,483
	6,017	Chesapeake Energy Corp., 5.750%		3,103,880
	43,178	Chesapeake Energy Corp., 5.750%, 144A		22,273,449

				34,988,812

		REITs - Diversified – 0.2%
	325,207	iStar, Inc., Series J, 4.500%		13,759,443

		REITs - Health Care – 0.1%
	116,700	Welltower, Inc., Series I, 6.500%		7,369,605

		Total Convertible Preferred Stocks (Identified Cost $166,756,335)		123,376,469

	Non-Convertible Preferred Stocks – 0.1%

		Finance Companies – 0.0%
	10,425	iStar, Inc., Series G, 7.650%		231,956

		Home Construction – 0.0%
	208,246	Hovnanian Enterprises, Inc., 7.625%(e)		520,615

		REITs - Office Property – 0.0%
	1,596	Highwoods Realty LP, Series A, 8.625%		1,795,500


Shares		Description	Value (†)
	Preferred Stocks – continued

	Non-Convertible Preferred Stocks – continued

		REITs - Warehouse/Industrials – 0.1%
	116,192	ProLogis, Inc., Series Q, 8.540%	$	6,855,328

		Total Non-Convertible Preferred Stocks (Identified Cost $8,540,568)		9,403,399

		Total Preferred Stocks (Identified Cost $175,296,903)		132,779,868

	Closed-End Investment Companies – 0.1%
	170,282	NexPoint Strategic Opportunities Fund (Identified Cost $10,230,310)		3,393,720


Principal Amount (‡)
	Short-Term Investments – 16.1%
	$ 10,000,000	Federal Home Loan Bank Discount Notes, 2.312%, 1/30/2019(m)		9,981,490
	83,800,000	Ford Motor Credit Co. LLC, 4.331%, 12/02/2019(m)		80,741,076
	7,237,785	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2018 at 1.500% to be repurchased at $7,238,389 on 1/02/2019 collateralized by $5,715,000 U.S. Treasury Bond, 4.375% due 5/15/2041 valued at $7,043,595; $340,000 U.S. Treasury Notes, 2.875% due 9/30/2023 valued at $347,096 including accrued interest(o)		7,237,785
	160,000,000	U.S. Treasury Bills, 2.157%-2.164%, 1/03/2019(m)(p)		159,990,000
	150,000,000	U.S. Treasury Bills, 2.160%-2.200%, 4/25/2019(m)(p)		148,867,058
	200,000,000	U.S. Treasury Bills, 2.272%, 1/31/2019(m)		199,631,056
	100,000,000	U.S. Treasury Bills, 2.305%, 2/07/2019(m)		99,763,625
	450,000,000	U.S. Treasury Bills, 2.310%, 2/14/2019(m)		448,712,690
	55,000,000	U.S. Treasury Bills, 2.460%, 5/30/2019(m)		54,451,398

		Total Short-Term Investments (Identified Cost $1,209,285,396)		1,209,376,178

		Total Investments – 99.1% (Identified Cost $8,172,502,818)		7,430,538,563
		Other assets less liabilities – 0.9%		67,815,091

		Net Assets – 100.0%	$	7,498,353,654

(†)

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

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

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

As of December 31, 2018, securities held by 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

$ 111,914,239

1.5

21,744,937

0.3

(‡)	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)	Level 3 security. Value has been determined using significant unobservable inputs.

(b)	Fair valued by the Fund’s adviser. At December 31, 2018, the value of these securities amounted to $21,744,937 or 0.3% of net assets.

(c)	Securities subject to restriction on resale. At December 31, 2018, the restricted securities held by the Fund are as follows:


	Acquisition Date	Acquisition Cost		Value		% of Net Assets
Dex Media, Inc.	August 12, 2016	$	1,476,220	$	3,045,582		0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class C	December 18, 2014		21,396,647		17,303,695		0.2	%
GCA2014 Holdings Ltd., Series 2014-1, Class D	December 18, 2014		8,494,926		4,437,141		0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class E	December 18, 2014		32,732,982		—		—
Onsite Rental Group Pty Ltd., Notes	October 26, 2017		15,666,497		16,383,284		0.2	%
Onsite Rental Group Pty Ltd.	October 26, 2017		—		—		—
Paragon Offshore Ltd., Litigation Units, Class A	July 18, 2017		1,167,146		137,289		Less than 0.1	%
Paragon Offshore Ltd., Litigation Units, Class B	July 18, 2017		22,768,653		7,667,102		0.1	%
Southcross Holdings Group LLC	April 29, 2016		—		—		—
Southcross Holdings LP, Class A	April 29, 2016		2,215,133		719,150		Less than 0.1	%

(d)	Illiquid security.

(e)	Non-income producing security.

(f)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2018, the value of these securities amounted to $111,914,239 or 1.5% of net assets.

(g)	Variable rate security. Rate as of December 31, 2018 is disclosed.

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

(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 principal. No payments were made during the period.

(j)	Perpetual bond with no specified maturity date.

(k)

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

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

(o)

(p)	The Fund’s investment in U.S. Government/Agency securities 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

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

GO	General Obligation

LIBOR

London Interbank Offered Rate

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

ISK	Icelandic Krona

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

NOTES TO FINANCIAL STATEMENTS

December 31, 2018 (Unaudited)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2018, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	8,830,591	$	21,740,836	(a)(b)	$	30,571,427
Airlines		—		198,309,487		5,354,538	(c)		203,664,025
Finance Companies		1,806,845		263,673,103		—			265,479,948
Metals & Mining		—		81,492,644		4,101	(d)		81,496,745
All Other Non-Convertible Bonds*		—		4,335,601,406		—			4,335,601,406

Total Non-Convertible Bonds		1,806,845		4,887,907,231		27,099,475			4,916,813,551

Convertible Bonds*		—		330,681,775		—			330,681,775
Municipals*		—		130,987,878		—			130,987,878

Total Bonds and Notes		1,806,845		5,349,576,884		27,099,475			5,378,483,204

Loan Participations*		—		—		7,858,231	(c)		7,858,231
Senior Loans*		—		84,579,114		—			84,579,114
Common Stocks
Media		—		3,045,582		—			3,045,582
Oil, Gas & Consumable Fuels		1,835,124		8,523,541		—			10,358,665
Specialty Retail		—		—		—	(b)		—
All Other Common Stocks*		600,664,001		—		—			600,664,001

Total Common Stocks		602,499,125		11,569,123		—			614,068,248

Preferred Stocks
Convertible Preferred Stocks
Independent Energy		7,273,473		11,985,992		13,903,155	(c)		33,162,620
Midstream		—		25,377,329		9,611,483	(c)		34,988,812
REITs - Diversified		—		13,759,443		—			13,759,443
All Other Convertible Preferred Stocks*		41,465,594		—		—			41,465,594

Total Convertible Preferred Stocks		48,739,067		51,122,764		23,514,638			123,376,469

Non-Convertible Preferred Stocks
REITs - Office Property		—		1,795,500		—			1,795,500
REITs - Warehouse/Industrials		—		6,855,328		—			6,855,328
All Other Non-Convertible Preferred Stocks*		752,571		—		—			752,571

Total Non-Convertible Preferred Stocks		752,571		8,650,828		—			9,403,399

Total Preferred Stocks		49,491,638		59,773,592		23,514,638			132,779,868

Closed-End Investment Companies		3,393,720		—		—			3,393,720
Short-Term Investments		—		1,209,376,178		—			1,209,376,178

Total	$	657,191,328	$	6,714,874,891	$	58,472,344		$	7,430,538,563

*	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 ($4,437,141) or fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($17,303,695).

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

(c)	Valued using broker-dealer bid prices.

(d)	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, 2018 and/or December 31, 2018:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2018			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2018			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2018
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	20,680,219	(a)	$	—	$	—		$	636,069		$	424,548	$	—		$	—	$	—	$	21,740,836	(a)	$	636,069

Airlines		455,986			—		1,835			(58,265	)		—		(110,414	)		5,065,396		—		5,354,538			(55,884	)
Metals & Mining		4,101			18,406		—			(18,406	)		—		—			—		—		4,101			(18,406	)
Loan Participations

ABS Other		8,343,807			—		(2,493	)		(150,637	)		—		(332,446	)		—		—		7,858,231			(168,090	)
Common Stocks
Specialty Retail		—	(a)		—		—			—			—		—			—		—		—	(a)		—
Preferred Stocks

Convertible Preferred Stocks
Independent Energy		—			—		—			(5,571,880	)		—		—			19,475,035		—		13,903,155			(5,571,880	)

Midstream		—			—		—			(3,714,819	)		1,974,348		—			11,351,954		—		9,611,483			(3,714,819	)

Total	$	29,484,113		$	18,406	$	(658	)	$	(8,877,938	)	$	2,398,896	$	(442,860	)	$	35,892,385	$	—	$	58,472,344		$	(8,893,010	)

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

A debt security valued at $5,065,396 was transferred from Level 2 to Level 3 during the period ended December 31, 2018. At September 30, 2018, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2018, 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.

Preferred stocks valued at $30,826,989 were transferred from Level 2 to Level 3 during the period ended December 31, 2018. At September 30, 2018, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2018, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the securities.

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

Industry Summary at December 31, 2018 (Unaudited)


Treasuries	18.9	%
Banking	5.0
Independent Energy	4.9
Pharmaceuticals	4.5
Wirelines	3.8
Healthcare	3.6
Finance Companies	3.5
Cable Satellite	3.1
Diversified Telecommunication Services	3.0
Airlines	2.7
Technology	2.7
Chemicals	2.5
Oil Field Services	2.5
Supermarkets	2.1
Other Investments, less than 2% each	20.1
Short-Term Investments	16.1
Closed-End Investment Companies	0.1

Total Investments	99.1
Other assets less liabilities	0.9

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2018 (Unaudited)


United States Dollar	77.0	%
Mexican Peso	5.8
Canadian Dollar	5.5
New Zealand Dollar	4.3
Australian Dollar	2.7
Other, less than 2% each	3.8

Total Investments	99.1
Other assets less liabilities	0.9

Net Assets	100.0	%

ITEM 2.

CONTROLS AND PROCEDURES.

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3.

EXHIBITS



(a)(1)		Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

(a)(2)		Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Loomis Sayles Funds II

By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		Chief Executive Officer
Date:		February 21, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ David L. Giunta
Name:		David L. Giunta
Title:		Chief Executive Officer
Date:		February 21, 2019

By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		February 21, 2019

EX-99.CERT 2 d679978dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit (a)(1)

Loomis Sayles Funds II

Exhibit to SEC Form N-Q

Section 302 Certification

I, David L. Giunta, certify that:

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

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

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

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

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

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

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

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

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

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

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

Date: February 21, 2019

/s/ David L. Giunta

David L. Giunta

Chief Executive Officer

Exhibit (a)(2)

Loomis Sayles Funds II

Exhibit to SEC Form N-Q

Section 302 Certification

I, Michael C. Kardok, certify that:

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

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

Date: February 21, 2019

/s/ Michael C. Kardok

Michael C. Kardok

Treasurer