Loomis Sayles Funds II

N-Q 1 d872837dnq.htm LOOMIS SAYLES FUNDS II Loomis Sayles Funds II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06241

Loomis Sayles Funds II

(Exact name of registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: September 30

Date of reporting period: December 31, 2014

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Global Equity and Income Fund


Shares		Description	Value (†)
	Common Stocks – 68.4% of Net Assets
		Belgium – 1.3%
	145,428	Anheuser-Busch InBev NV	$	16,366,659

		Brazil – 0.6%
	491,500	Companhia Brasileira de Meios de Pagamento		7,690,780

		Canada – 1.8%
	587,100	CGI Group, Inc., Class A(b)		22,381,356

		China – 3.0%
	195,122	Alibaba Group Holding Ltd., Sponsored ADR(b)		20,280,981
	1,584,000	Hengan International Group Co. Ltd.		16,515,112

				36,796,093

		Denmark – 1.4%
	406,991	Novo Nordisk AS, Class B		17,215,622

		Germany – 2.5%
	119,086	Bayer AG, (Registered)		16,232,419
	259,297	Brenntag AG		14,497,314

				30,729,733

		Hong Kong – 1.4%
	3,233,400	AIA Group Ltd.		17,833,702

		India – 2.5%
	434,028	HCL Technologies Ltd.		10,961,571
	788,883	HDFC Bank Ltd.		13,633,418
	993,954	Motherson Sumi Systems Ltd.		7,158,383

				31,753,372

		Italy – 1.2%
	279,942	Luxottica Group S.p.A.		15,346,093

		Japan – 3.6%
	345,800	Asahi Group Holdings Ltd.		10,698,121
	2,452,900	Mitsubishi UFJ Financial Group, Inc.		13,476,783
	430,300	Nomura Research Institute Ltd.		13,160,790
	273,400	Suzuki Motor Corp.		8,193,070

				45,528,764

		Mexico – 1.0%
	6,789,167	Genomma Lab Internacional S.A. de CV, Class B(b)		12,912,244

		Sweden – 1.4%
	614,101	Atlas Copco AB, Class A		17,087,755

		Switzerland – 2.2%
	100,358	Roche Holding AG		27,191,216

		United Kingdom – 4.5%
	437,548	Diageo PLC		12,534,466


Shares		Description	Value (†)
	Common Stocks – continued
		United Kingdom – continued
	5,930,287	Legal & General Group PLC	$	22,897,712
	605,967	London Stock Exchange Group PLC		20,850,721

				56,282,899

		United States – 40.0%
	46,935	Amazon.com, Inc.(b)		14,566,277
	206,308	American Express Co.		19,194,896
	45,526	AutoZone, Inc.(b)		28,185,602
	381,108	Citigroup, Inc.		20,621,754
	72,146	Core Laboratories NV		8,682,050
	140,281	Facebook, Inc., Class A(b)		10,944,724
	99,826	FactSet Research Systems, Inc.		14,050,509
	180,557	Genesee & Wyoming, Inc., Class A(b)		16,235,685
	153,714	Gilead Sciences, Inc.(b)		14,489,082
	109,298	Goldman Sachs Group, Inc. (The)		21,185,231
	25,824	Google, Inc., Class C(b)		13,593,754
	25,824	Google, Inc., Class A(b)		13,703,764
	955	Hawaiian Telcom Holdco, Inc.(b)		26,329
	189,345	Jarden Corp.(b)		9,065,839
	373,306	Kinder Morgan, Inc.		15,794,577
	129,911	Lowe’s Cos., Inc.		8,937,877
	113,137	M&T Bank Corp.		14,212,270
	215,226	Noble Energy, Inc.		10,208,169
	230,047	Oceaneering International, Inc.		13,529,064
	72,117	Praxair, Inc.		9,343,479
	91,415	Precision Castparts Corp.		22,020,045
	25,601	Priceline Group, Inc. (The)(b)		29,190,516
	210,747	Schlumberger Ltd.		17,999,901
	83,312	Signet Jewelers Ltd.		10,961,360
	209,588	Texas Instruments, Inc.		11,205,622
	146,101	TransDigm Group, Inc.		28,686,931
	141,717	Travelers Cos., Inc. (The)		15,000,744
	173,179	UnitedHealth Group, Inc.		17,506,665
	175,474	Valeant Pharmaceuticals International, Inc.(b)		25,112,084
	146,289	Valspar Corp. (The)		12,651,073
	58,349	W.W. Grainger, Inc.		14,872,577
	213,181	Wyndham Worldwide Corp.		18,282,403

				500,060,853

		Total Common Stocks (Identified Cost $726,624,088)		855,177,141


Principal Amount (‡)
	Bonds and Notes – 28.1%
	Non-Convertible Bonds – 27.4%
		Argentina – 0.2%
$	382,136	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		382,136
	1,755,000	YPF S.A., 8.750%, 4/04/2024, 144A(c)		1,783,519

				2,165,655


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Australia – 0.1%
$	110,000		Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A	$	122,319
	500,000		Macquarie Bank Ltd., 6.625%, 4/07/2021, 144A		577,202
	155,000		Sydney Airport Finance Co., 5.125%, 2/22/2021, 144A		173,639

					873,160

			Belgium – 0.1%
	350,000		Anheuser-Busch InBev NV, EMTN, 6.500%, 6/23/2017, (GBP)		610,176

			Brazil – 1.9%
	800,000		Banco do Brasil S.A., 3.875%, 10/10/2022		734,000
	1,100,000		Banco Nacional de Desenvolvimento Economico e Social, 5.750%, 9/26/2023, 144A		1,133,000
	600,000		Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A		621,780
	2,075,842		Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		746,723
	800,000		Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		806,000
	6,600	(††)	Brazil Letras do Tesouro Nacional, Zero Coupon, 7/01/2016, (BRL)(d)		2,068,085
	601,268	(†††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL)		229,114
	2,250	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2019, (BRL)		737,443
	1,115	(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)		357,769
	2,250,000		Brazilian Government International Bond, 10.250%, 1/10/2028, (BRL)		849,823
	1,700,000		BRF S.A., 3.950%, 5/22/2023, 144A(d)		1,571,650
	600,000		BRF S.A., 5.875%, 6/06/2022, 144A		634,800
	2,300,000		BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)		748,439
	1,255,000		Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A		1,129,500
	1,000,000		CIMPOR Financial Operations BV, 5.750%, 7/17/2024, 144A		877,400
	400,000		Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A		356,000
	400,000		CSN Resources S.A., 6.500%, 7/21/2020, 144A		368,000
	800,000		Gerdau Trade, Inc., 5.750%, 1/30/2021, 144A		812,400
	226,000		GTL Trade Finance, Inc., 5.893%, 4/29/2024, 144A		218,090
	300,000		Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A		314,814
	100,000		LPG International, Inc., 7.250%, 12/20/2015		103,783


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Brazil – continued
$	170,000	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A	$	158,950
	848,250	Odebrecht Offshore Drilling Finance Ltd., 6.750%, 10/01/2022, 144A		776,149
	2,400,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		821,609
	2,885,000	Petrobras Global Finance BV, 4.375%, 5/20/2023(c)		2,481,331
	320,000	Petrobras International Finance Co., 5.375%, 1/27/2021		296,502
	775,000	Petrobras International Finance Co., 5.750%, 1/20/2020		748,425
	300,000	Petrobras International Finance Co., 6.875%, 1/20/2040		277,671
	800,000	Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A		704,000
	500,000	Tupy Overseas S.A., 6.625%, 7/17/2024, 144A		480,000
	1,106,000	Vale Overseas Ltd., 6.875%, 11/21/2036(d)		1,165,934

				23,329,184

		Canada – 0.6%
	1,085,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		993,431
	3,000,000	Canadian Government, 1.250%, 9/01/2018, (CAD)(d)		2,588,397
	2,065,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(d)		1,809,266
	1,335,000	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)		1,157,651
	600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		577,566

				7,126,311

		Chile – 0.5%
	1,450,000	Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A(d)		1,478,698
	200,000	Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022		205,554
	300,000,000	Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(d)		519,575
	1,135,000	Corpbanca S.A., 3.125%, 1/15/2018		1,127,906
	250,000	E.CL S.A., 5.625%, 1/15/2021, 144A		269,891
	800,000	Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A		786,239
	1,120,000	Transelec S.A., 4.250%, 1/14/2025, 144A		1,115,086
	400,000	VTR Finance BV, 6.875%, 1/15/2024, 144A		408,000

				5,910,949


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		China – 0.3%
$	800,000	Baidu, Inc., 2.250%, 11/28/2017	$	800,551
	700,000	Baidu, Inc., 3.250%, 8/06/2018		715,550
	400,000	China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A		422,142
	1,200,000	CNOOC Finance 2013 Ltd., 3.000%, 5/09/2023		1,135,688
	1,000,000	Parkson Retail Group Ltd., 4.500%, 5/03/2018		915,919

				3,989,850

		Colombia – 0.5%
	555,000	Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022, 144A		541,125
	610,000	Ecopetrol S.A., 4.125%, 1/16/2025		579,500
	1,180,000	Ecopetrol S.A., 5.875%, 9/18/2023(d)		1,249,325
	435,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, (COP)		197,045
	830,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		375,971
	2,140,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		946,229
	1,670,000	Pacific Rubiales Energy Corp., 5.125%, 3/28/2023, 144A		1,315,125
	580,000	Pacific Rubiales Energy Corp., 5.625%, 1/19/2025, 144A		445,150
	200,000,000	Republic of Colombia, 7.750%, 4/14/2021, (COP)		90,553

				5,740,023

		Czech Republic – 0.0%
	400,000	CEZ AS, 4.250%, 4/03/2022, 144A		425,324

		Dominican Republic – 0.0%
	425,000	Dominican Republic International Bond, 8.625%, 4/20/2027, 144A		498,313

		France – 0.2%
	425,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		405,875
	15,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		14,437
	200,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		374,679
	390,000	Credit Agricole S.A., (fixed rate to 6/23/2026, variable rate thereafter), 7.500%, 4/29/2049, (GBP)		595,089
	1,130,000	Societe Generale S.A., 5.000%, 1/17/2024, 144A		1,136,194


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		France – continued
	475,000	Societe Generale S.A., (fixed rate to 4/07/2021, variable rate thereafter), 6.750%, 4/07/2049, (EUR)	$	557,818

				3,084,092

		Hong Kong – 0.0%
	400,000	Hutchison Whampoa International 11 Ltd., 3.500%, 1/13/2017, 144A		414,424

		Hungary – 0.2%
	1,330,000	Hungary Government International Bond, 5.375%, 3/25/2024(d)		1,439,725
	980,000	Hungary Government International Bond, 5.750%, 11/22/2023		1,085,350

				2,525,075

		Iceland – 0.1%
	1,000,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		1,120,715

		India – 0.5%
	550,000	Axis Bank Ltd., 3.250%, 5/21/2020, 144A		544,298
	1,155,000	Bharti Airtel International BV, 5.125%, 3/11/2023, 144A(d)		1,232,708
	990,000	Bharti Airtel International BV, 5.350%, 5/20/2024, 144A		1,071,101
	200,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		203,250
	780,000	ICICI Bank Ltd., 3.500%, 3/18/2020, 144A		784,918
	1,400,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A(d)		1,438,500
	750,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		812,481
	700,000	State Bank of India/London, 4.125%, 8/01/2017, 144A		726,418

				6,813,674

		Indonesia – 0.8%
	800,000	Gajah Tunggal Tbk PT, 7.750%, 2/06/2018, 144A		740,000
	3,500,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		307,610
	781,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		72,299
	12,100,000,000	Indonesia Treasury Bond, 6.125%, 5/15/2028, (IDR)		810,089
	24,000,000,000	Indonesia Treasury Bond, 7.875%, 4/15/2019, (IDR)		1,949,939
	14,000,000,000	Indonesia Treasury Bond, 8.375%, 3/15/2024, (IDR)		1,172,790
	200,000	Indosat Palapa Co. BV, 7.375%, 7/29/2020, 144A		210,500
	400,000	Listrindo Capital BV, 6.950%, 2/21/2019, 144A		422,000


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Indonesia – continued
$	2,800,000	Pertamina Persero PT, 4.300%, 5/20/2023, 144A(d)	$	2,674,000
	545,000	Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR)		667,721
	500,000	TBG Global Pte Ltd., 4.625%, 4/03/2018, 144A		491,250

				9,518,198

		Italy – 0.7%
	2,860,000	Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(d)		3,918,115
	2,295,000	Italy Buoni Poliennali Del Tesoro, 4.750%, 8/01/2023, 144A, (EUR)(d)		3,450,504
	725,000	UniCredit SpA, EMTN, 6.950%, 10/31/2022, (EUR)		1,030,896
	870,000	Wind Acquisition Finance S.A., 7.375%, 4/23/2021, 144A		821,106

				9,220,621

		Japan – 0.2%
	1,165,000	Nomura Holdings, Inc., GMTN, 2.750%, 3/19/2019(d)		1,177,760
	850,000	Softbank Corp., 4.500%, 4/15/2020, 144A(d)		837,250

				2,015,010

		Korea – 0.7%
	3,700,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)		516,705
	400,000	Hana Bank, 4.000%, 11/03/2016, 144A		417,392
	600,000	Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A		620,686
	600,000	Hyundai Steel Co., 4.625%, 4/21/2016, 144A		619,788
	600,000	Industrial Bank of Korea, 2.375%, 7/17/2017, 144A		607,704
	400,000	Kia Motors Corp., 3.625%, 6/14/2016, 144A(d)		412,416
	400,000	Korea Finance Corp., 4.625%, 11/16/2021		443,232
	400,000	Korea National Oil Corp., 3.125%, 4/03/2017, 144A		410,428
	2,589,140,000	Korea Treasury Bond, 2.750%, 9/10/2017, (KRW)(d)		2,381,122
	250,000	Lotte Shopping Co. Ltd., 3.375%, 5/09/2017, 144A		257,225
	1,125,000	Minera y Metalurgica del Boleo S.A. de CV, 2.875%, 5/07/2019, 144A		1,142,565
	140,000	SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A		178,392
	200,000	Woori Bank, 5.875%, 4/13/2021, 144A		227,918

				8,235,573


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Luxembourg – 0.2%
$	400,000		Altice Financing S.A., 7.875%, 12/15/2019, 144A	$	409,558
	500,000		Altice S.A., 7.750%, 5/15/2022, 144A		500,938
	970,000		ArcelorMittal, 7.250%, 3/01/2041		979,700
	500,000		Millicom International Cellular S.A., 4.750%, 5/22/2020, 144A		471,250

					2,361,446

			Mexico – 1.2%
	10,000,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		662,543
	300,000		Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A		297,060
	640,000		Cemex Finance LLC, 6.000%, 4/01/2024, 144A		624,000
	10,000,000		Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		580,430
	746,500	(††††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(d)		5,313,780
	186,200	(††††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(d)		1,323,231
	395,000	(††††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(d)		3,016,795
	265,000	(††††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)(d)		2,064,269
	780,000		Petroleos Mexicanos, 4.250%, 1/15/2025, 144A		774,930
	925,000		Unifin Financiera S.A.P.I. de CV SOFOM ENR, 6.250%, 7/22/2019, 144A		841,750

					15,498,788

			Morocco – 0.1%
	590,000		OCP S.A., 6.875%, 4/25/2044, 144A		632,834

			New Zealand – 0.5%
	2,886,020		New Zealand Government Bond, 3.000%, 9/20/2030, (NZD)(d)		2,483,463
	2,340,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)(d)		1,927,024
	2,590,000		New Zealand Government Bond, 5.500%, 4/15/2023, (NZD)		2,282,366

					6,692,853

			Nigeria – 0.0%
	550,000		GTB Finance BV, 6.000%, 11/08/2018, 144A		511,500

			Norway – 0.3%
	13,275,000		Norway Government Bond, 2.000%, 5/24/2023, (NOK)		1,858,788


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Norway – continued
	13,760,000	Norway Government Bond, 4.500%, 5/22/2019, (NOK)(d)	$	2,123,006

				3,981,794

		Panama – 0.0%
	300,000	Banco Latinoamericano de Comercio Exterior S.A., 3.750%, 4/04/2017, 144A		309,000

		Peru – 0.2%
	1,050,000	Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A		1,013,250
	1,050,000	Union Andina de Cementos SAA, 5.875%, 10/30/2021, 144A		1,065,225

				2,078,475

		Philippines – 0.1%
	40,000,000	Philippine Government International Bond, 3.900%, 11/26/2022, (PHP)		874,085
	30,000,000	Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		695,803
	175,000	Philippine Long Distance Telephone Co., EMTN, 8.350%, 3/06/2017		199,500

				1,769,388

		Poland – 0.6%
	1,000,000	PKO Finance AB, 4.630%, 9/26/2022, 144A		1,047,500
	17,080,000	Poland Government Bond, 4.000%, 10/25/2023, (PLN)(d)		5,432,430
	3,210,000	Poland Government Bond, 5.500%, 10/25/2019, (PLN)		1,043,813

				7,523,743

		Portugal – 0.0%
	400,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		402,240

		Singapore – 0.2%
	2,000,000	DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A(d)		2,059,940

		South Africa – 0.3%
	930,000	MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A		911,400
	500,000	Myriad International Holdings BV, 6.000%, 7/18/2020, 144A		546,250
	285,000	Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR)		360,383
	11,500,000	South Africa Government Bond, 7.750%, 2/28/2023, (ZAR)		989,173
	600,000	South Africa Government International Bond, 5.875%, 9/16/2025		675,750


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		South Africa – continued
$	700,000	Transnet SOC Ltd., 4.000%, 7/26/2022, 144A	$	661,500

				4,144,456

		Spain – 0.3%
	2,115,000	Spain Government Bond, 4.300%, 10/31/2019, (EUR)(d)		2,980,893
	800,000	Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)		1,197,524

				4,178,417

		Supranationals – 0.5%
	840,000	Central American Bank for Economic Integration, 3.875%, 2/09/2017, 144A		863,166
	1,115,000	Corporacion Andina de Fomento, 4.375%, 6/15/2022(d)		1,198,466
	2,430,000	European Financial Stability Facility, 1.625%, 7/17/2020, (EUR)(d)		3,154,955
	70,000,000	International Finance Corp., 7.800%, 6/03/2019, (INR)		1,208,594

				6,425,181

		Sweden – 0.1%
	9,195,000	Sweden Government Bond, 4.500%, 8/12/2015, (SEK)(d)		1,210,694
	2,450,000	Sweden Government Bond, 5.000%, 12/01/2020, (SEK)		398,101

				1,608,795

		Switzerland – 0.0%
	250,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		307,022

		Thailand – 0.2%
	1,010,000	Siam Commercial Bank PCL (The), 3.500%, 4/07/2019, 144A		1,037,462
	950,000	Thai Oil PCL, 3.625%, 1/23/2023, 144A		933,773

				1,971,235

		Turkey – 0.6%
	800,000	Arcelik AS, 5.000%, 4/03/2023, 144A		770,480
	545,000	Export Credit Bank of Turkey, 5.000%, 9/23/2021, 144A		554,745
	920,000	TC Ziraat Bankasi AS, 4.250%, 7/03/2019, 144A		918,896
	1,195,000	Turk Telekomunikasyon AS, 3.750%, 6/19/2019, 144A(d)		1,198,585
	1,125,000	Turkey Government International Bond, 5.750%, 3/22/2024		1,257,187
	600,000	Turkiye Garanti Bankasi AS, 4.000%, 9/13/2017, 144A		609,048


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Turkey – continued
$	800,000	Turkiye Is Bankasi, 3.875%, 11/07/2017, 144A	$	804,880
	875,000	Yapi ve Kredi Bankasi, 5.250%, 12/03/2018, 144A		904,663

				7,018,484

		United Arab Emirates – 0.2%
	600,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A		646,500
	200,000	Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A		203,820
	1,050,000	Mubadala GE Capital Ltd., 3.000%, 11/10/2019, 144A		1,039,374

				1,889,694

		United Kingdom – 0.6%
	600,000	Anglo American Capital PLC, 2.625%, 9/27/2017, 144A		605,561
	1,100,000	Barclays PLC, 2.750%, 11/08/2019		1,093,279
	400,000	Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 7.000%, 6/15/2049, (GBP)		598,503
	470,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		895,458
	150,000	Imperial Tobacco Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP)		269,201
	400,000	Lloyds Banking Group PLC, 4.500%, 11/04/2024		403,656
	400,000	Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP)		708,455
	1,130,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023(d)		1,223,110
	250,000	Standard Chartered PLC, EMTN, (fixed rate to 10/21/2020, variable rate thereafter), 4.000%, 10/21/2025, (EUR)		320,563
	250,000	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)		510,351
	115,000	Virgin Media Finance PLC, 6.375%, 10/15/2024, 144A, (GBP)		192,682
	100,000	WPP PLC, 6.000%, 4/04/2017, (GBP)		171,252

				6,992,071

		United States – 13.6%
	15,000	21st Century Fox America, Inc., 6.400%, 12/15/2035		19,577
	45,000	AECOM Technology Corp., 5.750%, 10/15/2022, 144A		46,013
	45,000	AECOM Technology Corp., 5.875%, 10/15/2024, 144A		46,013
	240,000	AES Corp. (The), 4.875%, 5/15/2023		238,200
	975,000	Alcoa, Inc., 5.900%, 2/01/2027		1,061,915
	8,000,000	Ally Financial, Inc., 3.750%, 11/18/2019		7,880,000


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	745,000	Ally Financial, Inc., 5.125%, 9/30/2024	$	756,175
	129,000	Ally Financial, Inc., 8.000%, 12/31/2018		146,415
	1,728,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,203,200
	189,745	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		196,883
	51,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		69,105
	12,046	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(e)		12,257
	495,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		415,800
	925,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		1,047,562
	145,000	Avnet, Inc., 6.000%, 9/01/2015		149,544
	90,000	Avon Products, Inc., 6.950%, 3/15/2043		74,250
	200,000	Bank of America Corp., 5.490%, 3/15/2019		221,303
	115,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		114,742
	50,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		48,500
	15,000	Boston Scientific Corp., 5.125%, 1/12/2017		15,900
	15,000	Boston Scientific Corp., 6.400%, 6/15/2016		16,050
	40,000	California Resources Corp., 5.000%, 1/15/2020, 144A		34,700
	670,000	California Resources Corp., 5.500%, 9/15/2021, 144A		572,850
	90,000	California Resources Corp., 6.000%, 11/15/2024, 144A		76,050
	702,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		719,293
	55,000	CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., 5.250%, 2/15/2022, 144A		55,413
	140,000	CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., 5.875%, 3/15/2025, 144A		141,050
	1,995,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,139,637
	510,000	CenturyLink, Inc., 7.650%, 3/15/2042		507,450
	55,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		55,000
	605,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		598,950
	20,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		21,250
	95,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		102,125


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	295,000	Cimarex Energy Co., 4.375%, 6/01/2024	$	281,725
	1,470,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		1,547,175
	155,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		163,137
	265,000	Constellation Brands, Inc., 4.750%, 11/15/2024		268,312
	1,005,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,067,812
	276,728	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		289,181
	95,000	Continental Resources, Inc., 3.800%, 6/01/2024		84,982
	25,000	Continental Resources, Inc., 4.500%, 4/15/2023		23,779
	155,000	Cummins, Inc., 5.650%, 3/01/2098		190,623
	202,347	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		233,711
	42,000	Dillard’s, Inc., 6.625%, 1/15/2018		45,990
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		53,000
	8,000	Dillard’s, Inc., 7.750%, 7/15/2026		8,900
	90,000	DISH DBS Corp., 5.875%, 11/15/2024, 144A		90,450
	315,000	DPL, Inc., 6.750%, 10/01/2019, 144A		318,150
	310,000	DR Horton, Inc., 4.375%, 9/15/2022		303,800
	235,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		271,425
	1,121,000	First Data Corp., 10.625%, 6/15/2021		1,269,532
	150,000	Foot Locker, Inc., 8.500%, 1/15/2022(e)		165,216
	25,000	Ford Motor Co., 6.375%, 2/01/2029		30,185
	50,000	Ford Motor Co., 6.625%, 2/15/2028		58,299
	2,105,000	Ford Motor Co., 6.625%, 10/01/2028		2,585,329
	40,000	Ford Motor Co., 7.125%, 11/15/2025		49,156
	835,000	Ford Motor Co., 7.400%, 11/01/2046		1,202,386
	5,000	Ford Motor Co., 7.500%, 8/01/2026		6,370
	1,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		1,086,548
	905,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		1,036,601


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	50,000	General Electric Capital Corp., GMTN, 3.100%, 1/09/2023	$	50,625
	600,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(f)		698,250
	240,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		250,500
	175,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		141,860
	305,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		245,738
	215,000	Genworth Holdings, Inc., 6.500%, 6/15/2034		177,853
	3,435,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		4,511,131
	105,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		136,344
	180,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		253,452
	315,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		488,173
	800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		708,893
	2,295,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,885,676
	3,045,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		3,288,600
	165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		170,775
	70,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.796%, 8/10/2045(g)		71,519
	425,000	Halcon Resources Corp., 8.875%, 5/15/2021		319,812
	410,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		464,459
	1,000,000	HCA Holdings, Inc., 6.250%, 2/15/2021		1,065,000
	20,000	HCA, Inc., 4.750%, 5/01/2023		20,350
	90,000	HCA, Inc., 6.375%, 1/15/2015		90,000
	225,000	HCA, Inc., 7.050%, 12/01/2027		228,375
	245,000	HCA, Inc., 7.190%, 11/15/2015		255,106
	90,000	HCA, Inc., 7.500%, 12/15/2023		100,800
	820,000	HCA, Inc., 7.500%, 11/06/2033		861,000
	1,500,000	HCA, Inc., 7.690%, 6/15/2025		1,687,500
	395,000	HCA, Inc., 8.360%, 4/15/2024		464,125
	195,000	HCA, Inc., MTN, 7.580%, 9/15/2025		217,425


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	75,000	HCA, Inc., MTN, 7.750%, 7/15/2036	$	80,250
	855,000	Hecla Mining Co., 6.875%, 5/01/2021		752,400
	585,000	Hercules, Inc., 6.500%, 6/30/2029		526,500
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		510,067
	450,000	International Lease Finance Corp., 4.625%, 4/15/2021		457,875
	1,250,000	International Lease Finance Corp., 6.250%, 5/15/2019		1,365,625
	745,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		745,000
	45,000	iStar Financial, Inc., 3.875%, 7/01/2016		45,054
	145,000	iStar Financial, Inc., 4.875%, 7/01/2018		142,462
	70,000	iStar Financial, Inc., 5.850%, 3/15/2017		71,750
	60,000	iStar Financial, Inc., 6.050%, 4/15/2015		60,600
	200,000	iStar Financial, Inc., 7.125%, 2/15/2018		210,000
	48,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		31,200
	5,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,300
	2,995,000	Jack Cooper Holdings Corp., 9.250%, 6/01/2020, 144A		3,099,825
	665,000	Jefferies Group LLC, 5.125%, 4/13/2018		701,314
	30,000	Jefferies Group LLC, 5.125%, 1/20/2023		30,496
	1,070,000	Jefferies Group LLC, 6.250%, 1/15/2036		1,051,478
	685,000	Jefferies Group LLC, 6.450%, 6/08/2027		710,716
	1,410,000	Jefferies Group LLC, 6.875%, 4/15/2021		1,602,832
	15,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		12,750
	245,000	KB Home, 4.750%, 5/15/2019		241,325
	1,665,000	KB Home, 8.000%, 3/15/2020		1,823,175
	190,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		195,700
	55,000	Lennar Corp., Series B, 6.500%, 4/15/2016		57,888
	135,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		142,256
	1,435,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		1,548,006


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			United States – continued
$	30,000		Level 3 Financing, Inc., 9.375%, 4/01/2019	$	31,650
	165,000		Masco Corp., 6.500%, 8/15/2032		168,712
	865,000		Masco Corp., 7.750%, 8/01/2029		994,750
	2,700,000		Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		3,188,036
	310,000		Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(h)		189,100
	265,000		Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(h)		221,275
	825,000		Morgan Stanley, 2.125%, 4/25/2018		825,478
	220,000		Morgan Stanley, 2.500%, 1/24/2019		220,200
	450,000		Morgan Stanley, 3.750%, 2/25/2023		461,619
	725,000		Morgan Stanley, 5.750%, 1/25/2021		832,264
	500,000		Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		427,659
	3,150,000		Morgan Stanley, MTN, 4.100%, 5/22/2023		3,189,180
	600,000		Morgan Stanley, MTN, 6.250%, 8/09/2026		723,362
	100,000		Morgan Stanley, Series F, MTN, 0.681%, 10/18/2016(g)		99,700
	175,000		Navient LLC, 4.875%, 6/17/2019		175,507
	915,000		Navient LLC, 5.500%, 1/25/2023		876,112
	1,600	(†††††)	Navient LLC, 6.000%, 12/15/2043		34,407
	141,000		Navient LLC, MTN, 3.875%, 9/10/2015		142,058
	40,000		Navient LLC, MTN, 4.625%, 9/25/2017		40,600
	60,000		Navient LLC, MTN, 5.500%, 1/15/2019		61,350
	1,130,000		Navient LLC, MTN, 7.250%, 1/25/2022		1,226,050
	10,000		Navient LLC, Series A, MTN, 5.000%, 6/15/2018		9,925
	2,560,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033		1,932,800
	360,000		Navient LLC, Series A, MTN, 8.450%, 6/15/2018		401,400
	1,552,000		New Albertson’s, Inc., 7.450%, 8/01/2029		1,389,040
	245,000		New Albertson’s, Inc., 7.750%, 6/15/2026		219,275
	3,605,000		New Albertson’s, Inc., 8.000%, 5/01/2031		3,262,525


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	2,110,000	New Albertson’s, Inc., 8.700%, 5/01/2030	$	2,025,600
	315,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		250,425
	365,000	Newell Rubbermaid, Inc., 4.000%, 12/01/2024		372,510
	20,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		20,700
	420,000	Old Republic International Corp., 4.875%, 10/01/2024		438,427
	7,000	Owens Corning, 6.500%, 12/01/2016		7,627
	535,000	Owens Corning, 7.000%, 12/01/2036		662,783
	2,965,000	Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A		2,994,650
	540,000	Pulte Group, Inc., 6.000%, 2/15/2035		515,700
	785,000	Pulte Group, Inc., 6.375%, 5/15/2033		785,000
	220,000	Pulte Group, Inc., 7.875%, 6/15/2032		250,250
	1,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,465,830
	650,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		650,000
	400,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		431,000
	60,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		60,900
	560,000	Qwest Corp., 6.875%, 9/15/2033		561,717
	115,000	Qwest Corp., 7.250%, 9/15/2025		136,962
	480,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		514,800
	200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		204,500
	500,000	Range Resources Corp., 5.000%, 8/15/2022		500,000
	1,075,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		1,015,875
	80,000	Reynolds American, Inc., 6.750%, 6/15/2017		89,115
	400,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019		424,000
	655,000	Rockies Express Pipeline LLC, 3.900%, 4/15/2015, 144A		651,725
	1,970,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		1,802,747
	760,000	Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		828,400
	135,000	Springleaf Finance Corp., 5.250%, 12/15/2019		132,300


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	330,000	Springleaf Finance Corp., 7.750%, 10/01/2021	$	369,600
	130,000	Springleaf Finance Corp., 8.250%, 10/01/2023		145,600
	400,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		413,000
	300,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		307,500
	294,000	Sprint Capital Corp., 6.875%, 11/15/2028		258,720
	240,000	Sprint Capital Corp., 6.900%, 5/01/2019		244,800
	110,000	Sprint Capital Corp., 8.750%, 3/15/2032		106,425
	26,000	Sprint Communications, Inc., 6.000%, 12/01/2016		27,197
	180,000	Sprint Communications, Inc., 6.000%, 11/15/2022		165,600
	2,910,000	SUPERVALU, Inc., 6.750%, 6/01/2021		2,859,075
	1,360,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,278,400
	820,000	Textron, Inc., 5.950%, 9/21/2021		949,827
	960,000	Toys R Us, Inc., 7.375%, 10/15/2018		628,800
	171,000	TransDigm, Inc., 6.500%, 7/15/2024		171,855
	3,040,000	U.S. Treasury Note, 0.250%, 1/15/2015		3,040,000
	4,760,000	U.S. Treasury Note, 0.250%, 1/31/2015		4,760,557
	8,485,000	U.S. Treasury Note, 0.250%, 2/15/2015(i)		8,486,655
	5,000,000	U.S. Treasury Note, 0.250%, 2/29/2016		4,993,750
	3,785,000	U.S. Treasury Note, 0.250%, 5/15/2016		3,777,017
	7,500,000	U.S. Treasury Note, 0.375%, 3/31/2016		7,498,830
	8,530,000	U.S. Treasury Note, 0.375%, 10/31/2016		8,494,677
	8,520,000	U.S. Treasury Note, 0.500%, 11/30/2016		8,498,700
	19,461	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		21,685
	630,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		666,225
	295,000	United Rentals North America, Inc., 7.625%, 4/15/2022		324,352
	1,735,000	United States Steel Corp., 6.650%, 6/01/2037		1,578,850
	770,000	United States Steel Corp., 7.500%, 3/15/2022		804,650


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United States – continued
$	125,204	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026	$	139,602
	67,160	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		74,547
	480,012	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		504,013
	230,000	USG Corp., 9.750%, 1/15/2018		262,200
	10,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		10,450
	110,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		123,008
	260,000	Visant Corp., 10.000%, 10/01/2017		225,550
	60,000	Weyerhaeuser Co., 6.950%, 10/01/2027		73,576
	315,000	Weyerhaeuser Co., 7.375%, 3/15/2032		419,375
	60,000	Weyerhaeuser Real Estate Co., 4.375%, 6/15/2019, 144A		59,175
	125,000	Xerox Corp., 6.750%, 2/01/2017		137,779
	20,000	Xerox Corp., MTN, 7.200%, 4/01/2016		21,416

				170,668,746

		Total Non-Convertible Bonds (Identified Cost $336,711,335)		342,642,429

	Convertible Bonds – 0.7%
		United States – 0.7%
	390,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		378,787
	175,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		174,781
	185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		229,053
	530,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(j)		590,287
	1,125,000	Intel Corp., 3.250%, 8/01/2039		1,956,094
	175,000	KB Home, 1.375%, 2/01/2019		173,469
	83,000	Macquarie Infrastructure Co. LLC, 2.875%, 7/15/2019		94,309
	2,200,000	Old Republic International Corp., 3.750%, 3/15/2018		2,549,250
	375,000	Omnicare, Inc., 3.750%, 12/15/2025		1,034,531
	1,260,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A		1,200,150
	40,000	RPM International, Inc., 2.250%, 12/15/2020		46,625
	90,000	Trinity Industries, Inc., 3.875%, 6/01/2036		118,238


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Total Convertible Bonds (Identified Cost $6,459,574)	$	8,545,574

	Municipals – 0.0%
		United States – 0.0%
$	415,000	State of Illinois, 5.100%, 6/01/2033		411,966
	130,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		97,667

		Total Municipals (Identified Cost $450,567)		509,633

		Total Bonds and Notes (Identified Cost $343,621,476)		351,697,636

	Senior Loans – 0.3%
		United States – 0.3%
	1,842,188	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(g)		1,822,624
	1,065,000	Flying Fortress, Inc., New Term Loan, 3.500%, 6/30/2017(g)		1,049,025
	428,475	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(g)		416,336
	23,142	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(g)		22,486
	120,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(g)		115,800
	15,429	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(g)		12,289
	908,435	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(g)		890,775

		Total Senior Loans (Identified Cost $4,395,640)		4,329,335


Shares
	Preferred Stocks – 0.1%
	Non-Convertible Preferred Stock – 0.1%
		United States – 0.1%
	682	Ally Financial, Inc., Series G, 7.000% 144A (Identified Cost $145,366)		681,723

	Convertible Preferred Stocks – 0.0%
		United States – 0.0%
	1,495	Alcoa, Inc., Series 1, 5.375%		75,423
	460	Chesapeake Energy Corp., 5.000%(e)		43,499
	100	Chesapeake Energy Corp., Series A, 5.750% 144A(e)		102,375


Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		Total Convertible Preferred Stocks (Identified Cost $206,952)	$	221,297

		Total Preferred Stocks (Identified Cost $352,318)		903,020


Principal Amount (‡)
	Short-Term Investments – 2.5%
$	31,504,656	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $31,504,673 on 1/02/2015 collateralized by $31,470,000 Federal Home Loan Bank, 2.875% due 6/14/2024 valued at $32,138,738 including accrued interest(k) (Identified Cost $31,504,656)	$	31,504,656

		Total Investments – 99.4% (Identified Cost $1,106,498,178)(a)		1,243,611,788
		Other assets less liabilities – 0.6%		7,176,813

		Net Assets – 100.0%	$	1,250,788,601

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

(†)

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

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

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

Debt securities and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

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 equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

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

As of December 31, 2014, approximately 23% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

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

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

(†††)

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

(††††)

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

(†††††)

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

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

At December 31, 2014, the net unrealized appreciation on investments based on a cost of $1,107,380,884 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	160,326,939
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(24,096,035	)

Net unrealized appreciation	$	136,230,904

(b)	Non-income producing security.

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

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

(e)	Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of these securities amounted to $323,347 or less than 0.0% of net assets.

(f)	Perpetual bond with no specified maturity date.

(g)	Variable rate security. Rate as of December 31, 2014 is disclosed.

(h)	Illiquid security. At December 31, 2014, the value of these securities amounted to $410,375 or less than 0.0% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

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

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

(k)

The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of December 31, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

144A

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2014, the value of Rule 144A holdings amounted to $93,927,318 or 7.5% of net assets.

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

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

CLP	Chilean Peso

COP	Colombian Peso

EUR

Euro

GBP	British Pound

IDR	Indonesian Rupiah

INR	Indian Rupee

KRW	South Korean Won

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

PHP	Philippine Peso

PLN	Polish Zloty

SEK	Swedish Krona

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, 2014, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy¹		3/18/2015	Australian Dollar		2,465,000	$	2,001,946	$	(8,138	)
Sell¹		3/18/2015	Australian Dollar		2,870,000		2,330,866		34,487
Buy¹		1/07/2015	Brazilian Real		2,800,000		1,052,775		(33,760	)
Sell¹		1/07/2015	Brazilian Real		20,585,000		7,739,773		322,946
Buy¹		3/18/2015	British Pound		1,370,000		2,134,051		(15,301	)
Sell¹		3/05/2015	Canadian Dollar		2,895,000		2,488,399		48,949
Sell²		3/24/2015	Colombian Peso		3,980,000,000		1,667,600		(58,218	)
Buy³		3/18/2015	Euro		11,360,000		13,755,258		(365,279	)
Buy¹		3/18/2015	Japanese Yen		1,845,000,000		15,413,104		(78,860	)
Sell⁴		3/18/2015	Mexican Peso		44,000,000		2,968,835		(15,270	)
Sell¹		3/18/2015	New Zealand Dollar		8,162,000		6,322,618		(63,752	)
Sell⁴		3/18/2015	Norwegian Krone		4,200,000		562,377		42,180
Sell²		3/18/2015	Polish Zloty		24,720,000		6,959,610		405,424
Sell⁴		1/29/2015	Swedish Krona		12,700,000		1,629,266		110,933

Total								$	326,341

¹	Counterparty is Credit Suisse International.

²	Counterparty is Citibank N.A.

³	Counterparty is Morgan Stanley & Co.

⁴	Counterparty is UBS AG.

Fair Value Measurements

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

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks
Belgium	$	—	$	16,366,659	$	—	$	16,366,659
Brazil		—		7,690,780		—		7,690,780
China		20,280,981		16,515,112		—		36,796,093
Denmark		—		17,215,622		—		17,215,622
Germany		—		30,729,733		—		30,729,733
Hong Kong		—		17,833,702		—		17,833,702


India		13,633,418		18,119,954		—		31,753,372
Italy		—		15,346,093		—		15,346,093
Japan		—		45,528,764		—		45,528,764
Sweden		—		17,087,755		—		17,087,755
Switzerland		—		27,191,216		—		27,191,216
United Kingdom		—		56,282,899		—		56,282,899
All Other Common Stocks*		535,354,453		—		—		535,354,453

Total Common Stocks		569,268,852		285,908,289		—		855,177,141

Bonds and Notes
Non-Convertible Bonds
Korea		—		5,854,451		2,381,122		8,235,573
United States		34,407		168,126,315		2,508,024		170,668,746
All Other Non-Convertible Bonds*		—		163,738,110		—		163,738,110

Total Non-Convertible Bonds		34,407		337,718,876		4,889,146		342,642,429

Convertible Bonds*		—		8,545,574		—		8,545,574
Municipals*		—		509,633		—		509,633

Total Bonds and Notes		34,407		346,774,083		4,889,146		351,697,636

Senior Loans*		—		4,329,335		—		4,329,335
Preferred Stocks
Non-Convertible Preferred Stock*		681,723		—		—		681,723
Convertible Preferred Stocks*		75,423		145,874		—		221,297

Total Preferred Stocks		757,146		145,874		—		903,020

Short-Term Investments		—		31,504,656		—		31,504,656

Total Investments		570,060,405		668,662,237		4,889,146		1,243,611,788

Forward Foreign Currency Contracts (unrealized appreciation)		—		964,919		—		964,919

Total	$	570,060,405	$	669,627,156	$	4,889,146	$	1,244,576,707

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(638,578	)	$	—	$	(638,578	)

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

A preferred stock valued at $45,080 was transferred from Level 1 to Level 2 during the period ended December 31, 2014. At December 31, 2013, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At December 31, 2014, this security was fair valued on the basis of evaluated bids furnished to the Fund as an independent pricing service did not provide a reliable price for the security.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair values as of September 30, 2014 and/or December 31, 2014:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2014		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
Korea	$	4,567,994	$	1,882	$	11,146	$	(185,466	)	$	—	$	(2,014,434	)	$	—	$	—	$	2,381,122	$	(10,249	)
United States		2,546,713		472		—		(1,071	)		—		(38,090	)		—		—		2,508,024		1,378

Total	$	7,114,707	$	2,354	$	11,146	$	(186,537	)	$	—	$	(2,052,524	)	$	—	$	—	$	4,889,146	$	(8,871	)

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. 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, 2014, 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, 2014:


Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	964,919

Liabilities	Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(638,578	)

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

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of December 31, 2014, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
Morgan Stanley & Co.	$	(365,279	)	$	279,054

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

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of December 31, 2014:

Maximum Amount

of Loss - Gross

Maximum Amount

of Loss - Net

$ 1,243,973

$ —

These amounts include cash received as collateral of $1,040,000.

Industry Summary at December 31, 2014 (Unaudited)


Treasuries	8.7	%
Pharmaceuticals	7.9
Banks	4.9
Internet Software & Services	4.8
Insurance	4.4
IT Services	4.3
Aerospace & Defense	4.2
Banking	4.1
Specialty Retail	3.9
Internet & Catalog Retail	3.5
Energy Equipment & Services	3.2
Beverages	3.2
Trading Companies & Distributors	2.4
Oil, Gas & Consumable Fuels	2.1
Chemicals	2.0
Other Investments, less than 2% each	33.3
Short-Term Investments	2.5

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

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2014 (Unaudited)


United States Dollar	66.1	%
Euro	6.2
British Pound	5.0
Japanese Yen	3.6
Hong Kong Dollar	2.7
Indian Rupee	2.6
Canadian Dollar	2.5
Swiss Franc	2.2
Mexican Peso	2.0
Other, less than 2% each	6.5

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

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Growth Fund


Shares		Description	Value (†)
	Common Stocks – 98.2% of Net Assets
		Air Freight & Logistics – 6.5%
	707,615	Expeditors International of Washington, Inc.	$	31,566,705
	302,466	United Parcel Service, Inc., Class B		33,625,145

				65,191,850

		Beverages – 9.3%
	802,791	Coca-Cola Co. (The)		33,893,836
	378,040	Monster Beverage Corp.(b)		40,960,634
	370,446	SABMiller PLC, Sponsored ADR		19,100,196

				93,954,666

		Biotechnology – 2.9%
	184,763	Amgen, Inc.		29,430,898

		Capital Markets – 3.6%
	143,383	Greenhill & Co., Inc.		6,251,499
	742,330	SEI Investments Co.		29,722,893

				35,974,392

		Communications Equipment – 9.5%
	1,991,215	Cisco Systems, Inc.		55,385,645
	541,486	QUALCOMM, Inc.		40,248,655

				95,634,300

		Consumer Finance – 1.7%
	184,671	American Express Co.		17,181,790

		Energy Equipment & Services – 2.8%
	332,572	Schlumberger Ltd.		28,404,975

		Food Products – 3.2%
	2,504,129	Danone, Sponsored ADR		32,596,247

		Health Care Equipment & Supplies – 4.6%
	320,106	Varian Medical Systems, Inc.(b)		27,692,370
	167,820	Zimmer Holdings, Inc.		19,034,144

				46,726,514

		Hotels, Restaurants & Leisure – 2.1%
	288,597	Yum! Brands, Inc.		21,024,291

		Household Products – 3.6%
	395,598	Procter & Gamble Co. (The)		36,035,022

		Internet & Catalog Retail – 4.4%
	142,013	Amazon.com, Inc.(b)		44,073,735

		Internet Software & Services – 11.8%
	214,744	Alibaba Group Holding Ltd., Sponsored ADR(b)		22,320,491
	665,988	Facebook, Inc., Class A(b)		51,960,384
	42,353	Google, Inc., Class A(b)		22,475,043


Shares		Description	Value (†)
	Common Stocks – continued
		Internet Software & Services – continued
	42,345	Google, Inc., Class C(b)	$	22,290,408

				119,046,326

		IT Services – 5.9%
	107,851	Automatic Data Processing, Inc.		8,991,538
	191,937	Visa, Inc., Class A		50,325,881

				59,317,419

		Pharmaceuticals – 7.4%
	278,632	Merck & Co., Inc.		15,823,511
	345,586	Novartis AG, ADR		32,021,999
	618,094	Novo Nordisk AS, Sponsored ADR		26,157,738

				74,003,248

		Semiconductors & Semiconductor Equipment – 3.1%
	66,593	Altera Corp.		2,459,945
	79,630	Analog Devices, Inc.		4,421,058
	518,966	ARM Holdings PLC, Sponsored ADR		24,028,126

				30,909,129

		Software – 12.6%
	517,232	Autodesk, Inc.(b)		31,064,954
	164,479	FactSet Research Systems, Inc.		23,150,419
	539,281	Microsoft Corp.		25,049,603
	1,054,122	Oracle Corp.		47,403,866

				126,668,842

		Specialty Retail – 3.2%
	466,295	Lowe’s Cos., Inc.		32,081,096

		Total Common Stocks (Identified Cost $860,517,653)		988,254,740


Principal Amount
	Short-Term Investments – 1.6%
$	15,674,774	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $15,674,782 on 1/02/2015 collateralized by $15,565,000 U.S. Treasury Note, 2.375% due 08/15/2024 valued at $15,993,038 including accrued interest(c) (Identified Cost $15,674,774)		15,674,774

		Total Investments – 99.8% (Identified Cost $876,192,427)(a)		1,003,929,514
		Other assets less liabilities – 0.2%		2,253,484

		Net Assets – 100.0%	$	1,006,182,998

(†)

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

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

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

At December 31, 2014, the net unrealized appreciation on investments based on a cost of $876,192,427 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	138,033,404
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(10,296,317	)

Net unrealized appreciation	$	127,737,087

At September 30, 2014, the Fund had a capital loss carryforward of $46,273,472 of which $11,593,528 expires on September 30, 2017 and $34,679,944 expires on September 30, 2018. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

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, 2014, at value

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	988,254,740	$	—	$	—	$	988,254,740
Short-Term Investments		—		15,674,774		—		15,674,774

Total	$	988,254,740	$	15,674,774	$	—	$	1,003,929,514

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

For the period ended December 31, 2014 there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2014 (Unaudited)


Software	12.6	%
Internet Software & Services	11.8
Communications Equipment	9.5
Beverages	9.3
Pharmaceuticals	7.4
Air Freight & Logistics	6.5
IT Services	5.9
Health Care Equipment & Supplies	4.6
Internet & Catalog Retail	4.4
Household Products	3.6
Capital Markets	3.6
Food Products	3.2
Specialty Retail	3.2
Semiconductors & Semiconductor Equipment	3.1
Biotechnology	2.9
Energy Equipment & Services	2.8
Hotels, Restaurants & Leisure	2.1
Consumer Finance	1.7
Short-Term Investments	1.6

Total Investments	99.8
Other assets less liabilities	0.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles High Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 88.0% of Net Assets
	Non-Convertible Bonds – 79.0%
		ABS Home Equity – 4.3%
$	233,777	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.832%, 9/25/2045(b)	$	224,915
	300,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 2.912%, 6/17/2031, 144A(b)		283,622
	271,176	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		278,189
	180,682	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		186,095
	310,307	Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.620%, 7/25/2037, 144A(b)		224,308
	205,204	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		210,375
	47,298	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.720%, 2/25/2035(b)		45,763
	102,665	Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-9, Class 12A3, 2.780%, 11/25/2034(b)		101,370
	102,375	Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036		103,866
	91,228	Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.552%, 5/25/2035(b)		87,755
	84,597	CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		75,927
	523,366	Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034		522,911
	259,098	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		174,812
	321,592	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.440%, 4/25/2035(b)		277,316
	396,733	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 2.596%, 11/20/2035(b)		374,953
	69,771	GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033		70,028
	385,379	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.738%, 6/19/2035(b)		384,222
	306,256	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 2.959%, 7/19/2035(b)		292,201
	73,261	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.757%, 12/25/2034(b)		70,182
	518,114	GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.687%, 9/25/2035(b)		521,000
	177,876	GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036		144,665
	93,437	JPMorgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 4.576%, 3/25/2036(b)		75,031
	379,114	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.670%, 1/25/2036(b)(c)		268,310
	143,062	Lehman Mortgage Trust, Series 2006-1, Class 3A5, 5.500%, 2/25/2036		142,252
	488,314	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 2.679%, 3/25/2035(b)		433,271


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		ABS Home Equity – continued
$	521,088	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.330%, 1/25/2047(b)	$	405,263
	462,344	Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		372,464
	97,686	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.630%, 5/25/2036(b)		88,122
	403,882	Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036		331,829
	308,727	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		314,307
	552,063	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.913%, 1/25/2047(b)		496,978
	107,448	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.873%, 4/25/2047(b)		93,526
	543,718	Washington Mutual Mortgage Pass Through Certificates, Series 2006-AR6, Class 2A, 1.073%, 8/25/2046(b)		371,964

				8,047,792

		ABS Other – 0.3%
	154,323	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		165,104
	450,000	Springleaf Funding Trust, Series 2014-AA, Class C, 4.450%, 12/15/2022, 144A		449,182

				614,286

		Aerospace & Defense – 2.2%
	125,000	Huntington Ingalls Industries, Inc., 5.000%, 12/15/2021, 144A		127,187
	355,000	KLX, Inc., 5.875%, 12/01/2022, 144A		358,550
	1,500,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,425,000
	900,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		927,000
	200,000	Oshkosh Corp., 5.375%, 3/01/2022		204,000
	620,000	TransDigm, Inc., 6.000%, 7/15/2022		618,450
	515,000	TransDigm, Inc., 6.500%, 7/15/2024		517,575

				4,177,762

		Airlines – 0.2%
	4,753	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		4,943
	131,191	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		134,307
	204,965	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		211,114

				350,364

		Automotive – 0.5%
	620,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		601,400


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	310,000	Nexteer Automotive Group Ltd., 5.875%, 11/15/2021, 144A	$	310,000

				911,400

		Banking – 1.8%
	2,100,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		754,853
	900,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		769,786
	65,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(d)		74,131
	740,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(d)		850,665
	800,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		870,725

				3,320,160

		Brokerage – 0.5%
	1,075,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		983,625

		Building Materials – 1.7%
	890,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		747,600
	420,000	Building Materials Holding Corp., 9.000%, 9/15/2018, 144A		441,000
	451,000	CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A		461,147
	50,000	Masco Corp., 6.500%, 8/15/2032		51,125
	345,000	Masco Corp., 7.750%, 8/01/2029		396,750
	1,000,000	Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A		857,500
	900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		286,096

				3,241,218

		Cable Satellite – 3.4%
	475,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		464,313
	430,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022		428,925
	15,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		15,150
	895,000	DISH DBS Corp., 5.125%, 5/01/2020		901,712
	1,000,000	DISH DBS Corp., 5.875%, 11/15/2024, 144A		1,005,000
	155,000	Numericable-SFR, 5.375%, 5/15/2022, 144A, (EUR)		193,560
	515,000	Unitymedia Hessen GmbH & Co.KG/Unitymedia NRW GmbH, 5.000%, 1/15/2025, 144A		516,287
	1,485,000	Unitymedia KabelBW GmbH, 6.125%, 1/15/2025, 144A		1,533,262


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Cable Satellite – continued
$	265,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A	$	277,256
	485,000	Virgin Media Finance PLC, 6.375%, 4/15/2023, 144A		508,038
	375,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		387,188
	130,000	Wave Holdco LLC/Wave Holdco Corp., 8.250% (9.000% PIK), 7/15/2019, 144A(e)		130,650

				6,361,341

		Chemicals – 2.3%
	265,000	Braskem Finance Ltd., 6.450%, 2/03/2024		265,663
	535,000	Eagle Spinco, Inc., 4.625%, 2/15/2021		506,912
	1,510,000	Hercules, Inc., 6.500%, 6/30/2029		1,359,000
	620,000	Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		551,800
	445,000	Perstorp Holding AB, 11.000%, 8/15/2017, 144A		436,100
	1,125,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		1,094,062

				4,213,537

		Construction Machinery – 0.4%
	650,000	Ashtead Capital, Inc., 5.625%, 10/01/2024, 144A		666,250

		Consumer Cyclical Services – 1.2%
	515,000	IHS, Inc., 5.000%, 11/01/2022, 144A		509,850
	732,000	ServiceMaster Co. LLC (The), 7.000%, 8/15/2020		757,620
	1,095,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		1,045,725

				2,313,195

		Electric – 1.7%
	415,000	Calpine Corp., 6.000%, 1/15/2022, 144A		441,975
	525,000	Dynegy Finance I, Inc./Dynegy Finance II, Inc., 7.375%, 11/01/2022, 144A		534,188
	390,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		392,184
	1,502,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A		1,744,197
	13,153	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		14,040

				3,126,584

		Finance Companies – 5.5%
	1,040,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.500%, 5/15/2021, 144A		1,053,000


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Finance Companies – continued
$	945,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 5.000%, 10/01/2021, 144A	$	978,075
	340,000	CIT Group, Inc., 3.875%, 2/19/2019		339,150
	65,000	CIT Group, Inc., 5.000%, 8/15/2022		66,788
	545,000	CIT Group, Inc., 5.000%, 8/01/2023		559,987
	600,000	iStar Financial, Inc., 4.000%, 11/01/2017		583,500
	505,000	iStar Financial, Inc., 5.000%, 7/01/2019		489,850
	1,015,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		964,250
	585,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		602,550
	870,000	Navient Corp., 5.000%, 10/26/2020		853,687
	1,230,000	Navient LLC, 5.500%, 1/25/2023		1,177,725
	435,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		448,050
	540,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		523,800
	445,000	Springleaf Finance Corp., 5.250%, 12/15/2019		436,100
	1,110,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,243,200

				10,319,712

		Financial Other – 0.9%
	695,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019		693,262
	180,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		180,788
	804,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		816,060

				1,690,110

		Food & Beverage – 1.1%
	1,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)		585,735
	600,000	Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL)		200,436
	605,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		698,775
	480,000	WhiteWave Foods Co. (The), 5.375%, 10/01/2022		494,400

				1,979,346

		Gaming – 1.3%
	100,000	GLP Capital LP/GLP Financing II, Inc., 4.375%, 11/01/2018		102,250
	740,000	GLP Capital LP/GLP Financing II, Inc., 4.875%, 11/01/2020		749,250


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Gaming – continued
$	725,000	MGM Resorts International, 6.000%, 3/15/2023	$	728,625
	740,000	MGM Resorts International, 6.750%, 10/01/2020		777,000

				2,357,125

		Government Owned - No Guarantee – 0.5%
	530,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		504,316
	465,000	Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A		444,694

				949,010

		Health Insurance – 0.6%
	1,025,000	WellCare Health Plans, Inc., 5.750%, 11/15/2020		1,058,313

		Healthcare – 4.9%
	360,000	Amsurg Corp., 5.625%, 7/15/2022, 144A		369,000
	405,000	BioScrip, Inc., 8.875%, 2/15/2021, 144A		364,500
	405,000	Catamaran Corp., 4.750%, 3/15/2021		405,000
	1,330,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		1,408,969
	155,000	Fresenius Medical Care U.S. Finance II, Inc., 4.125%, 10/15/2020, 144A		155,775
	145,000	Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024, 144A		146,450
	170,000	HCA, Inc., 7.050%, 12/01/2027		172,550
	655,000	HCA, Inc., 7.500%, 12/15/2023		733,600
	145,000	HCA, Inc., 7.500%, 11/06/2033		152,250
	590,000	HCA, Inc., 7.690%, 6/15/2025		663,750
	480,000	HCA, Inc., 8.360%, 4/15/2024		564,000
	820,000	HCA, Inc., MTN, 7.580%, 9/15/2025		914,300
	515,000	HCA, Inc., MTN, 7.750%, 7/15/2036		551,050
	305,000	LifePoint Hospitals, Inc., 5.500%, 12/01/2021		311,862
	80,000	Omnicare, Inc., 4.750%, 12/01/2022		81,000
	65,000	Omnicare, Inc., 5.000%, 12/01/2024		66,625
	540,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		541,350
	310,000	Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A		310,388


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	635,000	Tenet Healthcare Corp., 6.875%, 11/15/2031	$	596,900
	720,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		720,000

				9,229,319

		Home Construction – 4.2%
	1,200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(f)		61,200
	750,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		637,500
	500,000	K. Hovnanian Enterprises, Inc., 9.125%, 11/15/2020, 144A		532,500
	345,000	KB Home, 7.000%, 12/15/2021		362,897
	1,260,000	Lennar Corp., 4.500%, 11/15/2019		1,250,550
	3,135,000	Pulte Group, Inc., 6.000%, 2/15/2035(g)		2,993,925
	925,000	Standard Pacific Corp., 5.875%, 11/15/2024		925,000
	70,000	Standard Pacific Corp., 8.375%, 1/15/2021		79,275
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A(f)		20,000
	1,100,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(f)		110,000
	915,000	Weyerhaeuser Real Estate Co., 4.375%, 6/15/2019, 144A		902,419

				7,875,266

		Independent Energy – 6.3%
	345,000	Antero Resources Corp., 5.125%, 12/01/2022, 144A		325,162
	90,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		76,500
	840,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		714,000
	260,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		205,400
	115,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		101,200
	75,000	California Resources Corp., 5.000%, 1/15/2020, 144A		65,063
	845,000	California Resources Corp., 5.500%, 9/15/2021, 144A		722,475
	380,000	California Resources Corp., 6.000%, 11/15/2024, 144A		321,100
	550,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		534,875
	280,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		297,500
	315,000	Cimarex Energy Co., 4.375%, 6/01/2024		300,825


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	70,000	Concho Resources, Inc., 5.500%, 10/01/2022	$	70,700
	125,000	Concho Resources, Inc., 5.500%, 4/01/2023		125,587
	335,000	Continental Resources, Inc., 3.800%, 6/01/2024		299,673
	215,000	Continental Resources, Inc., 4.500%, 4/15/2023		204,497
	115,000	Halcon Resources Corp., 8.875%, 5/15/2021		86,538
	400,000	Halcon Resources Corp., 9.750%, 7/15/2020		300,000
	220,000	Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.750%, 4/01/2022, 144A		167,200
	410,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		365,925
	60,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		54,750
	265,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		239,825
	480,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		436,800
	400,000	QEP Resources, Inc., 5.250%, 5/01/2023		374,000
	520,000	QEP Resources, Inc., 5.375%, 10/01/2022		491,400
	1,000,000	Rex Energy Corp., 6.250%, 8/01/2022, 144A		745,000
	150,000	Rex Energy Corp., 8.875%, 12/01/2020		134,250
	890,000	Rice Energy, Inc., 6.250%, 5/01/2022, 144A		827,700
	1,435,000	Rosetta Resources, Inc., 5.875%, 6/01/2022		1,291,500
	305,000	RSP Permian, Inc., 6.625%, 10/01/2022, 144A		283,650
	245,000	Sanchez Energy Corp., 6.125%, 1/15/2023, 144A		205,800
	920,000	SM Energy Co., 5.000%, 1/15/2024		795,800
	35,000	SM Energy Co., 6.125%, 11/15/2022, 144A		32,900
	115,000	Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A		106,088
	55,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		51,425
	455,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		422,012

				11,777,120

		Industrial Other – 0.9%
	265,000	AECOM Technology Corp., 5.750%, 10/15/2022, 144A		270,963
	955,000	CBRE Services, Inc., 5.250%, 3/15/2025		974,100


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Industrial Other – continued
$	330,000	Transfield Services Ltd., 8.375%, 5/15/2020, 144A	$	351,450

				1,596,513

		Integrated Energy – 0.4%
	800,000	Pacific Rubiales Energy Corp., 5.375%, 1/26/2019, 144A		689,200

		Leisure – 0.3%
	655,000	24 Hour Holdings III LLC, 8.000%, 6/01/2022, 144A		524,000

		Media Entertainment – 0.9%
	250,000	CCOH Safari LLC, 5.500%, 12/01/2022		253,750
	245,000	CCOH Safari LLC, 5.750%, 12/01/2024		247,756
	1,000,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022		1,030,000
	151,000	DreamWorks Animation SKG, Inc., 6.875%, 8/15/2020, 144A		154,775

				1,686,281

		Metals & Mining – 2.4%
	2,395,000	ArcelorMittal, 7.250%, 3/01/2041(g)		2,418,950
	795,000	CONSOL Energy, Inc., 5.875%, 4/15/2022, 144A		739,350
	180,000	Constellium NV, 4.625%, 5/15/2021, 144A, (EUR)		189,766
	460,000	Emeco Pty Ltd., 9.875%, 3/15/2019, 144A		349,600
	460,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A		463,450
	175,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		157,500
	270,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		243,000

				4,561,616

		Midstream – 2.1%
	85,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		84,788
	275,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019, 144A		264,000
	445,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		408,287
	405,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020		406,012
	295,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		294,263
	385,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022		359,975
	425,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		431,375


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Midstream – continued
$	935,000	Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022	$	888,250
	408,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019, 144A		392,700
	25,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		22,750
	100,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		96,500
	300,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		303,750
	15,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.875%, 2/01/2021		15,338

				3,967,988

		Non-Agency Commercial Mortgage-Backed Securities – 1.7%
	1,690,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.796%, 8/10/2045(b)		1,726,666
	805,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.222%, 11/05/2030, 144A(b)		824,773
	125,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049		129,568
	525,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.592%, 4/12/2049(b)		558,578

				3,239,585

		Oil Field Services – 0.6%
	285,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A		133,950
	435,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A		265,350
	905,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A		543,000
	35,000	Parker Drilling Co., 6.750%, 7/15/2022		25,156
	155,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		124,000

				1,091,456

		Packaging – 0.8%
	755,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		771,988
	775,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		755,625

				1,527,613

		Pharmaceuticals – 1.3%
	1,540,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		1,609,300
	530,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		565,112
	145,000	Valeant Pharmaceuticals International, Inc., 6.750%, 8/15/2018, 144A		154,247


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Pharmaceuticals – continued
$	70,000	Valeant Pharmaceuticals International, Inc., 7.500%, 7/15/2021, 144A	$	75,600

				2,404,259

		Property & Casualty Insurance – 0.4%
	786,000	Hockey Merger Sub 2, Inc., 7.875%, 10/01/2021, 144A		782,070

		Retailers – 1.6%
	40,000	Dillard’s, Inc., 7.000%, 12/01/2028		42,400
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		483,938
	205,000	Dillard’s, Inc., 7.750%, 5/15/2027		229,088
	35,000	Dillard’s, Inc., 7.875%, 1/01/2023		40,425
	1,035,000	GameStop Corp., 5.500%, 10/01/2019, 144A		1,037,587
	280,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022, 144A		273,700
	255,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		221,850
	245,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		215,600
	520,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		312,000
	135,000	Toys R Us, Inc., 7.375%, 10/15/2018		88,425

				2,945,013

		Supermarkets – 0.6%
	205,000	New Albertson’s, Inc., 7.450%, 8/01/2029		183,475
	935,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		743,325
	140,000	SUPERVALU, Inc., 7.750%, 11/15/2022		137,200

				1,064,000

		Supranational – 2.0%
	458,000,000	International Bank for Reconstruction & Development, EMTN, 4.250%, 2/05/2016, (CLP)		758,201
	21,150,000	International Bank for Reconstruction & Development, Series GDIF, 5.000%, 5/24/2017, (INR)		332,302
	100,890,000	International Finance Corp., 7.800%, 6/03/2019, (INR)		1,741,930
	2,175,000	International Finance Corp., GMTN, 10.500%, 4/17/2018, (BRL)		818,223

				3,650,656

		Technology – 4.3%
	490,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		415,275


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Technology – continued
$	2,500,000		Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029(g)	$	2,387,500
	1,930,000		Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,857,625
	595,000		Blackboard, Inc., 7.750%, 11/15/2019, 144A		596,487
	445,000		BMC Software Finance, Inc., 8.125%, 7/15/2021, 144A		418,300
	330,000		CommScope, Inc., 5.000%, 6/15/2021, 144A		325,050
	430,000		Equinix, Inc., 4.875%, 4/01/2020		427,850
	480,000		Equinix, Inc., 5.375%, 1/01/2022		484,512
	260,000		First Data Corp., 10.625%, 6/15/2021		294,450
	187,000		iGATE Corp., 4.750%, 4/15/2019		187,000
	215,000		MSCI, Inc., 5.250%, 11/15/2024, 144A		222,525
	440,000		Rolta Americas LLC, 8.875%, 7/24/2019, 144A		378,400

					7,994,974

			Transportation Services – 0.4%
	275,000		APL Ltd., 8.000%, 1/15/2024(h)		239,250
	550,000		Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.125%, 6/01/2022, 144A		555,500

					794,750

			Treasuries – 8.3%
	165,000	(††)	Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)		1,115,872
	131,500	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		936,051
	116,500	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		907,500
	184,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		1,633,497
	99,000	(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		829,703
	10,000,000		Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		231,934
	120,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)(g)		3,015,257
	1,050,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		362,416
	2,250,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		849,823
	5,675,000		U.S. Treasury Note, 0.375%, 5/31/2016		5,671,453

					15,553,506


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wireless – 1.9%
	100,000	Altice S.A., 7.250%, 5/15/2022, 144A, (EUR)	$	122,517
	785,000	Altice S.A., 7.750%, 5/15/2022, 144A		786,472
	6,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		397,526
	6,100,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		414,658
	800,000	Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A(f)		64,400
	1,141,000	Sprint Capital Corp., 6.875%, 11/15/2028		1,004,080
	370,000	T-Mobile USA, Inc., 6.125%, 1/15/2022		375,550
	180,000	Wind Acquisition Finance S.A., 4.082%, 7/15/2020, 144A, (EUR)(b)		208,008
	200,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A		187,000

				3,560,211

		Wirelines – 2.3%
	332,000	Axtel SAB de CV, (Step to 9.000% on 1/31/2015), 8.000%, 1/31/2020, 144A(i)		319,135
	705,000	CenturyLink, Inc., 7.650%, 3/15/2042		701,475
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		122,200
	60,000,000	Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)		24,313
	405,000	Frontier Communications Corp., 9.000%, 8/15/2031		427,275
	705,000	Level 3 Communications, Inc., 5.750%, 12/01/2022, 144A		709,406
	1,090,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		1,148,588
	345,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		353,625
	35,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		37,625
	85,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		94,775
	450,000	Telecom Italia SpA, 5.303%, 5/30/2024, 144A		455,625

				4,394,042

		Total Non-Convertible Bonds (Identified Cost $150,434,058)		147,590,568

	Convertible Bonds – 9.0%
		Construction Machinery – 1.2%
	640,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018		864,800
	1,055,000	Trinity Industries, Inc., 3.875%, 6/01/2036		1,386,006

				2,250,806


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Consumer Products – 0.2%
$	400,000	Jarden Corp., 1.125%, 3/15/2034, 144A	$	448,250

		Energy – 0.8%
	420,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		407,925
	945,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		785,531
	680,000	Peabody Energy Corp., 4.750%, 12/15/2066		357,000

				1,550,456

		Home Construction – 2.2%
	565,000	KB Home, 1.375%, 2/01/2019		560,056
	530,000	Lennar Corp., 2.750%, 12/15/2020, 144A		1,070,600
	645,000	Lennar Corp., 3.250%, 11/15/2021, 144A		1,251,300
	1,065,000	Standard Pacific Corp., 1.250%, 8/01/2032		1,194,132

				4,076,088

		Pharmaceuticals – 2.1%
	58,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		68,186
	239,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		292,924
	829,000	Emergent Biosolutions, Inc., 2.875%, 1/15/2021, 144A		932,107
	330,000	Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016		1,365,788
	285,000	Mylan, Inc., 3.750%, 9/15/2015		1,204,481

				3,863,486

		REITs - Mortgage – 0.2%
	310,000	iStar Financial, Inc., 3.000%, 11/15/2016		391,956

		Retailers – 0.6%
	658,000	Priceline Group, Inc. (The), 0.350%, 6/15/2020		733,670
	235,000	Priceline Group, Inc. (The), 1.000%, 3/15/2018		312,256

				1,045,926

		Technology – 1.6%
	1,155,000	Ciena Corp., 3.750%, 10/15/2018, 144A		1,430,034
	465,000	MercadoLibre, Inc., 2.250%, 7/01/2019, 144A		552,188
	115,000	Novellus Systems, Inc., 2.625%, 5/15/2041		263,638


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Technology – continued
$	105,000	Nuance Communications, Inc., 2.750%, 11/01/2031	$	104,672
	475,000	Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A		599,984

				2,950,516

		Transportation Services – 0.1%
	115,000	Macquarie Infrastructure Co. LLC, 2.875%, 7/15/2019		130,669

		Total Convertible Bonds (Identified Cost $14,253,047)		16,708,153

		Total Bonds and Notes (Identified Cost $164,687,105)		164,298,721

	Senior Loans – 1.7%
		Construction Machinery – 0.0%
	62,478	Neff Rental LLC, 2nd Lien Term Loan, 7.250%, 6/09/2021(b)		62,478

		Consumer Cyclical Services – 0.2%
	503,000	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(b)		487,910

		Media Entertainment – 0.0%
	94,664	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(b)		75,400

		Oil Field Services – 0.1%
	122,182	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(b)		95,913

		Other Utility – 0.2%
	231,475	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		224,917
	12,623	PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(b)		12,265
	95,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		91,675

				328,857

		Supermarkets – 0.4%
	550,000	Albertson’s Holdings LLC, Term Loan B4, 4.500%, 8/25/2021(b)		549,428
	283,290	New Albertson’s, Inc., Term Loan, 4.750%, 6/27/2021(b)		277,803

				827,231

		Transportation Services – 0.1%
	99,500	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(b)		96,764

		Wirelines – 0.7%
	1,228,125	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)		1,215,082


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
	Wirelines – continued
$	25,000	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)	$	24,781

				1,239,863

		Total Senior Loans (Identified Cost $3,277,718)		3,214,416


Shares
	Preferred Stocks – 4.8%
	Convertible Preferred Stocks – 2.9%
		Electric – 0.4%
	10,707	NextEra Energy, Inc., 5.889%		716,727

		Food Products – 0.5%
	18,721	Tyson Foods, Inc., 4.750%		942,415

		Metals & Mining – 0.5%
	9,904	Alcoa, Inc., Series 1, 5.375%		499,657
	21,500	ArcelorMittal, 6.000%		371,950

				871,607

		REITs - Diversified – 0.8%
	7,337	Crown Castle International Corp., Series A, 4.500%		755,638
	14,399	Weyerhaeuser Co., Series A, 6.375%		830,822

				1,586,460

		REITs - Mortgage – 0.3%
	8,025	iStar Financial, Inc., Series J, 4.500%(j)		474,438

		Utility Other – 0.4%
	5,356	Dominion Resources, Inc., Series B, 6.000%		322,003
	7,126	Dominion Resources, Inc., Series A, 6.125%		427,631
	1,424	Dominion Resources, Inc., 6.375%		74,062

				823,696

		Total Convertible Preferred Stocks (Identified Cost $5,248,735)		5,415,343

	Non-Convertible Preferred Stocks – 1.9%
		Banking – 1.6%
	78,785	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%(g)		2,117,741
	965	Ally Financial, Inc., Series G, 7.000%, 144A		964,608

				3,082,349


Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Finance Companies – 0.3%
	12,925	iStar Financial, Inc., Series E, 7.875%	$	319,247
	7,500	iStar Financial, Inc., Series F, 7.800%		184,875
	550	iStar Financial, Inc., Series G, 7.650%		13,338

				517,460

		Total Non-Convertible Preferred Stocks (Identified Cost $3,279,861)		3,599,809

		Total Preferred Stocks (Identified Cost $8,528,596)		9,015,152

	Common Stocks – 1.7%
		Automobiles – 1.2%
	28,004	Ford Motor Co.		434,062
	50,658	General Motors Co.		1,768,471

				2,202,533

		Oil, Gas & Consumable Fuels – 0.3%
	14,882	Kinder Morgan, Inc.		629,657

		Trading Companies & Distributors – 0.2%
	2,696	United Rentals, Inc.(k)		275,019

		Total Common Stocks (Identified Cost $2,678,141)		3,107,209

	Warrants – 0.1%
	22,512	Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(k)		95,901
	10,360	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(h)(j)(k)		—

		Total Warrants (Identified Cost $29,892)		95,901


Principal Amount (‡)
	Short-Term Investments – 2.2%
	8,686	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2014 at 0.000% to be repurchased at $8,686 on 1/02/2015 collateralized by $8,800 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $8,887 including accrued interest(l)		8,686
	3,706,026	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $3,706,028 on 1/02/2015 collateralized by $3,705,000 Federal Home Loan Bank, 2.875% due 6/14/2024 valued at $3,783,731 including accrued interest(l)		3,706,026
	475,000	U.S. Treasury Bills, 0.037%, 2/05/2015(m)(n)		474,989

		Total Short-Term Investments (Identified Cost $4,189,694)		4,189,701

		Total Investments – 98.5% (Identified Cost $183,391,146)(a)		183,921,100
		Other assets less liabilities – 1.5%		2,793,601

		Net Assets – 100.0%	$	186,714,701

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

(†)

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

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

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

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

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

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

At December 31, 2014, the net unrealized appreciation on investments based on a cost of $183,544,821 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	11,519,436
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,143,157	)

Net unrealized appreciation	$	376,279

(b)	Variable rate security. Rate as of December 31, 2014 is disclosed.

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

(d)	Perpetual bond with no specified maturity date.

(e)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended December 31, 2014, the issuer has not paid out any interest payments.

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

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

(h)	Illiquid security. At December 31, 2014, the value of these securities amounted to $239,250 or 0.1% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

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

(j)	Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of these securities amounted to $474,438 or 0.3% of net assets.

(k)	Non-income producing security.

(l)

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

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

144A

ABS	Asset-Backed Securities

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

PIK	Payment-in-Kind

REITs

Real Estate Investment Trusts

AUD	Australian Dollar

BRL	Brazilian Real

CLP	Chilean Peso

COP	Colombian Peso

EUR

Euro

INR	Indian Rupee

MXN	Mexican Peso

PHP	Philippine Peso

Forward Foreign Currency Contracts

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

At December 31, 2014, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹		1/30/2015	Euro		1,300,000	$	1,573,485	$	74,044
Sell²		1/23/2015	Mexican Peso		47,100,000		3,188,926		262,605

Total								$	336,649

¹	Counterparty is Barclays Bank plc

²	Counterparty is UBS AG

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

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

At December 31, 2014, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
30 Year U.S. Treasury Bond		3/20/2015		43	$	6,216,188	$	(169,014	)

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, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	165,104		$	449,182	$	614,286
Airlines		—		345,421			4,943		350,364
All Other Non-Convertible Bonds*		—		146,625,918			—		146,625,918

Total Non-Convertible Bonds		—		147,136,443			454,125		147,590,568

Convertible Bonds*		—		16,708,153			—		16,708,153

Total Bonds and Notes		—		163,844,596			454,125		164,298,721

Senior Loans*		—		3,214,416			—		3,214,416
Preferred Stocks
Convertible Preferred Stocks
REITs - Mortgage		—		474,438			—		474,438
All Other Convertible Preferred Stocks*		4,940,905		—			—		4,940,905

Total Convertible Preferred Stocks		4,940,905		474,438			—		5,415,343

Non-Convertible Preferred Stocks*		3,599,809		—			—		3,599,809

Total Preferred Stocks		8,540,714		474,438			—		9,015,152

Common Stocks*		3,107,209		—			—		3,107,209
Warrants		95,901		—	(a)		—		95,901
Short-Term Investments		—		4,189,701			—		4,189,701

Total Investments		11,743,824		171,723,151			454,125		183,921,100

Forward Foreign Currency Contracts (unrealized appreciation)		—		336,649			—		336,649

Total	$	11,743,824	$	172,059,800		$	454,125	$	184,257,749

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(169,014	)	$	—	$	—	$	(169,014	)

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

(a)	Fair valued at zero using level 2 inputs.

A preferred stock valued at $941,666 was transferred from Level 2 to Level 1 during the period ended December 31, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At December 31, 2014, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2014 and/or December 31, 2014:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2014		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	447,739	$	—	$	—		$	1,443		$	—	$	—		$	—	$	—	$	449,182	$	1,443
Airlines		4,985		—		—			(42	)		—		—			—		—		4,943		(42	)
Convertible Bonds
Wirelines		5,740		—		(1,628	)		1,151			—		(5,263	)		—		—		—		—

Total	$	458,464	$	—	$	(1,628	)	$	2,552		$	—	$	(5,263	)	$	—	$	—	$	454,125	$	1,401

Derivatives

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the period ended December 31, 2014, the Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2014:


Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter asset derivatives
Foreign exchange contracts	$	336,649

Liabilities	Unrealized depreciation on futures contracts
Exchange traded/cleared liability derivatives
Interest rate contracts	$	(169,014	)

Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of December 31, 2014, the Fund did not hold any derivatives positions subject to these provisions that are in a net liability position by counterparty.

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

Maximum Amount

of Loss - Gross

Maximum Amount
of Loss - Net

$ 441,646

$ 179,041

These amounts include securities received as collateral by the Fund in the amount of $281,349.

Industry Summary at December 31, 2014 (Unaudited)


Treasuries	8.3	%
Home Construction	6.4
Independent Energy	6.3
Technology	5.9
Finance Companies	5.8
Healthcare	4.9
ABS Home Equity	4.3
Banking	3.4
Cable Satellite	3.4
Pharmaceuticals	3.4
Wirelines	3.0
Metals & Mining	2.9
Chemicals	2.3
Aerospace & Defense	2.2
Midstream	2.2
Retailers	2.2
Electric	2.1
Supranational	2.0
Other Investments, less than 2% each	25.3
Short-Term Investments	2.2

Total Investments	98.5
Other assets less liabilities (including forward foreign currency contracts)	1.5

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2014 (Unaudited)


United States Dollar	88.5	%
Mexican Peso	3.3
Brazilian Real	2.2
Other, less than 2% each	4.5

Total Investments	98.5
Other assets less liabilities (including forward foreign currency contracts)	1.5

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles International Bond Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 96.7% of Net Assets
	Non-Convertible Bonds – 96.6%
		Australia – 2.2%
	170,000	New South Wales Treasury Corp., 6.000%, 5/01/2020, (AUD)(b)	$	162,448

		Belgium – 4.1%
	100,000	Anheuser-Busch InBev NV, EMTN, 1.250%, 3/24/2017, (EUR)		123,543
	130,000	Belgium Government Bond, 2.250%, 6/22/2023, (EUR)(b)		177,797

				301,340

		Brazil – 0.9%
	35,000	CSN Islands IX Corp., 10.000%, 1/15/2015		35,088
	30,000	Petrobras Global Finance BV, 3.123%, 3/17/2020(c)		27,090

				62,178

		Canada – 1.8%
	85,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		107,825
	20,000	Videotron Ltd., 5.375%, 6/15/2024, 144A		20,400

				128,225

		Colombia – 0.2%
	15,000	Ecopetrol S.A., 4.125%, 1/16/2025		14,250

		Denmark – 1.0%
	360,000	Denmark Government Bond, 4.000%, 11/15/2019, (DKK)		69,496

		Finland – 4.0%
	40,000	Finland Government Bond, 1.500%, 4/15/2023, 144A, (EUR)		52,210
	150,000	Finland Government Bond, 4.000%, 7/04/2025, 144A, (EUR)(b)		239,875

				292,085

		France – 0.9%
	50,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		68,776

		Germany – 10.9%
	30,000	BMW Finance NV, 2.375%, 1/24/2023, (EUR)		40,807
	110,000	Bundesrepublik Deutschland, 1.750%, 7/04/2022, (EUR)(b)		148,129
	280,000	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)(b)		393,627
	45,000	Bundesrepublik Deutschland, 4.000%, 1/04/2037, (EUR)		83,204


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Germany – continued
	40,000		Bundesrepublik Deutschland, 4.750%, 7/04/2034, (EUR)	$	78,688
	40,000		Volkswagen International Finance NV, EMTN, 1.875%, 5/15/2017, (EUR)		50,206

					794,661

			Ireland – 1.1%
	60,000		AIB Mortgage Bank, EMTN, 4.875%, 6/29/2017, (EUR)		80,700

			Italy – 7.5%
	50,000		Enel Finance International S.A., EMTN, 5.625%, 8/14/2024, (GBP)		93,652
	45,000		Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)		62,857
	75,000		Italy Buoni Poliennali Del Tesoro, 4.750%, 5/01/2017, (EUR)		99,442
	190,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)(b)		285,601

					541,552

			Japan – 23.4%
	80,000,000		Japan Finance Organization for Municipalities, 1.900%, 6/22/2018, (JPY)		711,964
	21,100,000		Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY)		184,348
	6,750,000		Japan Government Thirty Year Bond, 1.700%, 12/20/2043, (JPY)		62,347
	9,500,000		Japan Government Thirty Year Bond, 2.000%, 12/20/2033, (JPY)		93,059
	5,000,000		Japan Government Thirty Year Bond, 2.000%, 9/20/2040, (JPY)		48,992
	5,750,000		Japan Government Twenty Year Bond, 1.500%, 6/20/2034, (JPY)		51,960
	56,000,000		Japan Government Twenty Year Bond, 1.900%, 12/20/2028, (JPY)		548,779

					1,701,449

			Luxembourg – 0.4%
	25,000		ArcelorMittal, 6.000%, 3/01/2021		26,000

			Mexico – 3.2%
	32,300	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) (b)		229,920

			Netherlands – 0.3%
	15,000		Netherlands Government Bond, 2.250%, 7/15/2022, 144A, (EUR)(b)		20,621

			New Zealand – 2.3%
	200,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		164,703


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Norway – 3.4%
	570,000	Norway Government Bond, 2.000%, 5/24/2023, (NOK)	$	79,812
	1,165,000	Norway Government Bond, 4.250%, 5/19/2017, (NOK)		168,762

				248,574

		Poland – 1.6%
	145,000	Poland Government Bond, 3.250%, 7/25/2019, (PLN)		42,918
	70,000	Poland Government Bond, 4.750%, 4/25/2017, (PLN)		21,044
	55,000	Poland Government International Bond, EMTN, 2.625%, 5/12/2015, (CHF)(b)		55,813

				119,775

		Singapore – 0.2%
	20,000	Singapore Government Bond, 2.500%, 6/01/2019, (SGD)		15,765

		South Africa – 0.5%
	415,000	South Africa Government Bond, 7.750%, 2/28/2023, (ZAR)		35,696

		Spain – 4.7%
	50,000	Iberdrola Finanzas SAU, EMTN, 6.000%, 7/01/2022, (GBP)		93,814
	25,000	Spain Government Bond, 4.200%, 1/31/2037, (EUR)		37,914
	130,000	Spain Government Bond, 5.850%, 1/31/2022, (EUR)		207,270

				338,998

		Sweden – 1.0%
	485,000	Sweden Government Bond, Series 1052, 4.250%, 3/12/2019, (SEK)		72,884

		Switzerland – 0.8%
	50,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		61,404

		United Kingdom – 6.9%
	50,000	Barclays Bank PLC, EMTN, 5.750%, 9/14/2026, (GBP)		87,730
	45,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		85,735
	50,000	Heathrow Funding Ltd., MTN, 5.225%, 2/15/2025, (GBP)		90,753
	15,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)		23,974
	50,000	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)(b)		102,070
	15,000	United Kingdom Treasury, 4.750%, 12/07/2038, (GBP)		33,310


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		United Kingdom – continued
	40,000	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)	$	81,254

				504,826

		United States – 13.3%
	65,000	AmeriCredit Automobile Receivables Trust, Series 2013-3, Class C, 2.380%, 6/10/2019		65,537
	50,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		67,889
	50,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		97,587
	10,000	Chesapeake Energy Corp., 5.375%, 6/15/2021		9,994
	95,000	HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR)(b)		121,944
	30,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		30,000
	50,000	JPMorgan Chase & Co., EMTN, 3.875%, 9/23/2020, (EUR)		71,156
	15,000	KB Home, 4.750%, 5/15/2019		14,775
	20,000	Liberty Mutual Group, Inc., 4.850%, 8/01/2044, 144A		20,329
	35,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A		21,000
	5,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		5,013
	15,000	Time Warner Cable, Inc., 6.750%, 6/15/2039		19,609
	80,000	U.S. Treasury Note, 0.250%, 2/15/2015		80,016
	30,000	U.S. Treasury Note, 0.250%, 5/15/2015		30,021
	165,000	U.S. Treasury Note, 0.250%, 11/30/2015(d)		165,000
	45,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		47,588
	43,690	US Airways Pass Through Trust, Series 2013-1, Class A, 3.950%, 5/15/2027		44,563
	25,000	Verizon Communications, Inc., 5.050%, 3/15/2034		26,668
	30,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		28,050

				966,739

		Total Non-Convertible Bonds (Identified Cost $7,713,919)		7,023,065

	Convertible Bonds – 0.1%
		United States – 0.1%
	5,000	Macquarie Infrastructure Co. LLC, 2.875%, 7/15/2019 (Identified Cost $5,000)		5,681


Shares		Description	Value (†)
		Total Bonds and Notes (Identified Cost $7,718,919)	$	7,028,746

	Preferred Stocks – 0.8%
		United States – 0.8%
	100	Alcoa, Inc., Series 1, 5.375%, 10/01/2017		5,045
	64	Dominion Resources, Inc., Series B, 6.000%, 7/01/2016		3,848
	164	Dominion Resources, Inc., Series A, 6.125%, 4/01/2016		9,842
	448	Tyson Foods, Inc., 4.750%, 7/15/2017		22,552
	206	Weyerhaeuser Co., Series A, 6.375%, 7/01/2016		11,886

				53,173

		Total Preferred Stocks (Identified Cost $49,457)		53,173


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 2.5%
$	183,624	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $183,624 on 1/02/2015 collateralized by $185,000 U.S. Treasury Note, 2.375% due 8/15/2024 valued at $190,088 including accrued interest (e) (Identified Cost $183,624)		183,624

		Total Investments – 100.0% (Identified Cost $7,952,000)(a)		7,265,543
		Other assets less liabilities – 0.0%		2,200

		Net Assets – 100.0%	$	7,267,743

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

(†)

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

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

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

Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers.

Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.

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

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

At December 31, 2014, the net unrealized depreciation on investments based on a cost of $8,028,349 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	149,252
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(912,058	)

Net unrealized depreciation	$	(762,806	)

At September 30, 2014, late-year ordinary and post-October capital loss deferrals were $239,916. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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

(c)	Variable rate security. Rate as of December 31, 2014 is disclosed.

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

(e)

144A

EMTN	Euro Medium Term Note

MTN	Medium Term Note

AUD	Australian Dollar

CHF	Swiss Franc

DKK	Danish Krone

EUR

Euro

GBP	British Pound

JPY	Japanese Yen

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

PLN	Polish Zloty

SEK	Swedish Krona

SGD	Singapore Dollar

ZAR	South African Rand

Forward Foreign Currency Contracts

At December 31, 2014, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Buy¹		3/18/2015	Canadian Dollar		437,000	$	375,514	$	(3,509	)
Sell¹		3/18/2015	Canadian Dollar		17,500		15,038		(23	)
Buy²		3/18/2015	Euro		118,000		142,880		(3,794	)
Sell²		3/18/2015	Euro		118,000		142,880		4,830
Sell³		3/30/2015	Euro		47,000		56,916		743
Buy⁴		2/20/2015	Indonesian Rupiah		1,000,000,000		80,072		(1,794	)
Sell⁴		2/20/2015	Indonesian Rupiah		72,500,000		5,805		(300	)
Buy⁴		2/18/2015	Japanese Yen		12,500,000		104,396		(221	)
Sell⁴		2/18/2015	Japanese Yen		8,500,000		70,989		(539	)
Buy⁵		3/11/2015	South Korean Won		192,100,000		174,237		2,127
Sell⁵		3/11/2015	South Korean Won		16,000,000		14,512		(13	)

Total								$	(2,493	)

At December 31, 2014, the Fund had the following open forward cross currency contracts:


Settlement Date		Deliver/Units of Currency		Receive/Units of Currency		Unrealized Appreciation (Depreciation)
	3/18/2015	Euro	19,116	New Zealand Dollar⁴	31,000		868
	3/24/2015	Japanese Yen	10,083,240	South Korean Won⁶	94,000,000		973
	3/18/2015	New Zealand Dollar	246,500	Euro⁴	153,398		(5,207	)
	3/24/2015	South Korean Won	72,000,000	Japanese Yen⁶	7,675,906		(1,141	)

	Total					$	(4,507	)

¹	Counterparty is UBS AG

²	Counterparty is Morgan Stanley & Co.

³	Counterparty is Citibank N.A

⁴	Counterparty is Bank of America, N.A.

⁵	Counterparty is Barclays Bank PLC

⁶	Counterparty is Credit Suisse International

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

At December 31, 2014, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
German Euro BOBL		3/06/2015		5	$	788,227	$	5,134

Fair Value Measurements

•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, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
United States	$	—	$	922,176	$	44,563	$	966,739
All Other Non-Convertible Bonds*		—		6,056,326		—		6,056,326

Total Non-Convertible Bonds		—		6,978,502		44,563		7,023,065

Convertible Bonds*		—		5,681		—		5,681

Total Bonds and Notes		—		6,984,183		44,563		7,028,746

Preferred Stocks*		53,173		—		—		53,173
Short-Term Investments		—		183,624		—		183,624

Total Investments		53,173		7,167,807		44,563		7,265,543

Forward Foreign Currency Contracts (unrealized appreciation)		—		9,541		—		9,541
Futures Contracts (unrealized appreciation)		5,134		—		—		5,134

Total	$	58,307	$	7,177,348	$	44,563	$	7,280,218

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(16,541	)	$	—	$	(16,541	)

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

For the period ended December 31, 2014 there were no transfers among Levels 1, 2 and 3.

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2014		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
Airlines	$	45,337	$	—	$	—	$	536	$	—	$	(1,310	)	$	—	$	—	$	44,563	$	546

Derivatives

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed income securities with longer maturities or durations, as compared to investing in fixed income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended December 31, 2014, the Fund used futures contracts to manage duration.

The Fund is party to an agreement with a counterparty that governs transactions in forward foreign currency contracts. The agreement contains contingent features that allow the counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. If such contingent features were to be triggered, the counterparty could request immediate settlement of open contracts at current fair value.

The following is a summary of derivative instruments for the Fund, as of December 31, 2014:


Assets	Unrealized appreciation on forward foreign currency contracts		Unrealized appreciation on futures contracts¹		Total
Over-the-counter asset derivatives
Foreign exchange contracts	$	9,541	$	—	$	9,541
Exchange traded/cleared asset derivatives
Interest rate contracts		—		5,134		5,134

Total asset derivatives	$	9,541	$	5,134	$	14,675


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts¹		Total
Over-the-counter liability derivatives
Foreign exchange contracts	$	(16,541	)	$	—	$	(16,541	)

¹	Represents cumulative unrealized appreciation (depreciation) on futures contracts.

Over-the-counter derivatives, including forward foreign currency contracts are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of December 31, 2014, 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.	$	(7,193	)	$	—
Credit Suisse International		(168	)		—
UBS AG		(3,532	)		—

Maximum Amount

of Loss - Gross

Maximum Amount
of Loss - Net

$ 29,541

23,893

Industry Summary at December 31, 2014 (Unaudited)


Treasuries	59.1	%
Government Guaranteed	9.8
Banking	4.2
Local Authorities	3.7
Food & Beverage	3.0
Electric	2.6
Other Investments, less than 2% each	15.1
Short-Term Investments	2.5

Total Investments	100.0
Other assets less liabilities (including forward foreign currency and futures contracts)	—

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2014 (Unaudited)


Euro	36.8	%
Japanese Yen	23.4
United States Dollar	13.6
British Pound	10.8
Norwegian Krone	3.4
Mexican Peso	3.2
New Zealand Dollar	2.3
Australian Dollar	2.2
Other, less than 2% each	4.3

Total Investments	100.0
Other assets less liabilities (including forward foreign currency and futures contracts)	—

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Investment Grade Bond Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 91.6% of Net Assets
	Non-Convertible Bonds – 86.2%
		ABS Car Loan – 0.4%
$	18,069,167	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class B, 6.740%, 5/20/2016, 144A	$	18,282,546
	20,999,250	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		21,835,860
	5,481,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		4,738,626

				44,857,032

		ABS Credit Card – 0.0%
	2,324,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019		2,379,564

		ABS Other – 1.9%
	871,208	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		878,846
	57,694,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		66,269,752
	2,813,751	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		2,857,724
	58,015,810	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(b)		57,482,065
	5,351,178	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		5,388,369
	35,772,829	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		41,923,931
	14,200,394	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		15,174,129
	3,449,831	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		3,367,173
	7,834,330	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		8,128,109

				201,470,098

		Aerospace & Defense – 1.1%
	2,100,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,142,000
	78,795,000	Textron, Inc., 5.950%, 9/21/2021		91,270,297
	11,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		20,150,326

				113,562,623

		Airlines – 2.6%
	4,814,356	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		4,886,571
	11,384,683	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		11,812,975
	18,340,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		19,486,250
	15,940	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		16,188


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	426,953	Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019	$	442,408
	711,446	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		781,239
	7,579,781	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		8,593,197
	1,367,257	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,533,789
	3,040,289	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		3,283,512
	49,497,855	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		54,323,896
	10,779,650	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		11,399,480
	21,913,886	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		24,105,274
	16,758,812	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		19,356,428
	2,599,031	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		2,728,983
	1,586,442	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,840,272
	10,644,503	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		12,294,401
	22,944,536	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		26,558,300
	2,143,678	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9. 750%, 6/17/2018		2,422,356
	14,922,886	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		16,415,174
	4,939,201	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		5,522,521
	20,266,772	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		21,888,113
	318,071	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		354,427
	14,171,371	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		16,509,648
	8,993,436	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		9,443,108
	2,702,942	Virgin Australia Pass Through Trust, Series 2013-1A, 5.000%, 4/23/2025, 144A		2,772,381

				278,770,891

		Automotive – 1.0%
	23,581,000	Cummins, Inc., 5.650%, 3/01/2098		29,000,480
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		6,782,923
	2,680,000	Ford Motor Co., 6.375%, 2/01/2029		3,235,832
	125,000	Ford Motor Co., 6.500%, 8/01/2018		142,997
	255,000	Ford Motor Co., 6.625%, 2/15/2028		297,326


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	5,074,000	Ford Motor Co., 6.625%, 10/01/2028	$	6,231,811
	3,243,000	Ford Motor Co., 7.400%, 11/01/2046		4,669,865
	4,569,000	Ford Motor Co., 7.450%, 7/16/2031		6,202,852
	240,000	Ford Motor Co., 7.500%, 8/01/2026		305,779
	5,000,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		5,432,740
	40,126,000	Ford Motor Credit Co. LLC, 6.625%, 8/15/2017		44,730,739
	2,370,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,452,950

				109,486,294

		Banking – 14.2%
	22,547,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		28,785,755
	1,777,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,261,232
	7,200,000	American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017		8,024,270
	35,878,000	Associates Corp. of North America, 6.950%, 11/01/2018		41,905,145
	11,400,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		4,097,773
	11,641,000	Bank of America Corp., 2.600%, 1/15/2019		11,731,520
	3,590,000	Bank of America Corp., 5.420%, 3/15/2017		3,849,008
	3,132,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		4,252,553
	16,757,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		16,758,290
	100,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		99,776
	11,000,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		12,274,383
	2,393,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,892,209
	17,249,000	Bank of America NA, 5.300%, 3/15/2017		18,528,272
	1,056,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		1,161,507
	7,110,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		6,533,062
	2,173,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		2,354,704
	370,000	BNP Paribas/Australia, 7.000%, 5/24/2016, (AUD)		317,597
	8,994,000	Capital One Financial Corp., 6.150%, 9/01/2016		9,665,285
	56,000,000	Citigroup, Inc., 2.500%, 9/26/2018		56,654,304


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	17,000,000	Citigroup, Inc., 3.500%, 5/15/2023	$	16,549,330
	1,660,000	Citigroup, Inc., 4.500%, 1/14/2022		1,813,978
	22,960,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		18,152,020
	2,700,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(b)		2,510,665
	2,740,000	Citigroup, Inc., 5.875%, 2/22/2033		3,160,554
	5,445,000	Citigroup, Inc., 6.125%, 5/15/2018		6,161,965
	8,705,000	Citigroup, Inc., 6.125%, 8/25/2036		10,376,978
	44,910,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		36,397,913
	2,398,000	Citigroup, Inc., EMTN, 1.352%, 11/30/2017, (EUR)(c)		2,895,607
	4,750,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 1.700%, 3/19/2018		4,741,697
	21,855,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.875%, 2/08/2022		23,248,824
	5,265,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.950%, 11/09/2022		5,363,082
	86,800,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		76,914,901
	1,174,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		1,419,018
	112,330,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		141,240,934
	6,645,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		7,447,032
	4,467,000	HBOS PLC, 6.000%, 11/01/2033, 144A		5,044,655
	1,000,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		1,114,496
	700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		719,250
	70,245,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		70,315,947
	36,745,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		28,419,821
	2,950,000	JPMorgan Chase & Co., EMTN, 1.064%, 5/30/2017, (GBP)(c)		4,535,112
	16,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,275,995
	100,000	Keybank NA, 6.950%, 2/01/2028		130,467
	9,787,000	Lloyds Bank PLC, EMTN, 4.570%, 10/13/2015, (CAD)		8,596,521
	81,622,000	Lloyds Bank PLC, MTN, 6.500%, 9/14/2020, 144A		94,577,125
	6,479,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		7,003,838


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	103,309,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037	$	121,982,515
	40,126,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		48,212,753
	78,200,000	Morgan Stanley, 2.125%, 4/25/2018		78,245,278
	4,250,000	Morgan Stanley, 3.450%, 11/02/2015		4,332,930
	790,000	Morgan Stanley, 4.350%, 9/08/2026		794,720
	30,000,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		25,404,493
	2,510,000	Morgan Stanley, 4.875%, 11/01/2022		2,665,816
	56,867,000	Morgan Stanley, 5.500%, 7/24/2020		64,158,885
	5,900,000	Morgan Stanley, 5.750%, 1/25/2021		6,772,911
	151,076,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		125,372,779
	60,800,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		54,628,966
	550,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		932,674
	24,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		20,613,155
	10,695,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		10,828,024
	3,800,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		3,152,422
	38,206,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		43,126,704
	5,187,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		5,908,175
	9,400,000	Morgan Stanley, Series F, MTN, 0.681%, 10/18/2016(c)		9,371,791
	2,239,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		3,610,200
	2,875,000	National City Bank of Indiana, 4.250%, 7/01/2018		3,074,292
	8,638,000	National City Corp., 6.875%, 5/15/2019		10,147,560
	35,900,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		39,073,775
	5,250,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		6,677,021
	6,150,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		8,568,476
	1,650,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		2,045,697
	700,000	Santander Central Hispano Issuances Ltd., 7.250%, 11/01/2015		732,892
	16,175,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		16,849,514


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	1,800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A	$	1,875,829
	5,600,000	Santander U.S. Debt SAU, 3.724%, 1/20/2015, 144A		5,607,666
	3,300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		3,681,338

				1,540,723,621

		Brokerage – 1.2%
	27,490,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		28,167,189
	50,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		51,100,360
	19,498,000	Jefferies Group LLC, 6.250%, 1/15/2036		19,160,489
	8,760,000	Jefferies Group LLC, 6.450%, 6/08/2027		9,088,859
	1,693,000	Jefferies Group LLC, 6.875%, 4/15/2021		1,924,535
	16,875,000	Jefferies Group LLC, 8.500%, 7/15/2019		20,221,312

				129,662,744

		Building Materials – 1.2%
	6,640,000	Masco Corp., 4.800%, 6/15/2015		6,742,309
	10,942,000	Masco Corp., 5.850%, 3/15/2017		11,735,295
	6,616,000	Masco Corp., 6.125%, 10/03/2016		7,016,268
	6,058,000	Masco Corp., 6.500%, 8/15/2032		6,194,305
	28,539,000	Masco Corp., 7.125%, 3/15/2020		32,962,545
	5,725,000	Masco Corp., 7.750%, 8/01/2029		6,583,750
	9,300,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		2,956,324
	284,000	Owens Corning, 6.500%, 12/01/2016		309,426
	41,379,000	Owens Corning, 7.000%, 12/01/2036		51,262,209

				125,762,431

		Cable Satellite – 1.0%
	17,832,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		17,391,495
	13,630,000	Time Warner Cable, Inc., 4.125%, 2/15/2021		14,586,690
	4,101,000	Time Warner Cable, Inc., 5.850%, 5/01/2017		4,476,442
	64,548,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		74,028,617

				110,483,244


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Chemicals – 0.5%
$	50,500,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A	$	50,500,000

		Construction Machinery – 0.1%
	6,787,000	Toro Co., 6.625%, 5/01/2037(b)		8,011,232
	400,000	United Rentals North America, Inc., 8.375%, 9/15/2020		429,000

				8,440,232

		Consumer Products – 0.3%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		8,805,072
	6,170,000	Newell Rubbermaid, Inc., 4.000%, 12/01/2024		6,296,948
	11,754,000	Snap-on, Inc., 6.700%, 3/01/2019		13,513,162

				28,615,182

		Diversified Manufacturing – 0.0%
	1,395,000	Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018		1,619,408

		Electric – 2.3%
	30,799,011	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		34,977,729
	9,643,063	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		10,702,354
	9,066,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		9,777,345
	30,430,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		30,600,408
	12,285,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		12,786,474
	3,200,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		3,463,232
	4,491,000	Endesa S.A., 7.875%, 2/01/2027		5,844,385
	40,453,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		47,533,367
	9,007,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		11,515,900
	7,921,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		15,231,630
	5,386,008	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(b)		5,924,609
	50,026,000	Southwestern Electric Power Co., 6.450%, 1/15/2019		58,211,954

				246,569,387

		Finance Companies – 5.1%
	66,384,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		75,179,880
	3,500,000	GE Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		2,942,241


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Finance Companies – continued
	10,350,000		GE Capital Australia Funding Pty Ltd., MTN, 6.000%, 4/15/2015, (AUD)	$	8,516,229
	1,874,000		GE Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD)		1,686,144
	35,580,000		General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)		27,665,812
	14,225,000		General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		11,570,620
	51,370,000		General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		41,084,612
	5,882,000		General Electric Capital Corp., Series A, MTN, 0.531%, 5/13/2024(c)		5,519,104
	26,931,000		General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		21,393,962
	210,000		International Lease Finance Corp., 3.875%, 4/15/2018		210,000
	18,830,000		International Lease Finance Corp., 4.625%, 4/15/2021		19,159,525
	27,395,000		International Lease Finance Corp., 5.875%, 4/01/2019		29,518,112
	3,063,000		International Lease Finance Corp., 5.875%, 8/15/2022		3,323,355
	12,465,000		International Lease Finance Corp., 6.250%, 5/15/2019		13,618,013
	60,419,000		International Lease Finance Corp., 7.125%, 9/01/2018, 144A		67,669,280
	90,196,000		Navient LLC, 5.500%, 1/25/2023		86,362,670
	62,425	(††)	Navient LLC, 6.000%, 12/15/2043		1,342,397
	2,270,000		Navient LLC, MTN, 4.625%, 9/25/2017		2,304,050
	8,895,000		Navient LLC, MTN, 7.250%, 1/25/2022		9,651,075
	641,000		Navient LLC, MTN, 8.000%, 3/25/2020		709,908
	15,792,000		Navient LLC, Series A, MTN, 5.000%, 6/15/2018		15,673,560
	19,496,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033		14,719,480
	19,727,000		Springleaf Finance Corp., 5.250%, 12/15/2019		19,332,460
	48,535,000		Springleaf Finance Corp., 7.750%, 10/01/2021		54,359,200
	19,414,000		Springleaf Finance Corp., 8.250%, 10/01/2023		21,743,680

					555,255,369

			Financial Other – 0.4%
	26,914,000		National Life Insurance Co., 10.500%, 9/15/2039, 144A		42,535,532

			Government Guaranteed – 0.4%
	12,910,000		Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)		11,324,086


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Government Guaranteed – continued
	4,000,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)	$	3,499,466
	31,142,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		26,193,849

				41,017,401

		Government Owned - No Guarantee – 1.1%
	3,720,000	Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A		4,636,050
	36,975,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		43,054,060
	58,060,000	DP World Ltd., 6.850%, 7/02/2037, 144A		65,478,907
	1,000,000	Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A		1,323,050

				114,492,067

		Health Insurance – 0.0%
	1,569,000	CIGNA Corp., 7.875%, 5/15/2027		2,143,745
	1,174,000	CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d)		1,696,641

				3,840,386

		Healthcare – 1.8%
	7,692,000	Boston Scientific Corp., 6.000%, 1/15/2020		8,668,722
	7,374,000	Covidien International Finance S.A., 6.000%, 10/15/2017		8,252,177
	9,459,000	Express Scripts, Inc., 7.250%, 6/15/2019		11,357,015
	6,440,000	HCA, Inc., 4.750%, 5/01/2023		6,552,700
	73,785,000	HCA, Inc., 5.250%, 4/15/2025		77,105,325
	802,000	HCA, Inc., 5.875%, 3/15/2022		878,190
	52,905,000	HCA, Inc., 5.875%, 5/01/2023		55,748,644
	2,936,000	HCA, Inc., 7.050%, 12/01/2027		2,980,040
	4,119,000	HCA, Inc., 7.500%, 12/15/2023		4,613,280
	1,282,000	HCA, Inc., 7.500%, 11/06/2033		1,346,100
	3,807,000	HCA, Inc., 7.690%, 6/15/2025		4,282,875
	4,164,000	HCA, Inc., 8.360%, 4/15/2024		4,892,700
	1,199,000	HCA, Inc., MTN, 7.580%, 9/15/2025		1,336,885
	3,068,000	HCA, Inc., MTN, 7.750%, 7/15/2036		3,282,760


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	2,200,000	Tenet Healthcare Corp., 6.875%, 11/15/2031	$	2,068,000

				193,365,413

		Home Construction – 0.1%
	9,200,000	Pulte Group, Inc., 6.000%, 2/15/2035		8,786,000
	3,567,000	Pulte Group, Inc., 6.375%, 5/15/2033		3,567,000

				12,353,000

		Independent Energy – 0.8%
	2,955,000	Continental Resources, Inc., 3.800%, 6/01/2024		2,643,380
	610,000	Continental Resources, Inc., 4.500%, 4/15/2023		580,202
	9,787,000	EQT Corp., 8.125%, 6/01/2019		11,798,953
	60,038,000	Equitable Resources, Inc., 6.500%, 4/01/2018		67,563,163
	7,240,000	Newfield Exploration Co., 5.625%, 7/01/2024		7,163,075

				89,748,773

		Industrial Other – 0.1%
	4,893,000	Worthington Industries, Inc., 6.500%, 4/15/2020		5,558,252

		Life Insurance – 0.8%
	3,920,000	American International Group, Inc., 4.125%, 2/15/2024		4,172,887
	1,475,000	American International Group, Inc., 4.875%, 6/01/2022		1,656,932
	1,515,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		1,693,922
	2,036,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		2,221,476
	600,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(h)		1,005,485
	5,900,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		8,115,588
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		17,181,225
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		11,917,528
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		7,330,278
	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		3,757,975
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		21,124,498
	4,732,000	Unum Group, 7.125%, 9/30/2016		5,169,137

				85,346,931


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Local Authorities – 2.0%
	7,448,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)	$	5,891,214
	37,829,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		32,181,040
	152,895,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		138,306,259
	17,930,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		15,635,691
	8,104	Province of Alberta, 5.930%, 9/16/2016, (CAD)		7,292
	489,000	Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)		583,849
	29,791,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		23,760,919

				216,366,264

		Lodging – 0.5%
	52,516,000	Choice Hotels International, Inc., 5.700%, 8/28/2020		56,585,990
	100,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		107,530

				56,693,520

		Media Entertainment – 0.4%
	4,482,000	21st Century Fox America, Inc., 8.150%, 10/17/2036		6,578,944
	358,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		20,779,396
	5,000,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		4,900,000
	1,805,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		1,850,125
	4,445,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		4,911,725
	3,616,000	Viacom, Inc., 6.125%, 10/05/2017		4,024,388

				43,044,578

		Metals & Mining – 2.3%
	1,523,709	1839688 Alberta ULC, 14.000% (14.000% PIK), 2/13/2020(e)		1,348,482
	15,000,000	Alcoa, Inc., 5.400%, 4/15/2021		16,245,510
	15,060,000	Alcoa, Inc., 5.870%, 2/23/2022		16,658,002
	45,700,000	Alcoa, Inc., 5.900%, 2/01/2027		49,773,881
	5,505,000	Alcoa, Inc., 5.950%, 2/01/2037		5,623,671
	5,804,000	Alcoa, Inc., 6.750%, 1/15/2028		6,527,086
	430,000	ArcelorMittal, 6.000%, 3/01/2021		447,200
	4,085,000	ArcelorMittal, 6.750%, 2/25/2022		4,360,738


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Metals & Mining – continued
$	47,920,000	ArcelorMittal, 7.250%, 3/01/2041	$	48,399,200
	19,365,000	ArcelorMittal, 7.500%, 10/15/2039		20,042,775
	20,625,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		18,768,750
	15,701,000	Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc., 6.500%, 11/15/2020		16,995,861
	4,612,000	United States Steel Corp., 6.650%, 6/01/2037		4,196,920
	31,210,000	United States Steel Corp., 7.000%, 2/01/2018		33,082,600
	3,655,000	Vale Overseas Ltd., 6.875%, 11/21/2036		3,853,064

				246,323,740

		Midstream – 2.0%
	650,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		680,350
	525,000	Energy Transfer Partners LP, 4.150%, 10/01/2020		538,219
	3,328,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		3,999,424
	14,300,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		15,545,559
	14,660,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		13,917,412
	3,105,000	Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020		3,343,582
	7,461,000	Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021		8,262,147
	303,000	Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016		314,550
	8,715,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		8,562,487
	85,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		87,975
	1,745,000	NiSource Finance Corp., 6.125%, 3/01/2022		2,068,457
	22,365,000	NiSource Finance Corp., 6.400%, 3/15/2018		25,472,125
	21,614,000	NiSource Finance Corp., 6.800%, 1/15/2019		25,374,858
	9,899,000	Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017		11,001,630
	47,594,000	Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018		54,086,012
	1,404,000	Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019		1,703,845
	1,880,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,048,890
	15,683,000	Plains All American Pipeline LP/PAA Finance Corp., 6.500%, 5/01/2018		17,791,423
	4,125,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		4,435,365


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Midstream – continued
$	19,574,000	Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A	$	21,634,555

				220,868,865

		Mortgage Related – 0.0%
	30,509	FHLMC, 5.000%, 12/01/2031		33,648
	5,386	FNMA, 6.000%, 7/01/2029		6,176

				39,824

		Non-Agency Commercial Mortgage-Backed Securities – 2.3%
	11,450,000	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 2.650%, 12/15/2027, 144A(c)		11,453,664
	2,609,510	Column Canada Issuer Corp., Series 2006-WEM, Class A1, 4.591%, 1/15/2022, (CAD)		2,287,644
	3,514,000	Column Canada Issuer Corp., Series 2006-WEM, Class A2, 4.934%, 1/15/2022, (CAD)		3,168,589
	9,785,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV3, 3.103%, 10/15/2031, 144A(b)(c)		9,793,904
	8,515,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV4, 4.303%, 10/15/2031, 144A(b)(c)		8,538,161
	48,456,977	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.702%, 6/15/2039(c)		51,759,223
	28,554,617	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.898%, 9/15/2039(c)		30,702,238
	6,711,090	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		7,238,904
	69,500,000	Extended Stay America Trust, Series 2013, Class 7-ESH7, 3.902%, 12/05/2031, 144A		70,471,332
	10,405,815	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		8,957,527
	27,000,000	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)		23,413,169
	9,786,870	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.796%, 8/12/2045, 144A(c)		10,532,120
	6,851,000	Vornado DP LLC, Series 2010-VNO, Class D, 6.356%, 9/13/2028, 144A		7,957,108
	2,125,000	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.550%, 3/15/2044, 144A(c)		2,255,303

				248,528,886

		Oil Field Services – 0.4%
	5,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023		4,747,265
	12,575,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		13,128,300
	23,338,000	Rowan Cos., Inc., 7.875%, 8/01/2019		26,594,211
	587,000	Transocean Ltd., 7.375%, 4/15/2018		578,790

				45,048,566


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Paper – 1.1%
$	4,365,000	Celulosa Arauco y Constitucion S.A., 7.250%, 7/29/2019	$	5,109,368
	23,225,000	Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A		26,133,653
	644,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		906,793
	1,031,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,597,798
	7,049,000	International Paper Co., 8.700%, 6/15/2038		10,625,120
	5,270,000	Mead Corp. (The), 7.550%, 3/01/2047(b)		6,610,604
	5,068,000	Westvaco Corp., 8.200%, 1/15/2030		6,705,780
	26,007,000	Weyerhaeuser Co., 6.875%, 12/15/2033		33,999,107
	7,374,000	Weyerhaeuser Co., 7.375%, 10/01/2019		8,797,344
	13,539,000	Weyerhaeuser Co., 7.375%, 3/15/2032		18,025,134

				118,510,701

		Property & Casualty Insurance – 0.3%
	2,740,000	Fidelity National Financial, Inc., 5.500%, 9/01/2022		2,985,156
	9,038,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		11,042,321
	1,889,000	MBIA Insurance Corp., 11.491%, 1/15/2033, 144A(c)(f)		1,133,400
	6,555,000	Old Republic International Corp., 4.875%, 10/01/2024		6,842,601
	7,609,000	Sirius International Group, 6.375%, 3/20/2017, 144A		8,356,691
	2,212,000	XLIT Ltd., 6.250%, 5/15/2027		2,670,840
	1,463,000	XLIT Ltd., 6.375%, 11/15/2024		1,740,557

				34,771,566

		Railroads – 0.1%
	9,787,000	Canadian Pacific Railway Co., 7.250%, 5/15/2019		11,701,142
	237,000	Missouri Pacific Railroad Co., 4.750%, 1/01/2030(b)		236,980
	1,701,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		1,631,322
	191,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)		189,783

				13,759,227

		Real Estate Operations/Development – 0.1%
	10,276,000	First Industrial LP, 5.950%, 5/15/2017		11,124,232


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Refining – 0.1%
$	7,700,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A	$	8,341,472

		REITs - Apartments – 0.3%
	12,243,000	Camden Property Trust, 5.000%, 6/15/2015		12,455,367
	16,491,000	Camden Property Trust, 5.700%, 5/15/2017		17,966,730

				30,422,097

		REITs - Diversified – 0.2%
	4,140,000	Duke Realty LP, 5.950%, 2/15/2017		4,489,221
	19,574,000	Duke Realty LP, 6.500%, 1/15/2018		22,036,018

				26,525,239

		REITs - Health Care – 0.1%
	5,972,000	Health Care REIT, Inc., 6.500%, 3/15/2041		7,847,716

		REITs - Office Property – 0.3%
	20,817,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		22,591,628
	11,306,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		13,101,393

				35,693,021

		REITs - Shopping Centers – 0.0%
	4,893,000	Equity One, Inc., 6.000%, 9/15/2017		5,368,360

		REITs - Single Tenant – 0.3%
	8,690,000	Realty Income Corp., 5.750%, 1/15/2021		9,957,541
	22,701,000	Realty Income Corp., 6.750%, 8/15/2019		26,740,824

				36,698,365

		REITs - Warehouse/Industrials – 0.2%
	18,869,000	ProLogis LP, 7.375%, 10/30/2019		22,693,048

		Restaurants – 0.1%
	10,320,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		10,422,251

		Retailers – 0.3%
	1,696,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		1,475,520
	5,979,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		3,886,350
	5,446,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,594,360


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Retailers – continued
$	10,467,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027	$	12,806,228
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		9,609,538
	3,755,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023		4,597,431

				35,969,427

		Sovereigns – 0.3%
	33,600,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		37,656,024

		Supermarkets – 0.8%
	44,985,000	Albertsons Holdings LLC/Saturn Acquisition Merger Sub, Inc., 7.750%, 10/15/2022, 144A		46,109,625
	1,120,000	Delhaize Group S.A., 5.700%, 10/01/2040		1,175,055
	3,269,000	Kroger Co. (The), 6.400%, 8/15/2017		3,653,882
	6,595,000	New Albertson’s, Inc., 7.450%, 8/01/2029		5,902,525
	7,875,000	New Albertson’s, Inc., 8.000%, 5/01/2031		7,126,875
	979,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		778,305
	17,290,000	SUPERVALU, Inc., 6.750%, 6/01/2021		16,987,425

				81,733,692

		Supranational – 0.4%
	9,640,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		9,079,460
	12,982,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		10,685,650
	58,420,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		20,863,030

				40,628,140

		Technology – 1.4%
	4,600,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		4,393,000
	1,028,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		1,164,441
	1,507,000	Avnet, Inc., 6.625%, 9/15/2016		1,628,713
	7,487,000	Corning, Inc., 7.250%, 8/15/2036		9,726,586
	7,051,000	Equifax, Inc., 7.000%, 7/01/2037		9,181,312
	70,969,000	Ingram Micro, Inc., 5.250%, 9/01/2017		76,783,703
	7,795,000	Intuit, Inc., 5.750%, 3/15/2017		8,566,752
	16,735,000	KLA-Tencor Corp., 5.650%, 11/01/2034		17,754,697


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Technology – continued
$	1,502,000		Motorola Solutions, Inc., 6.625%, 11/15/2037	$	1,723,037
	1,833,000		Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		2,300,855
	5,603,000		Tyco Electronics Group S.A., 6.550%, 10/01/2017		6,306,899
	561,000		Xerox Corp., 6.350%, 5/15/2018		634,334
	7,110,000		Xerox Corp., 6.750%, 2/01/2017		7,836,841

					148,001,170

			Transportation Services – 0.8%
	8,436,000		Erac USA Finance Co., 6.375%, 10/15/2017, 144A		9,471,957
	2,824,000		Erac USA Finance Co., 6.700%, 6/01/2034, 144A		3,632,774
	51,504,000		Erac USA Finance Co., 7.000%, 10/15/2037, 144A		69,407,460

					82,512,191

			Treasuries – 26.6%
	312,405,000		Canadian Government, 1.000%, 8/01/2016, (CAD)		268,918,912
	209,501,000		Canadian Government, 1.250%, 9/01/2018, (CAD)		180,757,275
	61,795,000		Canadian Government, 1.750%, 9/01/2019, (CAD)		54,167,695
	372,145,000		Canadian Government, 2.500%, 6/01/2015, (CAD)		322,293,970
	90,055,000		Canadian Government, 2.750%, 9/01/2016, (CAD)		79,751,152
	156,655,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		137,254,482
	4,159,000		Canadian Government, 4.000%, 6/01/2016, (CAD)		3,730,105
	2,755,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		21,208,799
	2,965,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		22,426,644
	7,555,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		58,851,139
	1,925,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		15,765,905
	23,970,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		212,798,524
	36,850,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		30,346,508
	109,763,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		91,456,538
	974,276,000		Norway Government Bond, 4.250%, 5/19/2017, (NOK)		141,133,676
	802,302,000		Norway Government Bond, 5.000%, 5/15/2015, (NOK)		109,139,338


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	43,590,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)	$	15,045,454
	23,848,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		9,007,370
	1,040,764,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		6,314,898
	391,985,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		2,523,403
	1,195,394,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		7,992,419
	500,000,000	U.S. Treasury Note, 0.375%, 1/31/2016		500,234,500
	500,000,000	U.S. Treasury Note, 0.375%, 3/31/2016		499,922,000
	60,000,000	U.S. Treasury Note, 0.375%, 4/30/2016		59,990,640
	25,000,000	U.S. Treasury Note, 0.500%, 6/30/2016		25,007,800

				2,876,039,146

		Wireless – 0.5%
	559,910,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		37,096,469
	58,200,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		3,956,247
	6,373,000	Sprint Capital Corp., 6.875%, 11/15/2028		5,608,240
	1,996,000	Sprint Capital Corp., 6.900%, 5/01/2019		2,035,920
	612,000	Sprint Capital Corp., 8.750%, 3/15/2032		592,110
	598,000	Sprint Communications, Inc., 6.000%, 11/15/2022		550,160

				49,839,146

		Wirelines – 3.6%
	406,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		463,584
	2,936,000	BellSouth Telecommunications LLC, 5.850%, 11/15/2045		3,190,783
	62,040,000	CenturyLink, Inc., 6.450%, 6/15/2021		66,537,900
	4,990,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		4,990,000
	2,708,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,680,920
	24,103,000	Embarq Corp., 7.995%, 6/01/2036		26,935,103
	825,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		869,344
	200,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		211,000
	5,200,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		1,780,152


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
	8,450,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)	$	10,144,147
	18,850,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		23,844,972
	300,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		374,519
	1,698,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,864,404
	2,755,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		2,755,000
	4,370,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		4,708,675
	3,469,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		3,521,035
	333,000	Qwest Corp., 6.500%, 6/01/2017		364,062
	14,480,000	Qwest Corp., 6.875%, 9/15/2033		14,524,396
	4,668,000	Qwest Corp., 7.200%, 11/10/2026		4,684,408
	9,077,000	Qwest Corp., 7.250%, 9/15/2025		10,810,471
	9,474,000	Qwest Corp., 7.250%, 10/15/2035		9,765,165
	46,411,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		46,411,000
	23,660,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		24,251,500
	4,200,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		4,496,709
	525,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		581,178
	975,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		1,087,117
	14,375,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		18,910,039
	4,100,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		7,355,980
	9,100,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		16,431,205
	2,100,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		3,849,979
	14,137,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		12,963,013
	54,665,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		52,621,062
	2,642,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,457,115
	2,095,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		2,342,748

				389,778,685

		Total Non-Convertible Bonds (Identified Cost $8,889,878,155)		9,317,665,034


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – 4.5%
		Consumer Products – 0.0%
$	3,905,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044, 144A	$	3,970,897

		Energy – 0.4%
	34,700,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		33,702,375
	11,225,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		11,210,969

				44,913,344

		Property & Casualty Insurance – 0.8%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		84,490,256

		REITs - Warehouse/Industrials – 0.3%
	27,359,000	ProLogis LP, 3.250%, 3/15/2015		30,402,689

		Retailers – 0.2%
	27,435,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A		26,131,837

		Technology – 2.8%
	35,120,000	Intel Corp., 3.482%, 12/15/2035(c)		46,138,900
	137,016,000	Intel Corp., 3.250%, 8/01/2039		238,236,570
	11,515,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		16,279,331
	376,337	Liberty Media LLC, 3.500%, 1/15/2031		339,465

				300,994,266

		Total Convertible Bonds (Identified Cost $353,837,173)		490,903,289

	Municipals – 0.9%
		District of Columbia – 0.2%
	14,680,000	Metropolitan Washington Airports Authority, 7.462%, 10/01/2046		19,979,774

		Illinois – 0.5%
	24,640,000	State of Illinois, 5.100%, 6/01/2033		24,459,881
	33,395,000	State of Illinois, Series B, 5.520%, 4/01/2038		32,902,424

				57,362,305

		Michigan – 0.0%
	2,310,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		1,999,582

		Ohio – 0.1%
	5,075,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047		4,128,005


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Municipals – continued
		Virginia – 0.1%
$	13,605,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046	$	10,221,165

		Total Municipals (Identified Cost $87,680,864)		93,690,831

		Total Bonds and Notes (Identified Cost $9,331,396,192)		9,902,259,154

	Senior Loans – 0.4%
		Finance Companies – 0.3%
	22,859,562	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(c)		22,497,695
	14,773,393	AWAS Finance Luxembourg S.a.r.l., Term Loan B, 3.500%, 6/10/2016(c)		14,603,499

				37,101,194

		Supermarkets – 0.1%
	9,084,349	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(c)		8,907,749

		Total Senior Loans (Identified Cost $46,707,885)		46,008,943


Shares
	Common Stocks – 4.3%
		Automobiles – 0.6%
	4,063,816	Ford Motor Co.		62,989,148

		Electronic Equipment, Instruments & Components – 3.7%
	17,550,000	Corning, Inc.		402,421,500

		Total Common Stocks (Identified Cost $261,481,587)		465,410,648

	Preferred Stocks – 0.2%
		Energy – 0.0%
	43,031	Chesapeake Energy Corp., 5.000%(g)		4,069,119

		Metals & Mining – 0.1%
	340,285	ArcelorMittal, 6.000%		5,886,931

		REITs - Diversified – 0.1%
	258,873	Weyerhaeuser Co., Series A, 6.375%		14,936,972

		Total Preferred Stocks (Identified Cost $25,066,559)		24,893,022


Principal Amount (‡)
	Short-Term Investments – 2.3%
$	245,141,692	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $245,141,828 on 1/2/2015 collateralized by $67,120,000 U.S. Treasury Bond, 3.625% due 8/15/2043 valued at $79,705,000; $165,785,000 U.S. Treasury Note, 2.375% due 8/15/2024 valued at $170,344,088 including accrued interest(i) (Identified Cost $245,141,692)		245,141,692

		Total Investments – 98.8% (Identified Cost $9,909,793,915)(a)		10,683,713,459
		Other assets less liabilities – 1.2%		131,170,425

		Net Assets – 100.0%	$	10,814,883,884

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

(†)

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

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

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

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

(†††)

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

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

At December 31, 2014, the net unrealized appreciation on investments based on a cost of $9,954,005,977 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,106,547,923
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(376,840,441	)

Net unrealized appreciation	$	729,707,482

(b)	Illiquid security. At December 31, 2014, the value of these securities amounted to $100,929,325 or 0.9% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(c)	Variable rate security. Rate as of December 31, 2014 is disclosed.

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

(e)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended December 31, 2014, the issuer has not paid out any interest payments.

(f)	Non-income producing security.

(g)	Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of this security amounted to $4,069,119 or less than 0.1% of net assets.

(h)	Perpetual bond with no specified maturity date.

(i)

144A

ABS	Asset-Backed Securities

EMTN	Euro Medium Term Note

FHLMC

Federal Home Loan Mortgage Corp.

FNMA	Federal National Mortgage Association

GMTN	Global Medium Term Note

MTN	Medium Term Note

PIK	Payment-In-Kind

REMIC

Real Estate Mortgage Investment Conduit

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

EUR

Euro

GBP	British Pound

IDR	Indonesian Rupiah

ISK	Icelandic Krona

KRW	South Korean Won

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	80,665,076	$	120,805,022	(a)	$	201,470,098
Airlines		—		14,585,356		264,185,535	(a)		278,770,891
Finance Companies		1,342,397		553,912,972		—			555,255,369
Health Insurance		—		2,143,745		1,696,641	(a)		3,840,386
Non-Agency Commercial Mortgage-Backed Securities		—		230,196,821		18,332,065	(a)		248,528,886
All Other Non-Convertible Bonds*		—		8,029,799,404		—			8,029,799,404

Total Non-Convertible Bonds		1,342,397		8,911,303,374		405,019,263			9,317,665,034

Convertible Bonds*		—		490,903,289		—			490,903,289
Municipals*		—		93,690,831		—			93,690,831

Total Bonds and Notes		1,342,397		9,495,897,494		405,019,263			9,902,259,154

Senior Loans*		—		46,008,943		—			46,008,943
Common Stocks*		465,410,648		—		—			465,410,648
Preferred Stocks*		20,823,903		4,069,119		—			24,893,022
Short-Term Investments		—		245,141,692		—			245,141,692

Total	$	487,576,948	$	9,791,117,248	$	405,019,263		$	10,683,713,459

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

(a)	Valued using broker-dealer bid prices.

A preferred stock valued at $4,217,042 was transferred from Level 1 to Level 2 during the period ended December 31, 2014. At December 31, 2013, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At December 31, 2014, this security was fair valued on the basis of evaluated bids furnished to the Fund as an independent pricing service did not provide a reliable price for the security.

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

The Fund’s pricing policies and procedures are recommended by the investment 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 investment adviser, subject to oversight by Fund management and the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment 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, 2014 and/or December 31, 2014:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2014		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	121,211,469	$	—	$	2,312	$	846,963		$	—	$	(1,255,722	)	$	—	$	—	$	120,805,022	$	933,773
Airlines		272,473,977		109,392		158,880		(2,736,789	)		—		(5,819,925	)		—		—		264,185,535		(1,703,205	)
Health Insurance		—		926		—		79,622			—		—			1,616,093		—		1,696,641		79,622
Non-Convertible Bonds
Metals & Mining		1,720,500		8,836		376		553,716			—		(2,283,428	)		—		—		—		—
Non-Agency Commercial Mortgage-Backed Securities		—		—		—		(114	)		18,332,179		—			—		—		18,332,065		(114	)

Total	$	395,405,946	$	119,154	$	161,568	$	(1,256,602	)	$	18,332,179	$	(9,359,075	)	$	1,616,093	$	—	$	405,019,263	$	(689,924	)

A debt security valued at $1,616,093 was transferred from Level 2 to Level 3 during the period ended December 31, 2014. At December 31, 2013, 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, 2014, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

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

Industry Summary at December 31, 2014 (Unaudited)


Treasuries	26.6	%
Banking	14.2
Finance Companies	5.4
Technology	4.2
Electronic Equipment, Instruments & Components	3.7
Wirelines	3.6
Airlines	2.6
Metals & Mining	2.4
Non-Agency Commercial Mortgage-Backed Securities	2.3
Electric	2.3
Midstream	2.0
Local Authorities	2.0
Other Investments, less than 2% each	25.2
Short-Term Investments	2.3

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 98.9% of Net Assets
		ABS Car Loan – 2.8%
$	2,200,000	Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A, 2.100%, 3/20/2019, 144A	$	2,200,693
	1,640,000	Capital Auto Receivables Asset Trust, Series 2014-2, Class A3, 1.260%, 5/21/2018		1,643,664
	1,165,000	Credit Acceptance Auto Loan Trust, Series 2013-2A, Class A, 1.500%, 4/15/2021, 144A		1,167,307
	2,695,000	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A		2,695,097
	2,350,000	First Investors Auto Owner Trust, Series 2013-3A, Class A3, 1.440%, 10/15/2019, 144A		2,354,282
	1,045,000	First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A		1,045,474
	625,000	Ford Credit Auto Owner Trust, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A		628,336
	7,375,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		7,358,583
	2,120,000	Tidewater Auto Receivables Trust, Series 2014-AA, Class A3, 1.400%, 7/15/2018, 144A		2,115,173

				21,208,609

		ABS Credit Card – 0.9%
	3,220,000	GE Capital Credit Card Master Note Trust, Series 2012-7, Class A, 1.760%, 9/15/2022		3,144,510
	3,400,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		3,534,742

				6,679,252

		ABS Home Equity – 0.1%
	251,501	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035		256,425
	149,817	Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 6.200%, 1/25/2028(b)		152,083

				408,508

		ABS Other – 0.4%
	3,000,000	Ally Master Owner Trust, Series 2012-5, Class A, 1.540%, 9/15/2019		2,977,332

		Agency Commercial Mortgage-Backed Securities – 10.8%
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,590,634
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,685,080
	3,535,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		3,654,069
	700,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		716,976
	2,590,000	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018		2,642,313
	7,910,000	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		7,998,639
	34,370,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		34,087,341


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Agency Commercial Mortgage-Backed Securities – continued
$	4,035,614	FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.520%, 4/25/2019(c)	$	4,037,531
	2,255,000	FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 0.484%, 11/25/2021(c)		2,255,000
	296,116	Government National Mortgage Association, Series 2003-72, Class Z, 5.361%, 11/16/2045(c)		320,659
	262,559	Government National Mortgage Association, Series 2003-88, Class Z, 4.985%, 3/16/2046(c)		281,222
	13,260,000	Government National Mortgage Association, Series 2013-52, Class KX, 15.792%, 8/16/2051(c)		14,259,162

				81,528,626

		Collateralized Mortgage Obligations – 11.9%
	155,875	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 1.850%, 5/15/2023(c)		158,260
	100,825	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.710%, 8/15/2023(c)		101,600
	373,365	Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029		411,896
	433,640	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.561%, 11/15/2032(c)		435,217
	2,437,329	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		2,587,820
	3,703,578	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020		3,865,888
	3,437,931	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035		3,803,562
	3,510,000	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035		3,817,817
	3,167,984	Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034		3,285,041
	5,904,632	Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038		6,409,188
	2,950,156	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 4.149%, 6/15/2048		3,083,273
	3,759,540	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.244%, 12/15/2036		3,919,753
	201,392	Federal Home Loan Mortgage Corp., REMIC, Series 3802, Class BA, 4.500%, 11/15/2028		206,670
	123,105	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 1.880%, 9/25/2022(c)		125,711
	98,437	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.830%, 4/25/2024(c)		99,502
	23,308	Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 3.738%, 8/25/2042(c)		23,227
	1,697,948	Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025		1,862,089
	1,782,671	Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034		1,869,341
	1,654,189	Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 0.230%, 7/25/2037(c)		1,605,651
	3,606,662	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.776%, 8/25/2038(c)		3,647,636
	85,338	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.490%, 4/25/2023(c)		86,216
	13,572	FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.313%, 3/25/2044(c)		14,130


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Collateralized Mortgage Obligations – continued
$	2,945,660	Government National Mortgage Association, Series 2012-124, Class HT, 7.216%, 7/20/2032(c)	$	3,344,105
	7,809,926	Government National Mortgage Association, Series 2012-H29, Class HF, 0.656%, 10/20/2062(c)		7,834,995
	7,553,960	Government National Mortgage Association, Series 2013-H02, Class GF, 0.656%, 12/20/2062(c)		7,582,522
	5,505,423	Government National Mortgage Association, Series 2013-H08, Class FA, 0.506%, 3/20/2063(c)		5,452,725
	4,553,907	Government National Mortgage Association, Series 2013-H10, Class FA, 0.556%, 3/20/2063(c)		4,514,439
	14,022,424	Government National Mortgage Association, Series 2013-H22, Class FT, 0.760%, 4/20/2063(c)		14,062,500
	557,536	NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.512%, 12/07/2020(c)		558,166
	1,603,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		1,645,965
	1,218,770	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.607%, 10/07/2020(c)		1,226,086
	1,769,986	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.717%, 12/08/2020(c)		1,786,856
	109,503	NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 0.717%, 12/08/2020(c)		110,557

				89,538,404

		Hybrid ARMs – 19.4%
	1,560,176	FHLMC, 2.124%, 6/01/2037(c)		1,666,760
	4,115,722	FHLMC, 2.273%, 9/01/2035(c)		4,404,802
	1,701,156	FHLMC, 2.290%, 4/01/2036(c)		1,774,051
	1,198,931	FHLMC, 2.313%, 11/01/2038(c)		1,281,677
	3,249,769	FHLMC, 2.345%, 7/01/2033		3,457,372
	2,469,376	FHLMC, 2.370%, 3/01/2036(c)		2,630,519
	8,125,166	FHLMC, 2.373%, 3/01/2037(c)		8,665,005
	803,916	FHLMC, 2.375%, 2/01/2035(c)		862,995
	5,424,940	FHLMC, 2.375%, 2/01/2036(c)		5,794,420
	2,109,720	FHLMC, 2.376%, 9/01/2038(c)		2,244,800
	427,448	FHLMC, 2.385%, 9/01/2038(c)		458,945
	1,018,611	FHLMC, 2.399%, 4/01/2037(c)		1,090,655
	2,688,204	FHLMC, 2.416%, 2/01/2036(c)		2,874,773
	1,887,359	FHLMC, 2.457%, 3/01/2038(c)		2,028,385
	978,579	FHLMC, 2.481%, 12/01/2034(c)		1,049,051
	3,174,076	FHLMC, 2.484%, 4/01/2037(c)		3,403,455


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Hybrid ARMs – continued
$	787,597	FHLMC, 2.805%, 3/01/2037(c)	$	849,638
	925,659	FHLMC, 2.913%, 11/01/2038(c)		985,327
	1,695,125	FHLMC, 3.858%, 9/01/2038(c)		1,789,691
	205,356	FHLMC, 5.441%, 12/01/2037(c)		214,865
	293,211	FNMA, 1.909%, 2/01/2037(c)		309,002
	3,284,079	FNMA, 1.922%, 7/01/2035(c)		3,458,870
	6,522,545	FNMA, 2.037%, 9/01/2037(c)		7,003,794
	5,101,824	FNMA, 2.106%, 4/01/2037(c)		5,405,648
	4,863,658	FNMA, 2.148%, 7/01/2035(c)		5,176,473
	547,513	FNMA, 2.158%, 8/01/2035(c)		586,760
	1,316,996	FNMA, 2.169%, 8/01/2034(c)		1,432,155
	945,924	FNMA, 2.219%, 10/01/2033(c)		1,008,925
	933,977	FNMA, 2.255%, 9/01/2034(c)		1,002,757
	2,362,273	FNMA, 2.268%, 4/01/2037(c)		2,537,053
	1,600,794	FNMA, 2.270%, 9/01/2036		1,708,398
	4,145,355	FNMA, 2.289%, 11/01/2033(c)		4,405,651
	810,681	FNMA, 2.310%, 12/01/2034		863,700
	1,588,940	FNMA, 2.310%, 1/01/2036(c)		1,700,650
	1,926,061	FNMA, 2.318%, 4/01/2034		2,051,558
	2,471,523	FNMA, 2.331%, 6/01/2036(c)		2,635,397
	537,921	FNMA, 2.334%, 4/01/2033(c)		577,387
	8,610,873	FNMA, 2.337%, 10/01/2034(c)		9,262,582
	6,248,873	FNMA, 2.345%, 4/01/2034(c)		6,690,981
	3,953,594	FNMA, 2.348%, 8/01/2035(c)		4,187,503
	4,656,825	FNMA, 2.372%, 9/01/2037(c)		4,973,198
	4,995,865	FNMA, 2.405%, 6/01/2037(c)		5,382,241
	2,322,086	FNMA, 2.412%, 6/01/2033		2,454,838
	2,883,390	FNMA, 2.412%, 10/01/2033(c)		3,097,560


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Hybrid ARMs – continued
$	5,580,503	FNMA, 2.424%, 3/01/2037(c)	$	5,998,652
	1,883,073	FNMA, 2.445%, 2/01/2047(c)		2,017,374
	470,691	FNMA, 2.558%, 8/01/2033(c)		503,345
	5,197,024	FNMA, 2.559%, 7/01/2037(c)		5,582,524
	616,563	FNMA, 2.625%, 8/01/2036(c)		662,384
	1,726,380	FNMA, 2.658%, 5/01/2035(c)		1,859,335
	3,189,472	FNMA, 2.973%, 6/01/2035(c)		3,410,343
	1,231,067	FNMA, 4.709%, 8/01/2038(c)		1,322,192

				146,796,416

		Mortgage Related – 19.6%
	170,238	FHLMC, 3.000%, 10/01/2026		177,145
	1,274,969	FHLMC, 4.000%, with various maturities from 2024 to 2042(d)		1,359,361
	1,043,110	FHLMC, 4.500%, with various maturities from 2025 to 2034(d)		1,127,189
	461,128	FHLMC, 5.500%, 10/01/2023		503,613
	39,633	FHLMC, 6.000%, 11/01/2019		42,927
	952,364	FHLMC, 6.500%, with various maturities from 2017 to 2034(d)		1,115,584
	11,428	FHLMC, 7.000%, 2/01/2016		11,550
	619	FHLMC, 7.500%, 6/01/2026		704
	690	FHLMC, 8.000%, 9/01/2015		702
	2,017	FHLMC, 10.000%, 7/01/2019		2,223
	29,975	FHLMC, 11.500%, with various maturities from 2015 to 2020(d)		30,596
	213,480	FNMA, 3.000%, 3/01/2042		216,171
	3,526,213	FNMA, 5.000%, with various maturities from 2037 to 2038(d)		3,905,525
	1,694,294	FNMA, 5.500%, with various maturities from 2018 to 2033(d)		1,871,481
	2,833,793	FNMA, 6.000%, with various maturities from 2017 to 2022(d)		3,108,911
	463,570	FNMA, 6.500%, with various maturities from 2017 to 2037(d)		525,719
	23,002	FNMA, 7.000%, 12/01/2022		23,070
	139,356	FNMA, 7.500%, with various maturities from 2015 to 2032(d)		157,690
	2,766	FNMA, 8.000%, with various maturities from 2015 to 2016(d)		2,813


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Mortgage Related – continued
$	5,176,447	GNMA, 1.859%, 2/20/2061(c)	$	5,426,308
	4,015,269	GNMA, 2.044%, 2/20/2063(c)		4,236,635
	4,934,818	GNMA, 2.318%, 3/20/2063(c)		5,272,715
	2,929,718	GNMA, 2.532%, 2/20/2063(c)		3,144,085
	4,792,161	GNMA, 4.479%, 2/20/2062		5,175,212
	4,797,933	GNMA, 4.521%, 12/20/2061		5,173,875
	7,187,160	GNMA, 4.532%, 12/20/2062		7,847,652
	18,147,336	GNMA, 4.556%, 12/20/2061		19,574,896
	2,446,860	GNMA, 4.560%, 3/20/2062		2,641,295
	12,368,800	GNMA, 4.583%, 11/20/2062		13,489,537
	1,563,791	GNMA, 4.599%, 4/20/2063		1,714,190
	4,433,510	GNMA, 4.604%, 6/20/2062		4,813,989
	1,511,960	GNMA, 4.616%, 8/20/2061		1,625,850
	1,890,481	GNMA, 4.639%, 3/20/2062		2,046,937
	8,234,796	GNMA, 4.659%, 2/20/2062		8,923,776
	3,788,636	GNMA, 4.689%, 2/20/2062		4,101,494
	2,027,238	GNMA, 4.698%, 7/20/2061		2,177,845
	8,592,447	GNMA, 4.700%, with various maturities in 2061(d)		9,243,353
	1,954,455	GNMA, 4.717%, 3/20/2061		2,092,119
	1,578,557	GNMA, 4.808%, 8/20/2062		1,708,406
	881,331	GNMA, 5.167%, 4/20/2061		949,843
	23,829	GNMA, 6.000%, 12/15/2031		27,543
	110,396	GNMA, 6.500%, 5/15/2031		129,539
	104,212	GNMA, 7.000%, 10/15/2028		120,443
	7,820,935	Government National Mortgage Association, Series 2012-H15, Class FA, 0.606%, 5/20/2062(c)		7,843,499
	8,539,820	Government National Mortgage Association, Series 2014-H14, Class FA, 0.656%, 7/20/2064(c)		8,476,028
	6,245,314	Government National Mortgage Association, Series 2014-H15, Class FA, 0.656%, 7/20/2064(c)		6,210,458

				148,370,496


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – 15.1%
$	1,290,000	A10 Securitization LLC, Series 2014-1, Class A1, 1.720%, 4/15/2033, 144A	$	1,288,163
	1,780,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.612%, 4/10/2049(c)		1,904,554
	375,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		400,237
	1,254,428	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		1,340,271
	3,700,000	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 1.550%, 12/15/2027, 144A(c)		3,701,217
	3,215,000	CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class A, 1.111%, 6/15/2031, 144A(c)		3,209,766
	1,362,250	Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.142%, 12/10/2049(c)		1,492,225
	3,200,500	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		3,388,568
	885,000	Commercial Mortgage Pass Through Certificates, Series 2014-BBG, Class A, 0.961%, 3/15/2029, 144A(c)		881,128
	3,040,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV1, 2.003%, 10/15/2031, 144A(c)(e)		3,043,922
	2,625,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		2,811,987
	5,270,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		5,684,475
	3,000,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 5.970%, 2/15/2041(c)		3,288,525
	1,000,000	Del Coronado Trust, Series 2013-HDC, Class A, 0.961%, 3/15/2026, 144A(c)		998,287
	1,200,000	Extended Stay America Trust, Series 2013-ESFL, Class A2FL, 0.857%, 12/05/2031, 144A(c)		1,194,878
	3,350,000	GP Portfolio Trust, Series 2014-GPP, Class A, 1.111%, 2/15/2027, 144A(c)		3,341,521
	7,778,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		8,423,940
	5,000,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		5,333,390
	3,555,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(c)		3,578,367
	5,535,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.061%, 10/15/2029, 144A(c)		5,538,581
	248,913	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB15, Class A4, 5.814%, 6/12/2043		260,942
	2,682,570	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.440%, 6/12/2047		2,852,301
	4,707,917	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		5,026,073
	3,500,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWRZ, Class A, 0.941%, 4/15/2030, 144A(c)		3,496,994
	975,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		1,023,969


Principal Amount		Description	Value (†)
	Bonds and Notes – continued
		Non-Agency Commercial Mortgage-Backed Securities – continued
$	2,380,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.141%, 7/15/2031, 144A(c)	$	2,382,509
	1,634,989	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040		1,749,141
	1,878,897	LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.866%, 9/15/2045		2,064,255
	1,122,088	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		1,191,992
	5,364,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		5,758,785
	3,485,000	Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.592%, 4/12/2049(c)		3,712,954
	1,450,533	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.908%, 6/11/2049(c)		1,577,169
	2,083,359	Motel 6 Trust, Series 2012-MTL6, Class A1, 1.500%, 10/05/2025, 144A		2,076,434
	1,843,411	PFP III Ltd., Series 2014-1, Class A, 1.331%, 6/14/2031, 144A(c)		1,837,940
	3,420,000	Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.212%, 4/15/2032, 144A(c)		3,416,255
	1,520,000	SCG Trust, Series 2013-SRP1, Class A, 1.556%, 11/15/2026, 144A(c)		1,521,847
	3,700,000	Starwood Retail Property Trust, Inc., 1.381%, 11/15/2027, 144A(c)		3,718,763
	3,869,960	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048		4,089,994
	3,775,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		4,028,393
	1,515,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ABS, 3.638%, 5/15/2047		1,594,197

				114,224,909

		Treasuries – 17.9%
	7,000,000	U.S. Treasury Note, 0.109%, 4/30/2016(c)		6,999,671
	32,865,000	U.S. Treasury Note, 0.625%, 9/30/2017		32,513,246
	10,645,000	U.S. Treasury Note, 0.875%, 5/15/2017		10,650,823
	33,180,000	U.S. Treasury Note, 0.875%, 10/15/2017		33,052,987
	21,055,000	U.S. Treasury Note, 0.875%, 11/15/2017		20,954,652
	7,185,000	U.S. Treasury Note, 1.000%, 12/15/2017		7,168,158
	21,810,000	U.S. Treasury Note, 1.625%, 3/31/2019		21,907,120
	2,385,000	U.S. Treasury Note, 1.625%, 8/31/2019		2,387,609

				135,634,266

		Total Bonds and Notes (Identified Cost $744,539,494)		747,366,818


Principal Amount		Description	Value (†)
	Short-Term Investments – 0.8%
$	6,136,660	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $6,136,663 on 1/02/2015 collateralized by $6,095,000 U.S. Treasury Note, 2.375% due 8/15/2024 valued at $6,262,613 including accrued interest(f) (Identified Cost $6,136,660)	$	6,136,660

		Total Investments – 99.7% (Identified Cost $750,676,154)(a)		753,503,478
		Other assets less liabilities – 0.3%		2,176,654

		Net Assets – 100.0%	$	755,680,132

(†)

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.

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

At December 31, 2014, the net unrealized appreciation on investments based on a cost of $750,695,377 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	10,013,907
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(7,205,806	)

Net unrealized appreciation	$	2,808,101

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

(b)	Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of this security amounted to $152,083 or 0.0% of net assets.

(c)	Variable rate security. Rate as of December 31, 2014 is disclosed.

(d)

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

(e)	Illiquid security. At December 31, 2014, the value of this security amounted to $3,043,922 or 0.4% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(f)

144A

ABS	Asset-Backed Securities

ARMs	Adjustable Rate Mortgages

FHLMC

Federal Home Loan Mortgage Corp.

FNMA	Federal National Mortgage Association

GNMA	Government National Mortgage Association

REMIC

Real Estate Mortgage Investment Conduit

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
ABS Home Equity	$	—	$	256,425	$	152,083	(a)	$	408,508
Agency Commercial Mortgage-Backed Securities		—		67,269,464		14,259,162	(b)		81,528,626
Collateralized Mortgage Obligations		—		88,957,011		581,393	(b)		89,538,404
Non-Agency Commercial Mortgage-Backed Securities		—		111,180,987		3,043,922	(b)		114,224,909
All Other Bonds and Notes*		—		461,666,371		—			461,666,371

Total Bonds and Notes		—		729,330,258		18,036,560			747,366,818

Short-Term Investments		—		6,136,660		—			6,136,660

Total	$	—	$	735,466,918	$	18,036,560		$	753,503,478

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

(a)	Valued using broker-dealer bid prices.

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

The 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, 2014 and/or December 31, 2014:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2014		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of December 31, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
ABS Car Loan	$	2,694,542	$	—	$	—		$	—		$	—	$	—		$	—	$	(2,694,542	)	$	—	$	—
ABS Home Equity		160,459		—		(73	)		2,371			—		(10,674	)		—		—			152,083		2,296
Agency Commercial Mortgage-Backed Securities		14,488,062		—		—			(228,900	)		—		—			—		—			14,259,162		(228,900	)
Collateralized Mortgage Obligations		604,116		—		2			(12	)		—		(22,713	)		—		—			581,393		12
Non-Agency Commercial Mortgage-Backed Securities		—		—		—			(28	)		3,043,950		—			—		—			3,043,922		(28	)

Total	$	17,947,179	$	—	$	(71	)	$	(226,569	)	$	3,043,950	$	(33,387	)	$	—	$	(2,694,542	)	$	18,036,560	$	(226,620	)

A debt security valued at $2,694,542 was transferred from Level 3 to Level 2 during the period ended December 31, 2014. At December 31, 2013, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At December 31, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Industry Summary at December 31, 2014 (Unaudited)


Mortgage Related	19.6	%
Hybrid ARMs	19.4
Treasuries	17.9
Non-Agency Commercial Mortgage-Backed Securities	15.1
Collateralized Mortgage Obligations	11.9
Agency Commercial Mortgage-Backed Securities	10.8
ABS Car Loan	2.8
Other Investments, less than 2% each	1.4
Short-Term Investments	0.8

Total Investments	99.7
Other assets less liabilities	0.3

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)
	Common Stocks – 99.1% of Net Assets
		Aerospace & Defense – 0.8%
	210,122	Hexcel Corp.(b)	$	8,717,962

		Air Freight & Logistics – 1.4%
	378,624	XPO Logistics, Inc.(b)		15,478,149

		Airlines – 0.9%
	127,208	Spirit Airlines, Inc.(b)		9,614,381

		Banks – 4.3%
	362,968	Bank of the Ozarks, Inc.		13,763,746
	633,693	Boston Private Financial Holdings, Inc.		8,535,845
	276,205	Pinnacle Financial Partners, Inc.		10,921,146
	383,908	PrivateBancorp, Inc.		12,822,527

				46,043,264

		Biotechnology – 6.8%
	194,922	Acceleron Pharma, Inc.(b)		7,594,161
	247,762	Acorda Therapeutics, Inc.(b)		10,126,033
	243,214	Anacor Pharmaceuticals, Inc.(b)		7,843,651
	187,539	Chimerix, Inc.(b)		7,550,320
	430,812	Emergent Biosolutions, Inc.(b)		11,731,011
	242,327	Neurocrine Biosciences, Inc.(b)		5,413,585
	134,404	PTC Therapeutics, Inc.(b)		6,958,095
	61,449	Receptos, Inc.(b)		7,528,117
	230,345	TESARO, Inc.(b)		8,566,531

				73,311,504

		Building Products – 2.6%
	237,390	Apogee Enterprises, Inc.		10,058,215
	442,685	NCI Building Systems, Inc.(b)		8,198,526
	220,233	Trex Co., Inc.(b)		9,377,521

				27,634,262

		Capital Markets – 1.9%
	192,834	Artisan Partners Asset Management, Inc.		9,743,902
	301,516	HFF, Inc., Class A		10,830,455

				20,574,357

		Chemicals – 0.6%
	332,177	Flotek Industries, Inc.(b)		6,221,675

		Commercial Services & Supplies – 1.0%
	363,555	Healthcare Services Group, Inc.		11,244,756

		Communications Equipment – 0.7%
	401,456	Ciena Corp.(b)		7,792,261

		Consumer Finance – 1.0%
	250,046	Encore Capital Group, Inc.(b)		11,102,042


Shares		Description	Value (†)
	Common Stocks – continued
		Distributors – 1.0%
	164,653	Pool Corp.	$	10,445,586

		Diversified Consumer Services – 4.0%
	326,827	Bright Horizons Family Solutions, Inc.(b)		15,364,137
	205,676	DeVry Education Group, Inc.		9,763,440
	146,191	Grand Canyon Education, Inc.(b)		6,821,272
	546,017	Nord Anglia Education, Inc.(b)		10,418,004

				42,366,853

		Diversified Financial Services – 1.2%
	172,807	MarketAxess Holdings, Inc.		12,391,990

		Electrical Equipment – 0.7%
	321,021	Thermon Group Holdings, Inc.(b)		7,765,498

		Electronic Equipment, Instruments & Components – 2.7%
	99,331	FARO Technologies, Inc.(b)		6,226,067
	126,621	FEI Co.		11,440,208
	154,411	IPG Photonics Corp.(b)		11,568,472

				29,234,747

		Energy Equipment & Services – 2.6%
	96,287	Dril-Quip, Inc.(b)		7,388,101
	288,187	Forum Energy Technologies, Inc.(b)		5,974,117
	402,957	Helix Energy Solutions Group, Inc.(b)		8,744,167
	139,276	RigNet, Inc.(b)		5,714,494

				27,820,879

		Food Products – 1.9%
	476,707	Freshpet, Inc.(b)		8,132,621
	145,409	TreeHouse Foods, Inc.(b)		12,436,832

				20,569,453

		Health Care Equipment & Supplies – 7.7%
	293,818	Cardiovascular Systems, Inc.(b)		8,838,045
	369,426	Cynosure, Inc., Class A(b)		10,129,661
	221,734	Insulet Corp.(b)		10,213,068
	268,027	LDR Holding Corp.(b)		8,785,925
	606,425	Novadaq Technologies, Inc.(b)		10,078,784
	319,521	Quidel Corp.(b)		9,240,547
	506,550	Spectranetics Corp.(b)		17,516,499
	295,123	Wright Medical Group, Inc.(b)		7,929,955

				82,732,484

		Health Care Providers & Services – 5.9%
	260,483	Acadia Healthcare Co., Inc.(b)		15,944,165
	224,604	Amsurg Corp.(b)		12,292,577
	284,425	ExamWorks Group, Inc.(b)		11,829,236
	192,574	Magellan Health, Inc.(b)		11,560,217
	209,078	Team Health Holdings, Inc.(b)		12,028,257

				63,654,452

		Health Care Technology – 1.1%
	533,427	HMS Holdings Corp.(b)		11,276,647


Shares		Description	Value (†)
	Common Stocks – continued
		Hotels, Restaurants & Leisure – 2.6%
	246,523	Popeyes Louisiana Kitchen, Inc.(b)	$	13,871,849
	156,702	Vail Resorts, Inc.		14,280,253

				28,152,102

		Internet & Catalog Retail – 0.9%
	171,970	Lands’ End, Inc.(b)		9,279,501

		Internet Software & Services – 8.1%
	248,219	comScore, Inc.(b)		11,524,808
	62,173	CoStar Group, Inc.(b)		11,416,828
	182,425	Criteo S.A., Sponsored ADR(b)		7,373,618
	282,467	Dealertrack Technologies, Inc.(b)		12,516,113
	138,954	Demandware, Inc.(b)		7,995,413
	456,972	Endurance International Group Holdings, Inc.(b)		8,421,994
	207,904	Envestnet, Inc.(b)		10,216,403
	605,381	Everyday Health, Inc.(b)		8,929,370
	300,342	HomeAway, Inc.(b)		8,944,185

				87,338,732

		IT Services – 3.2%
	268,377	Cardtronics, Inc.(b)		10,353,985
	233,476	Euronet Worldwide, Inc.(b)		12,817,832
	412,285	InterXion Holding NV(b)		11,271,872

				34,443,689

		Life Sciences Tools & Services – 0.9%
	422,071	Cambrex Corp.(b)		9,125,175

		Machinery – 2.4%
	115,270	Middleby Corp. (The)(b)		11,423,257
	134,449	Proto Labs, Inc.(b)		9,029,595
	87,415	RBC Bearings, Inc.		5,640,890

				26,093,742

		Media – 0.7%
	234,799	Imax Corp.(b)		7,255,289

		Oil, Gas & Consumable Fuels – 1.9%
	166,781	Diamondback Energy, Inc.(b)		9,970,168
	245,738	PDC Energy, Inc.(b)		10,141,607

				20,111,775

		Pharmaceuticals – 1.6%
	232,693	Akorn, Inc.(b)		8,423,487
	261,527	Impax Laboratories, Inc.(b)		8,285,175

				16,708,662

		Professional Services – 5.3%
	133,601	Corporate Executive Board Co. (The)		9,690,081
	163,805	Huron Consulting Group, Inc.(b)		11,202,624
	242,935	On Assignment, Inc.(b)		8,063,013
	305,822	TriNet Group, Inc.(b)		9,566,112
	281,476	WageWorks, Inc.(b)		18,174,905

				56,696,735


Shares		Description	Value (†)
	Common Stocks – continued
		Road & Rail – 1.1%
	133,210	Genesee & Wyoming, Inc., Class A(b)	$	11,978,243

		Semiconductors & Semiconductor Equipment – 6.5%
	226,496	Cavium, Inc.(b)		14,001,983
	693,318	Intersil Corp.		10,032,311
	283,316	MKS Instruments, Inc.		10,369,366
	260,809	Monolithic Power Systems, Inc.		12,972,640
	406,675	Semtech Corp.(b)		11,212,030
	237,586	Silicon Laboratories, Inc.(b)		11,313,845

				69,902,175

		Software – 7.1%
	292,318	Aspen Technology, Inc.(b)		10,236,976
	210,905	Ellie Mae, Inc.(b)		8,503,690
	339,679	FleetMatics Group PLC(b)		12,055,208
	339,556	Guidewire Software, Inc.(b)		17,191,720
	270,595	Proofpoint, Inc.(b)		13,050,797
	101,231	Ultimate Software Group, Inc. (The)(b)		14,862,229

				75,900,620

		Specialty Retail – 2.2%
	177,765	Asbury Automotive Group, Inc.(b)		13,495,919
	99,418	Restoration Hardware Holdings, Inc.(b)		9,545,122

				23,041,041

		Textiles, Apparel & Luxury Goods – 3.4%
	125,120	Deckers Outdoor Corp.(b)		11,390,925
	178,874	Oxford Industries, Inc.		9,875,634
	440,858	Tumi Holdings, Inc.(b)		10,461,560
	195,546	Vince Holding Corp.(b)		5,111,572

				36,839,691

		Thrifts & Mortgage Finance – 0.4%
	153,969	Essent Group Ltd.(b)		3,958,543

		Total Common Stocks (Identified Cost $836,184,792)		1,062,818,917


Principal Amount
	Short-Term Investments – 2.5%
$	26,569,152	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $26,569,167 on 1/02/2015 collateralized by $26,380,000 U.S. Treasury Note, 2.375% due 8/15/2024 valued at $27,105,450 including accrued interest(c) (Identified Cost $26,569,152)		26,569,152

		Total Investments – 101.6% (Identified Cost $862,753,944)(a)		1,089,388,069
		Other assets less liabilities – (1.6)%		(17,235,130	)

		Net Assets – 100.0%	$	1,072,152,939

(†)

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.

Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

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

At December 31, 2014, the net unrealized appreciation on investments based on a cost of $862,753,944 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	238,952,104
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(12,317,979	)

Net unrealized appreciation	$	226,634,125

At September 30, 2014, late-year ordinary and post-October capital loss deferrals were $5,935,433. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

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, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,062,818,917	$	—	$	—	$	1,062,818,917
Short-Term Investments		—		26,569,152		—		26,569,152

Total	$	1,062,818,917	$	26,569,152	$	—	$	1,089,388,069

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

For the period ended December 31, 2014, there were no transfers among Level 1, 2 and 3.

Industry Summary at December 31, 2014 (Unaudited)


Internet Software & Services	8.1	%
Health Care Equipment & Supplies	7.7
Software	7.1
Biotechnology	6.8
Semiconductors & Semiconductor Equipment	6.5
Health Care Providers & Services	5.9
Professional Services	5.3
Banks	4.3
Diversified Consumer Services	4.0
Textiles, Apparel & Luxury Goods	3.4
IT Services	3.2
Electronic Equipment, Instruments & Components	2.7
Hotels, Restaurants & Leisure	2.6
Energy Equipment & Services	2.6
Building Products	2.6
Machinery	2.4
Specialty Retail	2.2
Other Investments, less than 2% each	21.7
Short-Term Investments	2.5

Total Investments	101.6
Other assets less liabilities	(1.6	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Strategic Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 72.0% of Net Assets
	Non-Convertible Bonds – 65.8%
		ABS Car Loan – 0.0%
$	4,093,750	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A	$	4,256,845

		ABS Home Equity – 0.0%
	2,952,638	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.609%, 4/25/2035(b)		2,985,536

		ABS Other – 0.4%
	42,000,000	GCA2014 Holdings Ltd., 0.000%, 1/05/2030, 144A(c)(d)		38,192,326
	24,190,000	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(c)(d)		24,190,000
	8,795,000	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(c)(d)		8,795,000

				71,177,326

		Aerospace & Defense – 0.6%
	620,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		559,670
	11,800,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		12,036,000
	2,425,000	Ducommun, Inc., 9.750%, 7/15/2018		2,594,750
	16,246,000	KLX, Inc., 5.875%, 12/01/2022, 144A		16,408,460
	8,236,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		8,977,240
	22,548,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		21,420,600
	20,755,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		21,377,650
	5,310,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		4,779,000
	24,513,000	TransDigm, Inc., 6.500%, 7/15/2024		24,635,565

				112,788,935

		Airlines – 2.8%
	13,620,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		12,470,541
	4,814,356	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		4,886,571
	2,285,000	Allegiant Travel Co., 5.500%, 7/15/2019		2,324,988
	179,895,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		183,043,162
	13,851,364	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		14,372,452
	5,088,172	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		5,209,016


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	10,425,000	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A	$	10,477,125
	2,971,619	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		3,075,626
	21,015,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		22,328,438
	176,964	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		179,724
	425,877	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		442,912
	1,605,933	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		1,678,199
	703,193	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		738,775
	1,117,511	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		1,266,922
	1,157,133	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,298,072
	1,141,091	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		1,229,525
	1,811,595	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,956,523
	1,063,631	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,120,110
	9,836,991	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		10,796,097
	17,725,794	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		18,745,027
	14,927,207	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		16,419,927
	13,498,304	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		15,590,541
	3,374,924	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		3,543,670
	1,139,822	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,322,194
	5,324,914	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		6,150,276
	869,173	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		934,883
	15,288,496	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		16,511,576
	447,278	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		498,402
	9,585,000	United Airlines Pass Through Trust, Series 2014-1, Class B, 4.750%, 10/11/2023		9,453,206
	10,375,000	United Airlines Pass Through Trust, Series 2014-2, Class B, 4.625%, 3/03/2024		10,167,500
	11,059,968	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		12,055,365
	42,731,336	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		47,645,440
	12,605,355	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		14,054,971


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Airlines – continued
$	6,518,965	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021	$	7,236,051
	3,171,102	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		3,282,091
	7,121,908	US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023		7,246,541
	48,950,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		49,561,875
	5,938,358	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		6,079,394
	9,764,885	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		10,057,831

				535,451,539

		Automotive – 0.9%
	19,011,000	Ford Motor Co., 6.375%, 2/01/2029		22,953,881
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,422,501
	74,829,000	Ford Motor Co., 6.625%, 10/01/2028		91,903,855
	2,365,000	Ford Motor Co., 7.125%, 11/15/2025		2,906,334
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,713,639
	29,265,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		30,545,344
	6,000,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		6,480,000
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,151,195
	6,900,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		6,693,000

				169,769,749

		Banking – 7.8%
	1,175,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		1,500,123
	2,000,000	Ally Financial, Inc., 5.125%, 9/30/2024		2,030,000
	28,582,000	Ally Financial, Inc., 8.000%, 12/31/2018		32,440,570
	29,332,000	Ally Financial, Inc., 8.000%, 11/01/2031		37,398,300
	20,565,000	Associates Corp. of North America, 6.950%, 11/01/2018		24,019,714
	63,900,000	Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL)		22,969,096
	900,000	Bank of America Corp., 5.490%, 3/15/2019		995,864
	3,450,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		4,684,326
	3,135,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		3,135,241


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	265,000	Bank of America Corp., MTN, 4.250%, 10/22/2026	$	264,405
	1,500,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(e)		1,610,625
	10,000,000	Bank of Nova Scotia, 2.462%, 3/14/2019, (CAD)		8,721,725
	39,890,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		36,653,145
	57,792,000,000	Barclays Financial LLC, EMTN, 3.500%, 11/29/2016, (KRW)		54,084,142
	1,600,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, (EUR)(e)		2,023,204
	5,331,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 144A(e)		5,331,000
	36,445,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		28,813,170
	4,000,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(d)		3,719,504
	24,610,000	Citigroup, Inc., 5.875%, 2/22/2033		28,387,315
	8,999,000	Citigroup, Inc., 6.000%, 10/31/2033		10,619,081
	6,060,000	Citigroup, Inc., 6.125%, 8/25/2036		7,223,950
	22,091,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		17,903,948
	3,350,000	Citigroup, Inc., EMTN, 1.352%, 11/30/2017, (EUR)(b)		4,045,155
	3,000,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 1.700%, 3/19/2018		2,994,756
	14,330,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.875%, 2/08/2022		15,243,910
	3,450,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.950%, 11/09/2022		3,514,270
	25,000,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		22,181,313
	400,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		483,482
	34,060,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		42,826,192
	32,705,000	HBOS PLC, 6.000%, 11/01/2033, 144A		36,934,280
	50,604,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		56,397,956
	9,090,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		9,339,975
	92,585,000	Intesa Sanpaolo SpA, 3.875%, 1/15/2019		95,861,861
	40,305,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		39,116,607
	45,620,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		35,284,044
	227,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		18,103,181


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
$	27,555,000	Lloyds Bank PLC, MTN, 6.500%, 9/14/2020, 144A	$	31,928,557
	18,500,000	Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 144A(e)		18,361,250
	3,010,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		3,253,828
	6,700,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		7,911,052
	800,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		961,227
	28,530,000	Morgan Stanley, 4.350%, 9/08/2026		28,700,467
	35,325,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		29,913,791
	18,205,000	Morgan Stanley, 4.875%, 11/01/2022		19,335,130
	185,000,000	Morgan Stanley, 5.000%, 9/30/2021, (AUD)		158,575,550
	74,310,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		61,667,314
	100,265,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		90,088,375
	950,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		1,610,982
	79,700,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		68,168,814
	38,835,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		39,318,030
	10,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		12,056,030
	7,900,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		8,998,376
	12,100,000	Morgan Stanley, Series F, MTN, 0.681%, 10/18/2016(b)		12,063,688
	53,095,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		45,891,209
	1,905,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, (EUR)(e)		2,282,094
	4,050,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%(e)		4,171,500
	2,085,000	RBS Capital Trust III, 2.095%(b)(e)		2,073,532
	930,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(e)		1,060,639
	15,100,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(e)		17,358,170
	24,985,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		27,043,714
	17,700,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		19,264,786
	9,990,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(e)		10,489,500
	850,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		1,081,042


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Banking – continued
	7,750,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)	$	10,797,673
	2,150,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		2,665,605
	700,000	Santander Central Hispano Issuances Ltd., 7.250%, 11/01/2015		732,892
	1,800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		1,875,829
	4,140,000	Societe Generale S.A., (fixed rate to 1/26/2015, variable rate thereafter), 4.196%, (EUR)(e)		5,009,608
	18,054,000	Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 144A(e)		18,719,832

				1,480,285,516

		Brokerage – 0.8%
	1,316,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		1,348,418
	5,000,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		4,575,000
	22,540,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		20,962,200
	43,025,000	Jefferies Group LLC, 5.125%, 1/20/2023		43,735,687
	20,010,000	Jefferies Group LLC, 6.250%, 1/15/2036		19,663,627
	15,215,000	Jefferies Group LLC, 6.450%, 6/08/2027		15,786,186
	39,040,000	Jefferies Group LLC, 6.875%, 4/15/2021		44,379,111

				150,450,229

		Building Materials – 0.5%
	16,590,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		13,935,600
	6,995,000	Masco Corp., 6.500%, 8/15/2032		7,152,388
	5,510,000	Masco Corp., 7.125%, 3/15/2020		6,364,050
	2,630,000	Masco Corp., 7.750%, 8/01/2029		3,024,500
	32,100,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)		10,204,085
	35,980,000	Owens Corning, 7.000%, 12/01/2036		44,573,679
	14,155,000	USG Corp., 9.750%, 1/15/2018		16,136,700

				101,391,002

		Cable Satellite – 1.1%
	3,315,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		3,348,150
	17,179,000	DISH DBS Corp., 5.875%, 11/15/2024, 144A		17,264,895


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Cable Satellite – continued
$	11,620,000	Intelsat Jackson Holdings S.A., 5.500%, 8/01/2023	$	11,549,118
	3,995,000	Intelsat Luxembourg S.A., 6.750%, 6/01/2018		4,074,900
	28,785,000	Intelsat Luxembourg S.A., 7.750%, 6/01/2021		28,856,962
	16,000,000	Intelsat Luxembourg S.A., 8.125%, 6/01/2023		16,320,000
	25,270,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		24,645,754
	135,000	Time Warner Cable, Inc., 5.875%, 11/15/2040		160,968
	44,800,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		58,547,069
	11,275,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		9,789,685
	7,000,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		7,323,750
	20,300,000	VTR Finance BV, 6.875%, 1/15/2024, 144A		20,706,000

				202,587,251

		Chemicals – 1.3%
	84,394,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		82,495,135
	20,000,000	Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A		20,300,000
	20,070,000	Hercules, Inc., 6.500%, 6/30/2029		18,063,000
	6,010,000	Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		5,348,900
	16,660,000	Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		11,911,900
	90,205,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		90,205,000
	26,164,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(d)		15,960,040
	5,191,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(d)		4,334,485
	8,757,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(d)		6,239,362

				254,857,822

		Construction Machinery – 0.1%
	1,425,000	Joy Global, Inc., 6.625%, 11/15/2036		1,720,860
	5,105,000	United Rentals North America, Inc., 5.750%, 11/15/2024		5,258,150
	11,655,000	United Rentals North America, Inc., 7.625%, 4/15/2022		12,814,672
	525,000	United Rentals North America, Inc., 8.375%, 9/15/2020		563,063

				20,356,745


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Consumer Cyclical Services – 0.0%
$	670,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018	$	683,400
	5,500,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		5,252,500

				5,935,900

		Consumer Products – 0.2%
	10,750,000	Avon Products, Inc., 6.950%, 3/15/2043		8,868,750
	33,945,000	Newell Rubbermaid, Inc., 4.000%, 12/01/2024		34,643,418
	1,335,000	Visant Corp., 10.000%, 10/01/2017		1,158,113

				44,670,281

		Electric – 2.1%
	1,540,000	AES Corp. (The), 4.875%, 5/15/2023		1,528,450
	34,125,000	AES Corp. (The), 5.500%, 3/15/2024		34,630,050
	42,148,315	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		47,866,872
	58,038,836	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		64,414,402
	1,888,051	CE Generation LLC, 7.416%, 12/15/2018		1,869,171
	38,368,000	DPL, Inc., 6.750%, 10/01/2019, 144A		38,751,680
	9,300,000	Dynegy Finance I, Inc./Dynegy Finance II, Inc., 7.375%, 11/01/2022, 144A		9,462,750
	56,530,000	Dynegy Finance I, Inc./Dynegy Finance II, Inc., 7.625%, 11/01/2024, 144A		57,660,600
	53,785,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		54,086,196
	42,200,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		43,922,604
	14,800,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		16,017,448
	3,570,000	Endesa S.A., 7.875%, 2/01/2027		4,645,837
	13,642,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		16,029,718
	1,435,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		1,834,719
	2,732,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		5,253,480
	555,000	Enersis S.A., 7.400%, 12/01/2016		605,402
	622,550	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		664,572

				399,243,951

		Finance Companies – 5.2%
	19,005,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		21,523,162


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Finance Companies – continued
	57,000,000		General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD)	$	44,321,284
	79,035,000		General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		64,287,095
	25,320,000		General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		20,250,387
	8,790,000		General Electric Capital Corp., Series A, MTN, 0.531%, 5/13/2024(b)		8,247,692
	215,797,000		General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		171,428,939
	325,000		International Lease Finance Corp., 3.875%, 4/15/2018		325,000
	1,435,000		International Lease Finance Corp., 4.625%, 4/15/2021		1,460,113
	2,085,000		International Lease Finance Corp., 5.875%, 4/01/2019		2,246,588
	24,940,000		International Lease Finance Corp., 5.875%, 8/15/2022		27,059,900
	950,000		International Lease Finance Corp., 6.250%, 5/15/2019		1,037,875
	20,610,000		International Lease Finance Corp., 7.125%, 9/01/2018, 144A		23,083,200
	10,245,000		International Lease Finance Corp., 8.250%, 12/15/2020		12,345,225
	11,995,000		iStar Financial, Inc., 4.875%, 7/01/2018		11,785,088
	14,060,000		iStar Financial, Inc., 5.000%, 7/01/2019		13,638,200
	23,175,000		iStar Financial, Inc., 5.850%, 3/15/2017		23,754,375
	19,240,000		iStar Financial, Inc., 7.125%, 2/15/2018		20,202,000
	19,915,000		Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		20,512,450
	23,020,000		Navient LLC, 4.875%, 6/17/2019		23,086,758
	22,945,000		Navient LLC, 5.500%, 1/25/2023		21,969,837
	109,950	(††)	Navient LLC, 6.000%, 12/15/2043		2,364,383
	7,515,000		Navient LLC, MTN, 4.625%, 9/25/2017		7,627,725
	7,780,000		Navient LLC, MTN, 5.500%, 1/15/2019		7,955,050
	18,655,000		Navient LLC, MTN, 6.125%, 3/25/2024		18,328,537
	17,600,000		Navient LLC, MTN, 7.250%, 1/25/2022		19,096,000
	2,160,000		Navient LLC, MTN, 8.000%, 3/25/2020		2,392,200
	14,465,000		Navient LLC, Series A, MTN, 5.000%, 6/15/2018		14,356,512
	50,910,000		Navient LLC, Series A, MTN, 5.625%, 8/01/2033		38,437,050


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Finance Companies – continued
$	49,850,000	Navient LLC, Series A, MTN, 8.450%, 6/15/2018	$	55,582,750
	55,730,000	Springleaf Finance Corp., 5.250%, 12/15/2019		54,615,400
	137,545,000	Springleaf Finance Corp., 7.750%, 10/01/2021		154,050,400
	55,015,000	Springleaf Finance Corp., 8.250%, 10/01/2023		61,616,800
	10,120,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		10,448,900
	800,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		840,000

				980,276,875

		Financial Other – 0.2%
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		31,608,480

		Food & Beverage – 0.2%
	25,280,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		29,198,400
	4,880,000	Shearer’s Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A		5,319,200

				34,517,600

		Government Owned—No Guarantee – 0.1%
	19,500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		21,991,710

		Government Sponsored – 0.0%
	1,000,000	EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF)		1,018,809

		Healthcare – 2.9%
	2,160,000	BioScrip, Inc., 8.875%, 2/15/2021, 144A		1,944,000
	2,795,000	HCA Holdings, Inc., 6.250%, 2/15/2021		2,976,675
	186,520,000	HCA, Inc., 5.250%, 4/15/2025		194,913,400
	9,960,000	HCA, Inc., 5.875%, 3/15/2022		10,906,200
	108,560,000	HCA, Inc., 5.875%, 5/01/2023		114,395,100
	14,620,000	HCA, Inc., 7.050%, 12/01/2027		14,839,300
	20,447,000	HCA, Inc., 7.500%, 12/15/2023		22,900,640
	24,215,000	HCA, Inc., 7.500%, 11/06/2033		25,425,750
	46,148,000	HCA, Inc., 7.690%, 6/15/2025		51,916,500
	32,745,000	HCA, Inc., 8.360%, 4/15/2024		38,475,375


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Healthcare – continued
$	15,815,000	HCA, Inc., MTN, 7.580%, 9/15/2025	$	17,633,725
	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036		10,156,440
	955,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		947,838
	1,495,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		1,498,737
	19,250,000	Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A		19,274,062
	32,559,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		30,605,460

				558,809,202

		Home Construction – 0.7%
	3,075,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		2,982,750
	13,360,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021		11,356,000
	35,125,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		33,720,000
	3,620,000	KB Home, 4.750%, 5/15/2019		3,565,700
	11,315,000	KB Home, 7.250%, 6/15/2018		12,050,475
	5,865,000	Lennar Corp., 4.500%, 6/15/2019		5,865,000
	47,260,000	Pulte Group, Inc., 6.000%, 2/15/2035		45,133,300
	13,190,000	Pulte Group, Inc., 6.375%, 5/15/2033		13,190,000
	6,930,000	Weyerhaeuser Real Estate Co., 4.375%, 6/15/2019, 144A		6,834,713

				134,697,938

		Independent Energy – 1.2%
	6,945,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		5,903,250
	6,530,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		5,550,500
	4,945,000	California Resources Corp., 5.000%, 1/15/2020, 144A		4,289,787
	81,805,000	California Resources Corp., 5.500%, 9/15/2021, 144A		69,943,275
	10,905,000	California Resources Corp., 6.000%, 11/15/2024, 144A		9,214,725
	800,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		778,000
	55,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		59,125
	2,615,000	Continental Resources, Inc., 3.800%, 6/01/2024		2,339,235
	540,000	Continental Resources, Inc., 4.500%, 4/15/2023		513,622


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	2,990,000	Halcon Resources Corp., 9.250%, 2/15/2022	$	2,205,125
	500,000	Halcon Resources Corp., 9.750%, 7/15/2020		375,000
	12,635,000	QEP Resources, Inc., 6.875%, 3/01/2021		12,950,875
	14,844,000	Rex Energy Corp., 6.250%, 8/01/2022, 144A		11,058,780
	2,343,000	Rex Energy Corp., 8.875%, 12/01/2020		2,096,985
	6,250,000	Rice Energy, Inc., 6.250%, 5/01/2022, 144A		5,812,500
	855,000	RKI Exploration & Production LLC/RKI Finance Corp., 8.500%, 8/01/2021, 144A		690,413
	1,975,000	Rosetta Resources, Inc., 5.625%, 5/01/2021		1,807,322
	9,210,000	RSP Permian, Inc., 6.625%, 10/01/2022, 144A		8,565,300
	10,094,000	Sanchez Energy Corp., 6.125%, 1/15/2023, 144A		8,478,960
	5,700,000	Sanchez Energy Corp., 7.750%, 6/15/2021		5,301,000
	2,780,000	SandRidge Energy, Inc., 7.500%, 2/15/2023		1,751,400
	6,146,000	SM Energy Co., 5.000%, 1/15/2024		5,316,290
	18,829,000	SM Energy Co., 6.125%, 11/15/2022, 144A		17,699,260
	805,000	SM Energy Co., 6.625%, 2/15/2019		788,900
	815,000	Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A		751,838
	44,475,000	Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A		38,248,500

				222,489,967

		Industrial Other – 0.2%
	7,875,000	AECOM Technology Corp., 5.750%, 10/15/2022, 144A		8,052,188
	8,215,000	AECOM Technology Corp., 5.875%, 10/15/2024, 144A		8,399,837
	11,370,000	Permian Holdings, Inc., 10.500%, 1/15/2018, 144A		8,527,500
	6,880,000	Transfield Services Ltd., 8.375%, 5/15/2020, 144A		7,327,200
	10,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,359,600

				43,666,325

		Life Insurance – 0.7%
	11,135,000	American International Group, Inc., 4.125%, 2/15/2024		11,853,341
	4,190,000	American International Group, Inc., 4.875%, 6/01/2022		4,706,811


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Life Insurance – continued
$	2,416,000	American International Group, Inc., 6.250%, 3/15/2087	$	2,696,133
	1,933,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		2,619,215
	4,300,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		4,807,830
	23,200,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(e)		25,114,000
	1,000,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(e)		1,675,808
	1,350,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		1,856,957
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		17,181,225
	1,225,000	Genworth Financial, Inc., (fixed rate to 11/15/2016, variable rate thereafter), 6.150%, 11/15/2066		753,375
	2,675,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		2,168,427
	16,475,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		13,273,858
	10,990,000	Genworth Holdings, Inc., 6.500%, 6/15/2034		9,091,192
	1,475,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,109,250
	8,145,000	MetLife, Inc., 10.750%, 8/01/2069		13,235,625
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		10,153,119
	3,910,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		5,116,184

				128,412,350

		Local Authorities – 0.9%
	3,905,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		3,088,774
	95,480,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		83,846,296
	82,840,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		74,935,678

				161,870,748

		Media Entertainment – 0.9%
	7,180,000	CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., 5.250%, 2/15/2022, 144A		7,233,850
	17,950,000	CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., 5.875%, 3/15/2025, 144A		18,084,625
	111,590,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		6,477,019
	64,250,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		62,965,000
	33,370,000	iHeartCommunications, Inc., 9.000%, 9/15/2022, 144A		32,702,600
	25,280,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		24,900,800


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Media Entertainment – continued
$	2,410,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023	$	2,470,250
	3,730,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		4,000,425
	5,925,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		6,547,125

				165,381,694

		Metals & Mining – 1.5%
	7,395,067	1839688 Alberta ULC, 14.000%(14.000% PIK), 2/13/2020(f)		6,544,634
	3,949,000	Alcoa, Inc., 5.870%, 2/23/2022		4,368,024
	5,075,000	Alcoa, Inc., 5.900%, 2/01/2027		5,527,406
	1,405,000	Alcoa, Inc., 5.950%, 2/01/2037		1,435,288
	4,330,000	Alcoa, Inc., 6.750%, 1/15/2028		4,869,449
	25,271,000	ArcelorMittal, 7.250%, 3/01/2041		25,523,710
	30,695,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		27,932,450
	8,705,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		8,637,353
	8,625,000	Cliffs Natural Resources, Inc., 4.800%, 10/01/2020		4,657,500
	3,980,000	Cliffs Natural Resources, Inc., 4.875%, 4/01/2021		2,139,250
	46,334,000	Cliffs Natural Resources, Inc., 6.250%, 10/01/2040		24,093,680
	20,408,000	Emeco Pty Ltd., 9.875%, 3/15/2019, 144A		15,510,080
	26,350,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A		26,547,625
	10,000,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		9,000,000
	14,645,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		14,498,550
	51,000,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		51,000,000
	4,200,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		4,294,500
	16,135,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		14,061,532
	6,779,000	United States Steel Corp., 6.650%, 6/01/2037		6,168,890
	7,490,000	United States Steel Corp., 6.875%, 4/01/2021		7,602,350
	16,435,000	United States Steel Corp., 7.000%, 2/01/2018		17,421,100

				281,833,371


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Midstream – 0.2%
$	750,000	El Paso Corp., GMTN, 7.800%, 8/01/2031	$	913,223
	8,935,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		9,713,256
	23,179,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		22,773,368
	505,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		522,675
	3,185,492	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		3,185,492

				37,108,014

		Non-Agency Commercial Mortgage-Backed Securities – 0.7%
	6,900,145	Column Canada Issuer Corp., Series 2006-WEM, Class A1, 4.591%, 1/15/2022, (CAD)		6,049,060
	2,785,000	Column Canada Issuer Corp., Series 2006-WEM, Class A2, 4.934%, 1/15/2022, (CAD)		2,511,246
	27,969,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR1, 1.861%, 5/13/2031, 144A(b)(d)		28,012,744
	12,902,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR2, 2.361%, 5/13/2031, 144A(b)(d)		12,923,740
	8,622,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR3, 2.811%, 5/13/2031, 144A(b)(d)		8,636,356
	16,080,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR4, 3.911%, 5/13/2031, 144A(b)(d)		16,105,985
	35,060,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.796%, 8/10/2045(b)		35,820,662
	19,098,537	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		16,440,391

				126,500,184

		Oil Field Services – 0.6%
	16,030,000	FTS International, Inc., 6.250%, 5/01/2022, 144A		11,701,900
	5,636,000	Hercules Offshore, Inc., 6.750%, 4/01/2022, 144A		2,423,480
	952,000	Hercules Offshore, Inc., 7.500%, 10/01/2021, 144A		418,880
	6,101,000	Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A		2,867,470
	1,053,000	Hercules Offshore, Inc., 10.250%, 4/01/2019, 144A		558,090
	7,170,000	Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A		7,277,550
	17,482,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A		10,664,020
	40,403,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A		24,241,800
	22,160,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		23,135,040
	17,160,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		13,728,000
	4,865,000	Precision Drilling Corp., 5.250%, 11/15/2024, 144A		3,989,300


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Oil Field Services – continued
$	594,000	Precision Drilling Corp., 6.500%, 12/15/2021	$	503,415
	2,590,000	Precision Drilling Corp., 6.625%, 11/15/2020		2,331,000
	9,020,000	Transocean, Inc., 3.800%, 10/15/2022		7,309,132
	4,355,000	Transocean, Inc., 6.375%, 12/15/2021		4,017,265

				115,166,342

		Paper – 0.7%
	14,715,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		19,324,974
	47,875,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		67,411,064
	775,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,201,061
	4,865,000	Westvaco Corp., 7.950%, 2/15/2031		6,416,531
	23,365,000	Westvaco Corp., 8.200%, 1/15/2030		30,915,657
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,482,618

				128,751,905

		Pharmaceuticals – 0.0%
	1,144,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		1,195,480

		Property & Casualty Insurance – 0.3%
	14,855,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		16,828,160
	12,510,000	MBIA Insurance Corp., 11.491%, 1/15/2033, 144A(b)(g)		7,506,000
	6,555,000	Old Republic International Corp., 4.875%, 10/01/2024		6,842,601
	11,200,000	Sirius International Group, 6.375%, 3/20/2017, 144A		12,300,557
	3,000,000	Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(e)		3,123,000
	17,870,000	XL Group PLC, (fixed rate to 4/15/2017, variable rate thereafter), 6.500%(e)		17,065,850
	1,425,000	XLIT Ltd., 6.375%, 11/15/2024		1,695,348

				65,361,516

		Railroads – 0.5%
	90,000,000	Hellenic Railways Organization S.A., EMTN, 0.663%, 5/24/2016, (EUR)(b)(d)		89,301,704
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(d)		1,105,770

				90,407,474


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Retailers – 0.6%
$	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028	$	3,524,500
	4,187,000	Dillard’s, Inc., 7.130%, 8/01/2018		4,689,440
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,668,750
	425,000	Dillard’s, Inc., 7.875%, 1/01/2023		490,875
	10,270,000	Foot Locker, Inc., 8.500%, 1/15/2022(c)		11,311,761
	5,930,000	GameStop Corp., 5.500%, 10/01/2019, 144A		5,944,825
	7,490,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		6,516,300
	27,224,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		17,695,600
	2,510,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		1,656,600
	25,795,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		22,699,600
	12,275,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		15,018,291
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		7,584,909
	3,910,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		2,346,000
	25,299,000	Toys R Us, Inc., 7.375%, 10/15/2018		16,570,845

				117,718,296

		Sovereigns – 1.8%
	317,570,000	Republic of Portugal, 5.125%, 10/15/2024, 144A		333,613,001

		Supermarkets – 1.4%
	89,136,000	Albertsons Holdings LLC/Saturn Acquisition Merger Sub, Inc., 7.750%, 10/15/2022, 144A		91,364,400
	79,276,000	New Albertson’s, Inc., 7.450%, 8/01/2029		70,952,020
	23,830,000	New Albertson’s, Inc., 7.750%, 6/15/2026		21,327,850
	17,480,000	New Albertson’s, Inc., 8.000%, 5/01/2031		15,819,400
	5,815,000	New Albertson’s, Inc., 8.700%, 5/01/2030		5,582,400
	16,342,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		12,991,890
	34,580,000	SUPERVALU, Inc., 6.750%, 6/01/2021		33,974,850
	22,745,000	SUPERVALU, Inc., 7.750%, 11/15/2022		22,290,100

				274,302,910


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Supranational – 0.6%
	16,375,000	European Bank for Reconstruction & Development, 6.250%, 2/05/2016, (BRL)	$	5,862,031
	250,500,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		20,108,769
	60,665,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		50,011,269
	24,450,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		20,125,106
	72,900,000	International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL)		26,034,147

				122,141,322

		Technology – 1.7%
	6,475,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		5,487,563
	94,454,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		90,203,570
	5,845,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		5,625,812
	2,145,000	Alcatel-Lucent USA, Inc., 6.750%, 11/15/2020, 144A		2,264,048
	25,000,000	Alcatel-Lucent USA, Inc., 8.875%, 1/01/2020, 144A		27,187,500
	34,955,000	Amkor Technology, Inc., 6.375%, 10/01/2022		33,731,575
	9,100,000	First Data Corp., 10.625%, 6/15/2021		10,305,750
	5,210,000	First Data Corp., 11.250%, 1/15/2021		5,913,350
	50,531,000	First Data Corp., 11.750%, 8/15/2021		57,984,322
	56,340,000	KLA-Tencor Corp., 4.650%, 11/01/2024		58,325,816
	15,170,000	KLA-Tencor Corp., 5.650%, 11/01/2034		16,094,338
	2,562,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		2,939,029
	195,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		244,772
	1,400,000	SunGard Data Systems, Inc., 6.625%, 11/01/2019		1,414,000

				317,721,445

		Transportation Services – 0.3%
	10,503,000	APL Ltd., 8.000%, 1/15/2024(d)		9,137,610
	4,938,659	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(c)		5,025,086
	6,862,758	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(c)(g)(h)		8,990,213
	3,416,139	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020(c)		3,484,461
	3,091,262	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016(c)		3,137,631


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Transportation Services – continued
$	4,744,556		Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(c)(g)(h)	$	6,215,368
	1,864,358		Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017(c)		2,004,185
	3,970,000		Erac USA Finance Co., 7.000%, 10/15/2037, 144A		5,350,024
	4,115,000		Jack Cooper Holdings Corp., 9.250%, 6/01/2020, 144A		4,259,025

					47,603,603

			Treasuries – 19.0%
	352,975,000		Canadian Government, 1.000%, 8/01/2016, (CAD)		303,841,658
	317,256,000		Canadian Government, 1.250%, 2/01/2016, (CAD)		273,788,269
	29,490,000		Canadian Government, 1.250%, 9/01/2018, (CAD)		25,443,946
	80,645,000		Canadian Government, 1.750%, 9/01/2019, (CAD)		70,691,055
	201,485,000		Canadian Government, 2.500%, 6/01/2015, (CAD)		174,494,889
	89,045,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		78,017,461
	1,465,000		Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)		1,427,681
	625,000		Hellenic Republic Government Bond, Series PSI, 2.000%, 2/24/2024, (EUR)		475,081
	835,000		Hellenic Republic Government Bond, Series PSI, 2.000%, 2/24/2041, (EUR)		505,196
	64,132,000,000		Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		5,825,474
	10,000,000,000		Indonesia Treasury Bond, Series FR47, 10.000%, 2/15/2028, (IDR)		916,431
	9,710,000	(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		67,316,700
	9,930,439	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		70,687,428
	4,250,000	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		32,717,748
	7,740,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		58,543,752
	27,224,481	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		212,070,380
	3,035,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		24,856,894
	21,700,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		192,646,139
	252,700,000		New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		208,102,102
	175,365,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		155,209,986
	836,485,000		Norway Government Bond, 4.250%, 5/19/2017, (NOK)		121,173,264
	1,266,835,000		Norway Government Bond, 5.000%, 5/15/2015, (NOK)		172,331,034


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Treasuries – continued
	162,850,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)	$	56,209,042
	55,925,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		21,122,827
	49,120,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)		18,617,260
	3,842,906,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		23,317,061
	1,605,660,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		10,336,436
	4,496,156,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		30,061,353
	545,560,000	U.S. Treasury Note, 0.375%, 3/31/2016		545,474,893
	300,000,000	U.S. Treasury Note, 0.375%, 4/30/2016		299,953,200
	300,000,000	U.S. Treasury Note, 0.375%, 5/31/2016		299,812,500
	42,075,000	U.S. Treasury Note, 0.500%, 6/30/2016		42,088,127

				3,598,075,267

		Wireless – 0.6%
	293,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		19,412,522
	134,600,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		9,149,671
	31,041,000	Sprint Capital Corp., 6.875%, 11/15/2028		27,316,080
	16,622,000	Sprint Capital Corp., 6.900%, 5/01/2019		16,954,440
	6,260,000	Sprint Capital Corp., 8.750%, 3/15/2032		6,056,550
	12,630,000	Sprint Communications, Inc., 6.000%, 11/15/2022		11,619,600
	23,641,000	Sprint Corp., 7.250%, 9/15/2021		23,434,141

				113,943,004

		Wirelines – 3.5%
	4,370,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		4,681,595
	7,545,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		7,827,759
	72,320,000	CenturyLink, Inc., 6.450%, 6/15/2021		77,563,200
	765,000	CenturyLink, Inc., 7.650%, 3/15/2042		761,175
	7,410,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		7,410,000
	2,965,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,935,350
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		329,000


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	5,275,000	Consolidated Communications, Inc., 6.500%, 10/01/2022, 144A	$	5,288,187
	17,900,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		23,365,615
	5,330,000	Embarq Corp., 7.995%, 6/01/2036		5,956,275
	37,225,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		37,411,125
	16,755,000	Frontier Communications Corp., 6.250%, 9/15/2021		16,838,775
	18,725,000	Frontier Communications Corp., 6.875%, 1/15/2025		18,725,000
	38,336,000	Frontier Communications Corp., 7.875%, 1/15/2027		38,240,160
	1,120,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		1,839,855
	1,800,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		2,214,957
	25,745,000	Level 3 Communications, Inc., 5.750%, 12/01/2022, 144A		25,905,906
	28,505,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		30,037,144
	5,965,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		6,434,744
	2,555,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		2,695,525
	4,667,000	Oi S.A., 5.750%, 2/10/2022, 144A		4,270,305
	500,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		612,285
	16,550,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		19,868,123
	29,750,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		37,633,312
	800,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		998,718
	12,834,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		14,091,732
	42,460,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		42,460,000
	12,463,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		13,428,882
	32,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		32,880,925
	31,060,000	Qwest Corp., 6.875%, 9/15/2033		31,155,230
	3,075,000	Qwest Corp., 7.200%, 11/10/2026		3,085,809
	3,999,000	Qwest Corp., 7.250%, 9/15/2025		4,762,705
	39,171,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		39,171,000
	22,645,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		23,211,125


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
	7,200,000	Telecom Italia SpA, EMTN, 5.250%, 3/17/2055, (EUR)	$	8,703,998
	5,250,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		5,620,886
	4,350,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		5,722,342
	31,690,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		29,058,350
	18,600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		17,904,541
	3,346,000	Verizon New England, Inc., 7.875%, 11/15/2029		4,378,315
	2,080,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		2,325,975

				657,805,905

		Total Non-Convertible Bonds (Identified Cost $12,401,835,905)		12,470,199,364

	Convertible Bonds – 5.4%
		Chemicals – 0.0%
	4,305,000	RPM International, Inc., 2.250%, 12/15/2020		5,018,016

		Communications – 0.2%
	14,855,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(d)		26,961,825

		Construction Machinery – 0.1%
	16,727,000	Trinity Industries, Inc., 3.875%, 6/01/2036		21,975,096

		Consumer Products – 0.2%
	13,670,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044, 144A		13,900,681
	20,848,000	Jarden Corp., 1.125%, 3/15/2034, 144A		23,362,790

				37,263,471

		Energy – 0.5%
	55,682,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		50,009,396
	36,835,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		35,775,994
	11,576,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		11,561,530

				97,346,920

		Finance Companies – 0.0%
	5,025,000	Jefferies Group LLC, 3.875%, 11/01/2029		5,191,453

		Healthcare – 0.4%
	15,025,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i)		16,734,094


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
			Healthcare – continued
$	3,780,000		Omnicare, Inc., 3.250%, 12/15/2035	$	4,372,988
	20,495,000		Omnicare, Inc., 3.750%, 12/15/2025		56,540,581

					77,647,663

			Home Construction – 0.7%
	19,486,000		KB Home, 1.375%, 2/01/2019		19,315,497
	52,005,000		Lennar Corp., 3.250%, 11/15/2021, 144A		100,889,700
	9,592,000		Ryland Group, Inc. (The), 0.250%, 6/01/2019		8,878,595

					129,083,792

			Pharmaceuticals – 0.0%
	1,195,000		BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		1,404,872
	1,655,000		BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		2,028,409
	1,810,000		Illumina, Inc., 0.250%, 3/15/2016		3,998,969

					7,432,250

			Property & Casualty Insurance – 0.5%
	72,915,000		Old Republic International Corp., 3.750%, 3/15/2018		84,490,256

			REITs - Mortgage – 0.0%
	1,175,000		iStar Financial, Inc., 3.000%, 11/15/2016		1,485,641

			REITs - Warehouse/Industrials – 0.1%
	19,445,000		ProLogis LP, 3.250%, 3/15/2015		21,608,256

			Technology – 2.7%
	7,680,000	(††††)	Alcatel-Lucent, Series ALU, 0.125%, 1/30/2020, (EUR)		38,057,374
	61,810,000		Ciena Corp., 0.875%, 6/15/2017		61,230,531
	7,185,000		Ciena Corp., 3.750%, 10/15/2018, 144A		8,895,928
	6,075,000		Ciena Corp., 4.000%, 3/15/2015, 144A		6,299,016
	2,429,000		Intel Corp., 3.482%, 12/15/2035(b)		3,191,099
	205,005,000		Intel Corp., 3.250%, 8/01/2039		356,452,444
	11,570,000		JDS Uniphase Corp., 0.625%, 8/15/2033		12,220,812
	1,055,000		Lam Research Corp., Series B, 1.250%, 5/15/2018		1,491,506
	5,582,928		Liberty Media LLC, 3.500%, 1/15/2031		5,035,930


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Technology – continued
$	22,834,000	Nuance Communications, Inc., 2.750%, 11/01/2031	$	22,762,644

				515,637,284

		Total Convertible Bonds (Identified Cost $736,130,109)		1,031,141,923

	Municipals – 0.8%
		District of Columbia – 0.0%
	3,850,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		5,364,282

		Illinois – 0.2%
	47,285,000	State of Illinois, 5.100%, 6/01/2033		46,939,347

		Michigan – 0.1%
	12,400,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		10,733,688

		Virginia – 0.5%
	123,115,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		92,493,837

		Total Municipals (Identified Cost $175,905,726)		155,531,154

		Total Bonds and Notes (Identified Cost $13,313,871,740)		13,656,872,441

	Loan Participations – 0.1%
		ABS Other – 0.1%
	14,650,049	Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039(b)(d)(j)
		(Identified Cost $14,759,925)		14,723,300

	Senior Loans – 2.7%
		Automotive – 0.2%
	22,305,340	IBC Capital Ltd., 1st Lien Term Loan, 4.750%, 9/09/2021(b)		22,184,445
	5,948,124	IBC Capital Ltd., 2nd Lien Term Loan, 8.000%, 9/09/2022(b)		5,918,384

				28,102,829

		Chemicals – 0.3%
	4,789,180	Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(b)		4,346,181
	5,674,460	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(b)		5,532,599
	6,147,386	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(b)		5,966,837


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
	Chemicals – continued
$	31,355,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/20/2020(b)	$	31,198,225

				47,043,842

		Construction Machinery – 0.4%
	29,021,424	Neff Rental LLC, 2nd Lien Term Loan, 7.250%, 6/09/2021(b)		29,021,424
	44,561,531	Onsite U.S. Finco LLC, Term Loan, 5.500%, 7/30/2021(b)		43,893,108

				72,914,532

		Consumer Cyclical Services – 0.4%
	43,000,000	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(b)		41,710,000
	43,000,000	SourceHov LLC, 2014 2nd Lien Term Loan, 11.500%, 4/30/2020(b)		40,957,500

				82,667,500

		Consumer Products – 0.1%
	14,544,192	Visant Corp., New Term Loan, 7.000%, 9/23/2021(b)		14,107,867

		Diversified Manufacturing – 0.0%
	6,385,000	Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/19/2020(b)		6,253,341

		Finance Companies – 0.4%
	64,072,967	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/19/2017(b)		65,995,156

		Media Entertainment – 0.0%
	6,973,212	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(b)		5,554,163

		Natural Gas – 0.0%
	7,790,850	Southcross Holdings Borrower LP, Term Loan B, 6.000%, 8/04/2021(b)		6,894,902

		Oil Field Services – 0.0%
	2,618,182	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(b)		2,055,273

		Other Utility – 0.0%
	1,298,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		1,252,570

		Retailers – 0.1%
	14,263,933	J.C. Penney Corp., Inc., New Term Loan, 5.000%, 6/20/2019(b)		13,679,112
	2,970,000	Toys ‘R’ Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(b)		2,828,004

				16,507,116

		Supermarkets – 0.3%
	28,622,449	Albertson’s Holdings LLC, Term Loan B4, 4.500%, 8/25/2021(b)		28,592,682


Principal Amount (‡)		Description	Value (†)
	Senior Loans – continued
	Supermarkets – continued
$	18,085,473	New Albertson’s, Inc., Term Loan, 4.750%, 6/27/2021(b)	$	17,735,157
	13,626,523	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(b)		13,361,623

				59,689,462

		Technology – 0.0%
	4,070,400	Aptean, Inc., 2nd Lien Term Loan, 8.500%, 2/26/2021(b)		3,866,880
	5,000,000	IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(b)		4,550,000

				8,416,880

		Transportation Services – 0.0%
	4,397,618	OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(b)		4,276,684

		Wirelines – 0.5%
	17,481,241	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b)		17,445,405
	5,685,000	Integra Telecom, Inc., 2nd Lien Term Loan, 2/21/2020(k)		5,635,256
	23,396,667	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b)		23,191,946
	1,672,963	LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(b)		1,641,594
	39,062,000	Sable International Finance Ltd., Unsecured Term Loan, 11/06/2016(k)		38,866,690

				86,780,891

		Total Senior Loans (Identified Cost $510,358,328)		508,513,008


Shares
	Common Stocks – 21.8%
		Airlines – 0.0%
	38,455	United Continental Holdings, Inc.(g)		2,572,255

		Automobiles – 1.9%
	15,608,933	Ford Motor Co.		241,938,462
	3,379,086	General Motors Co.		117,963,892

				359,902,354

		Banks – 0.4%
	3,979,932	Bank of America Corp.		71,200,983

		Chemicals – 2.8%
	1,364,851	Dow Chemical Co. (The)		62,250,854
	2,000,000	PPG Industries, Inc.		462,300,000

				524,550,854

		Containers & Packaging – 0.1%
	460,656	Owens-Illinois, Inc.(g)		12,433,105

		Diversified Telecommunication Services – 1.7%
	283,397	Hawaiian Telcom Holdco, Inc.(g)		7,813,255


Shares		Description	Value (†)
	Common Stocks – continued
		Diversified Telecommunication Services – continued
	323,886	Level 3 Communications, Inc.(g)	$	15,993,491
	3,346,339	Telecom Italia SpA, Sponsored ADR		27,808,077
	19,550,590	Telefonica S.A., Sponsored ADR		277,813,884

				329,428,707

		Electric Utilities – 0.0%
	94,166	Duke Energy Corp.		7,866,628

		Electronic Equipment, Instruments & Components – 3.9%
	32,000,000	Corning, Inc.		733,760,000

		Food Products – 0.5%
	2,309,175	ConAgra Foods, Inc.		83,776,869

		Household Durables – 0.2%
	477,725	KB Home		7,906,349
	549,450	Lennar Corp., Class A		24,620,854

				32,527,203

		Insurance – 0.7%
	1,510,275	Prudential Financial, Inc.		136,619,476

		IT Services – 1.7%
	2,000,000	International Business Machines Corp.		320,880,000

		Multi-Utilities – 0.0%
	73,618	CMS Energy Corp.		2,558,226

		Oil, Gas & Consumable Fuels – 1.4%
	846,398	Chesapeake Energy Corp.		16,564,009
	5,351,804	Repsol YPF S.A., Sponsored ADR		99,436,518
	2,134,173	Royal Dutch Shell PLC, ADR		142,882,882
	141,249	Spectra Energy Corp.		5,127,339

				264,010,748

		Pharmaceuticals – 2.7%
	8,514,190	Bristol-Myers Squibb Co.		502,592,636
	2,288	Teva Pharmaceutical Industries Ltd., Sponsored ADR		131,583

				502,724,219

		REITs - Apartments – 0.3%
	290,904	Apartment Investment & Management Co., Class A		10,807,084
	889,730	Associated Estates Realty Corp.		20,650,633
	460,000	Equity Residential		33,046,400

				64,504,117

		REITs - Regional Malls – 0.1%
	123,159	Simon Property Group, Inc.		22,428,485

		REITs - Shopping Centers – 0.0%
	201,557	DDR Corp.		3,700,587
	61,579	Washington Prime Group, Inc.		1,060,390

				4,760,977


Shares		Description	Value (†)
	Common Stocks – continued
		Semiconductors & Semiconductor Equipment – 3.3%
	17,300,541	Intel Corp.	$	627,836,633

		Trading Companies & Distributors – 0.1%
	176,859	United Rentals, Inc.(g)		18,041,387

		Total Common Stocks (Identified Cost $2,792,222,581)		4,122,383,226

	Preferred Stocks – 1.9%
	Convertible Preferred Stocks – 1.4%
		Banking – 0.2%
	19,062	Bank of America Corp., Series L, 7.250%		22,168,534
	8,533	Wells Fargo & Co., Series L, Class A, 7.500%		10,290,798

				32,459,332

		Communications – 0.0%
	10,363	Cincinnati Bell, Inc., 6.750%		510,274

		Energy – 0.4%
	167,486	Chesapeake Energy Corp., 4.500%(c)		15,230,758
	98,810	Chesapeake Energy Corp., 5.000%(c)		9,343,721
	29,335	Chesapeake Energy Corp., Series A, 5.750%, 144A(c)		30,031,706
	242,297	El Paso Energy Capital Trust I, 4.750%		14,692,890
	85,072	SandRidge Energy, Inc., 7.000%		3,487,952
	99,800	SandRidge Energy, Inc., 8.500%(c)		4,160,413

				76,947,440

		Metals & Mining – 0.5%
	150,100	Alcoa, Inc., Series 1, 5.375%		7,572,545
	4,549,323	ArcelorMittal, 6.000%		78,703,288
	250,639	Cliffs Natural Resources, Inc., 7.000%		1,679,281

				87,955,114

		Natural Gas – 0.1%
	380,577	AES Trust III, 6.750%		19,367,564

		REITs - Diversified – 0.1%
	29,153	Crown Castle International Corp., Series A, 4.500%		3,002,467
	391,776	Weyerhaeuser Co., Series A, 6.375%		22,605,475

				25,607,942


Shares		Description	Value (†)
	Preferred Stocks – continued
	Convertible Preferred Stocks – continued
		REITs - Health Care – 0.0%
	116,700	Health Care REIT, Inc., Series I, 6.500%	$	7,684,695

		REITs - Hotels – 0.0%
	166,245	FelCor Lodging Trust, Inc., Series A, 1.950%		4,245,897

		REITs - Mortgage – 0.1%
	147,595	iStar Financial, Inc., Series J, 4.500%(c)		8,725,817

		Total Convertible Preferred Stocks (Identified Cost $270,263,859)		263,504,075

	Non-Convertible Preferred Stocks – 0.5%
		Banking – 0.3%
	45,861	Ally Financial, Inc., Series G, 7.000%, 144A		45,842,371
	35,000	Bank of America Corp., 6.375%		885,150
	389,800	Countrywide Capital IV, 6.750%		9,877,532

				56,605,053

		Electric – 0.0%
	393	Entergy New Orleans, Inc., 4.750%(c)		41,462

		Finance Companies – 0.0%
	39,200	iStar Financial, Inc., Series E, 7.875%		968,240
	39,300	iStar Financial, Inc., Series F, 7.800%		968,745
	10,425	iStar Financial, Inc., Series G, 7.650%		252,806
	101,175	SLM Corp., Series A, 6.970%		4,989,951

				7,179,742

		Government Sponsored – 0.2%
	26,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(c)(i)		26,650,000

		Home Construction – 0.0%
	208,246	Hovnanian Enterprises, Inc., 7.625%(g)		3,173,669

		REITs - Office Property – 0.0%
	1,596	Highwoods Properties, Inc., Series A, 8.625%		1,945,624

		REITs - Warehouse/Industrials – 0.0%
	116,192	ProLogis, Inc., Series Q, 8.540%(c)		7,160,332


Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Total Non-Convertible Preferred Stocks (Identified Cost $63,496,051)		102,755,882

		Total Preferred Stocks (Identified Cost $333,759,910)		366,259,957

	Closed-End Investment Companies – 0.0%
	681,131	NexPoint Credit Strategies Fund (Identified Cost $10,230,352)	$	7,649,101


Principal Amount (‡)
	Short-Term Investments – 0.7%
$	1,473,271	Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2014 at 0.000% to be repurchased at $1,473,271 on 1/02/2015 collateralized by $1,488,100 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $1,502,831 including accrued interest(l)		1,473,271
	132,992,735	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $132,992,809 on 1/02/2015 collateralized by $132,025,000 U.S. Treasury Note, 2.375% due 8/15/2024 valued at $135,655,688 including accrued interest(l)		132,992,735

		Total Short-Term Investments (Identified Cost $134,466,006)		134,466,006

		Total Investments – 99.2% (Identified Cost $17,109,668,842)(a)		18,810,867,039
		Other assets less liabilities – 0.8%		149,159,708

		Net Assets – 100.0%	$	18,960,026,747

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

(†)

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

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

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

(†††)

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

(††††)

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

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

At December 31, 2014, the net unrealized appreciation on investments based on a cost of $17,143,326,716 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	2,643,003,883
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(975,463,560	)

Net unrealized appreciation	$	1,667,540,323

(b)	Variable rate security. Rate as of December 31, 2014 is disclosed.

(c)	Fair valued by the Fund’s adviser or deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2014, the value of these securities amounted to $212,690,240 or 1.1% of net assets.

(d)	Illiquid security. At December 31, 2014, the value of these securities amounted to $308,339,751 or 1.6% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

(e)	Perpetual bond with no specified maturity date.

(f)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended December 31, 2014, the issuer has not paid out any interest payments.

(g)	Non-income producing security.

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

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

(j)

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

(k)	Position is unsettled. Contract rate was not determined at December 31, 2014 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

(l)

144A

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.

ABS	Asset-Backed Securities

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MBIA	Municipal Bond Investors Assurance Corp.

MTN	Medium Term Note

PIK	Payment-in-Kind

REITs

Real Estate Investment Trusts

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

CHF	Swiss Franc

EUR

Euro

GBP	British Pound

IDR	Indonesian Rupiah

ISK	Icelandic Krona

KRW	South Korean Won

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	71,177,326	(b)	$	71,177,326
Airlines		—		303,049,590		232,401,949	(a)		535,451,539
Banking		—		1,321,709,966		158,575,550	(a)		1,480,285,516
Finance Companies		2,364,383		977,912,492		—			980,276,875
Retailers		—		106,406,535		11,311,761	(b)		117,718,296
Transportation Services		—		18,746,659		28,856,944	(b)		47,603,603
All Other Non-Convertible Bonds*		—		9,237,686,209		—			9,237,686,209

Total Non-Convertible Bonds		2,364,383		11,965,511,451		502,323,530			12,470,199,364

Convertible Bonds*		—		1,031,141,923		—			1,031,141,923
Municipals*		—		155,531,154		—			155,531,154

Total Bonds and Notes		2,364,383		13,152,184,528		502,323,530			13,656,872,441

Loan Participations		—		—		14,723,300	(a)		14,723,300
Senior Loans*		—		508,513,008		—			508,513,008
Common Stocks*		4,122,383,226		—		—			4,122,383,226
Preferred Stocks
Convertible Preferred Stocks
Energy		14,692,890		58,766,598		3,487,952	(a)		76,947,440
REITs - Mortgage		—		8,725,817		—			8,725,817
All Other Convertible Preferred Stocks*		177,830,818		—		—			177,830,818

Total Convertible Preferred Stocks		192,523,708		67,492,415		3,487,952			263,504,075

Non-Convertible Preferred Stocks
Electric		—		41,462		—			41,462
Government Sponsored		—		26,650,000		—			26,650,000
REITs - Office Property		—		1,945,624		—			1,945,624
REITs - Warehouse/Industrials		—		7,160,332		—			7,160,332
All Other Non-Convertible Preferred Stocks*		66,958,464		—		—			66,958,464

Total Non-Convertible Preferred Stocks		66,958,464		35,797,418		—			102,755,882

Total Preferred Stocks		259,482,172		103,289,833		3,487,952			366,259,957

Closed-End Investment Companies		7,649,101		—		—			7,649,101
Short-Term Investments		—		134,466,006		—			134,466,006

Total Investments		4,391,878,882		13,898,453,375		520,534,782			18,810,867,039

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

(a)	Valued using broker-dealer bid prices.

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

Preferred stocks valued at $27,906,001 were transferred from Level 1 to Level 2 during the period ended December 31, 2014. At December 31, 2013, these securities were valued at the last sale price in accordance with the Fund’s valuation policies. At December 31, 2014, these securities were fair valued on the basis of evaluated bids furnished to the Fund as an independent pricing service did not provide a reliable price for the securities.

A preferred stock valued at $466,429 was transferred from Level 2 to Level 1 during the period ended December 31, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At December 31, 2014, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2014 and/or December 31, 2014:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2014		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of December 31, 2014		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2014
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	—		$	—		$	71,177,326	$	—		$	—	$	—	$	71,177,326	$	—
Airlines		270,539,686		63,923		132,649			(4,613,404	)		10,156,025		(43,876,930	)		—		—		232,401,949		(3,420,020	)
Banking		162,624,689		—		—			(4,049,139	)		—		—			—		—		158,575,550		(4,049,139	)
Metals & Mining		8,350,160		41,591		2,237			2,687,201			—		(11,081,189	)		—		—		—		—
Retailers		11,232,004		8,978		—			70,779			—		—			—		—		11,311,761		70,779
Transportation Services		29,689,394		—		103,478			(118,386	)		—		(817,542	)		—		—		28,856,944		—
Convertible Bonds
Wirelines		53,861		—		(21,838	)		17,377			—		(49,400	)		—		—		—		—
Loan Participations
ABS Other		15,059,064		—		(1,811	)		(92,468	)		—		(241,485	)		—		—		14,723,300		(91,562	)
Preferred Stocks
Convertible Preferred Stocks
Energy		—		—		—			(4,125,210	)		339,015		—			7,274,147		—		3,487,952		(4,125,210	)

Total	$	497,548,858	$	114,492	$	214,715		$	(10,223,250	)	$	81,672,366	$	(56,066,546	)	$	7,274,147	$	—	$	520,534,782	$	(11,615,152	)

A preferred stock valued at $7,274,147 was transferred from Level 1 to Level 3 during the period ended December 31, 2014. At December 31, 2013, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At December 31, 2014, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

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

Industry Summary at December 31, 2014 (Unaudited)


Treasuries	19.0	%
Banking	8.3
Finance Companies	5.6
Technology	4.4
Chemicals	4.4
Wirelines	4.0
Electronic Equipment, Instruments & Components	3.9
Healthcare	3.3
Semiconductors & Semiconductor Equipment	3.3
Airlines	2.8
Pharmaceuticals	2.7
Electric	2.1
Metals & Mining	2.0
Other Investments, less than 2% each	32.7
Short-Term Investments	0.7

Total Investments	99.2
Other assets less liabilities	0.8

Net Assets	100.0	%

Currency Exposure Summary at December 31, 2014 (Unaudited)


United States Dollar	76.9	%
Canadian Dollar	6.1
New Zealand Dollar	4.3
Mexican Peso	3.7
Australian Dollar	3.1
Other, less than 2% each	5.1

Total Investments	99.2
Other assets less liabilities	0.8

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of December 31, 2014 (Unaudited)

Loomis Sayles Value Fund


Shares		Description	Value (†)
	Common Stocks – 98.6% of Net Assets
		Aerospace & Defense – 3.1%
	280,971	Honeywell International, Inc.	$	28,074,622
	222,531	Northrop Grumman Corp.		32,798,844

				60,873,466

		Automobiles – 1.2%
	696,151	General Motors Co.		24,302,631

		Banks – 12.0%
	2,474,276	Bank of America Corp.		44,264,798
	735,960	Citigroup, Inc.		39,822,796
	1,560,488	Fifth Third Bancorp		31,794,943
	829,774	JPMorgan Chase & Co.		51,927,257
	321,287	PNC Financial Services Group, Inc. (The)		29,311,013
	746,059	Wells Fargo & Co.		40,898,954

				238,019,761

		Beverages – 1.2%
	260,024	PepsiCo, Inc.		24,587,869

		Capital Markets – 4.5%
	231,762	Ameriprise Financial, Inc.		30,650,524
	415,708	Legg Mason, Inc.		22,186,336
	454,646	State Street Corp.		35,689,711

				88,526,571

		Chemicals – 1.5%
	391,642	E.I. du Pont de Nemours & Co.		28,958,009

		Communications Equipment – 2.6%
	942,233	Cisco Systems, Inc.		26,208,211
	378,075	Motorola Solutions, Inc.		25,361,271

				51,569,482

		Construction Materials – 1.2%
	377,434	Vulcan Materials Co.		24,808,737

		Consumer Finance – 1.5%
	467,779	Discover Financial Services		30,634,847

		Containers & Packaging – 1.5%
	714,690	Sealed Air Corp.		30,324,297

		Diversified Telecommunication Services – 1.2%
	524,786	Verizon Communications, Inc.		24,549,489

		Electric Utilities – 1.2%
	216,397	NextEra Energy, Inc.		23,000,837

		Electrical Equipment – 1.3%
	394,901	Eaton Corp. PLC		26,837,472


Shares		Description	Value (†)
	Common Stocks – continued
		Electronic Equipment, Instruments & Components – 1.1%
	938,260	Knowles Corp.(b)	$	22,096,023

		Energy Equipment & Services – 2.0%
	346,711	National Oilwell Varco, Inc.		22,719,972
	192,598	Schlumberger Ltd.		16,449,795

				39,169,767

		Food & Staples Retailing – 1.3%
	258,603	CVS Health Corp.		24,906,055

		Food Products – 1.3%
	704,957	Mondelez International, Inc., Class A		25,607,563

		Health Care Equipment & Supplies – 1.6%
	315,398	Covidien PLC		32,258,907

		Health Care Providers & Services – 4.2%
	246,432	Express Scripts Holding Co.(b)		20,865,397
	278,497	HCA Holdings, Inc.(b)		20,438,895
	408,183	UnitedHealth Group, Inc.		41,263,220

				82,567,512

		Independent Power & Renewable Electricity Producers – 1.0%
	854,556	Calpine Corp.(b)		18,911,324

		Insurance – 7.0%
	568,715	American International Group, Inc.		31,853,727
	788,129	FNF Group		27,151,044
	575,506	MetLife, Inc.		31,129,120
	211,570	Travelers Cos., Inc. (The)		22,394,684
	778,950	Unum Group		27,169,776

				139,698,351

		Internet & Catalog Retail – 1.3%
	907,034	Liberty Interactive Corp., Class A(b)		26,684,940

		Internet Software & Services – 1.1%
	458,094	AOL, Inc.(b)		21,150,200

		Machinery – 4.1%
	199,106	Deere & Co.		17,614,908
	324,241	Illinois Tool Works, Inc.		30,705,623
	321,186	Ingersoll-Rand PLC		20,359,980
	440,025	Terex Corp.		12,267,897

				80,948,408

		Media – 5.4%
	546,440	Comcast Corp., Class A		31,698,984
	431,783	Liberty Global PLC, Class A(b)		21,677,666
	385,015	Omnicom Group, Inc.		29,827,112
	330,645	Viacom, Inc., Class B		24,881,036

				108,084,798

		Multi-Utilities – 1.1%
	396,190	PG&E Corp.		21,093,156


Shares		Description	Value (†)
	Common Stocks – continued
		Multiline Retail – 0.9%
	238,538	Family Dollar Stores, Inc.	$	18,894,595

		Oil, Gas & Consumable Fuels – 7.5%
	332,527	Chevron Corp.		37,302,879
	695,364	Cobalt International Energy, Inc.(b)		6,181,786
	251,788	Hess Corp.		18,586,990
	852,491	Marathon Oil Corp.		24,116,970
	433,404	Noble Energy, Inc.		20,556,352
	361,611	Royal Dutch Shell PLC, ADR		24,209,857
	370,174	Valero Energy Corp.		18,323,613

				149,278,447

		Pharmaceuticals – 10.4%
	78,256	Actavis PLC(b)		20,143,877
	344,633	Bristol-Myers Squibb Co.		20,343,686
	505,508	Eli Lilly & Co.		34,874,997
	522,561	Merck & Co., Inc.		29,676,239
	1,447,651	Pfizer, Inc.		45,094,328
	690,347	Sanofi, ADR		31,486,727
	444,247	Teva Pharmaceutical Industries Ltd., Sponsored ADR		25,548,645

				207,168,499

		REITs - Diversified – 1.3%
	699,602	Weyerhaeuser Co.		25,108,716

		Road & Rail – 1.5%
	264,673	Norfolk Southern Corp.		29,010,808

		Software – 3.6%
	828,105	Microsoft Corp.		38,465,477
	1,289,333	Symantec Corp.		33,077,838

				71,543,315

		Specialty Retail – 2.1%
	268,100	AutoNation, Inc.(b)		16,195,921
	383,317	Lowe’s Cos., Inc.		26,372,210

				42,568,131

		Technology Hardware, Storage & Peripherals – 2.5%
	184,301	Apple, Inc.		20,343,145
	957,214	EMC Corp.		28,467,544

				48,810,689

		Tobacco – 1.2%
	281,805	Philip Morris International, Inc.		22,953,017

		Wireless Telecommunication Services – 1.1%
	652,397	Vodafone Group PLC, Sponsored ADR		22,292,406

		Total Common Stocks (Identified Cost $1,444,865,461)		1,957,799,095


Principal Amount		Description	Value (†)
	Short-Term Investments – 3.3%
$	65,427,157	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2014 at 0.010% to be repurchased at $65,427,193 on 1/02/2015 collateralized by $56,200,000 U.S. Treasury Bond, 3.625% due 8/15/2043 valued at $66,737,500 including accrued interest(c) (Identified Cost $65,427,157)	$	65,427,157

		Total Investments – 101.9% (Identified Cost $1,510,292,618)(a)		2,023,226,252
		Other assets less liabilities – (1.9)%		(37,419,174	)

		Net Assets – 100.0%	$	1,985,807,078

(†)

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.

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

At December 31, 2014, the net unrealized appreciation on investments based on a cost of $1,510,292,618 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	547,987,819
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(35,054,185	)

Net unrealized appreciation	$	512,933,634

(b)	Non-income producing security.

(c)

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

REITs

Real Estate Investment Trusts

Fair Value Measurements

•

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

•

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2014, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,957,799,095	$	—	$	—	$	1,957,799,095
Short-Term Investments		—		65,427,157		—		65,427,157

Total	$	1,957,799,095	$	65,427,157	$	—	$	2,023,226,252

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

For the period ended December 31, 2014, there were no transfers among Levels 1, 2 and 3.

Industry Summary at December 31, 2014 (Unaudited)


Banks	12.0	%
Pharmaceuticals	10.4
Oil, Gas & Consumable Fuels	7.5
Insurance	7.0
Media	5.4
Capital Markets	4.5
Health Care Providers & Services	4.2
Machinery	4.1
Software	3.6
Aerospace & Defense	3.1
Communications Equipment	2.6
Technology Hardware, Storage & Peripherals	2.5
Specialty Retail	2.1
Energy Equipment & Services	2.0
Other Investments, less than 2% each	27.6
Short-Term Investments	3.3

Total Investments	101.9
Other assets less liabilities	(1.9	)

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/ Robert J. Blanding
Name:		Robert J. Blanding
Title:		Chief Executive Officer
Date:		February 23, 2015

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


By:		/s/ Robert J. Blanding
Name:		Robert J. Blanding
Title:		Chief Executive Officer
Date:		February 23, 2015

By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		February 23, 2015