Loomis Sayles Funds II


Shares	Description	Value (†)
Common Stocks – 97.3% of Net Assets
	Beverages – 3.6%
20,749	Brown-Forman Corp., Class B	$	1,187,465
44,571	Dr Pepper Snapple Group, Inc.		1,666,510

			2,853,975

	Biotechnology – 3.1%
17,782	Alexion Pharmaceuticals, Inc.(b)		910,260
26,962	Human Genome Sciences, Inc.(b)		610,959
33,024	Incyte Corp.(b)		365,576
16,794	Vertex Pharmaceuticals, Inc.(b)		552,523

			2,439,318

	Commercial Banks – 1.6%
35,054	Comerica, Inc.		1,291,039

	Commercial Services & Supplies – 2.0%
23,563	Stericycle, Inc.(b)		1,545,262

	Communications Equipment – 4.8%
37,098	F5 Networks, Inc.(b)(c)		2,543,810
44,028	Riverbed Technology, Inc.(b)		1,216,053

			3,759,863

	Computers & Peripherals – 2.3%
49,266	NetApp, Inc.(b)		1,838,115

	Diversified Financial Services – 3.0%
25,338	CBOE Holdings, Inc.(b)		824,752
13,742	IntercontinentalExchange, Inc.(b)		1,553,258

			2,378,010

	Electrical Equipment – 1.3%
20,481	Rockwell Automation, Inc.		1,005,412

	Energy Equipment & Services – 1.3%
60,208	Nabors Industries Ltd.(b)		1,060,865

	Food & Staples Retailing – 1.5%
32,004	Whole Foods Market, Inc.(b)		1,152,784

	Food Products – 2.2%
33,995	Mead Johnson Nutrition Co., Class A		1,703,829

	Health Care Equipment & Supplies – 3.7%
25,328	Edwards Lifesciences Corp.(b)		1,418,875
4,707	Intuitive Surgical, Inc.(b)		1,485,623

			2,904,498

	Health Care Providers & Services – 1.6%
23,111	HMS Holdings Corp.(b)		1,253,078

	Health Care Technology – 2.1%
22,289	SXC Health Solutions Corp.(b)		1,632,669

	Hotels, Restaurants & Leisure – 5.5%
11,302	Chipotle Mexican Grill, Inc.(b)		1,546,227
40,966	Ctrip.com International Ltd., ADR(b)		1,538,683
16,611	Panera Bread Co., Class A(b)		1,250,642

			4,335,552

	Household Durables – 1.6%
42,128	Tempur-Pedic International, Inc.(b)		1,295,436

	Internet & Catalog Retail – 3.1%
22,685	NetFlix, Inc.(b)(c)		2,464,725

	Internet Software & Services – 9.8%
52,801	Akamai Technologies, Inc.(b)(c)		2,142,137
33,665	Baidu, Inc., Sponsored ADR(b)		2,291,913
31,410	GSI Commerce, Inc.(b)		904,608
28,154	MercadoLibre, Inc.(b)		1,479,493
21,250	OpenTable, Inc.(b)		881,237

			7,699,388


Shares	Description	Value (†)
	IT Services – 2.7%
42,341	Cognizant Technology Solutions Corp., Class A(b)	$	2,119,591

	Life Sciences Tools & Services – 3.6%
24,979	Life Technologies Corp.(b)		1,180,258
14,912	Mettler-Toledo International, Inc.(b)		1,664,626

			2,844,884

	Machinery – 2.7%
32,088	Cummins, Inc.		2,089,892

	Media – 1.5%
32,189	Discovery Communications, Inc., Class A(b)		1,149,469

	Metals & Mining – 6.4%
26,818	Agnico-Eagle Mines Ltd.		1,629,998
123,435	Eldorado Gold Corp.		2,216,893
12,075	Randgold Resources Ltd., ADR		1,157,950

			5,004,841

	Multiline Retail – 3.6%
41,421	Dollar Tree, Inc.(b)		1,724,356
29,900	Family Dollar Stores, Inc.		1,126,931

			2,851,287

	Oil, Gas & Consumable Fuels – 4.0%
38,262	Concho Resources, Inc.(b)		2,117,036
50,655	Rosetta Resources, Inc.(b)		1,003,476

			3,120,512

	Pharmaceuticals – 2.2%
28,920	Perrigo Co.		1,708,304

	Real Estate Management & Development – 1.6%
92,222	CB Richard Ellis Group, Inc., Class A(b)		1,255,142

	Semiconductors & Semiconductor Equipment – 3.5%
79,096	ARM Holdings PLC, Sponsored ADR		980,791
29,209	Cree, Inc.(b)(c)		1,753,416

			2,734,207

	Software – 5.7%
25,983	Salesforce.com, Inc.(b)		2,229,861
51,797	SuccessFactors, Inc.(b)		1,076,859
18,913	VMware, Inc., Class A(b)		1,183,765

			4,490,485

	Specialty Retail – 2.8%
6,132	AutoZone, Inc.(b)		1,184,825
28,335	J. Crew Group, Inc.(b)		1,043,011

			2,227,836

	Textiles, Apparel & Luxury Goods – 2.9%
33,490	Fossil, Inc.(b)		1,162,103
30,616	Lululemon Athletica, Inc.(b)		1,139,528

	Total Common Stocks (Identified Cost $66,600,791)		2,301,631

			76,511,899


Contracts
Put Options – 1.5%
276	Akamai Technologies, Inc. expiring November 20, 2010 at 44(d)		197,340
81	Baidu, Inc., Sponsored ADR expiring December 18, 2010 at 68(d)		86,670


Contracts		Description	Value (†)
	Put Options – continued
	193	Cree, Inc. expiring December 18, 2010 at 65(d)	$	231,600
	306	F5 Networks, Inc. expiring January 22, 2011 at 70(d)		322,830
	161	NetFlix, Inc. expiring December 18 , 2010 at 115(d)		346,552

		Total Put Options (Identified Cost $883,957)		1,184,992


Principal Amount
	Short-Term Investments – 1.7%
$	1,290,707	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2010 at 0.000% to be repurchased at $1,290,707 on 7/01/2010 collateralized by $1,315,000 Federal National Mortgage Association, 2.000% due 12/16/2013 valued at $1,316,644, including accrued interest(e) (Identified Cost $1,290,707)		1,290,707
		Total Investments – 100.5% (Identified Cost $68,775,455)(a)		78,987,598
		Other assets less liabilities — (0.5)%		(373,890	)

		Net Assets — 100.0%	$	78,613,708


Contracts
	Call Options Written – (0.1%)
	276	Akamai Technologies, Inc. expiring August 21, 2010 at 50(d)		(14,766	)
	81	Baidu, Inc., Sponsored ADR expiring August 21, 2010 at 80(d)		(19,035	)
	193	Cree, Inc. expiring August 21, 2010 at 80(d)		(7,913	)
	306	F5 Networks, Inc. expiring August 21, 2010 at 85(d)		(22,185	)
	161	NetFlix, Inc. expiring August 21, 2010 at 135(d)		(34,132	)

		Total Call Options Written (Premiums Received $209,984)		(98,031	)

	Put Options Written – (0.7%)
	276	Akamai Technologies, Inc. expiring November 20, 2010 at 36(d)		(91,080	)
	81	Baidu, Inc., Sponsored ADR expiring December 18, 2010 at 55(d)		(40,905	)
	193	Cree, Inc. expiring December 18, 2010 at 55(d)		(133,653	)
	306	F5 Networks, Inc. expiring January 22, 2011 at 55(d)		(134,640	)


Contracts	Description	Value (†)
Put Options Written – continued
161	NetFlix, Inc. expiring December 18, 2010 at 90(d)	$	(161,000	)

	Total Put Options Written (Premiums Received $372,677)		(561,278	)

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. 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 a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Domestic exchange–traded single equity option contracts are valued at the mean of the National Best Bid and offer quotations. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

The books and records of the Fund are maintained in U.S. dollars. The value 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.

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

At June 30, 2010, the net unrealized appreciation on investments based on a cost of $68,775,455 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	$	12,200,774
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,988,631	)

Net unrealized appreciation	$	10,212,143

At September 30, 2009, the Fund had a capital loss carryforward of $119,940,921 of which $65,130,772 expires on September 30, 2010, $21,142,388 expires on September 30, 2011 and $33,667,761 expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $32,805,392. 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)	All or a portion of this security is held as collateral for outstanding options.

(d)

The Fund may enter into option contracts. When a Fund purchases an option, it pays a premium and the option is subsequently marked to market to reflect current value. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. The risk associated with purchasing options is limited to the premium paid.

When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value until the option expires or the Fund enters into a closing purchase transaction. When a written option expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument underlying the written option.

Exchange-traded options have standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Fund are limited. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. The Fund is not party to any over-the-counter options at June 30, 2010.

(e)

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 a Fund’s ability to dispose of the underlying securities.

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

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.);

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2010, at value:


Asset Valuation Inputs

Description*	Level 1			Level 2		Level 3		Total
Common Stocks	$	76,511,899		$	—	$	—	$	76,511,899
Put Options		1,184,992			—		—		1,184,992
Short-Term Investments		—			1,290,707		—		1,290,707

Total	$	77,696,891		$	1,290,707	$	—	$	78,987,598


Liability Valuation Inputs

Description*	Level 1			Level 2		Level 3		Total
Call Options Written	$	(98,031	)	$	—	$	—	$	(98,031	)
Put Options Written		(561,278	)		—		—		(561,278	)

Total	$	(659,309	)	$	—	$	—	$	(659,309	)

*	Major categories of the Fund’s investments and option contracts are included above.

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 currently uses include option contracts.

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended June 30, 2010, the Fund engaged in written call option transactions and purchased and written put option transactions in accordance with there objectives.

The following is a summary of the Fund’s purchased option activity:


Contracts	Number of Contracts		Premiums
Outstanding at 9/30/2009	—		$	—
Options purchased	2,167			1,346,285
Options terminated in closing sale transactions	(1,150	)		(462,328	)
Options expired	—			—

Outstanding at 06/30/2010	1,017		$	883,957


The following is a summary of the Fund’s written option activity:

Contracts	Number of Contracts		Premiums
Outstanding at 9/30/2009	—		$	—
Options written	3,569			744,709
Options terminated in closing purchase transactions	(1,535	)		(162,048	)
Options expired	—			—

Outstanding at 06/30/2010	2,034		$	582,661

Industry Summary at June 30, 2010 (Unaudited)


Internet Software & Services	9.8	%
Metals & Mining	6.4
Software	5.7
Hotels, Restaurants & Leisure	5.5
Communications Equipment	4.8
Oil, Gas & Consumable Fuels	4.0
Health Care Equipment & Supplies	3.7
Beverages	3.6
Multiline Retail	3.6
Life Sciences Tools & Services	3.6
Semiconductors & Semiconductor Equipment	3.5
Internet & Catalog Retail	3.1
Biotechnology	3.1
Diversified Financial Services	3.0
Textiles, Apparel & Luxury Goods	2.9
Specialty Retail	2.8
IT Services	2.7
Machinery	2.7
Computers & Peripherals	2.3
Pharmaceuticals	2.2
Food Products	2.2
Health Care Technology	2.1
Commercial Services & Supplies	2.0
Other Investments, less than 2% each	13.5
Short-Term Investments	1.7

Total Investments	100.5
Other assets less liabilities (including options written)	(0.5	)

Net Assets	100.0	%


Shares	Description	Value (†)
Common Stocks – 63.2% of Net Assets
	Belgium – 0.9%
50,951	Anheuser-Busch InBev NV	$	2,449,786

	Bermuda – 1.0%
28,273	Credicorp Ltd.		2,569,733

	Brazil – 6.2%
252,200	Cyrela Brazil Realty SA Empreendimentos e Participacoes		2,725,995
202,800	Hypermarcas SA(b)		2,604,379
164,600	Lojas Renner SA		4,468,366
216,000	Natura Cosmeticos SA		4,786,703
224,400	OGX Petroleo e Gas Participacoes SA(b)		2,078,653

			16,664,096

	Cayman Islands – 3.2%
81,111	Baidu, Inc., Sponsored ADR(b)		5,522,037
78,304	Ctrip.com International Ltd., ADR(b)		2,941,098

			8,463,135

	Chile – 1.6%
38,379	Banco Santander Chile, ADR		2,574,847
251,140	S.A.C.I. Falabella		1,635,020

			4,209,867

	China – 0.7%
118,000	Tencent Holdings Ltd.		1,954,935

	Germany – 3.9%
104,873	Daimler AG, (Registered)(b)		5,305,048
57,575	Siemens AG, (Registered)		5,149,488

			10,454,536

	Hong Kong – 2.1%
1,755,000	Cathay Pacific Airways Ltd.		3,488,829
472,000	Li & Fung Ltd.		2,117,724

			5,606,553

	Indonesia – 0.7%
531,000	Gudang Garam Tbk PT		1,993,012

	Japan – 0.6%
144,000	Nippon Electric Glass Co. Ltd.		1,649,453

	Korea – 1.4%
30,965	Hyundai Motor Co.		3,623,176

	Mexico – 0.9%
726,600	Genomma Lab Internacional SA de CV, Class B(b)		2,413,002

	Netherlands Antilles – 0.8%
40,437	Schlumberger Ltd.		2,237,784

	Spain – 1.0%
44,891	Industria de Diseno Textil SA (Inditex)		2,559,744

	Sweden – 1.1%
208,211	Atlas Copco AB, Class A		3,044,185

	Switzerland – 1.4%
30,619	Sonova Holding AG, (Registered)		3,757,487

	Turkey – 1.0%
980,659	Yapi ve Kredi Bankasi AS(b)		2,653,529

	United Kingdom – 4.5%
743,302	ARM Holdings PLC		3,076,442
250,813	Experian PLC		2,181,148
273,829	Standard Chartered PLC		6,667,849

			11,925,439

	United States – 30.2%
56,190	Akamai Technologies, Inc.(b)		2,279,628


Shares		Description	Value (†)
		United States – continued
	37,889	Amazon.com, Inc.(b)	$	4,139,752
	79,795	American Express Co.		3,167,862
	45,171	Apple, Inc.(b)		11,361,862
	178,257	Bank of America Corp.		2,561,553
	83,914	Broadcom Corp., Class A		2,766,645
	54,863	Caterpillar, Inc.		3,295,620
	50,458	Cree, Inc.(b)		3,028,994
	1,679	Dex One Corp.(b)		31,901
	32,241	Dollar Tree, Inc.(b)		1,342,193
	134,725	Dr Pepper Snapple Group, Inc.		5,037,368
	23,912	EOG Resources, Inc.		2,352,223
	41,554	Estee Lauder Cos., Inc. (The), Class A		2,315,804
	77,575	FMC Technologies, Inc.(b)		4,085,100
	159,863	Intel Corp.		3,109,335
	22,696	Jones Lang LaSalle, Inc.		1,489,765
	102,407	Mylan, Inc.(b)		1,745,015
	85,174	NetApp, Inc.(b)		3,177,842
	39,421	NetFlix, Inc.(b)		4,283,092
	28,918	Precision Castparts Corp.		2,976,241
	27,121	Salesforce.com, Inc.(b)		2,327,524
	95,087	Starbucks Corp.		2,310,614
	60,434	Starwood Hotels & Resorts Worldwide, Inc.		2,503,781
	26,818	Vertex Pharmaceuticals, Inc.(b)		882,312
	74,993	Visa, Inc., Class A		5,305,755
	107,957	Wells Fargo & Co.		2,763,699

				80,641,480

		Total Common Stocks (Identified Cost $157,838,120)		168,870,932


Principal Amount (‡)
	Bonds and Notes – 34.3%
	Non-Convertible Bonds – 33.0%
		Argentina – 0.3%
$	190,000	Pan American Energy LLC, 7.875%, 5/07/2021, 144A		190,000
	570,000	Transportadora de Gas del Sur SA, 7.875%, 5/14/2017, 144A		547,200

				737,200

		Australia – 0.1%
	230,000	New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010, (AUD)		195,368

		Bermuda – 0.2%
	100,000	Noble Group Ltd., 6.750%, 1/29/2020, 144A		97,000
	100,000	Noble Group Ltd., 8.500%, 5/30/2013, 144A		110,250
	200,000	Qtel International Finance Ltd., 7.875%, 6/10/2019, 144A		231,264

				438,514

		Brazil – 1.2%
	200,000	Banco Nacional de Desenvolvimento Economico e Social, 6.500%, 6/10/2019, 144A		214,250
	400,000	Banco Santander Brasil, 4.500%, 4/06/2015, 144A		394,000


Principal Amount (‡)		Description	Value (†)
		Brazil – continued
1,542,288	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 8/15/2010, (BRL)	$	852,185
462,686	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL)		249,349
200,000		Gerdau Holdings, Inc., 7.000%, 1/20/2020, 144A		204,000
100,000		NET Servicos de Comunicacao SA, 7.500%, 1/27/2020, 144A		104,500
1,800,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,005,956
100,000		Telemar Norte Leste SA, 9.500%, 4/23/2019, 144A		119,750

				3,143,990

		Canada – 0.6%
1,080,000		Canadian Government, 4.500%, 6/01/2015, (CAD)(c)		1,116,867
180,000		Corus Entertainment, Inc., 7.250%, 2/10/2017, (CAD), 144A		172,197
50,000		Nortel Networks Ltd., 6.875%, 9/01/2023(d)		13,500
100,000		Pacific Rubiales Energy Corp., 8.750%, 11/10/2016, 144A		108,000
100,000		Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		97,004

				1,507,568

		Cayman Islands – 1.3%
360,000		DASA Finance Corp., 8.750%, 5/29/2018, 144A		389,700
200,000		Embraer Overseas Ltd., 6.375%, 1/24/2017		204,500
119,000		Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		120,785
100,000		Hutchison Whampoa International Ltd., 7.625%, 4/09/2019, 144A		119,183
100,000		LPG International, Inc., 7.250%, 12/20/2015		110,000
700,000		Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A		686,000
170,000		Marfrig Overseas Ltd., 9.625%, 11/16/2016, 144A		169,150
200,000		Odebrecht Finance Ltd., 7.000%, 4/21/2020, 144A		203,240
320,000		Petrobras International Finance Co., 5.875%, 3/01/2018		329,338
300,000		Petrobras International Finance Co., 6.875%, 1/20/2040		302,455
536,000		Vale Overseas Ltd., 6.875%, 11/21/2036		558,786
200,000		Voto-Votorantim Ltd., 6.750%, 4/05/2021, 144A		202,000

				3,395,137

		Chile – 0.0%
100,000		Celulosa Arauco y Constitucion SA, 7.250%, 7/29/2019		115,736

		Colombia – 0.2%
200,000		Ecopetrol SA, 7.625%, 7/23/2019		226,500


Principal Amount (‡)		Description	Value (†)
		Colombia – continued
$	100,000	Empresas Publicas de Medellin ESP, 7.625%, 7/29/2019, 144A	$	112,625
	200,000,000	Republic of Colombia, 7.750%, 4/14/2021, (COP)		113,123
	40,000	Republic of Colombia, 8.125%, 5/21/2024		49,400

				501,648

		Denmark – 0.3%
	3,650,000	Denmark Government Bond, 4.000%, 11/15/2015, (DKK)		664,701

		France – 0.3%
	35,000	Lafarge SA, EMTN, 4.750%, 3/23/2020, (EUR)		38,748
	150,000	Lafarge SA, EMTN, 5.375%, 6/26/2017, (EUR)		177,761
	240,000	Veolia Environnement, EMTN, 4.000%, 2/12/2016, (EUR)		306,389
	25,000	Veolia Environnement, EMTN, 5.125%, 5/24/2022, (EUR)		32,722
	100,000	Wendel, 4.375%, 8/09/2017, (EUR)		97,217
	200,000	Wendel, 4.875%, 5/26/2016, (EUR)		209,107

				861,944

		Germany – 0.2%
	200,000	Bertelsmann AG, 4.750%, 9/26/2016, (EUR)		258,559
	110,000	Bundesrepublik Deutschland, Series 06, 3.750%, 1/04/2017, (EUR)		149,132
	140,000	Republic of Germany, 3.750%, 7/04/2013, (EUR)		185,890

				593,581

		Hungary – 0.1%
	350,000	Republic of Hungary, 6.250%, 1/29/2020		344,479

		India – 0.2%
	500,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		487,948
	100,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		92,001

				579,949

		Indonesia – 0.8%
	200,000	Adaro Indonesia PT, 7.625%, 10/22/2019, 144A		202,000
	400,000	Indonesia Government International Bond, 6.875%, 1/17/2018		451,000
	700,000	Indonesia Government International Bond, 7.750%, 1/17/2038, 144A		826,000
	3,500,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		403,826
	1,500,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		200,782


Principal Amount (‡)			Description	Value (†)
			Indonesia – continued
$	100,000		Indonesia Government International Bond, 11.625%, 3/04/2019, 144A	$	143,750

					2,227,358

			Italy – 0.2%
	100,000		Atlantia SpA, EMTN, 5.625%, 5/06/2016, (EUR)		136,064
	250,000		Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		300,053
	100,000		Telecom Italia SpA, EMTN, 5.375%, 1/29/2019, (EUR)		126,846

					562,963

			Japan – 0.0%
	115,000		Nomura Holdings, Inc., 6.700%, 3/04/2020		121,664

			Jersey – 0.1%
	100,000		WPP PLC, 6.000%, 4/04/2017, (GBP)		158,306

			Korea – 0.4%
	400,000,000		Korea Treasury Bond, 5.000%, 9/10/2014, (KRW)		344,251
	460,000		SK Broadband Co. Ltd., 7.000%, 2/01/2012, 144A		478,400
	140,000		SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A		153,769

					976,420

			Lithuania – 0.1%
	350,000		Lithuania Government International Bond, 7.375%, 2/11/2020, 144A		370,737

			Luxembourg – 0.0%
	125,000		Telecom Italia Capital SA, 6.000%, 9/30/2034		107,092
	10,000		Telecom Italia Capital SA, 6.375%, 11/15/2033		8,955

					116,047

			Malaysia – 0.1%
	200,000		Ranhill Labuan Ltd., 12.500%, 10/26/2011, 144A		180,000

			Mexico – 1.2%
	200,000		America Movil SAB de CV, 3.625%, 3/30/2015, 144A		205,071
	195,000		Axtel SAB de CV, 7.625%, 2/01/2017, 144A		173,063
	145,000		Axtel SAB de CV, 9.000%, 9/22/2019, 144A		129,050
	200,000		BBVA Bancomer SA, 7.250%, 4/22/2020, 144A		197,317
	160,000		Corporacion GEO SAB de CV, 8.875%, 9/25/2014, 144A		166,400
	200,000		Corporacion GEO SAB de CV, 9.250%, 6/30/2020, 144A		199,740
	295,000		Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		289,837
	42,000	(†††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		349,917
	94,000	(†††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		806,043


Principal Amount (‡)		Description	Value (†)
		Mexico – continued
$	100,000	Mexichem SAB de CV, 8.750%, 11/06/2019, 144A	$	111,000
	330,000	Petroleos Mexicanos, 8.000%, 5/03/2019		392,700
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A		207,500

				3,227,638

		Netherlands – 0.2%
	50,000	British American Tobacco Holdings BV, 4.000%, 7/07/2020, (EUR)		61,137
	200,000	Listrindo Capital BV, 9.250%, 1/29/2015, 144A		211,722
	100,000	Majapahit Holding BV, 7.250%, 6/28/2017, 144A		106,000
	100,000	Majapahit Holding BV, 7.750%, 1/20/2020, 144A		109,500
	100,000	Majapahit Holding BV, 8.000%, 8/07/2019, 144A		110,000
	50,000	OI European Group BV, 6.875%, 3/31/2017, (EUR), 144A		59,920

				658,279

		New Zealand – 0.3%
	600,000	New Zealand Government, 6.000%, 12/15/2017, (NZD)		433,360
	500,000	New Zealand Government, 6.500%, 4/15/2013, (NZD)		363,640

				797,000

		Norway – 0.4%
	635,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		106,080
	6,360,000	Norwegian Government, 4.500%, 5/22/2019, (NOK)		1,080,124

				1,186,204

		Poland – 0.1%
	95,000	Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		89,372
	500,000	Poland Government International Bond, 5.000%, 10/24/2013, (PLN)		146,653

				236,025

		Qatar – 0.1%
	100,000	Qatar Government International Bond, 4.000%, 1/20/2015, 144A		102,750
	250,000	Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.500%, 9/30/2014, 144A		266,610

				369,360

		Singapore – 0.5%
	200,000	Prime Dig Pte Ltd., 11.750%, 11/03/2014, 144A		202,000
	1,100,000	Singapore Government, 1.625%, 4/01/2013, (SGD)		809,259
	435,000	Singapore Government, 2.250%, 7/01/2013, (SGD)		326,930

				1,338,189

		South Africa – 0.5%
	130,000	Edcon Proprietary Ltd., 3.969%, 6/15/2014, (EUR), 144A(e)		112,074
	450,000	Edcon Proprietary Ltd., 3.969%, 6/15/2014, (EUR)(e)		387,949


Principal Amount (‡)		Description	Value (†)
		South Africa – continued
$	400,000	Republic of South Africa, 5.500%, 3/09/2020	$	413,500
	285,000	Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR)		357,260

				1,270,783

		Spain – 0.2%
	500,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)		401,811

		Supranational – 0.1%
	305,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)		297,448

		Sweden – 0.3%
	2,210,000	Sweden Government Bond, 5.000%, 12/01/2020, (SEK)		342,440
	3,020,000	Sweden Government Bond, 5.500%, 10/08/2012, (SEK)(c)		422,250

				764,690

		Thailand – 0.2%
	330,000	True Move Co. Ltd., 10.375%, 8/01/2014		320,925
	100,000	True Move Co. Ltd., 10.375%, 8/01/2014, 144A		97,250

				418,175

		Turkey – 0.2%
	400,000	Republic of Turkey, 5.625%, 3/30/2021		396,000

		United Arab Emirates – 0.7%
	400,000	Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A		385,151
	400,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		430,716
	500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		397,743
	200,000	Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A		203,759
	150,000	Emirate of Abu Dhabi, 5.500%, 4/08/2014, 144A		163,524
	250,000	Mubadala Development Co., GMTN, 7.625%, 5/06/2019, 144A		281,291
				1,862,184
		United Kingdom – 0.6%
	100,000	BAT International Finance PLC, 5.875%, 3/12/2015, (EUR)		138,880
	60,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		97,485
	200,000	Imperial Tobacco Finance PLC, EMTN, 4.375%, 11/22/2013, (EUR)		256,893
	100,000	Rexam PLC, EMTN, 4.375%, 3/15/2013, (EUR)		126,797
	150,000	Smiths Group PLC, 4.125%, 5/05/2017, (EUR)		186,285
	250,000	Standard Chartered Bank, EMTN, 5.875%, 9/26/2017, (EUR)		328,655
	255,000	United Kingdom Treasury, 5.250%, 6/07/2012, (GBP)		412,763
	100,000	Virgin Media Secured Finance PLC, 7.000%, 1/15/2018, (GBP), 144A		145,675

				1,693,433


Principal Amount (‡)		Description	Value (†)
		United States – 20.7%
$	155,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029	$	102,300
	288,000	Ally Financial, Inc., 6.000%, 12/15/2011		288,000
	129,000	Ally Financial, Inc., 6.625%, 5/15/2012		129,000
	257,000	Ally Financial, Inc., 6.750%, 12/01/2014		248,648
	28,000	Ally Financial, Inc., 6.875%, 9/15/2011		28,385
	60,000	Ally Financial, Inc., 6.875%, 8/28/2012		60,150
	63,000	Ally Financial, Inc., 7.000%, 2/01/2012		63,394
	63,000	Ally Financial, Inc., 7.250%, 3/02/2011		64,024
	55,000	Ally Financial, Inc., 7.500%, 12/31/2013		54,863
	129,000	Ally Financial, Inc., 8.000%, 12/31/2018		118,680
	1,946,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,795,185
	35,000	Anheuser-Busch Cos., Inc., 6.500%, 5/01/2042		38,590
	250,000	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 1/15/2019, 144A		303,441
	60,000	Arrow Electronics, Inc., 6.875%, 7/01/2013		66,229
	10,000	AT&T, Inc., 6.500%, 9/01/2037		11,091
	33,439	Atlas Air, Inc., Series B, 7.680%, 7/02/2015		31,433
	145,000	Avnet, Inc., 6.000%, 9/01/2015		157,122
	200,000	Bank of America Corp., (fixed rate to 5/06/2014, variable rate thereafter), 4.750%, 5/06/2019, (EUR)		226,752
	400,000,000	Barclays Financial LLC, 4.060%, 9/16/2010, (KRW), 144A		327,712
	310,000	Borden, Inc., 7.875%, 2/15/2023		212,350
	410,000	Borden, Inc., 8.375%, 4/15/2016		317,750
	15,000	Boston Scientific Corp., 5.125%, 1/12/2017		14,377
	5,000	Boston Scientific Corp., 5.450%, 6/15/2014		5,126
	15,000	Boston Scientific Corp., 6.400%, 6/15/2016		15,740
	60,000	Boston Scientific Corp., 7.000%, 11/15/2035		58,196
	50,000	Bristol-Myers Squibb Co., 4.625%, 11/15/2021, (EUR)		65,446
	700,000	Capital One Multi-Asset Execution Trust, Series 2005-A10, Class A, 0.430%, 9/15/2015(e)		694,597
	2,335,000	Capital One Multi-Asset Execution Trust, Series 2006-A5, Class A5, 0.410%, 1/15/2016(e)		2,311,931
	15,000	Chesapeake Energy Corp., 6.500%, 8/15/2017		14,794


Principal Amount (‡)	Description	Value (†)
	United States – continued
$75,000	Chesapeake Energy Corp., 6.875%, 11/15/2020	$	75,656
79,617	CIT Group, Inc., 7.000%, 5/01/2013		76,233
119,429	CIT Group, Inc., 7.000%, 5/01/2014		112,562
119,429	CIT Group, Inc., 7.000%, 5/01/2015		110,173
199,049	CIT Group, Inc., 7.000%, 5/01/2016		181,632
278,673	CIT Group, Inc., 7.000%, 5/01/2017		250,806
120,000	Citibank Credit Card Issuance Trust, Series 2001-A4, Class A4, 5.375%, 4/10/2013, (EUR)		149,992
660,000	Comcast Corp., 5.650%, 6/15/2035		650,083
999,656	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		919,684
190,000	CSX Corp., 6.250%, 3/15/2018		218,156
265,000	Cummins, Inc., 5.650%, 3/01/2098		226,616
160,000	Cummins, Inc., 7.125%, 3/01/2028		177,928
321,633	Delta Air Lines, Inc., Series 2007-1, Class B, 8.021%, 2/10/2024		306,355
310,816	Delta Air Lines, Inc., Series 2007-1, Class C, 8.954%, 8/10/2014		307,708
42,000	Dillard’s, Inc., 6.625%, 1/15/2018		38,220
50,000	Dillard’s, Inc., 7.000%, 12/01/2028		41,000
8,000	Dillard’s, Inc., 7.750%, 7/15/2026		6,880
9,000	ESI Tractebel Acquisition Corp., Series B, 7.990%, 12/30/2011		9,060
250,000	Exelon Corp., 4.900%, 6/15/2015		266,980
150,000	Foot Locker, Inc., 8.500%, 1/15/2022		141,000
25,000	Ford Motor Co., 6.375%, 2/01/2029		19,125
50,000	Ford Motor Co., 6.625%, 2/15/2028		39,250
2,100,000	Ford Motor Co., 6.625%, 10/01/2028		1,659,000
40,000	Ford Motor Co., 7.125%, 11/15/2025		33,200
835,000	Ford Motor Co., 7.450%, 7/16/2031		753,587
5,000	Ford Motor Co., 7.500%, 8/01/2026		4,275
2,250,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		2,294,239
845,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		835,849


Principal Amount (‡)	Description	Value (†)
	United States – continued
$905,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016	$	925,445
80,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		64,000
45,000	General Electric Capital Corp., 5.625%, 5/01/2018		47,822
205,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		201,024
750,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		800,539
3,375,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		3,332,812
35,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		35,350
525,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		556,500
405,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		440,438
455,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		446,056
50,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		68,735
165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		140,663
25,000	GTE Corp., 6.940%, 4/15/2028		27,503
20,000	HCA, Inc., 5.750%, 3/15/2014		18,600
55,000	HCA, Inc., 6.250%, 2/15/2013		54,038
90,000	HCA, Inc., 6.375%, 1/15/2015		84,038
15,000	HCA, Inc., 6.500%, 2/15/2016		13,988
40,000	HCA, Inc., 6.750%, 7/15/2013		39,200
225,000	HCA, Inc., 7.050%, 12/01/2027		191,250
245,000	HCA, Inc., 7.190%, 11/15/2015		218,050
90,000	HCA, Inc., 7.500%, 12/15/2023		79,650
250,000	HCA, Inc., 7.500%, 11/06/2033		213,750
1,295,000	HCA, Inc., 7.690%, 6/15/2025		1,159,025
395,000	HCA, Inc., 8.360%, 4/15/2024		367,350
125,000	HCA, Inc., 8.750%, 11/01/2010, (GBP)		188,630
110,000	HCA, Inc., MTN, 7.580%, 9/15/2025		96,800
75,000	HCA, Inc., MTN, 7.750%, 7/15/2036		63,938
75,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.750%, 11/15/2014		70,875
470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		468,909
260,000	Hilcorp Energy I LP, 7.750%, 11/01/2015, 144A		256,100


Principal Amount (‡)		Description	Value (†)
		United States – continued
$	110,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A	$	112,674
	250,000	iStar Financial, Inc., 5.150%, 3/01/2012		205,000
	95,000	iStar Financial, Inc., 5.500%, 6/15/2012		77,900
	105,000	iStar Financial, Inc., 5.650%, 9/15/2011		94,500
	70,000	iStar Financial, Inc., 5.850%, 3/15/2017		49,000
	300,000	iStar Financial, Inc., 5.875%, 3/15/2016		210,000
	145,000	iStar Financial, Inc., 6.050%, 4/15/2015		104,400
	985,000	iStar Financial, Inc., 8.625%, 6/01/2013		797,850
	35,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		25,813
	950,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		750,500
	5,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		5,013
	64,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		60,480
	15,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		15,825
	5,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		4,650
	30,000	Jefferies Group, Inc., 6.250%, 1/15/2036		26,851
	420,000	Jefferies Group, Inc., 8.500%, 7/15/2019		471,770
	260,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		182,000
	15,000	K. Hovnanian Enterprises, Inc., 6.375%, 12/15/2014		11,250
	15,000	Lennar Corp., Series B, 5.500%, 9/01/2014		13,575
	1,090,000	Lennar Corp., Series B, 5.600%, 5/31/2015		959,200
	55,000	Lennar Corp., Series B, 6.500%, 4/15/2016		49,225
	15,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		12,975
	10,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		9,075
	230,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		359,020
	500,000	New Albertson’s, Inc., 7.450%, 8/01/2029		415,000
	50,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		36,500
	80,000	News America, Inc., 6.150%, 3/01/2037		83,434
	25,000	News America, Inc., 6.400%, 12/15/2035		27,208
	925,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		878,750
	140,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		135,625
	230,000	Nextel Communications, Inc., Series F, 5.950%, 3/15/2014		213,325


Principal Amount (‡)			Description	Value (†)
			United States – continued
$	250,000		NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(f)	$	147,500
	35,000		Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		23,450
	1,000,000		NRG Energy, Inc., 7.375%, 2/01/2016		995,000
	50,000		Ohio Edison Co., 6.875%, 7/15/2036		55,982
	150,000		Owens Brockway Glass Container, Inc., 6.750%, 12/01/2014, (EUR)		181,593
	565,000		Owens Corning, Inc., 6.500%, 12/01/2016		601,154
	535,000		Owens Corning, Inc., 7.000%, 12/01/2036		532,399
	40,000		Owens-Illinois, Inc., 7.800%, 5/15/2018		41,650
	47,000		Pulte Group, Inc., 5.200%, 2/15/2015		44,180
	540,000		Pulte Group, Inc., 6.000%, 2/15/2035		394,200
	695,000		Pulte Group, Inc., 6.375%, 5/15/2033		535,150
	1,335,000		Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,254,900
	650,000		Qwest Capital Funding, Inc., 6.875%, 7/15/2028		549,250
	400,000		Qwest Capital Funding, Inc., 7.625%, 8/03/2021		376,000
	60,000		Qwest Capital Funding, Inc., 7.750%, 2/15/2031		55,500
	560,000		Qwest Corp., 6.875%, 9/15/2033		513,800
	115,000		Qwest Corp., 7.250%, 9/15/2025		110,400
	80,000		Reynolds American, Inc., 6.750%, 6/15/2017		86,671
	20,000		Reynolds American, Inc., 7.250%, 6/15/2037		20,576
	1,600	(††††)	SLM Corp., 6.000%, 12/15/2043		26,844
	120,000		SLM Corp., MTN, 5.050%, 11/14/2014		107,324
	35,000		SLM Corp., MTN, 5.125%, 8/27/2012		34,479
	228,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		217,960
	10,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		8,011
	115,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		111,516
	75,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		68,577
	30,000		SLM Corp., Series A, MTN, 5.400%, 10/25/2011		29,822
	20,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		14,679
	625,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		576,757
	294,000		Sprint Capital Corp., 6.875%, 11/15/2028		244,020
	320,000		Sprint Capital Corp., 6.900%, 5/01/2019		289,600


Principal Amount (‡)		Description	Value (†)
		United States – continued
$	110,000	Sprint Capital Corp., 8.750%, 3/15/2032	$	105,050
	26,000	Sprint Nextel Corp., 6.000%, 12/01/2016		23,335
	265,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		206,700
	23,000	Tenet Healthcare Corp., 7.375%, 2/01/2013		23,000
	250,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		306,960
	395,000	Time Warner, Inc., 6.625%, 5/15/2029		434,723
	105,000	Toll Brothers Finance Corp., 5.150%, 5/15/2015		102,920
	375,000	Toys R Us, Inc., 7.375%, 10/15/2018		352,500
	3,150,000	TXU Corp., Series P, 5.550%, 11/15/2014		2,237,681
	2,570,000	TXU Corp., Series Q, 6.500%, 11/15/2024		1,156,500
	30,000	TXU Corp., Series R, 6.550%, 11/15/2034		13,350
	1,775,000	U.S. Treasury Note, 1.000%, 12/31/2011		1,787,966
	477,517	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		513,330
	2,320,000	United Rentals North America, Inc., 7.000%, 2/15/2014		2,180,800
	840,000	United Rentals North America, Inc., 7.750%, 11/15/2013		816,900
	770,000	United States Steel Corp., 6.650%, 6/01/2037		662,200
	50,000	USG Corp., 6.300%, 11/15/2016		43,125
	230,000	USG Corp., 9.500%, 1/15/2018		227,700
	62,000	Verizon Communications, Inc., 5.850%, 9/15/2035		63,954
	5,000	Verizon Maryland, Inc., 5.125%, 6/15/2033		4,422
	140,000	Verizon New York, Inc., Series B, 7.375%, 4/01/2032		158,313
	110,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		108,858
	185,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		242,350
	230,000	Williams Cos., Inc. (The), 7.875%, 9/01/2021		263,601
	74,000	Williams Cos., Inc. (The), Series A, 7.500%, 1/15/2031		78,715
	24,000	Xerox Capital Trust I, 8.000%, 2/01/2027		24,129
	125,000	Xerox Corp., 6.750%, 2/01/2017		140,664
	20,000	Xerox Corp., MTN, 7.200%, 4/01/2016		23,311

				55,352,022

		Total Non-Convertible Bonds (Identified Cost $84,960,547)		88,062,551


Principal Amount (‡)		Description	Value (†)
	Convertible Bonds – 1.3%
		United States – 1.3%
$	125,000	Ford Motor Co., 4.250%, 11/15/2016	$	155,781
	1,125,000	Intel Corp., 3.250%, 8/01/2039, 144A		1,267,031
	430,000	iStar Financial, Inc., 0.791%, 10/01/2012(e)		309,600
	365,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		340,363
	440,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		401,500
	185,000	Level 3 Communications, Inc., 5.250%, 12/15/2011		177,138
	215,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(f)		208,281
	200,000	NII Holdings, Inc., 3.125%, 6/15/2012		188,750
	420,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		385,875
	80,000	Valeant Pharmaceuticals International, 4.000%, 11/15/2013		133,900

		Total Convertible Bonds (Identified Cost $3,446,099)		3,568,219

	Municipals – 0.0%
		United States – 0.0%
	135,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(f) (Identified Cost $134,987)		91,118

		Total Bonds and Notes (Identified Cost $88,541,633)		91,721,888

	Bank Loans – 0.1%
		United States – 0.1%
	1,958	Dole Food Company, Inc., Credit Link Deposit, 8.015%, 8/30/2010(g)		1,952
	58,181	Hawaiian Telcom Communications, Inc., New Tranche C Term Loan, 4.750%, 5/30/2014(g)(h)		48,363
	40,000	Level 3 Financing, Inc., Tranche A Term Loan, 2.548%, 3/13/2014(g)		35,475
	2,744	Sungard Data Systems, Inc., Tranche A, 2.100%, 2/28/2014(g)		2,576
	60,343	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(g)		51,659
	7,314	Tribune Company, Term Loan X, 5.000%, 6/04/2009(d)(g)(j)		4,330

		Total Bank Loans (Identified Cost $150,932)		144,355


Shares
	Preferred Stocks – 0.4%
		United States – 0.4%
	682	Ally Financial, Inc., Series G 144A, 7.000%		530,106
	5,500	Federal National Mortgage Association, (fixed rate to 12/13/2010, variable rate thereafter), 8.250% (b)(k)		1,870


Shares		Description	Value (†)
		United States – continued
	820	Lucent Technologies Capital Trust I, 7.750%	$	594,090

		Total Preferred Stocks (Identified Cost $818,904)		1,126,066

	Warrants – 0.1%
		United States – 0.1%
	12,495	Valeant Pharmaceuticals International, Expiration 8/16/2010(b)(f)(i) (Identified Cost $0)		258,397


Principal Amount (‡)
	Short-Term Investments – 0.9%
$	5,057	Repurchase Agreement with State Street Corp., dated 6/30/2010 at 0.000% to be repurchased at $5,057 on 7/01/2010 collateralized by $5,000 U.S. Treasury Note, 3.125% due 4/30/2017 valued at $5,252 including accrued interest(l)		5,057
	2,590,791	Tri-Party Repurchase Agreement with Fixed Income Clearing Corp., dated 6/30/2010 at 0.000% to be repurchased at $2,590,791 on 7/01/2010 collateralized by $2,640,000 Federal National Mortgage Association, 2.000% due 12/16/2013 valued at $2,643,300 including accrued interest(l)		2,590,791

		Total Short-Term Investments (Identified Cost $2,595,848)		2,595,848

		Total Investments - 99.0% (Identified Cost $249,945,437)(a)		264,717,486
		Other assets less liabilities — 1.0%		2,592,503

		Net Assets — 100.0%	$	267,309,989

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

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. 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 a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

(††)	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 made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):

At June 30, 2010, the net unrealized appreciation on investments based on a cost of $250,021,218 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	$	26,447,222
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,750,954	)

Net unrealized appreciation	$	14,696,268

At September 30, 2009, the Fund had a capital loss carryforward of $54,290,711, which expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $56,215,833. 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)	All or a portion of this security is held as collateral for open forward contracts.

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

(e)	Variable rate security. Rate as of June 30, 2010 is disclosed.

(f)	Illiquid security. At June 30, 2010, the value of these securities amounted to $705,296 or 0.3% of net assets.

(g)	Variable rate security. Rate shown represents the weighted average rate at June 30, 2010.

(h)	All or a portion of interest payment is paid-in-kind.

(i)	Fair valued security by the Fund’s investment adviser. At June 30, 2010 the value of this security amounted to $258,397 or 0.1% of net assets.

(j)	Issuer has filed for bankruptcy.

(k)	Future dividend payments have been eliminated as the issuer has been placed in conservatorship.

(l)

144A

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2010, the total value of these securities amounted to $15,107,797 or 5.7% 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 are 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
CHF		Swiss Franc
COP		Colombian Peso
DKK		Danish Krone
EUR		Euro
GBP		British Pound
IDR		Indonesian Rupiah
KRW		South Korean Won
MXN		Mexican Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
PLN		Polish Zloty
SEK		Swedish Krona
SGD		Singapore Dollar

Forward Foreign Currency Contracts

The Fund may enter into forward foreign 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 may 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 require the movement of cash or securities to or from the counterparty as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At June 30, 2010, the Fund had the following open forward foreign currency contracts:


Contract to Buy	Delivery Date	Currency	Units	Notional Value		Unrealized Appreciation (Depreciation)
Sell¹	09/15/2010	Danish Krone	4,060,000	$	666,661	$	4,602
Buy²	09/23/2010	Indian Rupee	17,250,000		368,074		(8,234	)
Sell²	09/23/2010	Indian Rupee	17,250,000		368,074		2,057
Buy³	09/22/2010	Malaysian Ringgit	1,250,000		384,678		8,059
Buy¹	09/13/2010	South Korean Won	780,000,000		636,802		12,008
Buy⁴	09/13/2010	South Korean Won	870,000,000		710,286		12,891

						$	31,383

¹	Counterparty is Barclays Bank PLC.

²	Counterparty is UBS

³	Counterparty is JPMorgan Chase Bank.

⁴	Counterparty is Credit Suisse.

Fair Value Measurements

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2010, at value:

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of

Securities valued at $1,087,452 were transferred from Level 3 to Level 2 during the period ended June 30, 2010. At September 30, 2009, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at June 30, 2010, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service.

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

Derivatives

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s 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. For the period ended June 30, 2010, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain contingent features that allow the counterparties 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 counterparties could request immediate settlement of open contracts at current fair value.

Industry Summary at June 30, 2010 (Unaudited)


Commercial Banks	6.4	%
Computers & Peripherals	5.4
Semiconductors & Semiconductor Equipment	4.7
Internet Software & Services	3.6
Personal Products	3.6
Automobiles	3.3
Treasuries	3.3
Internet & Catalog Retail	3.2
Sovereigns	3.0
Hotels, Restaurants & Leisure	2.9
Beverages	2.8
Multiline Retail	2.8
Automotive	2.7
Non-Captive Diversified	2.7
Machinery	2.4
Energy Equipment & Services	2.4
Airlines	2.1
Electric	2.0
IT Services	2.0
Wirelines	2.0
Other Investments, less than 2% each	34.8
Short-Term Investments	0.9

Total Investments	99.0
Other assets less liabilities (including open forward foreign currency contracts)	1.0

Net Assets	100.0	%

Currency Exposure at June 30, 2010 as a Percentage of Net Assets (Unaudited)


United States Dollar	65.1	%
Euro	7.6
Brazilian Real	7.0
British Pound	5.1
Hong Kong Dollar	2.8
Other, less than 2% each	11.4

Total Investments	99.0
Other assets less liabilities (including open forward foreign currency contracts)	1.0

Net Assets	100.0	%


Shares	Description	Value (†)
Common Stocks – 99.6% of Net Assets
	Air Freight & Logistics – 7.1%
76,813	Expeditors International of Washington, Inc.	$	2,650,817
62,944	United Parcel Service, Inc., Class B		3,580,884

			6,231,701

	Beverages – 3.9%
42,450	Coca-Cola Co. (The)		2,127,594
20,844	Diageo PLC, Sponsored ADR		1,307,753

			3,435,347

	Biotechnology – 8.5%
65,876	Amgen, Inc.(b)		3,465,078
83,834	Biogen Idec, Inc.(b)		3,977,923

			7,443,001

	Capital Markets – 7.4%
15,182	Franklin Resources, Inc.		1,308,536
74,458	Legg Mason, Inc.		2,087,058
151,719	SEI Investments Co.		3,088,999

			6,484,593

	Communications Equipment – 6.8%
156,160	Cisco Systems, Inc.(b)		3,327,769
79,177	QUALCOMM, Inc.		2,600,173

			5,927,942

	Consumer Finance – 4.5%
98,457	American Express Co.		3,908,743

	Energy Equipment & Services – 3.0%
40,317	Schlumberger Ltd.		2,231,143
30,971	Weatherford International Ltd.(b)		406,959

			2,638,102

	Health Care Equipment & Supplies – 4.9%
45,251	Medtronic, Inc.		1,641,254
48,728	Zimmer Holdings, Inc.(b)		2,633,748

			4,275,002

	Health Care Providers & Services – 0.5%
8,898	WellPoint, Inc.(b)		435,379

	Household Products – 3.5%
24,759	Clorox Co. (The)		1,539,019
25,701	Procter & Gamble Co. (The)		1,541,546

			3,080,565

	Internet & Catalog Retail – 8.2%
53,433	Amazon.com, Inc.(b)		5,838,090
28,525	Blue Nile, Inc.(b)		1,342,957

			7,181,047

	Internet Software & Services – 6.4%
12,680	Google, Inc., Class A(b)		5,641,966

	IT Services – 8.6%
33,704	Automatic Data Processing, Inc.		1,356,923
87,215	Visa, Inc., Class A		6,170,461

			7,527,384

	Media – 2.2%
56,388	Omnicom Group, Inc.		1,934,108

	Multiline Retail – 0.8%
14,615	Target Corp.		718,620

	Oil, Gas & Consumable Fuels – 0.4%
2,449	Chevron Corp.		166,189
3,801	ConocoPhillips		186,591

			352,780



Shares		Description	Value (†)
		Pharmaceuticals – 6.2%
	64,810	Merck & Co., Inc.	$	2,266,406
	65,208	Novartis AG, ADR		3,150,850

				5,417,256

		Semiconductors & Semiconductor Equipment – 4.8%
	133,440	Altera Corp.		3,310,647
	31,248	Analog Devices, Inc.		870,569

				4,181,216

		Software – 9.7%
	40,058	FactSet Research Systems, Inc.		2,683,485
	82,958	Microsoft Corp.		1,908,864
	181,388	Oracle Corp.		3,892,586

				8,484,935

		Specialty Retail – 2.2%
	44,697	Home Depot, Inc. (The)		1,254,645
	30,552	Lowe’s Cos., Inc.		623,872

				1,878,517

		Total Common Stocks (Identified Cost $89,278,368)		87,178,204


Principal Amount
	Short-Term Investments – 0.6%
$	504,714	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2010 at 0.000% to be repurchased at $504,714 on 7/01/2010 collateralized by $455,000 Federal Home Loan Mortgage Corp., 4.750% due 11/17/2015 valued at $515,288 including accrued interest(c) (Identified Cost $504,714)		504,714

		Total Investments - 100.2% (Identified Cost $89,783,082)(a)		87,682,918
		Other assets less liabilities — (0.2)%		(135,306	)

		Net Assets — 100.0%	$	87,547,612

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. 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 a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2010, the net unrealized depreciation on investments based on a cost of $89,783,082 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	$	1,805,321
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,905,485	)

Net unrealized depreciation	$	(2,100,164	)

At September 30, 2009, the Fund had a capital loss carryforward of $72,936,734 of which $9,606,459 expires on September 30, 2010; $6,192,314 expires on September 30, 2011; $75,866 expires on September 30, 2016 and $57,062,095 expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $57,669,601. 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 are 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;

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2010, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Common Stocks
	$	87,178,204	$	—	$	—	$	87,178,204
Short-Term Investments		—		504,714		—		504,714

Total	$	87,178,204	$	504,714	$	—	$	87,682,918

*	Major categories of the Fund’s investments are included above.

Industry Summary at June 30, 2010 (Unaudited)


Software	9.7	%
IT Services	8.6
Biotechnology	8.5
Internet & Catalog Retail	8.2
Capital Markets	7.4
Air Freight & Logistics	7.1
Communications Equipment	6.8
Internet Software & Services	6.4
Pharmaceuticals	6.2
Health Care Equipment & Supplies	4.9
Semiconductors & Semiconductor Equipment	4.8
Consumer Finance	4.5
Beverages	3.9
Household Products	3.5
Energy Equipment & Services	3.0
Media	2.2
Specialty Retail	2.2
Other Investments, less than 2% each	1.7
Short-Term Investments	0.6

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 79.8% of Net Assets
	Non-Convertible Bonds — 60.8%
		ABS Home Equity — 1.9%
$	400,000	Ameriquest Mortgage Securities, Inc., Series 2005-R5, Class M2, 0.807%, 7/25/2035(b)	$	249,060
	700,000	Asset Backed Funding Certificates, Series 2006-HE1, Class A2B, 0.457%, 1/25/2037(b)		369,361
	225,000	Bear Stearns Asset Backed Securities Trust, Series 2004-HE7, Class M2, 1.497%, 8/25/2034(b)		138,314
	125,000	Countrywide Asset-Backed Certificates, Series 2004-2, Class M1, 0.847%, 5/25/2034(b)		85,886
	505,141	Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, 0.947%, 10/25/2034(b)		289,280
	725,000	GSAMP Trust, Series 2006-HE5, Class A2C, 0.497%, 8/25/2036(b)		300,290
	90,121	Ownit Mortgage Loan Asset Backed Certificates, Series 2006-2, Class A2B, 5.633%, 1/25/2037		60,291
	400,000	Park Place Securities, Inc., Series 2004-WCW2, Class M2, 0.997%, 10/25/2034(b)		241,963
	969,936	Residential Asset Mortgage Products, Inc., Series 2006-RZ5, Class A2, 0.527%, 8/25/2046(b)		833,621
	275,000	Saxon Asset Securities Trust, Series 2004-3, Class M2, 0.997%, 12/26/2034(b)		176,640

				2,744,706

		Aerospace & Defense — 0.0%
	55,000	Oshkosh Corp., 8.250%, 3/01/2017		57,200
		Airlines — 1.2%
	37,277	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		33,922
	292,405	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		299,715
	506,395	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		476,011
	178,434	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 4/19/2022		164,159
	726,020	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		780,472

				1,754,279

		Automotive — 1.9%
	40,000	ArvinMeritor, Inc., 8.125%, 9/15/2015		38,400
	450,000	FCE Bank PLC, EMTN, 7.875%, 2/15/2011, (GBP)		677,388



Principal Amount (‡)		Description	Value (†)
		Automotive — continued
$	420,000	Ford Motor Co., 6.375%, 2/01/2029	$	321,300
	1,220,000	Ford Motor Co., 6.625%, 10/01/2028		963,800
	65,000	Ford Motor Co., 6.625%, 2/15/2028		51,025
	40,000	Ford Motor Co., 7.500%, 8/01/2026		34,200
	150,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		153,389
	635,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		541,337

				2,780,839

		Banking — 0.9%
	12,176,250,000	JPMorgan Chase Bank NA, EMTN, 144A, Zero Coupon, 10/17/2011, (IDR)		1,236,296

		Building Materials — 1.0%
	50,000	Masco Corp., 6.500%, 8/15/2032		42,269
	345,000	Masco Corp., 7.750%, 8/01/2029		332,636
	985,000	USG Corp., 6.300%, 11/15/2016		849,562
	75,000	USG Corp., 9.500%, 1/15/2018		74,250
	65,000	USG Corp., 144A, 9.750%, 8/01/2014		67,600

				1,366,317

		Chemicals — 0.9%
	855,000	Hercules, Inc., Subordinated Note, 6.500%, 6/30/2029		666,900
	730,000	Reichhold Industries, Inc., 144A, 9.000%, 8/15/2014		642,400

				1,309,300

		Collateralized Mortgage Obligations — 1.8%
	418,458	Adjustable Rate Mortgage Trust, Series 2005-10, Class 5A1, 0.607%, 1/25/2036(b)		232,928
	321,731	GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, 2.923%, 11/25/2035(b)		277,118
	535,786	Impac CMB Trust, Series 2005-3, Class A1, 0.587%, 8/25/2035(b)		362,232
	217,732	Indymac Index Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 5.202%, 4/25/2035(b)		188,839
	704,212	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.847%, 1/25/2036(b)		445,291
	577,487	Lehman Mortgage Trust, Series 2006-6, Class 5A1, 0.847%, 12/25/2036(b)		415,592
	635,656	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.467%, 7/25/2037(b)(c)		254,961


Principal Amount (‡)		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	318,366	Master Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.981%, 3/25/2035(b)	$	273,707
	177,241	Sequoia Mortgage Trust, Series 2007-2, Class 1A1, 0.558%, 6/20/2036(b)		122,328

				2,572,996

		Commercial Mortgage-Backed Securities — 0.1%
	100,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.830%, 9/15/2039(b)		95,013

		Construction Machinery — 0.8%
	1,055,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/2014		1,048,406
	15,000	United Rentals North America, Inc., 7.750%, 11/15/2013		14,588

				1,062,994

		Consumer Cyclical Services — 0.2%
	420,000	ServiceMaster Co., 7.450%, 8/15/2027		312,900

		Consumer Products — 1.3%
	1,970,000	Acco Brands Corp., 7.625%, 8/15/2015		1,812,400

		Electric — 2.3%
	35,000	AES Corp. (The), 8.000%, 10/15/2017		35,350
	207,403	AES Ironwood LLC, 8.857%, 11/30/2025		198,070
	22,366	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		22,087
	375,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		249,375
	180,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		103,500
	815,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		563,369
	2,230,000	Edison Mission Energy, 7.625%, 5/15/2027		1,265,525
	140,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(d)		82,600
	195,000	TXU Corp., Series P, 5.550%, 11/15/2014		138,523
	1,015,000	TXU Corp., Series Q, 6.500%, 11/15/2024		456,750
	370,000	TXU Corp., Series R, 6.550%, 11/15/2034		164,650

				3,279,799

		Food & Beverage — 0.5%
	700,000	Marfrig Overseas Ltd., 144A, 9.500%, 5/04/2020		686,000

		Gaming — 1.4%
	160,000	Harrah’s Operating Co. Inc., 10.000%, 12/15/2018		131,200
	470,000	MGM Resorts International, 5.875%, 2/27/2014		372,475


Principal Amount (‡)		Description	Value (†)
		Gaming — continued
$	1,870,000	MGM Resorts International, 7.500%, 6/01/2016	$	1,472,625

				1,976,300

		Government Owned - No Guarantee — 0.2%
	400,000	DP World Ltd., 144A, 6.850%, 7/02/2037		318,195

		Healthcare — 3.3%
	165,000	Boston Scientific Corp., 7.000%, 11/15/2035		160,039
	165,000	Boston Scientific Corp., 7.375%, 1/15/2040		167,288
	35,000	HCA, Inc., 7.050%, 12/01/2027		29,750
	630,000	HCA, Inc., 7.500%, 12/15/2023		557,550
	700,000	HCA, Inc., 7.500%, 11/06/2033		598,500
	40,000	HCA, Inc., 7.690%, 6/15/2025		35,800
	480,000	HCA, Inc., 8.360%, 4/15/2024		446,400
	670,000	HCA, Inc., MTN, 7.580%, 9/15/2025		589,600
	1,685,000	HCA, Inc., MTN, 7.750%, 7/15/2036		1,436,462
	900,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		702,000

				4,723,389

		Home Construction — 3.2%
	400,000	Corporacion GEO SAB de CV, 144A, 9.250%, 6/30/2020		399,480
	410,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		402,825
	1,790,000	KB Home, Guaranteed Note, 7.250%, 6/15/2018		1,584,150
	1,925,000	Pulte Group, Inc., 6.000%, 2/15/2035		1,405,250
	495,000	Pulte Group, Inc., 6.375%, 5/15/2033		381,150
	380,000	Pulte Group, Inc., 7.875%, 6/15/2032		329,650

				4,502,505

		Independent Energy — 2.1%
	620,000	Connacher Oil and Gas Ltd., 144A, 10.250%, 12/15/2015		612,250
	1,505,000	SandRidge Energy, Inc., 144A, 8.000%, 6/01/2018		1,425,987
	1,065,000	Swift Energy Co., 7.125%, 6/01/2017		982,463

				3,020,700

		Industrial Other — 0.5%
	530,000	Corp Pesquera Inca SAC, 144A, 9.000%, 2/10/2017		518,075
	140,000	Ranhill Labuan Ltd., 144A, 12.500%, 10/26/2011		126,000

				644,075


Principal Amount (‡)		Description	Value (†)
		Integrated Energy — 0.0%
$	50,000	BP Capital Markets PLC, 4.750%, 3/10/2019	$	41,534

		Lodging — 0.1%
	170,000	Felcor Lodging LP, 10.000%, 10/01/2014		177,650

		Media Cable — 0.2%
	325,000	CCO Holdings LLC/CCO Holdings Capital Corp., 144A, 7.875%, 4/30/2018		326,625

		Media Non-Cable — 1.5%
	240,000	Clear Channel Communications, Inc., 4.400%, 5/15/2011		228,000
	745,000	Clear Channel Communications, Inc., 5.000%, 3/15/2012		635,112
	595,000	Clear Channel Communications, Inc., 6.250%, 3/15/2011		572,688
	20,000	Clear Channel Communications, Inc., 7.650%, 9/15/2010		19,900
	175,000	Intelsat Corp., 6.875%, 1/15/2028		141,750
	320,000	Intelsat Luxembourg SA, 11.250%, 2/04/2017		324,000
	290,000	Intelsat SA, 6.500%, 11/01/2013		273,325

				2,194,775

		Metals & Mining — 0.5%
	360,000	Algoma Acquisition Corp., 144A, 9.875%, 6/15/2015		306,000
	125,000	United States Steel Corp., 7.000%, 2/01/2018		123,594
	315,000	United States Steel Corp., 7.375%, 4/01/2020		311,456

				741,050

		Non-Captive Consumer — 0.7%
	1,000,000	American General Finance Corp., Series J, MTN, 6.900%, 12/15/2017		796,250
	10,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		8,011
	5,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,670
	245,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		226,089

				1,034,020

		Non-Captive Diversified — 4.2%
	139,000	Ally Financial, Inc., 8.000%, 11/01/2031		128,228
	20,000	CIT Group, Inc., 7.000%, 5/01/2015		18,450
	1,880,000	CIT Group, Inc., 7.000%, 5/01/2016		1,715,500
	1,075,000	CIT Group, Inc., 7.000%, 5/01/2017		967,500
	1,300,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		937,564


Principal Amount (‡)	Description	Value (†)
	Non-Captive Diversified — continued
660,000	General Motors Acceptance Corp. of Canada Ltd., EMTN, 7.125%, 9/13/2011, (AUD)	$	531,612
35,000	International Lease Finance Corp., 5.875%, 5/01/2013		32,288
335,000	International Lease Finance Corp., 144A, 8.625%, 9/15/2015		317,413
1,105,000	International Lease Finance Corp., 144A, 8.750%, 3/15/2017		1,046,987
165,000	International Lease Finance Corp., Series Q, MTN, 5.250%, 1/10/2013		150,975
30,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		27,075
80,000	iStar Financial, Inc., 5.850%, 3/15/2017		56,000
10,000	iStar Financial, Inc., 5.875%, 3/15/2016		7,000
15,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		11,850

			5,948,442

	Oil Field Services — 1.4%
235,000	Allis-Chalmers Energy, Inc., 8.500%, 3/01/2017		203,275
420,000	Allis-Chalmers Energy, Inc., 9.000%, 1/15/2014		387,450
490,000	Basic Energy Services, Inc., 7.125%, 4/15/2016		406,700
350,000	Compagnie Generale de Geophysique-Veritas, 9.500%, 5/15/2016		355,250
30,000	Key Energy Services, Inc., 8.375%, 12/01/2014		29,812
265,000	Parker Drilling Co., 144A, 9.125%, 4/01/2018		251,750
385,000	Pioneer Drilling Co., 144A, 9.875%, 3/15/2018		377,300

			2,011,537

	Pipelines — 1.9%
2,285,000	El Paso Corp., 6.950%, 6/01/2028		2,045,751
405,000	El Paso Corp., 7.420%, 2/15/2037		364,403
110,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		108,714
235,000	El Paso Corp., GMTN, 8.050%, 10/15/2030		232,320

			2,751,188

	Refining — 0.5%
150,000	Petroplus Finance Ltd., 144A, 6.750%, 5/01/2014		130,500
745,000	Petroplus Finance Ltd., 144A, 7.000%, 5/01/2017		607,175

			737,675


Principal Amount (‡)			Description	Value (†)
			Retailers — 1.2%
$	250,000		Dillard’s, Inc., 6.625%, 1/15/2018	$	227,500
	105,000		Dillard’s, Inc., 7.130%, 8/01/2018		98,700
	279,000		J.C. Penney Corp., Inc., Senior Note, 6.375%, 10/15/2036		263,655
	140,000		Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		131,600
	30,000		Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		27,675
	210,000		Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		202,125
	805,000		Toys R Us, Inc., 7.375%, 10/15/2018		756,700

					1,707,955

			Sovereigns — 4.3%
	502,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		4,134,216
	3,000,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,676,593
	7,970,000		Republic of Iceland, 8.000%, 7/22/2011, (ISK)		38,446
	5,275,000		Republic of Iceland, 13.750%, 12/10/2010, (ISK)		25,653
	4,674,315		Republic of Uruguay, 4.250%, 4/05/2027, (UYU)		237,085

					6,111,993

			Supermarkets — 1.6%
	315,000		American Stores Co., 8.000%, 6/01/2026		267,750
	750,000		New Albertson’s, Inc., 7.450%, 8/01/2029		622,500
	955,000		New Albertson’s, Inc., 7.750%, 6/15/2026		792,650
	130,000		New Albertson’s, Inc., 8.000%, 5/01/2031		112,450
	15,000		New Albertson’s, Inc., 8.700%, 5/01/2030		13,650
	735,000		New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		536,550

					2,345,550

			Supranational — 2.0%
	17,499,000,000		European Investment Bank, EMTN, 144A, Zero Coupon, 4/24/2013, (IDR)		1,595,469
	1,500,000,000		International Bank for Reconstruction & Development, EMTN, 2.300%, 2/26/2013, (KRW)		1,235,387

					2,830,856

			Technology — 4.0%
	85,000		Advanced Micro Devices, Inc., 144A, 8.125%, 12/15/2017		84,575
	1,090,000		Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		719,400
	1,930,000		Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,273,800


Principal Amount (‡)		Description	Value (†)
		Technology — continued
$	805,000	Amkor Technology, Inc., 144A, 7.375%, 5/01/2018	$	780,850
	2,525,000	First Data Corp., 9.875%, 9/24/2015		1,919,000
	240,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		219,000
	340,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(e)		227,800
	560,000	Nortel Networks Ltd., 6.875%, 9/01/2023(e)		151,200
	355,000	Xerox Capital Trust I, 8.000%, 2/01/2027		356,911

				5,732,536

		Textile — 0.2%
	375,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034		300,469

		Transportation Services — 0.5%
	275,000	APL Ltd., Senior Note, 8.000%, 1/15/2024(d)		178,750
	5,000	Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 7.750%, 5/15/2016		4,669
	640,000	Overseas Shipholding Group, Senior Note, 7.500%, 2/15/2024		550,400

				733,819

		Treasuries — 0.0%
	58,861	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		29,538

		Wireless — 3.5%
	1,443,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		1,370,850
	944,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		914,500
	1,080,000	Nextel Communications, Inc., Series F, 5.950%, 3/15/2014		1,001,700
	2,061,000	Sprint Capital Corp., 6.875%, 11/15/2028		1,710,630
	55,000	Sprint Capital Corp., 6.900%, 5/01/2019		49,775
	20,000	Sprint Capital Corp., 8.750%, 3/15/2032		19,100

				5,066,555

		Wirelines — 7.0%
	100,000	Axtel SAB de CV, 144A, 9.000%, 9/22/2019		89,000
	900,000	Bakrie Telecom Pte Ltd., 144A, 11.500%, 5/07/2015		873,000
	65,000	Cincinnati Bell Telephone Co., 6.300%, 12/01/2028		44,850
	530,000	Cincinnati Bell, Inc., 7.000%, 2/15/2015		496,875
	1,611,153	FairPoint Communications, Inc., 13.125%, 4/02/2018(e)		145,004
	95,000	Frontier Communications Corp., 7.000%, 11/01/2025		80,513
	30,000	Frontier Communications Corp., 7.125%, 3/15/2019		27,750


Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
$	1,245,000	Frontier Communications Corp., 7.875%, 1/15/2027	$	1,123,612
	605,000	Frontier Communications Corp., 9.000%, 8/15/2031		561,137
	80,000	Hawaiian Telcom Communications, Inc., Series B, 12.500%, 5/01/2015(e)		8
	770,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		666,050
	495,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		449,212
	2,860,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		2,645,500
	425,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		399,500
	1,445,000	Qwest Capital Funding, Inc., Guaranteed Note, 6.875%, 7/15/2028		1,221,025
	275,000	Qwest Capital Funding, Inc., Guaranteed Note, 7.625%, 8/03/2021		258,500
	10,000	Qwest Corp., 6.875%, 9/15/2033		9,175
	975,000	Windstream Corp., 7.875%, 11/01/2017		951,844

				10,042,555

		Total Non-Convertible Bonds (Identified Cost $84,068,083)		87,122,525

	Convertible Bonds — 19.0%
		Airlines — 0.7%
	980,000	UAL Corp., 4.500%, 6/30/2021		951,776

		Automotive — 1.7%
	410,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(f)		317,750
	1,720,000	Ford Motor Co., 4.250%, 11/15/2016		2,143,550

				2,461,300

		Diversified Manufacturing — 1.2%
	410,000	Owens-Brockway Glass Container, Inc., 144A, 3.000%, 6/01/2015		376,688
	1,720,000	Trinity Industries, Inc., 3.875%, 6/01/2036		1,320,100

				1,696,788

		Healthcare — 1.9%
	1,555,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(f)		1,323,694
	1,803,000	Omnicare, Inc., 3.250%, 12/15/2035		1,491,982

				2,815,676

		Independent Energy — 0.7%
	475,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		342,594


Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	785,000	Penn Virginia Corp., 4.500%, 11/15/2012	$	732,012

				1,074,606

		Metals & Mining — 0.4%
	555,000	Peabody Energy Corp., 4.750%, 12/15/2066		541,125

		Pharmaceuticals — 2.5%
	475,000	Human Genome Sciences, Inc., 2.250%, 10/15/2011		748,125
	840,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		1,228,500
	785,000	Kendle International, Inc., 3.375%, 7/15/2012		722,200
	505,000	Valeant Pharmaceuticals International, Subordinated Note, 4.000%, 11/15/2013		845,244

				3,544,069

		Technology — 6.5%
	995,000	Advanced Micro Devices, Inc., 6.000%, 5/01/2015		945,250
	1,580,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		1,331,150
	15,000	Ciena Corp., 0.250%, 5/01/2013		12,131
	1,890,000	Ciena Corp., 0.875%, 6/15/2017		1,174,162
	40,000	Ciena Corp., 4.000%, 3/15/2015		37,350
	3,515,000	Intel Corp., 2.950%, 12/15/2035		3,339,250
	345,000	JDS Uniphase Corp., 1.000%, 5/15/2026		304,463
	1,330,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		1,240,225
	188,000	Maxtor Corp., Subordinated Note, 5.750%, 3/01/2012(d)		184,240
	640,000	Micron Technology, Inc., 1.875%, 6/01/2014		562,400
	280,000	Nortel Networks Corp., 2.125%, 4/15/2014(e)		217,700

				9,348,321

		Textile — 0.1%
	115,000	Iconix Brand Group, Inc., 1.875%, 6/30/2012		106,950

		Wireless — 1.0%
	80,000	NII Holdings, Inc., 2.750%, 8/15/2025		79,900
	1,435,000	NII Holdings, Inc., 3.125%, 6/15/2012		1,354,281

				1,434,181

		Wirelines — 2.3%
	2,235,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		2,039,437
	459,000	Level 3 Communications, Inc., 5.250%, 12/15/2011		439,493


Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
$	815,000	Level 3 Communications, Inc., 144A, 7.000%, 3/15/2015(d)	$	789,531

				3,268,461

		Total Convertible Bonds (Identified Cost $24,285,976)		27,243,253

		Total Bonds and Notes (Identified Cost $108,354,059)		114,365,778

	Bank Loans — 0.9%
		Media Non-Cable — 0.1%
	224,012	Tribune Company, Term Loan X, 5.000%, 6/04/2009(e)(g)(h)		132,615

		Printing & Publishing — 0.2%
	370,228	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(h)		316,948

		Technology — 0.0%
	2,401	Sungard Data Systems, Inc., Tranche A, 2.100%, 2/28/2014(h)		2,253

		Wirelines — 0.6%
	763,371	FairPoint Communications, Inc., Initial Term Loan B, 5.000%, 3/31/2015(e)(h)		509,169
	36,118	Hawaiian Telcom Communications, Inc., New Tranche C Term Loan, 4.750%, 5/30/2014(h)(i)		30,023
	250,000	Level 3 Financing, Inc., Add on Term Loan, 11.500%, 3/13/2014(h)		268,125
	25,000	Level 3 Financing, Inc., Tranche A Term Loan, 2.548%, 3/13/2014(h)		22,172

				829,489

		Total Bank Loans (Identified Cost $1,330,036)		1,281,305


Shares
	Preferred Stocks — 1.8%
	Convertible Preferred Stocks — 1.6%
		Automotive — 0.0%
	450	Ford Motor Co. Capital Trust II, 6.500%(j)		19,868

		Capital Markets — 0.6%
	26,890	Newell Financial Trust I, 5.250%		941,150

		Diversified Financial Services — 0.1%
	3,732	Sovereign Capital Trust IV, 4.375%		118,025

		Electric Utilities — 0.2%
	6,475	AES Trust III, 6.750%		280,448

		Machinery — 0.1%
	2,550	United Rentals Trust I, 6.500%		77,297


Shares	Description	Value (†)
	Oil, Gas & Consumable Fuels — 0.2%
9,500	El Paso Energy Capital Trust I, 4.750%	$	344,375

	Semiconductors & Semiconductor Equipment — 0.4%
799	Lucent Technologies Capital Trust I, 7.750%		578,875

	Total Convertible Preferred Stocks (Identified Cost $2,195,579)		2,360,038

Non-Convertible Preferred Stocks — 0.2%
	Banking — 0.2%
274	Ally Financial, Inc., Series G, 144A, 7.000%		212,975

	Thrifts & Mortgage Finance — 0.0%
3,250	Federal National Mortgage Association, (fixed rate to 12/13/2010, variable rate thereafter), 8.250%(j)(k)		1,105

	Total Non-Convertible Preferred Stocks (Identified Cost $131,792)		214,080

	Total Preferred Stocks (Identified Cost $2,327,371)		2,574,118

Common Stocks — 0.7%
	Biotechnology — 0.2%
8,147	Vertex Pharmaceuticals, Inc.(j)		268,036

	Chemicals — 0.0%
1,087	Ashland, Inc.		50,459

	Household Durables — 0.0%
1,775	KB Home		19,525

	Media — 0.0%
388	Dex One Corp.(j)		7,372

	Oil, Gas & Consumable Fuels — 0.3%
35,176	El Paso Corp.		390,805

	Pharmaceuticals — 0.2%
6,875	Merck & Co., Inc.		240,419

	Total Common Stocks (Identified Cost $920,531)		976,616

Closed-End Investment Companies — 0.0%
2,073	Morgan Stanley Emerging Markets Debt Fund, Inc.		20,606
1,772	Western Asset High Income Opportunity Fund, Inc.		10,561

	Total Closed-End Investment Companies (Identified Cost $28,644)		31,167


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — 17.0%
$	28,407	Repurchase Agreement with State Street Corporation, dated 6/30/2010 at 0.000% to be repurchased at $28,407 on 7/01/2010, collateralized by $30,000 U.S. Treasury Note, 3.125% due 4/30/2017 valued at $31,515 including accrued interest(l)	$	28,407
	24,408,932	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2010 at 0.000% to be repurchased at $24,408,932 on 7/01/2010, collateralized by $24,870,000 Federal Home Loan Bank, 0.420% due 9/21/2010 valued at $24,901,088 including accrued interest(l)		24,408,932

		Total Short-Term Investments (Identified Cost $24,437,339)		24,437,339

		Total Investments — 100.2% (Identified Cost $137,397,980)(a)		143,666,323
		Other assets less liabilities — (0.2)%		(270,676	)

		Net Assets — 100.0%	$	143,395,647

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

(†)

Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day.

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

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At June 30, 2010, the net unrealized appreciation on investments based on a cost of $137,416,204 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	$	11,066,963
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,816,844	)

Net unrealized appreciation	$	6,250,119

At September 30, 2009, the Fund had a capital loss carryforward of $26,859,746 of which $26,826,634 expires on September 30, 2010 and $33,112 expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $2,276,152. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of June 30, 2010 is disclosed.

(c)	The issuer has made partial payments with respect to interest and/or principal. Income is not being accrued.

(d)	Illiquid security. At June 30, 2010, the value of these securities amounted to $1,235,121 or 0.9% of net assets.

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

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

(g)	Issuer has filed for bankruptcy.

(h)	Variable rate security. Rate shown represents the weighted average rate at June 30, 2010.

(i)	All or a portion of interest payment is paid-in-kind.

(j)	Non-income producing security.

(k)	Future dividend payments have been eliminated as the issuer has been placed in conservatorship.

(l)

144A	Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2010, the value of these securities amounted to $14,198,121 or 9.9% of net assets.


ABS		Asset-Backed Securities
EMTN		Euro Medium Term Note
GMTN		Global Medium Term Note
MTN		Medium Term Note
AUD		Australian Dollar
BRL		Brazilian Real
EUR		Euro
GBP		British Pound
IDR		Indonesian Rupiah
ISK		Icelandic Krona
KRW		South Korean Won
MXN		Mexican Peso
SGD		Singapore Dollar
UYU		Uruguayan Peso

Fair Value Measurements

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2010, at value:

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2010:

Securities valued at $2,607,375 were transferred from Level 3 to Level 2 during the period ended June 30, 2010. At September 30, 2009, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at June 30, 2010, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service.

Securities valued at $123,300 were transferred from Level 2 to Level 3 during the period ended June 30, 2010. At September 30, 2009, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service; at June 30, 2010, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.


Principal Amount (‡)		Description	Value (†)
Bonds and Notes — 96.9% of Net Assets
Non-Convertible Bonds — 96.2%
		Australia — 3.1%
200,000		Australia & New Zealand Banking Group Ltd., EMTN, 2.625%, 11/16/2012, (EUR)	$	248,443
200,000		National Australia Bank Ltd., EMTN, 3.500%, 1/23/2015, (EUR)		251,095
505,000		New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010, (AUD)		428,960

				928,498

		Belgium — 0.6%
100,000		Anheuser-Busch InBev NV, EMTN, 6.500%, 6/23/2017, (GBP)		169,072

		Brazil — 1.2%
192,786	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL)		103,896
100,000		NET Servicos de Comunicacao SA, 144A, 7.500%, 1/27/2020		104,500
250,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		139,716

				348,112

		Canada — 8.3%
225,000		Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		210,898
85,000		Canadian Government, 2.000%, 9/01/2012, (CAD)		80,624
805,000		Canadian Government, 4.500%, 6/01/2015, (CAD)(b)		832,480
165,000		Corus Entertainment, Inc., 144A, 7.250%, 2/10/2017, (CAD)		157,847
200,000		Province of Ontario, EMTN, 4.000%, 12/03/2019, (EUR)		260,606
25,000,000		Province of Quebec Canada, 1.600%, 5/09/2013, (JPY)		290,519
150,000		Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		191,148
200,000		Province of Quebec Canada, EMTN, 3.625%, 2/10/2015, (EUR)		259,474
200,000		Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		194,009

				2,477,605

		Cayman Islands — 1.8%
60,000		DASA Finance Corp., 144A, 8.750%, 5/29/2018		64,950
119,000		Fibria Overseas Finance Ltd., 144A, 7.500%, 5/04/2020		120,785
200,000		Hutchison Whampoa Finance Ltd., 4.625%, 9/21/2016, (EUR)		254,771
100,000		Odebrecht Finance Ltd., 144A, 7.000%, 4/21/2020		101,620

				542,126

		Denmark — 2.5%
4,100,000		Denmark Government Bond, 4.000%, 11/15/2015, (DKK)		746,650


Principal Amount (‡)	Description	Value (†)
	Finland — 3.2%
720,000	Finland Government Bond, 3.125%, 9/15/2014, (EUR)	$	941,467

	France — 4.8%
100,000	Cie Financiere et Industrielle des Autoroutes, 5.250%, 4/30/2018, (EUR)		136,322
375,000	Government of France, 4.000%, 4/25/2013, (EUR)		495,387
305,000	Government of France, 4.250%, 10/25/2017, (EUR)		414,528
100,000	Lafarge SA, EMTN, 4.750%, 3/23/2020, (EUR)		110,708
50,000	Lafarge SA, EMTN, 5.375%, 6/26/2017, (EUR)		59,253
70,000	Veolia Environnement, EMTN, 6.125%, 11/25/2033, (EUR)		100,803
100,000	Wendel, 4.875%, 5/26/2016, (EUR)		104,554

			1,421,555

	Germany — 16.2%
100,000	Bertelsmann AG, EMTN, 3.625%, 10/06/2015, (EUR)		123,021
185,000	Kreditanstalt fuer Wiederaufbau, 2.500%, 10/11/2010, (EUR)		227,356
110,000	Landesbank Baden-Wuerttemberg, 3.750%, 2/12/2014, (EUR)		143,817
105,000	Muenchener Hypothekenbank eG, 5.000%, 1/16/2012, (EUR)		135,655
370,000	Republic of Germany, 3.250%, 1/04/2020, (EUR)		479,914
1,080,000	Republic of Germany, 3.750%, 1/04/2017, (EUR)		1,464,209
965,000	Republic of Germany, 4.000%, 4/13/2012, (EUR)(b)		1,254,417
380,000	Republic of Germany, 4.500%, 1/04/2013, (EUR)		507,991
295,000	Republic of Germany, 6.500%, 7/04/2027, (EUR)		518,622

			4,855,002

	India — 0.6%
100,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		97,590
100,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 144A, 6.375%, 4/30/2022		92,001

			189,591

	Indonesia — 0.3%
100,000	Adaro Indonesia PT, 144A, 7.625%, 10/22/2019		101,000

	Ireland — 0.9%
30,000,000	Depfa ACS Bank, Series 686, EMTN, 1.650%, 12/20/2016, (JPY)		270,175

	Italy — 1.1%
100,000	Atlantia SpA, Series 5, EMTN, 5.625%, 5/06/2016, (EUR)		136,064

LOOMIS SAYLES INTERNATIONAL BOND FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Italy — continued
150,000		Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)	$	180,032

				316,096

		Japan — 14.8%
83,000,000		Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY)		974,042
103,000,000		Japan Government, 0.700%, 6/20/2014, (JPY)		1,185,747
160,000,000		Japan Government, 1.300%, 3/20/2019, (JPY)		1,875,939
35,000,000		Japan Government, 1.400%, 6/20/2011, (JPY)		400,612

				4,436,340

		Jersey — 0.3%
50,000		WPP PLC, 6.000%, 4/04/2017, (GBP)		79,153

		Luxembourg — 0.9%
150,000		Enel Finance International SA, EMTN, 5.625%, 8/14/2024, (GBP)		221,157
25,000		Telecom Italia Finance SA, EMTN, 7.750%, 1/24/2033, (EUR)		34,364

				255,521

		Mexico — 4.0%
160,000		Axtel SAB de CV, 144A, 9.000%, 9/22/2019		142,400
100,000		BBVA Bancomer SA, 144A, 7.250%, 4/22/2020		98,658
85,000		Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		83,513
10,000	(†††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		83,314
80,000	(†††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		685,994
100,000		Mexichem SAB de CV, 144A, 8.750%, 11/06/2019		111,000

				1,204,879

		Netherlands — 0.8%
150,000		RWE Finance BV, EMTN, 5.500%, 7/06/2022, (GBP)		237,336

		Norway — 2.9%
275,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		45,940
4,885,000		Norwegian Government, 4.500%, 5/22/2019, (NOK)		829,623

				875,563

		Poland — 0.3%
80,000		Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		75,261

		Singapore — 2.0%
810,000		Singapore Government Bond, 2.250%, 7/01/2013, (SGD)		608,767

		South Africa — 0.4%
150,000		Edcon Proprietary Ltd., 144A, 3.969%, 6/15/2014, (EUR)(c)		129,316


Principal Amount (‡)	Description	Value (†)
	Supranational — 5.7%
40,000,000	Asian Development Bank, EMTN, 2.350%, 6/21/2027, (JPY)	$	492,524
44,000,000	European Investment Bank, 1.400%, 6/20/2017, (JPY)		516,869
260,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)		253,562
921,000,000	European Investment Bank, EMTN, 144A, Zero Coupon, 4/24/2013, (IDR)		83,972
30,000,000	Nordic Investment Bank, Series C, GMTN, 1.700%, 4/27/2017, (JPY)		357,887

			1,704,814

	Sweden — 4.5%
2,540,000	Sweden Government Bond, 5.000%, 12/01/2020, (SEK)		393,573
5,100,000	Sweden Government Bond, 5.500%, 10/08/2012, (SEK)		713,072
200,000	Volvo Treasury AB, Series 225, EMTN, 5.000%, 5/31/2017, (EUR)		247,737

			1,354,382

	Switzerland — 0.4%
100,000	Credit Suisse London, EMTN, 5.125%, 9/18/2017, (EUR)		131,207

	United Arab Emirates — 0.3%
100,000	DP World Ltd., 144A, 6.850%, 7/02/2037		79,549

	United Kingdom — 8.1%
50,000	BAT International Finance PLC, EMTN, 5.375%, 6/29/2017, (EUR)		68,659
100,000	British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP)		155,102
40,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		54,463
50,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		81,237
25,000	National Grid PLC, EMTN, 4.375%, 3/10/2020, (EUR)		31,487
75,000	National Grid PLC, EMTN, 5.000%, 7/02/2018, (EUR)		99,697
100,000	Rexam PLC, EMTN, 4.375%, 3/15/2013, (EUR)		126,796
100,000	Smiths Group PLC, 4.125%, 5/05/2017, (EUR)		124,190
50,000	Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR)		65,731
45,000	United Kingdom Treasury, 4.000%, 9/07/2016, (GBP)		72,855
60,000	United Kingdom Treasury, 4.750%, 12/07/2038, (GBP)		98,324
230,000	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)		385,863
480,000	United Kingdom Treasury, 5.250%, 6/07/2012, (GBP)		776,966
100,000	Virgin Media Secured Finance PLC, 144A, 7.000%, 1/15/2018, (GBP)		145,675

LOOMIS SAYLES INTERNATIONAL BOND FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	United Kingdom — continued
100,000	Vodafone Group PLC, Series 25, EMTN, 5.375%, 6/06/2022, (EUR)	$	132,411

			2,419,456

	United States — 6.2%
80,000	Ahold Finance USA, Inc., EMTN, 6.500%, 3/14/2017, (GBP)		133,201
50,000	Alcoa, Inc., 6.750%, 1/15/2028		47,493
100,000	BA Credit Card Trust, Series 04A1, 4.500%, 6/17/2016, (EUR)		127,295
50,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		70,443
100,000	Citibank Credit Card Issuance Trust, Series 2001-A4, Class A4, 5.375%, 4/10/2013, (EUR)		124,993
15,000,000	Citigroup, Inc., 2.400%, 10/31/2025, (JPY)		141,248
50,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		68,735
55,000	HCA, Inc., 5.750%, 3/15/2014		51,150
45,000	HCA, Inc., 8.360%, 4/15/2024		41,850
200,000	HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR)		257,499
70,000	IPALCO Enterprises, Inc., 144A, 7.250%, 4/01/2016		71,575
955,000,000	JPMorgan Chase Bank NA, EMTN, 144A, Zero Coupon, 10/17/2011, (IDR)		96,964
100,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		111,000
95,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		148,291
50,000	Owens-Brockway Glass Container, Inc., 6.750%, 12/01/2014, (EUR)		60,531
100,000	SLM Corp., Series 7, EMTN, 4.750%, 3/17/2014, (EUR)		108,536
100,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		122,784
50,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		65,500

			1,849,088

	Total Non-Convertible Bonds (Identified Cost $29,609,382)		28,747,581

Convertible Bonds — 0.7%
	United States — 0.7%
190,000	Advanced Micro Devices, Inc., 6.000%, 5/01/2015		180,500
50,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(d)		42,562

	Total Convertible Bonds (Identified Cost $215,278)		223,062

	Total Bonds and Notes (Identified Cost $29,824,660)		28,970,643

LOOMIS SAYLES INTERNATIONAL BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

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

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional size-trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. 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 a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Credit default swaps are valued based on prices supplied by a pricing service, if available, or quotations obtained from broker-dealers. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

(††)	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.

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At June 30, 2010, the net unrealized depreciation on investments based on a cost of $30,094,112 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	$	722,853
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,664,904	)

Net unrealized depreciation	$	(942,051	)

At September 30, 2009 post-October capital loss deferrals were $45,041. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	All or a portion of this security is held as collateral for forward foreign currency contracts.

(c)	Variable rate security. Rate as of June 30, 2010 is disclosed.

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

(e)

144A	Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2010, the value of these securities amounted to $1,701,812 or 5.7% of net assets.

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

LOOMIS SAYLES INTERNATIONAL BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

CHF	Swiss Franc

DKK	Danish Krone

EUR

Euro

GBP	British Pound

IDR	Indonesian Rupiah

JPY	Japanese Yen

MXN	Mexican Peso

NOK	Norwegian Krone

SEK	Swedish Krona

SGD	Singapore Dollar

Credit Default Swap Agreement

The Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. If a credit event occurs, the protection seller must pay the protection buyer the agreed upon notional value (“par value”) of the reference obligation in exchange for the reference obligation (or may pay the difference between the par value and market value of the reference obligation). The Fund may also make or receive upfront payments.

The notional amounts of credit default swaps are not recorded. Credit default swaps are marked-to-market daily. Fluctuations in the value of credit default swaps are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as realized gain or loss when received or paid. Upfront fees received or paid by the Fund are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Credit default swaps are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements. The Fund covers its net obligations under outstanding credit default swaps by segregating liquid assets in the form of collateral.

LOOMIS SAYLES INTERNATIONAL BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

At June 30, 2010, the Fund had the following open credit default swap agreement:

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts. Contracts to buy generally are used to acquire exposure to foreign currencies, while contracts to sell generally are used to hedge a 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 a 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 to or from the counterparty as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At June 30, 2010, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date	Currency	Units	Notional Value		Unrealized Appreciation (Depreciation)
Buy¹	9/15/2010	Canadian Dollar	500,000	$	469,454	$	(10,289	)
Sell¹	9/15/2010	Canadian Dollar	310,000		291,061		9,114
Buy²	11/16/2010	Chinese Renminbi	2,350,000		347,637		(7,930	)
Sell²	11/16/2010	Chinese Renminbi	2,350,000		347,637		950
Sell³	9/15/2010	Danish Krone	4,550,000		747,121		5,157
Buy⁴	9/15/2010	Euro	300,000		367,002		(2,013	)
Buy⁵	9/23/2010	Indian Rupee	15,000,000		320,065		(7,160	)
Sell⁵	9/23/2010	Indian Rupee	15,000,000		320,065		1,789
Buy¹	9/15/2010	Japanese Yen	75,000,000		849,320		28,832
Buy¹	9/22/2010	Malaysian Ringgit	1,100,000		338,517		7,092
Buy³	9/13/2010	South Korean Won	720,000,000		587,823		11,085
Buy⁴	9/13/2010	South Korean Won	770,000,000		628,644		11,409
Buy⁵	9/13/2010	South Korean Won	355,000,000		289,829		5,488

Total						$	53,524

¹	Counterparty is JPMorgan Chase.

²	Counterparty is Morgan Stanley.

³	Counterparty is Barclays Bank PLC.

⁴	Counterparty is Credit Suisse.

⁵	Counterparty is UBS.

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.

LOOMIS SAYLES INTERNATIONAL BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2010, at value:

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2010

Securities valued at $67,829 were transferred from Level 3 to Level 2 during the period ended June 30, 2010. At September 30, 2009, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at June 30, 2010, these securities were valued using broker-dealer bid quotations based on inputs observable to the Fund.

LOOMIS SAYLES INTERNATIONAL BOND FUND — PORTFOLIO OF INVESTMENTS (continued)

Derivatives

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended June 30, 2010, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps to reduce its credit exposure to issuers of bonds it holds without having to sell the bonds. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of the fees paid by the protection buyer. During the period ended June 30, 2010, the Fund engaged in credit default swap transactions as a protection buyer for hedging purposes.

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts and swap transactions. These agreements contain contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such contingent features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value.

The following is a summary of derivative instruments for the Fund as of June 30, 2010:


Asset Derivatives	Forwards			Swaps
Foreign exchange contracts	$	80,916			—
Credit Contracts		—		$	5,811

Liability Derivatives	Forwards			Swaps
Foreign exchange contracts	$	(27,392	)		—

Industry Summary at June 30, 2010 (Unaudited)


Treasuries	50.6	%
Banking	7.2
Supranational	5.7
Sovereigns	5.1
Government Guaranteed	4.0
Local Authorities	3.4
Media Non-Cable	2.0
Other Investments, less than 2% each	18.9
Short-Term Investments	0.6

Total Investments	97.5
Other assets less liabilities (including open credit default swap agreement and open forward foreign currency contracts)	2.5

Net Assets	100.0	%

Currency Exposure at June 30, 2010 as a Percentage of Net Assets (Unaudited)


Euro	37.1	%
Japanese Yen	21.8
British Pound	9.9
United States Dollar	6.1
Canadian Dollar	4.9
Swedish Krona	3.7
Norwegian Krone	2.9
Mexican Peso	2.6
Danish Krone	2.5
Singapore Dollar	2.0
Other, less than 2% each	4.0

Total Investments	97.5
Other assets less liabilities (including open credit default swap agreement and open forward foreign currency contracts)	2.5

Net Assets	100.0	%


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 96.3% of Net Assets
	Non-Convertible Bonds – 93.1%
		ABS Car Loan – 1.0%
$	8,255,000	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.488%, 8/20/2013, 144A(b)	$	7,869,840
	831,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class B, 5.740%, 8/20/2014, 144A		842,698
	4,690,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class B, 6.740%, 5/20/2016, 144A		4,855,706
	19,025,000	Chesapeake Funding LLC, Series 2009-2A, Class B, 2.100%, 9/15/2021, 144A(b)		17,545,585
	17,100,000	Chesapeake Funding LLC, Series 2009-2A, Class C, 2.100%, 9/15/2021, 144A(b)		15,245,394
	43,060,000	Chrysler Financial Lease Trust, Series 2010-A, Class B, 3.460%, 9/16/2013, 144A		43,005,060
	7,199,000	Merrill Auto Trust Securitization Asset, Series 2008-1, Class B, 6.750%, 4/15/2015		7,545,264

				96,909,547

		ABS Credit Card – 1.1%
	2,550,000	Capital One Multi-Asset Execution Trust, Series 2006-C2, Class C, 0.650%, 6/16/2014(b)		2,509,672
	29,215,000	Chase Issuance Trust, Series 2007-B1, Class B1, 0.600%, 4/15/2019(b)		27,984,946
	29,395,000	Citibank Credit Card Issuance Trust, Series 2008-C6, Class C6, 6.300%, 6/20/2014		31,408,631
	19,600,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		20,176,234
	10,000,000	MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 7/15/2014		10,665,301
	14,780,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		15,646,116

				108,390,900

		ABS Other – 2.2%
	12,926,557	CIT Equipment Collateral, Series 2008-VT1, Class A3, 6.590%, 12/22/2014		13,365,780
	1,700,000	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		1,595,946
	64,461,619	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		65,294,528
	22,886,255	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		23,155,022
	61,784,923	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		63,625,508


Principal Amount (‡)		Description	Value (†)
		ABS Other – continued
$	45,223,488	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A	$	47,029,804

				214,066,588

		Airlines – 3.2%
	17,225,538	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 7/02/2019		19,120,347
	562,841	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		555,243
	990,361	Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019		986,894
	1,006,573	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		1,011,606
	9,111,684	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		9,362,255
	1,794,869	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,839,740
	2,661,607	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		2,560,333
	60,175,107	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		59,031,780
	12,101,802	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 4/19/2022		11,133,658
	29,393,585	Continental Airlines Pass Through Trust, Series 2009-1, Class A, 9.000%, 7/08/2016		31,598,104
	22,105,000	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 11/10/2019		23,541,825
	22,950,000	Delta Air Lines, Inc., 6.200%, 7/02/2018		23,193,844
	4,300,000	Delta Air Lines, Inc., Series 2001-1, Class A-2, 7.111%, 3/18/2013		4,439,750
	2,171,631	Delta Air Lines, Inc., Series 2007-1, Class A, 6.821%, 2/10/2024		2,144,486
	17,287,761	Delta Air Lines, Inc., Series 2007-1, Class B, 8.021%, 2/10/2024		16,466,592
	40,849,316	Delta Air Lines, Inc., Series A, 7.750%, 6/17/2021		44,117,261
	4,751,193	Delta Air Lines, Inc., Series B, 9.750%, 12/17/2016		4,941,241
	8,923,686	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 11/01/2017		8,295,101
	8,115,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		8,409,648
	28,073,356	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		25,827,488

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Airlines – continued
$	8,020,332	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018	$	8,621,856

				307,199,052

		Automotive – 0.6%
	33,885,000	Cummins, Inc., 5.650%, 3/01/2098		28,976,893
	5,389,000	Cummins, Inc., 6.750%, 2/15/2027		5,774,486
	665,000	Cummins, Inc., 7.125%, 3/01/2028		739,515
	1,990,000	Ford Motor Co., 6.375%, 2/01/2029		1,522,350
	130,000	Ford Motor Co., 6.500%, 8/01/2018		119,600
	260,000	Ford Motor Co., 6.625%, 2/15/2028		204,100
	5,185,000	Ford Motor Co., 6.625%, 10/01/2028		4,096,150
	8,730,000	Ford Motor Co., 7.450%, 7/16/2031		7,878,825
	245,000	Ford Motor Co., 7.500%, 8/01/2026		209,475
	345,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		351,784
	5,435,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		5,376,139
	4,640,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		4,744,822

				59,994,139

		Banking – 9.3%
	47,100,000	AgriBank FCB, 9.125%, 7/15/2019, 144A(c)		55,784,345
	7,450,000	American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017		8,186,485
	36,659,000	Associates Corp. of North America, 6.950%, 11/01/2018		37,525,619
	2,595,000	BAC Capital Trust VI, 5.625%, 3/08/2035		2,186,306
	3,690,000	Bank of America Corp., 5.420%, 3/15/2017		3,676,347
	10,020,000	Bank of America Corp., 6.000%, 9/01/2017		10,544,357
	17,625,000	Bank of America NA, 5.300%, 3/15/2017		17,746,630
	3,120,000,000	Barclays Financial LLC, 4.060%, 9/16/2010, (KRW), 144A		2,556,155
	3,500,000,000	Barclays Financial LLC, 4.460%, 9/23/2010, (KRW), 144A		2,870,225
	2,220,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		2,183,659
	975,000	Bear Stearns Cos., Inc. (The), 5.300%, 10/30/2015		1,053,849
	16,371,250,000	BNP Paribas SA, EMTN, Zero Coupon, 6/13/2011, (IDR), 144A		1,684,983
	60,745,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		60,966,355
	19,200,000	Capital One Financial Corp., 6.150%, 9/01/2016		20,316,230


Principal Amount (‡)	Description	Value (†)
	Banking – continued
9,860,000	Citibank NA, 15.000%, 7/02/2010, (BRL), 144A	$	5,462,604
10,400,000	Citigroup, Inc., 5.000%, 9/15/2014		10,402,080
1,325,000	Citigroup, Inc., 5.850%, 12/11/2034		1,254,233
2,800,000	Citigroup, Inc., 5.875%, 2/22/2033		2,510,886
20,308,000	Citigroup, Inc., 6.125%, 5/15/2018		21,195,094
8,895,000	Citigroup, Inc., 6.125%, 8/25/2036		8,084,576
74,265,000	Citigroup, Inc., 6.375%, 8/12/2014		78,880,792
2,450,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		2,648,286
80,235,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		82,490,807
7,110,000	First Niagara Finance Group, Inc., 6.750%, 3/19/2020		7,463,488
1,200,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		1,146,500
99,020,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		97,073,465
6,790,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		6,709,308
700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		644,007
17,920,000,000	JPMorgan Chase & Co., Zero Coupon, 3/28/2011, (IDR), 144A		1,876,411
68,827,366,920	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, (IDR), 144A		6,691,402
22,683,264,000	JPMorgan Chase & Co., EMTN, Zero Coupon, 3/28/2011, (IDR), 144A		2,375,174
344,497,150,000	JPMorgan Chase Bank NA, EMTN, Zero Coupon, 10/17/2011, (IDR), 144A		34,977,957
24,124,936,500	JPMorgan Chase London, EMTN, Zero Coupon, 10/21/2010, (IDR), 144A		2,602,512
100,000	Keybank NA, 6.950%, 2/01/2028		101,845
6,620,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		6,640,006
70,800,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		64,298,861
10,000,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		5,318,559
3,200,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		3,552,012
11,895,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		12,689,360
41,000,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		40,898,443
2,710,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		2,825,806
51,525,000	Morgan Stanley, 4.750%, 4/01/2014		51,613,417

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Banking – continued
$	1,510,000	Morgan Stanley, EMTN, 5.450%, 1/09/2017	$	1,496,857
	2,850,000	Morgan Stanley, GMTN, 5.125%, 11/30/2015, (GBP)		4,219,352
	5,300,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		5,555,110
	17,500,000	Morgan Stanley, Series F, MTN, 5.550%, 4/27/2017		17,357,795
	30,200,000	Morgan Stanley, Series F, MTN, 5.625%, 9/23/2019		29,215,873
	9,910,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		10,035,461
	2,875,000	National City Bank of Indiana, 4.250%, 7/01/2018		2,798,948
	1,325,000	National City Bank, MTN, 5.800%, 6/07/2017		1,406,767
	8,826,000	National City Corp., 6.875%, 5/15/2019		9,907,353
	3,400,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		3,663,279
	18,250,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A		19,796,122

				895,162,353

		Brokerage – 0.6%
	3,770,000	Jefferies Group, Inc., 6.250%, 1/15/2036		3,374,335
	51,185,000	Jefferies Group, Inc., 8.500%, 7/15/2019		57,494,114

				60,868,449

		Building Materials – 1.4%
	6,785,000	Masco Corp., 4.800%, 6/15/2015		6,301,440
	11,180,000	Masco Corp., 5.850%, 3/15/2017		10,906,146
	6,760,000	Masco Corp., 6.125%, 10/03/2016		6,540,658
	4,913,000	Masco Corp., 6.500%, 8/15/2032		4,153,337
	29,980,000	Masco Corp., 7.125%, 3/15/2020		29,110,160
	5,030,000	Masco Corp., 7.750%, 8/01/2029		4,849,740
	24,925,000	Owens Corning, Inc., 6.500%, 12/01/2016		26,519,926
	41,845,000	Owens Corning, Inc., 7.000%, 12/01/2036		41,641,550
	1,060,000	USG Corp., 6.300%, 11/15/2016		914,250

				130,937,207

		Chemicals – 1.4%
	35,520,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		44,786,422
	3,545,000	Cytec Industries, Inc., 6.000%, 10/01/2015		3,896,668
	2,400,000	Methanex Corp., 6.000%, 8/15/2015		2,333,664
	68,560,000	PPG Industries, Inc., 6.650%, 3/15/2018		81,352,062

				132,368,816


Principal Amount (‡)		Description	Value (†)
		Collateralized Mortgage Obligations – 0.0%
$	110,474	Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12, Class 1A1, 5.868%, 9/25/2036(b)	$	88,997

		Commercial Mortgage-Backed Securities – 3.6%
	2,899,260	Bank of America-First Union NB Commercial Mortgage, Series 2001-3, Class A2, 5.464%, 4/11/2037		2,983,267
	8,100,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		7,936,119
	62,975,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.722%, 6/15/2039(b)		60,023,318
	35,130,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.830%, 9/15/2039(b)		33,377,933
	5,110,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		4,851,928
	58,950,000	Crown Castle Towers LLC, 6.113%, 1/15/2040		64,700,808
	24,057,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		23,662,092
	15,360,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		15,388,047
	20,220,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class A4, 5.475%, 4/15/2043		21,469,802
	8,930,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A4, 5.874%, 4/15/2045(b)		9,516,303
	60,634,099	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.818%, 6/15/2049(b)		59,322,438
	21,993,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		21,493,002
	3,200,000	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.882%, 6/15/2038(b)		3,436,421
	1,340,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,282,076
	12,700,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.281%, 1/11/2043(b)		13,758,927
	3,700,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		3,830,913

				347,033,394

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Construction Machinery – 0.3%
$	24,153,000	Case New Holland, Inc., 7.750%, 9/01/2013	$	24,696,442
	6,935,000	Toro Co., 6.625%, 5/01/2037(c)		7,034,684

				31,731,126

		Consumer Cyclical Services – 0.9%
	15,350,000	Western Union Co. (The), 5.930%, 10/01/2016		17,224,481
	40,000,000	Western Union Co. (The), 6.500%, 2/26/2014		44,938,120
	19,330,000	Western Union. (The), 6.200%, 11/17/2036		20,611,134

				82,773,735

		Consumer Products – 0.2%
	7,620,000	Hasbro, Inc., 6.600%, 7/15/2028		7,416,607
	12,010,000	Snap-on, Inc., 6.700%, 3/01/2019		14,120,962
	490,000	Whirlpool Corp., MTN, 8.000%, 5/01/2012		536,044
	725,000	Whirlpool Corp., MTN, 8.600%, 5/01/2014		854,780

				22,928,393

		Distributors – 0.9%
	10,000,000	EQT Corp., 8.125%, 6/01/2019		11,763,520
	61,345,000	Equitable Resources, Inc., 6.500%, 4/01/2018		66,760,168
	5,865,000	ONEOK, Inc., 6.000%, 6/15/2035		5,529,845

				84,053,533

		Diversified Manufacturing – 0.9%
	1,425,000	Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018		1,689,966
	2,875,000	Textron Financial Corp., 5.400%, 4/28/2013		2,989,531
	1,207,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		1,193,532
	19,200,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		23,574,507
	18,895,000	Textron, Inc., 6.200%, 3/15/2015		20,336,745
	13,540,000	Textron, Inc., 7.250%, 10/01/2019		15,457,630
	11,280,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		15,565,800

				80,807,711

		Electric – 3.2%
	40,400,000	AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018		42,997,195
	500,000	Baltimore Gas & Electric Co., 5.200%, 6/15/2033		486,021
	11,891,990	Bruce Mansfield Unit, 6.850%, 6/01/2034(c)		12,423,069
	17,815,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		19,309,839


Principal Amount (‡)		Description	Value (†)
		Electric – continued
$	25,465,000	Cleveland Electric Illuminating Co. (The), 5.950%, 12/15/2036	$	25,249,413
	895,000	Commonwealth Edison Co., 4.700%, 4/15/2015		970,684
	5,500,000	Empresa Nacional de Electricidad SA (Endesa-Chile), 7.875%, 2/01/2027		6,126,340
	1,000,000	Empresa Nacional de Electricidad SA (Endesa-Chile), 8.350%, 8/01/2013		1,143,996
	3,681,000	Exelon Corp., 4.900%, 6/15/2015		3,931,010
	47,570,000	Illinois Power Co., 6.250%, 4/01/2018		52,616,939
	1,905,000	ITC Holdings Corp., 5.875%, 9/30/2016, 144A		2,077,934
	2,830,000	ITC Holdings Corp., 6.375%, 9/30/2036, 144A		2,925,583
	9,305,213	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A		9,534,865
	14,090,000	NiSource Finance Corp., 6.125%, 3/01/2022		15,039,243
	24,635,000	NiSource Finance Corp., 6.400%, 3/15/2018		27,106,777
	22,085,000	NiSource Finance Corp., 6.800%, 1/15/2019		24,586,679
	1,565,000	Ohio Edison Co., 6.875%, 7/15/2036		1,752,221
	32,500	Quezon Power Philippines Co., 8.860%, 6/15/2017		32,419
	51,115,000	Southwestern Electric Power Co., 6.450%, 1/15/2019		56,196,393
	500,000	SP Powerassets Ltd., EMTN, 3.730%, 10/22/2010, (SGD)		360,252
	1,075,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		1,097,532
	1,600,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		1,569,456

				307,533,860

		Entertainment – 0.1%
	505,000	Time Warner, Inc., 7.625%, 4/15/2031		607,502
	330,000	Time Warner, Inc., 7.700%, 5/01/2032		397,991
	3,695,000	Viacom, Inc., 6.125%, 10/05/2017		4,196,190
	2,655,000	Viacom, Inc., 6.250%, 4/30/2016		3,011,428

				8,213,111

		Financial Other – 0.8%
	45,970,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(c)		47,565,389
	27,500,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		32,494,550

				80,059,939

		Food & Beverage – 0.2%
	6,845,000	Anheuser-Busch Cos., Inc., 5.950%, 1/15/2033		7,212,590
	2,500,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		3,522,144

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Food & Beverage – continued
$	8,630,000	Corn Products International, Inc., 6.625%, 4/15/2037	$	9,012,465

				19,747,199

		Government Guaranteed – 0.1%
	13,500,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)		10,848,889
		Government Owned - No Guarantee – 4.1%
	3,820,000	Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A		3,678,190
	37,780,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		40,681,126
	59,320,000	DP World Ltd., 6.850%, 7/02/2037, 144A		47,188,289
	101,460,000	Federal Home Loan Mortgage Corp., 2.125%, 9/21/2012		104,320,563
	111,280,000	Federal National Mortgage Association, 1.375%, 4/28/2011		112,164,787
	67,635,000	Federal National Mortgage Association, 1.625%, 4/15/2013		68,657,574
	15,500,000	Korea Gas Corp., 6.000%, 7/15/2014, 144A		16,794,545
	1,000,000	Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A		1,258,544

				394,743,618

		Government Sponsored – 1.0%
	67,635,000	Federal Home Loan Bank, 1.625%, 9/26/2012		68,767,751
	31,820,000	Queensland Treasury Corp., 7.125%, 9/18/2017, (NZD), 144A		23,743,880

				92,511,631

		Health Insurance – 0.8%
	5,455,000	CIGNA Corp., 6.150%, 11/15/2036		5,610,708
	1,355,000	CIGNA Corp., 6.350%, 3/15/2018		1,514,092
	1,603,000	CIGNA Corp., 7.875%, 5/15/2027		1,900,111
	3,650,000	CIGNA Corp., 8.500%, 5/01/2019		4,599,358
	1,200,000	CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d)		1,473,564
	24,830,000	UnitedHealth Group, Inc., 5.800%, 3/15/2036		24,959,935
	565,000	UnitedHealth Group, Inc., 6.500%, 6/15/2037		609,633
	4,556,000	UnitedHealth Group, Inc., 6.625%, 11/15/2037		5,007,932
	2,567,000	UnitedHealth Group, Inc., 6.875%, 2/15/2038		2,901,978
	24,190,000	WellPoint, Inc., 6.375%, 6/15/2037		26,107,807

				74,685,118

		Healthcare – 1.0%
	7,860,000	Boston Scientific Corp., 6.000%, 1/15/2020		7,803,620
	7,535,000	Covidien International Finance SA, 6.000%, 10/15/2017		8,744,104
	17,795,000	Express Scripts, Inc., 6.250%, 6/15/2014		20,147,784


Principal Amount (‡)		Description	Value (†)
		Healthcare – continued
$	10,730,000	Express Scripts, Inc., 7.250%, 6/15/2019	$	12,970,145
	9,480,000	HCA, Inc., 5.750%, 3/15/2014		8,816,400
	1,950,000	HCA, Inc., 6.250%, 2/15/2013		1,915,875
	3,810,000	HCA, Inc., 6.375%, 1/15/2015		3,557,587
	4,015,000	HCA, Inc., 6.500%, 2/15/2016		3,743,987
	365,000	HCA, Inc., 6.750%, 7/15/2013		357,700
	3,000,000	HCA, Inc., 7.050%, 12/01/2027		2,550,000
	2,290,000	HCA, Inc., 7.190%, 11/15/2015		2,038,100
	2,155,000	HCA, Inc., 7.500%, 12/15/2023		1,907,175
	1,310,000	HCA, Inc., 7.500%, 11/06/2033		1,120,050
	3,890,000	HCA, Inc., 7.690%, 6/15/2025		3,481,550
	4,255,000	HCA, Inc., 8.360%, 4/15/2024		3,957,150
	1,225,000	HCA, Inc., MTN, 7.580%, 9/15/2025		1,078,000
	3,135,000	HCA, Inc., MTN, 7.750%, 7/15/2036		2,672,588
	5,600,000	Medco Health Solutions, Inc., 7.125%, 3/15/2018		6,690,141
	2,305,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		2,321,326

				95,873,282

		Home Construction – 0.2%
	2,050,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		2,014,125
	2,601,000	Pulte Group, Inc., 5.200%, 2/15/2015		2,444,940
	9,400,000	Pulte Group, Inc., 6.000%, 2/15/2035		6,862,000
	3,645,000	Pulte Group, Inc., 6.375%, 5/15/2033		2,806,650
	3,605,000	Toll Brothers Finance Corp., 5.150%, 5/15/2015		3,533,571

				17,661,286

		Independent Energy – 0.8%
	15,680,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		12,473,111
	1,940,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		2,229,989
	600,000	QEP Resources, Inc., 6.050%, 9/01/2016		645,050
	48,640,000	QEP Resources, Inc., 6.800%, 4/01/2018		50,909,591
	2,585,000	Talisman Energy, Inc., 5.850%, 2/01/2037		2,686,833
	9,395,000	Talisman Energy, Inc., 6.250%, 2/01/2038		10,021,290

				78,965,864

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Industrial Other – 0.1%
$	5,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020	$	5,452,620
		Integrated Energy – 0.1%
	7,196,000	Marathon Oil Corp., 7.500%, 2/15/2019		8,623,326
	1,129,724	PF Export Receivables Master Trust, Series A, 6.436%, 6/01/2015, 144A		1,174,913

				9,798,239

		Life Insurance – 0.5%
	7,060,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		6,309,875
	2,080,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		1,846,000
	9,990,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		11,949,831
	9,260,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		9,137,342
	3,135,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		2,744,718
	14,805,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		14,507,005
	4,835,000	Unum Group, 7.125%, 9/30/2016		5,312,456

				51,807,227

		Local Authorities – 0.6%
	220,000	Alberta Municipal Funding Corp., 5.700%, 9/01/2011, (CAD)		217,107
	7,070,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		5,064,629
	23,219	Province of Alberta, 5.930%, 9/16/2016, (CAD)		24,530
	500,000	Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)		582,993
	30,440,000	Quebec Province, Series QC, 6.750%, 11/09/2015, (NZD)		22,136,584
	19,325,000	Queensland Treasury Corp., Series 11G, 6.000%, 6/14/2011, (AUD)		16,476,305
	19,580,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		16,929,401

				61,431,549

		Lodging – 0.4%
	13,575,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		13,170,058
	24,030,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020		24,651,175

				37,821,233

		Media Cable – 1.7%
	9,468,000	Comcast Corp., 5.650%, 6/15/2035		9,325,734
	2,595,000	Comcast Corp., 6.500%, 11/15/2035		2,822,075
	32,715,000	Comcast Corp., 6.950%, 8/15/2037		37,214,163
	18,220,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		17,674,196


Principal Amount (‡)			Description	Value (†)
			Media Cable – continued
$	4,190,000		Time Warner Cable, Inc., 5.850%, 5/01/2017	$	4,600,415
	79,880,000		Time Warner Cable, Inc., 6.750%, 7/01/2018		91,692,495

					163,329,078

			Media Non-Cable – 0.3%
	4,580,000		News America Holdings, 8.150%, 10/17/2036		5,612,804
	7,700,000		News America, Inc., 6.150%, 3/01/2037		8,030,553
	2,435,000		News America, Inc., 6.200%, 12/15/2034		2,564,586
	7,060,000		News America, Inc., 6.400%, 12/15/2035		7,683,666

					23,891,609

			Metals & Mining – 0.6%
	5,170,000		Alcoa, Inc., 5.870%, 2/23/2022		4,806,921
	5,625,000		Alcoa, Inc., 5.950%, 2/01/2037		4,791,341
	5,930,000		Alcoa, Inc., 6.750%, 1/15/2028		5,632,634
	3,250,000		Rio Tinto Alcan, Inc., 5.750%, 6/01/2035		3,332,518
	1,985,000		United States Steel Corp., 6.050%, 6/01/2017		1,885,750
	4,712,000		United States Steel Corp., 6.650%, 6/01/2037		4,052,320
	31,890,000		United States Steel Corp., 7.000%, 2/01/2018		31,531,237
	3,735,000		Vale Overseas Ltd., 6.875%, 11/21/2036		3,893,779

					59,926,500

			Mortgage Related – 0.0%
	138,352		FHLMC, 5.000%, 12/01/2031		147,267
	22,276		FNMA, 6.000%, 7/01/2029		24,676

					171,943

			Non-Captive Consumer – 1.9%
	5,000,000		American General Finance Corp., Series I, MTN, 5.400%, 12/01/2015		3,887,500
	89,585,000		American General Finance Corp., Series J, MTN, 6.900%, 12/15/2017		71,332,056
	25,000,000		HSBC Finance Corp., 6.375%, 11/27/2012		27,019,250
	63,775	(†††)	SLM Corp., 6.000%, 12/15/2043		1,069,985
	6,200,000		SLM Corp., EMTN, 4.750%, 3/17/2014, (EUR)		6,729,269
	6,480,000		SLM Corp., MTN, 5.050%, 11/14/2014		5,795,479
	355,000		SLM Corp., MTN, 5.125%, 8/27/2012		349,715
	655,000		SLM Corp., MTN, 8.000%, 3/25/2020		575,212
	4,900,000		SLM Corp., Series A, MTN, 0.616%, 1/27/2014(b)		4,039,731

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Captive Consumer – continued
$	9,425,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013	$	9,009,979
	6,690,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		5,753,761
	2,000,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		1,602,238
	6,275,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		6,084,918
	5,485,000	SLM Corp., Series A, MTN, 5.375%, 5/15/2014		5,015,265
	300,000	SLM Corp., Series A, MTN, 5.400%, 10/25/2011		298,224
	1,560,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		1,144,964
	31,335,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		28,916,283

				178,623,829

		Non-Captive Diversified – 2.8%
	1,345,000	Ally Financial, Inc., 6.000%, 12/15/2011		1,341,697
	1,310,000	Ally Financial, Inc., 6.625%, 5/15/2012		1,306,480
	1,670,000	Ally Financial, Inc., 6.750%, 12/01/2014		1,614,531
	1,500,000	Ally Financial, Inc., 6.875%, 9/15/2011		1,518,891
	400,000	Ally Financial, Inc., 6.875%, 8/28/2012		399,126
	1,210,000	Ally Financial, Inc., 7.000%, 2/01/2012		1,213,992
	3,142,000	Ally Financial, Inc., 7.500%, 12/31/2013		3,134,145
	5,664,000	Ally Financial, Inc., 8.000%, 12/31/2018		5,210,880
	2,335,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,145,667
	5,045,000	Ally Financial, Inc., EMTN, 5.375%, 6/06/2011, (EUR)		6,107,584
	380,000	Ally Financial, Inc., EMTN, 5.750%, 9/27/2010, (EUR)		461,198
	4,602,472	CIT Group, Inc., 7.000%, 5/01/2013		4,406,867
	6,903,711	CIT Group, Inc., 7.000%, 5/01/2014		6,506,748
	6,903,710	CIT Group, Inc., 7.000%, 5/01/2015		6,368,672
	11,506,193	CIT Group, Inc., 7.000%, 5/01/2016		10,499,401
	16,108,672	CIT Group, Inc., 7.000%, 5/01/2017		14,497,805
	36,465,000	GATX Corp., 4.750%, 10/01/2012		38,388,018
	7,730,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 5/15/2013, (AUD)		6,384,142
	1,915,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD)		1,448,366
	7,515,000	General Electric Capital Australia Funding Pty, EMTN, 8.000%, 2/13/2012, (AUD)		6,546,875


Principal Amount (‡)		Description	Value (†)
		Non-Captive Diversified – continued
$	990,000	General Electric Capital Corp., 5.625%, 5/01/2018	$	1,052,087
	915,000	General Electric Capital Corp., EMTN, 9.000%, 1/04/2011, (NZD)		639,967
	4,775,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		4,682,379
	14,535,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		10,176,478
	6,200,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		4,471,461
	13,400,000	General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD)		9,739,338
	37,650,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		27,218,957
	10,470,000	General Electric Capital Corp., Series A, MTN, 0.603%, 5/13/2024(b)		8,287,958
	17,060,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		18,209,588
	27,137,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		18,777,257
	2,285,000	International Lease Finance Corp., 5.000%, 9/15/2012		2,110,769
	6,660,000	International Lease Finance Corp., 5.125%, 11/01/2010		6,601,725
	16,795,000	International Lease Finance Corp., 6.375%, 3/25/2013		15,745,312
	560,000	International Lease Finance Corp., 8.625%, 9/15/2015, 144A		530,600
	655,000	International Lease Finance Corp., Series R, MTN, 5.550%, 9/05/2012		615,700
	2,755,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/15/2010		2,744,669
	1,505,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		1,358,262
	1,660,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		1,473,250
	5,225,000	iStar Financial, Inc., 5.150%, 3/01/2012		4,284,500
	330,000	iStar Financial, Inc., 5.500%, 6/15/2012		270,600
	3,700,000	iStar Financial, Inc., 5.650%, 9/15/2011		3,330,000
	765,000	iStar Financial, Inc., 5.800%, 3/15/2011		711,450
	385,000	iStar Financial, Inc., 5.850%, 3/15/2017		269,500
	1,605,000	iStar Financial, Inc., 5.875%, 3/15/2016		1,123,500
	745,000	iStar Financial, Inc., 6.050%, 4/15/2015		536,400

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Captive Diversified – continued
$	535,000	iStar Financial, Inc., 8.625%, 6/01/2013	$	433,350
	335,000	iStar Financial, Inc., Series B, 5.125%, 4/01/2011		308,200
	254,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		187,325
	5,680,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		4,487,200

				269,878,867

		Oil Field Services – 1.1%
	6,095,000	Nabors Industries, Inc., 6.150%, 2/15/2018		6,535,175
	47,720,000	Nabors Industries, Inc., 9.250%, 1/15/2019		58,669,163
	23,846,000	Rowan Cos., Inc., 7.875%, 8/01/2019		26,270,685
	600,000	Transocean Ltd., 7.375%, 4/15/2018		569,217
	5,905,000	Weatherford International Ltd., 6.500%, 8/01/2036		5,350,946
	1,680,000	Weatherford International Ltd., 6.800%, 6/15/2037		1,579,625
	5,405,000	Weatherford International Ltd., 7.000%, 3/15/2038		5,114,746

				104,089,557

		Paper – 1.8%
	4,460,000	Celulosa Arauco y Constitucion SA, 7.250%, 7/29/2019		5,161,808
	575,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		567,812
	2,460,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		2,472,300
	285,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		287,850
	1,340,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		1,420,400
	1,365,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,484,437
	6,295,000	International Paper Co., 5.250%, 4/01/2016		6,652,499
	84,958,000	International Paper Co., 7.950%, 6/15/2018		101,150,230
	7,777,000	International Paper Co., 8.700%, 6/15/2038		9,919,626
	5,385,000	Mead Corp. (The), 7.550%, 3/01/2047		4,827,152
	22,860,000	Weyerhaeuser Co., 6.875%, 12/15/2033		21,400,778
	7,535,000	Weyerhaeuser Co., 7.375%, 10/01/2019		7,962,250
	11,895,000	Weyerhaeuser Co., 7.375%, 3/15/2032		11,751,177

				175,058,319

		Pharmaceuticals – 1.1%
	2,280,000	Elan Finance PLC/Elan Finance Corp., 8.875%, 12/01/2013		2,285,700
	90,000,000	Roche Holdings, Inc., 5.000%, 3/01/2014, 144A		99,835,200


Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals – continued
$	500,000	Schering-Plough Corp., 5.300%, 12/01/2013	$	560,882

				102,681,782

		Pipelines – 3.3%
	5,350,000	CenterPoint Energy Resources Corp., 6.250%, 2/01/2037		5,663,408
	2,010,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		2,044,638
	2,470,000	El Paso Corp., 6.950%, 6/01/2028		2,211,381
	1,000,000	El Paso Corp., 12.000%, 12/12/2013		1,152,500
	540,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		561,501
	1,605,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		1,540,323
	9,455,000	Enterprise Products Operating LLP, 6.300%, 9/15/2017		10,576,590
	3,400,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		3,978,813
	4,390,000	Kinder Morgan Energy Partners LP, 5.800%, 3/15/2035		4,142,615
	82,600,000	Kinder Morgan Energy Partners LP, 5.950%, 2/15/2018		89,211,139
	310,000	Kinder Morgan Finance Co., 5.700%, 1/05/2016		296,050
	31,770,032	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		34,951,165
	9,080,000	NGPL PipeCo LLC, 6.514%, 12/15/2012, 144A		9,041,837
	31,430,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		29,976,520
	4,665,000	ONEOK Partners LP, 6.650%, 10/01/2036		4,785,273
	10,115,000	Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017		10,411,400
	48,630,000	Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018		52,130,193
	1,435,000	Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019		1,605,749
	2,130,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,312,047
	16,025,000	Plains All American Pipeline LP, 6.500%, 5/01/2018		17,636,714
	4,595,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		4,589,196
	4,215,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		4,465,637
	20,000,000	Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A		22,794,200

				316,078,889

		Property & Casualty Insurance – 0.8%
	3,150,000	Hanover Insurance Group, Inc., 7.500%, 3/01/2020		3,402,636
	3,460,000	Marsh & McLennan Cos., Inc., 5.375%, 7/15/2014		3,657,615
	12,652,000	Marsh & McLennan Cos., Inc., 5.750%, 9/15/2015		13,532,162
	31,010,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		28,918,065

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Property & Casualty Insurance – continued
$	965,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A	$	434,250
	2,950,000	White Mountains RE Group, 6.375%, 3/20/2017, 144A		2,953,142
	4,830,000	Willis North America, Inc., 6.200%, 3/28/2017		5,027,677
	13,815,000	Willis North America, Inc., 7.000%, 9/29/2019		14,832,572
	2,260,000	XL Capital Ltd., 6.250%, 5/15/2027		2,142,674
	1,495,000	XL Capital Ltd., 6.375%, 11/15/2024		1,543,942

				76,444,735

		Railroads – 0.2%
	2,390,000	Canadian Pacific Railway Co., 5.750%, 3/15/2033		2,400,636
	10,000,000	Canadian Pacific Railway Co., 7.250%, 5/15/2019		11,907,060
	4,471,000	CSX Corp., MTN, 6.000%, 10/01/2036		4,792,089
	243,000	Missouri Pacific Railroad Co., 4.750%, 1/01/2030(c)		210,438
	1,738,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		1,233,980
	195,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		179,595

				20,723,798

		Refining – 0.0%
	3,740,000	Valero Energy Corp., 6.625%, 6/15/2037		3,641,429

		REITs – 2.8%
	12,510,000	Camden Property Trust, 5.000%, 6/15/2015		12,902,139
	16,850,000	Camden Property Trust, 5.700%, 5/15/2017		17,548,955
	1,153,000	Colonial Realty LP, 4.800%, 4/01/2011		1,136,888
	4,230,000	Duke Realty LP, 5.950%, 2/15/2017		4,317,997
	20,000,000	Duke Realty LP, 6.500%, 1/15/2018		21,276,040
	5,000,000	Equity One, Inc., 6.000%, 9/15/2017		5,087,290
	1,010,000	ERP Operating LP, 5.125%, 3/15/2016		1,063,174
	1,800,000	ERP Operating LP, 5.375%, 8/01/2016		1,932,883
	2,420,000	ERP Operating LP, 5.750%, 6/15/2017		2,607,562
	1,960,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		2,093,368
	10,500,000	First Industrial LP, 5.950%, 5/15/2017		9,821,112
	21,270,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		21,220,632
	11,552,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		12,419,059
	3,957,000	ProLogis, 5.625%, 11/15/2015		3,794,767


Principal Amount (‡)			Description	Value (†)
			REITs – continued
$	11,422,000		ProLogis, 5.625%, 11/15/2016	$	10,737,959
	11,126,000		ProLogis, 5.750%, 4/01/2016		10,589,994
	9,909,000		ProLogis, 6.625%, 5/15/2018		9,441,107
	19,280,000		ProLogis, 7.375%, 10/30/2019		18,882,292
	32,075,000		Realty Income Corp., 6.750%, 8/15/2019		35,398,579
	2,480,000		Simon Property Group LP, 5.250%, 12/01/2016		2,640,962
	2,040,000		Simon Property Group LP, 5.300%, 5/30/2013		2,194,654
	12,475,000		Simon Property Group LP, 5.750%, 12/01/2015		13,714,491
	1,930,000		Simon Property Group LP, 5.875%, 3/01/2017		2,086,648
	4,155,000		Simon Property Group LP, 6.100%, 5/01/2016		4,611,797
	36,980,000		WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		41,101,606

					268,621,955

			Restaurants – 0.1%
	10,545,000		Darden Restaurants, Inc., 6.000%, 8/15/2035		10,695,309
	1,000,000		McDonald’s Corp., EMTN, 3.628%, 10/10/2010, (SGD)		719,430

					11,414,739

			Retailers – 0.6%
	8,170,000		J.C. Penney Corp., Inc., 5.750%, 2/15/2018		8,190,425
	8,316,000		J.C. Penney Corp., Inc., 6.375%, 10/15/2036		7,858,620
	12,000		J.C. Penney Corp., Inc., 7.125%, 11/15/2023		12,660
	8,845,000		J.C. Penney Corp., Inc., 7.625%, 3/01/2097		8,225,850
	13,717,000		Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		12,893,980
	10,695,000		Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		9,866,137
	2,750,000		Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,646,875
	8,240,000		Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		8,639,772

					58,334,319

			Sovereigns – 2.1%
	438,500	(††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		3,511,580
	4,200,900	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		34,596,469
	380,000	(††)	Mexican Fixed Rate Bonds, Series MI-10, 9.000%, 12/20/2012, (MXN)		3,182,961
	29,165,000		New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010, (AUD)		24,773,511

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	Sovereigns – continued
31,140,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)	$	26,784,099
18,320,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		15,518,847
24,705,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		13,806,742
6,285,000	Republic of Brazil, 12.500%, 1/05/2022, (BRL)		3,943,359
53,700,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		56,215,737
793,200,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		3,993,301
680,815,000	Republic of Iceland, 8.000%, 7/22/2011, (ISK)		3,284,125
1,512,832,000	Republic of Iceland, 13.750%, 12/10/2010, (ISK)		7,357,289

			196,968,020

	Supermarkets – 0.2%
4,220,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		3,259,950
3,340,000	Kroger Co., 6.400%, 8/15/2017		3,887,757
1,900,000	New Albertson’s, Inc., 7.450%, 8/01/2029		1,577,000
1,000,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		730,000
11,100,000	Safeway, Inc., 6.350%, 8/15/2017		12,811,353

			22,266,060

	Supranational – 1.3%
196,541,400,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, (IDR), 144A		17,919,632
28,694,000	European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD)		20,488,584
336,380,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		29,300,127
418,960,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		35,416,332
13,265,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		9,392,010
15,400,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		11,044,749

			123,561,434

	Technology – 3.3%
8,895,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		9,824,118
4,700,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		3,102,000
2,035,000	Arrow Electronics, Inc., 6.875%, 7/01/2013		2,246,251
1,050,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		1,159,665
8,160,000	Avnet, Inc., 5.875%, 3/15/2014		8,841,605


Principal Amount (‡)		Description	Value (†)
		Technology – continued
$	6,230,000	Avnet, Inc., 6.000%, 9/01/2015	$	6,750,822
	1,540,000	Avnet, Inc., 6.625%, 9/15/2016		1,714,685
	12,715,000	BMC Software, Inc., 7.250%, 6/01/2018(c)		15,193,026
	13,750,000	Corning, Inc., 6.750%, 9/15/2013		15,540,869
	1,480,000	Corning, Inc., 6.850%, 3/01/2029		1,659,172
	58,825,000	Corning, Inc., 7.000%, 5/15/2024		67,298,741
	7,650,000	Corning, Inc., 7.250%, 8/15/2036		8,563,800
	56,440,000	Dun & Bradstreet Corp. (The), 6.000%, 4/01/2013		61,619,386
	7,205,000	Equifax, Inc., 7.000%, 7/01/2037		7,945,436
	330,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		264,000
	7,965,000	Intuit, Inc., 5.750%, 3/15/2017		8,750,094
	34,815,000	KLA-Tencor Corp., 6.900%, 5/01/2018		38,947,366
	7,559,000	Motorola, Inc., 6.500%, 9/01/2025		7,526,489
	6,355,000	Motorola, Inc., 6.500%, 11/15/2028		6,412,812
	11,650,000	Motorola, Inc., 6.625%, 11/15/2037		11,963,886
	1,625,000	Motorola, Inc., 8.000%, 11/01/2011		1,744,152
	2,628,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		3,052,493
	5,725,000	Tyco Electronics Group SA, 6.550%, 10/01/2017		6,574,659
	11,189,000	Xerox Capital Trust I, 8.000%, 2/01/2027		11,249,230
	573,000	Xerox Corp., 6.350%, 5/15/2018		639,144
	7,265,000	Xerox Corp., 6.750%, 2/01/2017		8,175,377

				316,759,278

		Textile – 0.2%
	3,837,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023		4,188,492
	15,228,000	VF Corp., 6.450%, 11/01/2037		17,165,702

				21,354,194

		Tobacco – 0.2%
	2,175,000	Altria Group, Inc., 9.700%, 11/10/2018		2,754,377
	8,305,000	Reynolds American, Inc., 6.750%, 6/15/2017		8,997,537
	2,035,000	Reynolds American, Inc., 7.250%, 6/15/2037		2,093,655

				13,845,569

		Transportation Services – 0.7%
	8,620,000	Erac USA Finance Co., 6.375%, 10/15/2017, 144A		9,703,353

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Transportation Services – continued
$	2,885,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A	$	3,075,202
	52,626,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		57,346,500

				70,125,055

		Treasuries – 19.8%
	154,833,000	Canadian Government, 1.000%, 9/01/2011, (CAD)		145,117,304
	10,865,000	Canadian Government, 1.250%, 12/01/2011, (CAD)		10,218,438
	367,850,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		348,914,130
	26,235,000	Canadian Government, 2.750%, 12/01/2010, (CAD)		24,852,706
	39,109,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		38,452,867
	229,170,000	Canadian Government, 3.750%, 6/01/2012, (CAD)		224,845,144
	198,720,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		197,469,308
	4,250,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		4,305,693
	187,955,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		193,431,834
	310,490,000	Canadian Government, 5.250%, 6/01/2012, (CAD)		312,904,971
	1,883,552	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		945,226
	12,530,000	New Zealand Government, 6.000%, 12/15/2017, (NZD)		9,050,001
	211,235,000	New Zealand Government, 6.500%, 4/15/2013, (NZD)		153,627,114
	742,220,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		123,991,770
	120,965,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		20,696,795
	199,940,000	Norwegian Government, 6.000%, 5/16/2011, (NOK)		31,716,102
	324,595,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		55,596,361

				1,896,135,764

		Wireless – 0.8%
	32,100,000	Cellco Partnership/Verizon Wireless Capital LLC, 8.500%, 11/15/2018		41,734,462
	8,650,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		8,217,500
	1,220,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		1,181,875
	15,710,000	Nextel Communications, Inc., Series F, 5.950%, 3/15/2014		14,571,025
	6,512,000	Sprint Capital Corp., 6.875%, 11/15/2028		5,404,960
	1,800,000	Sprint Capital Corp., 6.900%, 5/01/2019		1,629,000
	625,000	Sprint Capital Corp., 8.750%, 3/15/2032		596,875
	93,000	Sprint Nextel Corp., 6.000%, 12/01/2016		83,468
	500,000	True Move Co. Ltd., 10.750%, 12/16/2013, 144A		491,250


Principal Amount (‡)		Description	Value (†)
		Wireless – continued
$	1,654,000	Vodafone Group PLC, 5.000%, 9/15/2015	$	1,787,484

				75,697,899

		Wirelines – 3.8%
	19,610,000	AT&T Corp., 6.500%, 3/15/2029		21,012,644
	395,000	AT&T, Inc., 6.500%, 9/01/2037		438,114
	415,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		443,220
	3,250,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		3,046,308
	1,915,000	BellSouth Corp., 6.000%, 11/15/2034		1,978,699
	3,000,000	BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		2,906,670
	6,810,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		7,545,650
	2,460,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,332,097
	134,165,000	Deutsche Telekom International Finance BV, 6.000%, 7/08/2019		148,376,428
	3,350,000	GTE Corp., 6.940%, 4/15/2028		3,685,466
	65,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		56,225
	560,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		508,200
	2,700,000	New England Telephone & Telegraph, 7.875%, 11/15/2029		3,150,087
	1,735,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,630,900
	2,815,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		2,378,675
	4,465,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		4,197,100
	970,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		897,250
	340,000	Qwest Corp., 6.500%, 6/01/2017		342,550
	14,795,000	Qwest Corp., 6.875%, 9/15/2033		13,574,412
	890,000	Qwest Corp., 7.200%, 11/10/2026		832,150
	1,265,000	Qwest Corp., 7.250%, 9/15/2025		1,214,400
	4,295,000	Qwest Corp., 7.250%, 10/15/2035		3,940,663
	1,600,000	Qwest Corp., 7.500%, 6/15/2023		1,532,000
	17,170,000	Telecom Italia Capital SA, 4.875%, 10/01/2010		17,297,058
	11,215,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		9,608,283
	4,180,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		3,743,094
	14,445,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		14,054,210
	55,855,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		52,970,824

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Wirelines – continued
$	2,421,000	Verizon Communications, Inc., 5.850%, 9/15/2035	$	2,497,312
	3,676,000	Verizon Communications, Inc., 6.100%, 4/15/2018		4,173,282
	7,449,000	Verizon Maryland, Inc., 5.125%, 6/15/2033		6,588,194
	14,540,000	Verizon New England, Inc., 6.500%, 9/15/2011		15,355,665
	7,047,000	Verizon New York, Inc., Series B, 7.375%, 4/01/2032		7,968,818
	5,375,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		5,319,181

				365,595,829

		Total Non-Convertible Bonds (Identified Cost $8,200,886,873)		8,937,689,055

	Convertible Bonds – 2.7%
		Automotive – 0.4%
	35,585,000	Ford Motor Co., 4.250%, 11/15/2016		44,347,806

		Media Non-Cable – 0.0%
	532,704	Liberty Media LLC, 3.500%, 1/15/2031		291,655

		Non-Captive Diversified – 0.1%
	9,920,000	iStar Financial, Inc., 0.791%, 10/01/2012(b)		7,142,400

		Oil Field Services – 0.1%
	505,000	Transocean, Inc., Series B, 1.500%, 12/15/2037		448,188
	7,050,000	Transocean, Inc., Series C, 1.500%, 12/15/2037		5,833,875

				6,282,063

		REITs – 0.3%
	1,400,000	ERP Operating LP, 3.850%, 8/15/2026		1,410,500
	10,673,000	ProLogis, 1.875%, 11/15/2037		9,579,018
	27,955,000	ProLogis, 3.250%, 3/15/2015		24,984,781

				35,974,299

		Technology – 1.6%
	1,405,000	Intel Corp., 2.950%, 12/15/2035		1,334,750
	140,000,000	Intel Corp., 3.250%, 8/01/2039, 144A		157,675,000

				159,009,750

		Wireless – 0.1%
	5,200,000	NII Holdings, Inc., 3.125%, 6/15/2012		4,907,500

		Wirelines – 0.1%
	2,735,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		2,495,688
	230,000	Level 3 Communications, Inc., 5.250%, 12/15/2011		220,225
	2,990,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		2,896,562

				5,612,475

		Total Convertible Bonds (Identified Cost $241,727,238)		263,567,948


Principal Amount (‡)		Description	Value (†)
	Municipals – 0.5%
		California – 0.1%
$	1,305,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028	$	1,037,671
	480,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028		404,520
	1,620,000	State of California, (AMBAC insured), 4.500%, 8/01/2027		1,489,169
	4,515,000	State of California, 4.500%, 10/01/2029		4,030,902
	1,315,000	State of California, (AMBAC insured), 4.500%, 8/01/2030		1,170,034
	1,135,000	State of California, 4.500%, 8/01/2030		1,009,878
	840,000	State of California (Various Purpose), (MBIA insured), 3.250%, 12/01/2027		654,662
	3,965,000	State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033		3,433,848

				13,230,684

		District of Columbia – 0.2%
	15,000,000	Metropolitan Washington Airports Authority, 7.462%, 10/01/2046		16,356,900

		Illinois – 0.0%
	540,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		507,568

		Michigan – 0.0%
	2,585,000	Michigan Tobacco Settlement Finance Authority, 7.309%, 6/01/2034(c)		1,979,076

		Ohio – 0.1%
	6,570,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c)		4,700,375

		Virginia – 0.1%
	14,550,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		9,820,522

		Total Municipals (Identified Cost $52,267,669)		46,595,125

		Total Bonds and Notes (Identified Cost $8,494,881,780)		9,247,852,128

	Bank Loans – 0.2%
		Airlines – 0.2%
	18,000,000	AWAS Capital, Inc., New 1st Lien Term Loan, 7.750%, 5/12/2016(e) (Identified Cost $17,464,720)		17,820,000

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 2.7%
$	253,442,781	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2009 at 0.000% to be repurchased at $253,442,781 on 7/01/2010 collateralized by $660,000 Federal Home Loan Bank, 1.750% due 12/14/2012 valued at $672,375; $4,880,000 Federal Home Loan Bank, 1.000% due 12/28/2011 valued at $4,916,600; $11,645,000 Federal Home Loan Bank, 0.540% due 5/24/2011 valued at $11,659,345; $194,710,000 Federal Home Loan Bank, 0.540% due 5/27/2011 valued at $ 194,953,388; $12,070,000 Federal Home Loan Bank, 0.550% due 5/27/2011 valued at $12,070,000; $330,000 Federal Home Loan Bank, 0.580% due 6/1/2011 valued at $ 330,412; $33,020,000 Federal National Mortgage Association, 1.750% due 7/19/2012 valued at $33,308,925; $560,000 Federal National Mortgage Association, 6.000% due 3/09/2020 valued at $602,700 including accrued interest(f) (Identified Cost $253,442,781)		253,442,781

		Total Investments - 99.2% (Identified Cost $8,765,789,281)(a)		9,519,114,909
		Other assets less liabilities — 0.8%		81,295,665

		Net Assets — 100.0%	$	9,600,410,574

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

(†)

(††)	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 made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At June 30, 2010, the net unrealized appreciation on investments based on a cost of $8,793,477,306 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	$	818,124,245
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(92,486,642	)

Net unrealized appreciation	$	725,637,603

At September 30, 2009, the Fund had a capital loss carryforward of $1,891,321 which expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $3,774,568. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of June 30, 2010 is disclosed.

(c)	Illiquid security. At June 30, 2010, the value of these securities amounted to $198,960,540 or 2.1% of net assets.

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

(e)	Variable rate security. Rate shown represents the weighted average rate at June 30, 2010.

(f)

144A

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)

Fair Value Measurements

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2010, at value:

LOOMIS SAYLES INVESTMENT GRADE BOND FUND - PORTFOLIO OF INVESTMENTS (continued)

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2010:

Securities valued at $80,704,242 were transferred from Level 3 to Level 2 during the period ended June 30, 2010. At September 30, 2009, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at June 30, 2010, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service.

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

Industry Summary at June 30, 2010 (Unaudited)


Treasuries	19.8	%
Banking	9.3
Technology	4.9
Government Owned - No Guarantee	4.1
Wirelines	3.9
Commercial Mortgage-Backed Securities	3.6
Airlines	3.4
Pipelines	3.3
Electric	3.2
REITs	3.1
Non-Captive Diversified	2.9
ABS Other	2.2
Sovereigns	2.1
Other Investments, less than 2% each	30.7
Short-Term Investments	2.7

Total Investments	99.2
Other assets less liabilities	0.8

Net Assets	100.0	%

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND — PORTFOLIO OF INVESTMENTS


Principal Amount		Description	Value (†)
	Bonds and Notes — 95.7% of Net Assets
		ABS Car Loan — 2.1%
$	1,376,544	ARI Fleet Lease Trust, Series 2010-A, Class A, 144A, 1.800%, 8/15/2018(b)	$	1,376,507
	369,925	Merrill Auto Trust Securitization, Series 2008-1, Class 3A3, 5.500%, 3/15/2012		376,775
	3,245,000	Navistar Financial Dealer Note Master Trust, Series 2010-1, Class A, 144A, 1.997%, 1/26/2015(b)		3,244,859
	1,810,000	Nissan Master Owner Trust Receivables, Series 2010-AA, Class A, 144A, 1.500%, 1/15/2015(b)		1,814,463
	266,405	USAA Auto Owner Trust, Series 2008-3, Class A3, 4.280%, 10/15/2012		271,043

				7,083,647

		ABS Credit Card — 0.3%
	985,000	American Express Credit Account Master, Series 2004-2, Class A, 0.520%, 12/15/2016(b)		976,502

		ABS Home Equity — 0.6%
	780,305	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		685,393
	568,703	Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 5.700%, 1/25/2028		539,583
	660,000	Residential Funding Mortgage Securities II, Series 2005-HI3, Class A4, 5.490%, 9/25/2035		630,344

				1,855,320

		Collateralized Mortgage Obligations — 0.2%
	618,603	Federal Home Loan Mortgage Corp., Series 2901, Class UA, 5.000%, 1/15/2030		645,679
	47,537	Federal Home Loan Mortgage Corp., Series 3145, Class KA, 5.000%, 8/15/2024		48,428

				694,107

		Commercial Mortgage-Backed Securities — 13.0%
	1,500,000	Banc of America Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		1,517,756
	2,000,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		1,959,536
	360,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		366,903


Principal Amount		Description	Value (†)
		Commercial Mortgage-Backed Securities — continued
$	1,470,000	Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.091%, 12/10/2049(b)	$	1,509,917
	3,200,500	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		3,108,497
	1,400,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.768%, 6/10/2046(b)		1,488,531
	2,670,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, 5.825%, 6/15/2038(b)		2,823,370
	825,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		787,701
	1,610,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.722%, 6/15/2039(b)		1,534,538
	2,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.830%, 9/15/2039(b)		1,900,252
	3,500,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		3,323,238
	1,500,000	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.888%, 7/10/2038(b)		1,567,924
	3,000,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		3,005,478
	1,860,000	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A4, 5.553%, 4/10/2038		1,913,782
	1,140,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		1,156,743
	2,785,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		2,781,432
	3,000,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		2,931,797
	3,639,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		3,481,696
	2,720,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		2,623,710
	1,500,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.880%, 6/11/2049(b)		1,523,397
	815,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A4, 5.418%, 1/15/2045		849,831

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount		Description	Value (†)
		Commercial Mortgage-Backed Securities — continued
$	1,410,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048	$	1,458,848

				43,614,877

		Government Guaranteed — 1.3%
	2,340,000	US Central Federal Credit Union, (FDIC insured), 1.900%, 10/19/2012		2,388,272
	1,800,000	West Corp. Federal Credit Union, (FDIC insured), 1.750%, 11/02/2012		1,829,993

				4,218,265

		Government Owned - No Guarantee — 22.4%
	5,100,000	Federal Home Loan Mortgage Corp., 0.271%, 2/02/2012(b)		5,093,146
	16,000,000	Federal Home Loan Mortgage Corp., 1.625%, 4/26/2011		16,157,904
	11,920,000	Federal Home Loan Mortgage Corp., 2.125%, 3/23/2012		12,214,531
	1,600,000	Federal Home Loan Mortgage Corp., 4.125%, 10/18/2010		1,618,549
	17,760,000	Federal Home Loan Mortgage Corp., 4.125%, 12/21/2012		19,170,321
	6,500,000	Federal National Mortgage Association, 1.250%, 6/22/2012		6,561,925
	5,000,000	Federal National Mortgage Association, 1.750%, 3/23/2011		5,048,725
	8,265,000	Federal National Mortgage Association, 4.750%, 11/19/2012		9,008,214

				74,873,315

		Government Sponsored — 5.0%
	6,800,000	Federal Home Loan Bank, 1.125%, 6/03/2011		6,842,684
	5,000,000	Federal Home Loan Bank, 1.625%, 7/27/2011		5,060,045
	3,000,000	Federal Home Loan Bank, 3.375%, 10/20/2010		3,028,626
	1,700,000	Federal Home Loan Bank, 3.625%, 9/16/2011		1,765,390

				16,696,745

		Hybrid ARMs — 0.3%
	1,001,620	FNMA, 5.947%, 2/01/2037(b)		1,072,840

		Mortgage Related — 21.7%
	9,748,745	FHLMC, 4.500%, with various maturities from 2025 to 2034(c)		10,286,198
	2,699,404	FHLMC, 5.500%, 10/01/2023		2,917,946
	3,578,934	FHLMC 6.000%, with various maturities from 2019 to 2021(c)		3,900,009
	5,403,358	FHLMC 6.500%, with various maturities from 2014 to 2034(c)		5,947,686


Principal Amount		Description	Value (†)
		Mortgage Related — continued
$	145,987	FHLMC, 7.000%, 2/01/2016	$	158,219
	13,168	FHLMC 7.500%, with various maturities from 2012 to 2026(c)		14,122
	9,641	FHLMC, 8.000%, 9/01/2015		10,544
	4,033	FHLMC, 10.000%, 7/01/2019		4,608
	116,418	FHLMC 11.500%, with various maturities from 2015 to 2020(c)		122,859
	8,242,887	FNMA 4.000%, with various maturities from 2018 to 2019(c)		8,714,339
	9,890,724	FNMA, 4.500%, with various maturities from 2019 to 2025(c)		10,461,056
	8,281,986	FNMA 5.500%, with various maturities from 2017 to 2033(c)		8,956,934
	14,358,513	FNMA 6.000%, with various maturities from 2017 to 2022(c)		15,651,863
	3,633,412	FNMA 6.500%, with various maturities from 2017 to 2037(c)		4,001,364
	180,952	FNMA, 7.000%, 12/01/2022		199,932
	337,902	FNMA 7.500%, with various maturities from 2015 to 2032(c)		381,745
	50,029	FNMA 8.000%, with various maturities from 2015 to 2016(c)		54,766
	82,814	GNMA, 6.000%, 12/15/2031		91,646
	284,026	GNMA, 6.500%, 5/15/2031		318,207
	283,759	GNMA, 7.000%, 10/15/2028		322,322
	2,029	GNMA, 12.500%, 6/15/2014		2,308
	27,127	GNMA 16.000%, with various maturities from 2011 to 2012(c)		29,699
	7,557	GNMA 17.000%, with various maturities in 2011(c)		8,053

				72,556,425

		Treasuries — 28.8%
	31,100,000	U.S. Treasury Note, 0.875%, 5/31/2011		31,248,222
	20,425,000	U.S. Treasury Note, 1.000%, 9/30/2011		20,565,422
	39,000,000	U.S. Treasury Note, 1.375%, 9/15/2012		39,594,126

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount		Description	Value (†)
		Treasuries — continued
$	2,915,000	U.S. Treasury Note, 1.500%, 10/31/2010	$	2,927,526
	1,925,000	U.S. Treasury Note, 2.750%, 7/31/2010		1,929,060

				96,264,356

		Total Bonds and Notes (Identified Cost $310,110,985)		319,906,399

	Short-Term Investments — 2.9%
	9,615,167	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2010 at 0.000% to be repurchased at $9,615,167 on 7/01/2010, collateralized by $9,800,000 Federal National Mortgage Association, 2.000% due 12/16/2013 valued at $9,812,250 including accrued interest(d) (Identified Cost $9,615,167)		9,615,167

		Total Investments — 98.6% (Identified Cost $319,726,152)(a)		329,521,566
		Other assets less liabilities—1.4%		4,692,416

		Net Assets — 100.0%	$	334,213,982

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional size-trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. 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 a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND — PORTFOLIO OF INVESTMENTS (continued)

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At June 30, 2010, the net unrealized appreciation on investments based on a cost of $319,995,978 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	9,786,221
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(260,633	)

Net unrealized appreciation	$	9,525,588

At September 30, 2009, the Fund had a capital loss carryforward of $5,862,894 of which $1,425,832 expires on September 30, 2014; $4,336,746 expires on September 30, 2015 and $100,316 expires on September 30, 2016. At September 30, 2009 post-October capital loss deferrals were $83,587. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Variable rate security. Rate as of June 30, 2010 is disclosed.

(c)

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

(d)

144A	Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2010, the value of these securities amounted to $6,435,829 or 1.9% of net assets.

ABS	Asset-Backed Securities

ARMs	Adjustable Rate Mortgages

FDIC	Federal Deposit Insurance Corporation

FHLMC

Federal Home Loan Mortgage Corporation

FNMA	Federal National Mortgage Association

GNMA	Government National Mortgage Association

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.

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND — PORTFOLIO OF INVESTMENTS (continued)

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2010, at value

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2010:


Shares	Description	Value (†)
Common Stocks – 97.5% of Net Assets
	Aerospace & Defense – 2.5%
12,354	Boeing Co.(b)	$	775,214

	Beverages – 6.0%
9,150	Brown-Forman Corp., Class B(b)		523,655
19,772	Dr Pepper Snapple Group, Inc.		739,275
9,782	PepsiCo, Inc.		596,213

			1,859,143

	Biotechnology – 2.0%
11,863	Amgen, Inc.(c)		623,994

	Commercial Banks – 1.8%
21,654	Wells Fargo & Co.		554,342

	Communications Equipment – 1.4%
6,220	F5 Networks, Inc.(b)(c)		426,505

	Computers & Peripherals – 6.0%
4,973	Apple, Inc.(b)(c)		1,250,859
15,637	NetApp, Inc.(c)		583,416

			1,834,275

	Consumer Finance – 3.7%
28,913	American Express Co.(b)		1,147,846

	Diversified Financial Services – 8.4%
65,514	Bank of America Corp.		941,436
2,375	CME Group, Inc., Class A(b)		668,681
26,896	JPMorgan Chase & Co.(b)		984,663

			2,594,780

	Diversified Telecommunication Services – 1.7%
97,974	Qwest Communications International, Inc.		514,364

	Energy Equipment & Services – 1.8%
22,504	Halliburton Co.(b)		552,473

	Health Care Providers & Services – 1.8%
11,550	Express Scripts, Inc.(b)(c)		543,081

	Household Durables – 2.1%
7,383	Whirlpool Corp.(b)		648,375

	Household Products – 2.7%
14,040	Procter & Gamble Co. (The)		842,119

	Industrial Conglomerates – 6.1%
9,784	3M Co.(b)		772,838
77,296	General Electric Co.		1,114,609

			1,887,447

	Insurance – 2.5%
34,821	Unum Group(b)		755,616

	IT Services – 4.2%
10,516	International Business Machines Corp.		1,298,516

	Life Sciences Tools & Services – 2.3%
14,463	Thermo Fisher Scientific, Inc.(b)(c)		709,410

	Machinery – 2.0%
11,201	Parker Hannifin Corp.		621,207

	Media – 4.7%
27,412	DIRECTV, Class A(c)		929,815
14,132	Discovery Communications, Inc., Class A(c)		504,654

			1,434,469

	Multi - Utilities – 1.7%
35,899	CMS Energy Corp.		525,920

	Multiline Retail – 2.6%
19,352	Dollar Tree, Inc.(b)(c)		805,603


Shares		Description	Value (†)
		Oil, Gas & Consumable Fuels – 9.0%
	19,549	Chevron Corp.	$	1,326,595
	64,801	El Paso Corp.		719,939
	7,438	EOG Resources, Inc.(b)		731,676

				2,778,210

		Paper & Forest Products – 2.2%
	30,238	International Paper Co.(b)		684,286

		Personal Products – 1.4%
	7,486	Estee Lauder Cos., Inc. (The), Class A(b)		417,195

		Pharmaceuticals – 5.6%
	10,291	Allergan, Inc.		599,554
	35,491	Mylan, Inc.(c)		604,766
	8,612	Perrigo Co.(b)		508,711

				1,713,031

		Semiconductors & Semiconductor Equipment – 5.1%
	56,329	Intel Corp.(b)		1,095,599
	29,812	Marvell Technology Group Ltd.(b)(c)		469,837

				1,565,436

		Software – 4.0%
	57,974	Oracle Corp.		1,244,122

		Specialty Retail – 2.2%
	35,056	Gap, Inc. (The)		682,190

		Total Common Stocks (Identified Cost $31,620,086)		30,039,169

Principal Amount
	Short-Term Investments – 3.0%
$	906,337	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2010 at 0.000% to be repurchased at $906,337 on 7/01/2010 collateralized by $920,000 Federal Home Loan Bank, 1.000% due 12/28/2011 valued at $926,900 including accrued interest(d) (Identified Cost $906,337)		906,337

		Total Investments - 100.5% (Identified Cost $32,526,423)(a)		30,945,506
		Other assets less liabilities — (0.5)%		(138,936	)

		Net Assets — 100.0%	$	30,806,570


Contracts
	Call Options Written – (0.2%)
	32	3M Co. expiring August 21, 2010 at 85(e)		(3,488	)
	96	American Express Co. expiring August 21, 2010 at 45(e)		(6,720	)
	11	Apple, Inc. expiring July 17, 2010 at 290(e)		(462	)
	122	Boeing Co. expiring August 21, 2010 at 72.50(e)		(6,893	)
	46	Brown-Forman Corp., Class B expiring July 17, 2010 at 60(e)		(1,150	)
	8	CME Group, Inc., Class A expiring August 21, 2010 at 330(e)		(1,940	)

LOOMIS SAYLES DISCIPLINED EQUITY FUND - PORTFOLIO OF INVESTMENTS (continued)


Contracts	Description	Value (†)
	Call Options Written – continued
34	Dollar Tree, Inc. expiring August 21, 2010 at 43.33(e)	$	(5,355	)
34	Dollar Tree, Inc. expiring August 21, 2010 at 46.67(e)		(1,275	)
73	EOG Resources, Inc. expiring August 21, 2010 at 115(e)		(11,132	)
19	Estee Lauder Cos., Inc. (The), Class A expiring July 17, 2010 at 60(e)		(570	)
34	Express Scripts, Inc. expiring August 21, 2010 at 55(e)		(1,190	)
80	Express Scripts, Inc. expiring August 21, 2010 at 57.50(e)		(1,200	)
29	F5 Networks, Inc. expiring July 17, 2010 at 80(e)		(435	)
15	F5 Networks, Inc. expiring August 21, 2010 at 80(e)		(2,212	)
112	Halliburton Co. expiring August 21, 2010 at 30(e)		(3,920	)
141	Intel Corp. expiring August 21, 2010 at 22(e)		(2,961	)
217	International Paper Co. expiring August 21, 2010 at 28(e)		(5,534	)
90	JPMorgan Chase & Co. expiring July 17, 2010 at 41(e)		(1,125	)
87	JPMorgan Chase & Co. expiring August 21, 2010 at 43(e)		(2,219	)
99	Marvell Technology Group Ltd. expiring August 21, 2010 at 21(e)		(495	)
50	Perrigo Co. expiring August 21, 2010 at 65(e)		(6,875	)
24	Perrigo Co. expiring August 21, 2010 at 70(e)		(1,140	)
30	Thermo Fisher Scientific, Inc. expiring July 17, 2010 at 55(e)		(300	)
116	Unum Group expiring July 17, 2010 at 25(e)		(580	)
116	Unum Group expiring August 21, 2010 at 25(e)		(1,740	)
8	Whirlpool Corp. expiring August 21, 2010 at 110(e)		(700	)

	Total Call Options Written (Premiums Received $144,992)	$	(71,611	)

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. 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 a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and offer quotations. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

LOOMIS SAYLES DISCIPLINED EQUITY FUND - PORTFOLIO OF INVESTMENTS (continued)

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2010, the net unrealized depreciation on investments based on a cost of $32,526,423 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	$	673,898
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,254,815	)

Net unrealized depreciation	$	(1,580,917	)

At September 30, 2009, the Fund had a capital loss carryforward of $2,229,424 which expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $4,813,445. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	All or a portion of this security is held as collateral for outstanding call options.

(c)	Non-income producing security.

(d)

(e)

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2010, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	30,039,169	$	—	$	—	$	30,039,169
Short-Term Investments		—		906,337		—		906,337

Total	$	30,039,169	$	906,337	$	—	$	30,945,506

Liability Valuation Inputs


Description*	Level 1			Level 2		Level 3		Total
Call Options Written	$	(71,611	)	$	—	$	—	$	(71,611	)

*	Major categories of the Fund’s investments and option contracts are included above.

Derivatives

LOOMIS SAYLES DISCIPLINED EQUITY FUND - PORTFOLIO OF INVESTMENTS (continued)

The following is a summary of the Fund’s written option activity:


Contracts	Number of Contracts		Premiums
Outstanding at 9/30/2009	—		$	—
Options written	16,600			1,266,036
Options terminated in closing purchase transactions	(13,968	)		(1,079,593	)
Options exercised	(42	)		(2,058	)
Options expired	(867	)		(39,393	)

Outstanding at 6/30/2010	1,723		$	144,992

Industry Summary at June 30, 2010 (Unaudited)


Oil, Gas & Consumable Fuels	9.0	%
Diversified Financial Services	8.4
Industrial Conglomerates	6.1
Beverages	6.0
Computers & Peripherals	6.0
Pharmaceuticals	5.6
Semiconductors & Semiconductor Equipment	5.1
Media	4.7
IT Services	4.2
Software	4.0
Consumer Finance	3.7
Household Products	2.7
Multiline Retail	2.6
Aerospace & Defense	2.5
Insurance	2.5
Life Sciences Tools & Services	2.3
Paper & Forest Products	2.2
Specialty Retail	2.2
Household Durables	2.1
Biotechnology	2.0
Machinery	2.0
Other Investments, Less than 2% each	11.6
Short-Term Investments	3.0

Total Investments	100.5
Other assets less liabilities (including call options written)	(0.5	)

Net Assets	100.0	%

At September 30, 2009, the Fund had a capital loss carryforward of $212,593,355 of which $138,314,515 expires on September 30, 2010; $59,283,040 expires on September 30, 2011and $14,995,800 expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $26,616,006. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2010, at value:


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 90.5% of Net Assets
	Non-Convertible Bonds — 81.5%
		ABS Car Loan — 0.1%
$	11,305,000	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 144A, 0.488%, 8/20/2013(b)	$	10,777,534

		ABS Credit Card — 0.1%
	11,005,000	Citibank Credit Card Issuance Trust, Series 2008-C6, Class C6, 6.300%, 6/20/2014		11,758,870

		Aerospace & Defense — 0.1%
	620,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)		577,286
	11,800,000	Bombardier, Inc., 144A, 7.450%, 5/01/2034		10,974,000

				11,551,286

		Airlines — 1.9%
	3,222,650	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 7/02/2019		3,577,142
	432,651	American Airlines Pass Through Trust, Series 93A6, 8.040%, 9/16/2011		418,590
	144,696	Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015		148,530
	6,117,518	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		6,034,932
	3,339,995	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		3,039,396
	3,046,379	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		2,776,774
	5,801,291	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		5,337,188
	5,029,719	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		4,936,670
	1,314,717	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		1,350,872
	1,486,910	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,524,083
	7,235,449	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		7,018,385
	2,067,163	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,988,508
	2,714,175	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		2,551,324
	11,703,990	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		11,481,614


Principal Amount (‡)		Description	Value (†)
		Airlines — continued
$	19,476,090	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 4/19/2022	$	17,918,002
	19,595,724	Continental Airlines Pass Through Trust, Series 2009-1, Class A, 9.000%, 7/08/2016		21,065,403
	17,425,000	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 11/10/2019		18,557,625
	3,145,000	Delta Air Lines, Inc., 144A, 9.500%, 9/15/2014		3,302,250
	2,450,000	Delta Air Lines, Inc., Series 2001-1, Class A-2, 7.111%, 3/18/2013		2,529,625
	1,526,968	Delta Air Lines, Inc., Series 2007-1, Class A, 6.821%, 2/10/2024		1,507,881
	8,464,020	Delta Air Lines, Inc., Series 2007-1, Class B, 8.021%, 2/10/2024		8,061,979
	27,413,153	Delta Air Lines, Inc., Series 2007-1, Class C, 8.954%, 8/10/2014		27,139,021
	7,126,790	Delta Air Lines, Inc., Series B, 9.750%, 12/17/2016		7,411,861
	2,201,154	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		2,099,901
	21,099,455	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 11/01/2017		19,613,210
	1,500,000	Qantas Airways Ltd., 144A, 5.125%, 6/20/2013		1,576,129
	32,710,000	Qantas Airways Ltd., 144A, 6.050%, 4/15/2016		33,897,667
	17,870,524	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		16,440,882
	11,036,483	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		11,864,219

				245,169,663

		Automotive — 3.0%
	265,000	ArvinMeritor, Inc., 8.125%, 9/15/2015		254,400
	1,853,000	Cummins, Inc., 6.750%, 2/15/2027		1,985,549
	2,145,000	Cummins, Inc., 7.125%, 3/01/2028		2,385,354
	3,100,000	FCE Bank PLC, EMTN, 4.625%, 10/25/2010, (NOK)		466,828
	6,500,000	FCE Bank PLC, EMTN, 7.125%, 1/16/2012, (EUR)		8,008,137
	4,500,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		5,530,338
	5,700,000	FCE Bank PLC, EMTN, 7.875%, 2/15/2011, (GBP)		8,580,246
	19,011,000	Ford Motor Co., 6.375%, 2/01/2029		14,543,415
	1,975,000	Ford Motor Co., 6.500%, 8/01/2018		1,817,000

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Automotive — continued
$	1,220,000	Ford Motor Co., 6.625%, 2/15/2028	$	957,700
	74,829,000	Ford Motor Co., 6.625%, 10/01/2028		59,114,910
	2,365,000	Ford Motor Co., 7.125%, 11/15/2025		1,962,950
	90,200,000	Ford Motor Co., 7.450%, 7/16/2031		81,405,500
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,149,975
	10,685,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		10,895,088
	39,805,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		39,373,912
	47,810,000	Ford Motor Credit Co. LLC, 8.000%, 6/01/2014		49,342,741
	14,595,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		14,924,716
	50,000,000	Ford Motor Credit Co. LLC, 8.700%, 10/01/2014		52,109,450
	4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		4,242,892
	9,635,000	Goodyear Tire & Rubber Co. (The), 10.500%, 5/15/2016		10,478,062
	1,300,000	TRW Automotive, Inc., 144A, 7.000%, 3/15/2014		1,287,000
	3,100,000	TRW Automotive, Inc., 144A, 7.250%, 3/15/2017		3,007,000
	5,300,000	TRW Automotive, Inc., 144A, 8.875%, 12/01/2017		5,459,000

				379,282,163

		Banking — 6.4%
	67,925,000	AgriBank FCB, 144A, 9.125%, 7/15/2019(c)		80,449,079
	20,565,000	Associates Corp. of North America, 6.950%, 11/01/2018		21,051,157
	22,125,000	BAC Capital Trust VI, 5.625%, 3/08/2035		18,640,467
	1,675,000	Bank of America Corp., 5.420%, 3/15/2017		1,668,803
	4,560,000	Bank of America Corp., 6.000%, 9/01/2017		4,798,629
	8,020,000	Bank of America NA, 5.300%, 3/15/2017		8,075,346
	56,650,000,000	Barclays Financial LLC, 144A, 4.470%, 12/04/2011, (KRW)		46,561,793
	17,310,000,000	Barclays Financial LLC, EMTN, 144A, 4.060%, 9/16/2010, (KRW)		14,181,744
	21,340,000,000	Barclays Financial LLC, EMTN, 144A, 4.460%, 9/23/2010, (KRW)		17,500,174
	224,520,000,000	BNP Paribas SA, EMTN, 144A, Zero Coupon, 6/13/2011, (IDR)		23,108,346
	2,165,000	Capital One Financial Corp., 6.150%, 9/01/2016		2,290,867
	18,650,000	Citibank NA, 144A, 15.000%, 7/02/2010, (BRL)		10,332,410
	47,120,000	Citigroup, Inc., 5.000%, 9/15/2014		47,129,424
	985,000	Citigroup, Inc., 5.850%, 12/11/2034		932,392


Principal Amount (‡)		Description	Value (†)
		Banking — continued
$	22,790,000	Citigroup, Inc., 5.875%, 2/22/2033	$	20,436,819
	10,819,000	Citigroup, Inc., 6.000%, 10/31/2033		9,677,509
	6,060,000	Citigroup, Inc., 6.125%, 8/25/2036		5,507,873
	45,862,000	Citigroup, Inc., 6.375%, 8/12/2014		48,712,461
	3,350,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		3,621,126
	64,000,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		65,799,360
	9,905,000	First Niagara Financial Group, Inc., 6.750%, 3/19/2020		10,397,447
	400,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		382,167
	30,375,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		29,777,888
	1,285,000	Goldman Sachs Group, Inc. (The), MTN, 5.375%, 3/15/2020		1,269,729
	119,806,078	HSBC Bank USA, 144A, Zero Coupon, 11/28/2011		107,681,703
	9,090,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 144A, 6.375%, 4/30/2022		8,362,891
	109,312,000,000	JPMorgan Chase & Co., 144A, Zero Coupon, 3/28/2011, (IDR)		11,446,106
	229,157,783,660	JPMorgan Chase & Co., 144A, Zero Coupon, 4/12/2012, (IDR)		22,278,737
	599,726,100,000	JPMorgan Chase & Co., EMTN, 144A, Zero Coupon, 3/28/2011, (IDR)		62,797,575
	76,496,404,750	JPMorgan Chase Bank, EMTN, 144A, Zero Coupon, 10/21/2010, (IDR)		8,252,160
	3,010,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		3,019,096
	1,400,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		1,271,446
	51,500,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		27,390,582
	3,450,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		3,829,513
	5,410,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		5,771,285
	800,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		798,018
	1,235,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		1,287,775
	26,665,000	Morgan Stanley, 4.750%, 4/01/2014		26,710,757
	5,050,000	Morgan Stanley, 5.125%, 11/30/2015, (GBP)		7,476,396
	7,900,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		8,280,259
	2,900,000	Morgan Stanley, Series F, MTN, 5.550%, 4/27/2017		2,876,435
	6,600,000	Morgan Stanley, Series F, MTN, 5.625%, 9/23/2019		6,384,926

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Banking — continued
$	5,210,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017	$	5,275,959

				813,494,629

		Brokerage — 0.0%
	275,000	Jefferies Group, Inc., 6.250%, 1/15/2036		246,139
	3,725,000	Jefferies Group, Inc., 8.500%, 7/15/2019		4,184,147

				4,430,286

		Building Materials — 1.0%
	3,255,000	Masco Corp., 4.800%, 6/15/2015		3,023,019
	2,220,000	Masco Corp., 5.850%, 3/15/2017		2,165,621
	13,440,000	Masco Corp., 6.125%, 10/03/2016		13,003,912
	2,045,000	Masco Corp., 6.500%, 8/15/2032		1,728,796
	18,935,000	Owens Corning, Inc., 6.500%, 12/01/2016		20,146,632
	35,980,000	Owens Corning, Inc., 7.000%, 12/01/2036		35,805,065
	45,137,000	USG Corp., 6.300%, 11/15/2016		38,930,663
	14,155,000	USG Corp., 9.500%, 1/15/2018		14,013,450

				128,817,158

		Chemicals — 1.0%
	23,584,000	Borden, Inc., 7.875%, 2/15/2023		16,155,040
	6,920,000	Borden, Inc., 8.375%, 4/15/2016		5,363,000
	8,757,000	Borden, Inc., 9.200%, 3/15/2021		6,305,040
	36,355,000	Chevron Phillips Chemical Co. LLC, 144A, 8.250%, 6/15/2019		45,839,256
	14,550,000	Hercules, Inc., Subordinated Note, 6.500%, 6/30/2029		11,349,000
	1,760,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		1,588,400
	24,086,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.750%, 11/15/2014		22,761,270
	5,350,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		5,202,126
	6,465,000	Mosaic Global Holdings, Inc., 7.300%, 1/15/2028		7,437,465
	2,730,000	Mosaic Global Holdings, Inc., 7.375%, 8/01/2018		3,204,990

				125,205,587

		Construction Machinery — 1.0%
	48,305,000	Case New Holland, Inc., 7.750%, 9/01/2013		49,391,862
	1,425,000	Joy Global, Inc., 6.625%, 11/15/2036		1,508,918


Principal Amount (‡)		Description	Value (†)
		Construction Machinery — continued
$	1,645,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/2014	$	1,634,719
	10,790,000	Terex Corp., 8.000%, 11/15/2017		9,980,750
	18,703,000	United Rentals North America, Inc., 7.000%, 2/15/2014		17,580,820
	14,955,000	United Rentals North America, Inc., 7.750%, 11/15/2013		14,543,738
	26,935,000	United Rentals North America, Inc., 10.875%, 6/15/2016		28,887,787

				123,528,594

		Consumer Cyclical Services — 0.9%
	670,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		562,800
	5,500,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		4,097,500
	101,985,000	Western Union Co. (The), 6.200%, 11/17/2036		108,744,260

				113,404,560

		Consumer Products — 0.1%
	5,380,000	Whirlpool Corp., MTN, 8.600%, 5/01/2014		6,343,058

		Distributors — 0.0%
	1,500,000	EQT Corp., 8.125%, 6/01/2019		1,764,528

		Diversified Manufacturing — 0.7%
	1,441,000	Textron Financial Corp., 5.400%, 4/28/2013		1,498,405
	550,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		543,863
	9,950,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		12,216,997
	5,020,000	Textron, Inc., 5.600%, 12/01/2017		5,205,419
	26,000,000	Textron, Inc., 6.200%, 3/15/2015		27,983,878
	18,635,000	Textron, Inc., 7.250%, 10/01/2019		21,274,219
	16,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		22,134,347

				90,857,128

		Electric — 3.4%
	4,020,000	AES Corp. (The), 7.750%, 3/01/2014		4,090,350
	5,565,000	AES Corp. (The), 8.375%, 3/01/2011, (GBP)(c)		8,439,390
	8,495,559	AES Ironwood LLC, 8.857%, 11/30/2025		8,113,259
	1,058,673	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		1,045,440
	70,050,991	Bruce Mansfield Unit, 6.850%, 6/01/2034(c)		73,179,370
	3,254,784	CE Generation LLC, 7.416%, 12/15/2018		3,312,231
	31,115,000	Cleveland Electric Illuminating Co., 5.950%, 12/15/2036		30,851,580

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Electric — continued
$	11,275,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018	$	7,497,875
	1,000,000	Dynegy Holdings, Inc., 7.500%, 6/01/2015		791,250
	10,185,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		5,856,375
	500,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		345,625
	7,455,000	Dynegy Holdings, Inc., 8.375%, 5/01/2016		5,898,769
	1,132,099	Dynegy Roseton/Danskammer Pass Through Trust, Series A, 7.270%, 11/08/2010		1,132,099
	95,200,000	Edison Mission Energy, 7.625%, 5/15/2027		54,026,000
	250,000	Empresa Nacional de Electricidad SA, (Endesa-Chile), 8.350%, 8/01/2013		285,999
	4,875,000	Empresa-Chile Oversea Co., 7.875%, 2/01/2027		5,430,165
	5,940,000	Energy Future Holdings Corp., 144A, 10.000%, 1/15/2020		5,910,300
	555,000	Enersis SA, Cayman Islands, 7.400%, 12/01/2016		633,538
	5,310,000	ITC Holdings Corp., 144A, 6.375%, 9/30/2036		5,489,345
	31,735,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)		18,723,650
	43,450,000	NiSource Finance Corp., 6.400%, 3/15/2018		47,809,599
	2,500,000	NRG Energy, Inc., 7.250%, 2/01/2014		2,534,375
	5,000,000	NRG Energy, Inc., 7.375%, 2/01/2016		4,975,000
	1,348,750	Quezon Power (Philippines) Ltd., Senior Secured Note, 8.860%, 6/15/2017		1,345,378
	25,230,000	RRI Energy, Inc., 7.875%, 6/15/2017		23,842,350
	1,050,000	SP PowerAssets Ltd., EMTN, 3.730%, 10/22/2010, (SGD)		756,529
	655,000	Texas Competitive Electric Holdings Co. LLC, Series A, 10.250%, 11/01/2015		432,300
	50,270,000	TXU Corp., Series P, 5.550%, 11/15/2014		35,710,551
	101,735,000	TXU Corp., Series Q, 6.500%, 11/15/2024		45,780,750
	6,675,000	TXU Corp., Series R, 6.550%, 11/15/2034		2,970,375
	7,300,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		7,453,008
	10,935,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		10,726,251
	4,000,000	White Pine Hydro LLC, 7.260%, 7/20/2015(c)		3,538,040

				428,927,116

		Entertainment — 0.0%
	1,455,000	Viacom, Inc., 6.875%, 4/30/2036		1,647,159


Principal Amount (‡)		Description	Value (†)
		Financial Other — 0.2%
$	20,000,000	National Life Insurance Co., 144A, 10.500%, 9/15/2039	$	23,632,400

		Food & Beverage — 0.2%
	2,085,000	Aramark Services, Inc., 5.000%, 6/01/2012		2,035,481
	23,710,000	Corn Products International, Inc., 6.625%, 4/15/2037		24,760,780
	965,000	Smithfield Foods, Inc., 7.750%, 7/01/2017		921,575

				27,717,836

		Government Owned - No Guarantee — 0.3%
	26,435,000	Abu Dhabi National Energy Co., 144A, 7.250%, 8/01/2018		28,464,944
	19,500,000	DP World Ltd., 144A, 6.850%, 7/02/2037		15,511,996

				43,976,940

		Government Sponsored — 0.4%
	72,695,000	Queensland Treasury Corp., 144A, 7.125%, 9/18/2017, (NZD)		54,244,544

		Health Insurance — 0.5%
	15,325,000	CIGNA Corp., 6.150%, 11/15/2036		15,762,437
	2,000,000	CIGNA Corp., 6.350%, 3/15/2018		2,234,822
	44,675,000	WellPoint, Inc., 6.375%, 6/15/2037		48,216,878

				66,214,137

		Healthcare — 2.5%
	4,075,000	Boston Scientific Corp., 5.125%, 1/12/2017		3,905,826
	2,765,000	Boston Scientific Corp., 5.450%, 6/15/2014		2,834,587
	10,230,000	Boston Scientific Corp., 6.000%, 1/15/2020		10,156,620
	4,155,000	Boston Scientific Corp., 6.400%, 6/15/2016		4,360,078
	16,510,000	Boston Scientific Corp., 7.000%, 11/15/2035		16,013,561
	17,785,000	HCA, Inc., 5.750%, 3/15/2014		16,540,050
	3,800,000	HCA, Inc., 6.250%, 2/15/2013		3,733,500
	17,035,000	HCA, Inc., 6.375%, 1/15/2015		15,906,431
	49,350,000	HCA, Inc., 6.500%, 2/15/2016		46,018,875
	2,074,000	HCA, Inc., 6.750%, 7/15/2013		2,032,520
	14,620,000	HCA, Inc., 7.050%, 12/01/2027		12,427,000
	11,104,000	HCA, Inc., 7.190%, 11/15/2015		9,882,560
	20,392,000	HCA, Inc., 7.500%, 12/15/2023		18,046,920
	18,780,000	HCA, Inc., 7.500%, 11/06/2033		16,056,900
	44,258,000	HCA, Inc., 7.690%, 6/15/2025		39,610,910

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Healthcare — continued
$	31,650,000	HCA, Inc., 8.360%, 4/15/2024	$	29,434,500
	15,815,000	HCA, Inc., MTN, 7.580%, 9/15/2025		13,917,200
	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036		8,091,930
	17,230,000	Medco Health Solutions, Inc., 7.125%, 3/15/2018		20,584,130
	3,260,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		3,283,091
	32,559,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		25,396,020
	1,570,000	Tenet Healthcare Corp., 7.375%, 2/01/2013		1,570,000
	4,765,000	Tenet Healthcare Corp., 9.250%, 2/01/2015		4,919,862

				324,723,071

		Home Construction — 0.9%
	11,265,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		11,067,862
	6,290,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		4,403,000
	1,935,000	K. Hovnanian Enterprises, Inc., 7.750%, 5/15/2013		1,731,825
	1,235,000	K. Hovnanian Enterprises, Inc., 8.875%, 4/01/2012		1,162,444
	4,830,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.250%, 1/15/2015		3,525,900
	16,075,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.250%, 1/15/2016		11,252,500
	6,040,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.375%, 12/15/2014		4,530,000
	2,490,000	K. Hovnanian Enterprises, Inc., Guaranteed Note, 6.500%, 1/15/2014		1,917,300
	1,685,000	KB Home, 5.750%, 2/01/2014		1,541,775
	8,340,000	KB Home, Guaranteed Note, 5.875%, 1/15/2015		7,422,600
	5,805,000	KB Home, Guaranteed Note, 6.250%, 6/15/2015		5,166,450
	11,315,000	KB Home, Guaranteed Note, 7.250%, 6/15/2018		10,013,775
	3,745,000	Pulte Group, Inc., 5.200%, 2/15/2015		3,520,300
	47,260,000	Pulte Group, Inc., 6.000%, 2/15/2035		34,499,800
	13,190,000	Pulte Group, Inc., 6.375%, 5/15/2033		10,156,300
	4,245,000	Toll Brothers Financial Corp., 5.150%, 5/15/2015		4,160,890

				116,072,721

		Independent Energy — 1.2%
	48,410,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		38,509,138
	4,185,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		4,810,568


Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	14,650,000	Chesapeake Energy Corp., 6.500%, 8/15/2017	$	14,448,563
	22,690,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		22,888,538
	15,054,000	Connacher Oil and Gas Ltd., 144A, 10.250%, 12/15/2015		14,865,825
	3,000,000	Connacher Oil and Gas Ltd., 144A, 11.750%, 7/15/2014		3,210,000
	6,495,000	Hilcorp Energy I LP, 144A, 7.750%, 11/01/2015		6,397,575
	1,805,000	Penn Virginia Corp., 10.375%, 6/15/2016		1,922,325
	7,175,000	Pioneer Natural Resources Co., 5.875%, 7/15/2016		7,167,667
	1,760,000	Pioneer Natural Resources Co., 6.875%, 5/01/2018		1,767,355
	4,798,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		4,585,113
	2,499,000	Swift Energy Co., 7.125%, 6/01/2017		2,305,328
	6,615,000	Talisman Energy, Inc., 5.850%, 2/01/2037		6,875,591
	20,970,000	Talisman Energy, Inc., 6.250%, 2/01/2038		22,367,902
	444,000	Williams Cos., Inc. (The), 7.875%, 9/01/2021		508,865
	715,000	Williams Cos., Inc. (The), Senior Note, 7.750%, 6/15/2031		768,160
	2,984,000	Williams Cos., Inc. (The), Series A, 7.500%, 1/15/2031		3,174,146

				156,572,659

		Industrial Other — 0.2%
	350,000	Great Lakes Dredge & Dock Corp., Senior Subordinated Note, 7.750%, 12/15/2013		346,500
	20,000,000	Ranhill Labuan Ltd., 144A, 12.500%, 10/26/2011		18,000,000
	10,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020		10,905,240

				29,251,740

		Life Insurance — 0.4%
	2,855,000	American International Group, Inc., 4.900%, 6/02/2014, (CAD)		2,413,696
	4,815,000	American International Group, Inc., MTN, 5.450%, 5/18/2017		4,273,312
	2,185,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		1,994,905
	19,625,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		17,539,844
	1,500,000	MetLife, Inc., 6.400%, 12/15/2066		1,320,000
	9,620,000	MetLife, Inc., 10.750%, 8/01/2069		11,433,659
	4,385,000	NLV Financial Corp., 144A, 7.500%, 8/15/2033		3,839,102

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Life Insurance — continued
$	6,700,000	Unum Group, 7.125%, 9/30/2016	$	7,361,625

				50,176,143

		Local Authorities — 0.2%
	26,730,000	Queensland Treasury Corp., 5.750%, 11/21/2014, (AUD)		23,111,486

		Media Cable — 2.1%
	24,430,000	Comcast Corp., 5.650%, 6/15/2035		24,062,915
	7,070,000	Comcast Corp., 6.500%, 11/15/2035		7,688,660
	161,264,000	Comcast Corp., 6.950%, 8/15/2037		183,441,993
	400,000	CSC Holdings LLC, 7.875%, 2/15/2018		408,000
	25,270,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		24,513,004
	17,959,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		20,614,741
	2,720,000	Virgin Media Finance PLC, 9.125%, 8/15/2016		2,815,200

				263,544,513

		Media Non-Cable — 0.6%
	1,140,000	Clear Channel Communications, Inc., 4.400%, 5/15/2011		1,083,000
	3,370,000	Clear Channel Communications, Inc., 5.000%, 3/15/2012		2,872,925
	4,740,000	Clear Channel Communications, Inc., 6.250%, 3/15/2011		4,562,250
	145,000	Clear Channel Communications, Inc., 7.650%, 9/15/2010		144,275
	225,000	Intelsat Corp., 6.875%, 1/15/2028		182,250
	46,000,000	News America, Inc., 6.150%, 3/01/2037		47,974,734
	6,635,000	News America, Inc., 6.200%, 12/15/2034		6,988,102
	10,385,000	News America, Inc., 6.400%, 12/15/2035		11,302,390

				75,109,926

		Metals & Mining — 0.5%
	10,000,000	Alcoa, Inc., 5.720%, 2/23/2019		9,521,700
	3,949,000	Alcoa, Inc., 5.870%, 2/23/2022		3,671,670
	1,405,000	Alcoa, Inc., 5.950%, 2/01/2037		1,196,770
	4,330,000	Alcoa, Inc., 6.750%, 1/15/2028		4,112,868
	9,785,000	Algoma Acquistion Corp., 144A, 9.875%, 6/15/2015		8,317,250
	1,840,000	Rio Tinto Alcan, Inc., 5.750%, 6/01/2035		1,886,718
	7,000,000	United States Steel Corp., 6.050%, 6/01/2017		6,650,000
	6,779,000	United States Steel Corp., 6.650%, 6/01/2037		5,829,940


Principal Amount (‡)			Description	Value (†)
			Metals & Mining — continued
$	16,435,000		United States Steel Corp., 7.000%, 2/01/2018	$	16,250,106

					57,437,022

			Non-Captive Consumer — 4.0%
	4,900,000		American General Finance Corp., MTN, 5.750%, 9/15/2016		3,773,000
	231,595,000		American General Finance Corp., Series J, MTN, 6.900%, 12/15/2017		184,407,519
	37,749,000		Residential Capital LLC, 9.625%, 5/15/2015		37,182,765
	995,000		SLM Corp., 6.000%, 5/10/2012, (AUD)		774,326
	109,950	(††)	SLM Corp., 6.000%, 12/15/2043		1,844,686
	20,970,000		SLM Corp., MTN, 5.050%, 11/14/2014		18,754,813
	3,695,000		SLM Corp., MTN, 5.125%, 8/27/2012		3,639,996
	2,160,000		SLM Corp., MTN, 8.000%, 3/25/2020		1,896,882
	4,700,000		SLM Corp., Series 7, EMTN, 4.750%, 3/17/2014, (EUR)		5,101,220
	54,478,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		52,079,116
	41,770,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		35,924,455
	14,465,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		11,588,186
	19,605,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		19,011,125
	24,705,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		22,589,264
	1,390,000		SLM Corp., Series A, MTN, 5.400%, 10/25/2011		1,381,773
	30,355,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		22,279,083
	95,060,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		87,722,414

					509,950,623

			Non-Captive Diversified — 8.1%
	43,074,000		Ally Financial, Inc., 5.375%, 6/06/2011		42,912,472
	3,390,000		Ally Financial, Inc., 5.750%, 9/27/2010		3,385,763
	905,000		Ally Financial, Inc., 6.000%, 4/01/2011		900,475
	36,075,000		Ally Financial, Inc., 6.000%, 12/15/2011		36,075,000
	311,000		Ally Financial, Inc., 6.625%, 12/17/2010		311,389
	15,426,000		Ally Financial, Inc., 6.625%, 5/15/2012		15,426,000
	22,211,000		Ally Financial, Inc., 6.750%, 12/01/2014		21,489,142
	6,829,000		Ally Financial, Inc., 6.875%, 9/15/2011		6,922,899
	2,947,000		Ally Financial, Inc., 6.875%, 8/28/2012		2,954,368

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Captive Diversified — continued
$	7,702,000	Ally Financial, Inc., 7.000%, 2/01/2012	$	7,750,137
	17,038,000	Ally Financial, Inc., 7.500%, 12/31/2013		16,995,405
	32,711,000	Ally Financial, Inc., 8.000%, 12/31/2018		30,094,120
	25,955,000	Ally Financial, Inc., 8.000%, 11/01/2031		23,943,487
	49,800,000	Ally Financial, Inc., 144A, 8.300%, 2/12/2015		50,422,500
	18,096,402	CIT Group, Inc., 7.000%, 5/01/2013		17,327,305
	27,144,615	CIT Group, Inc., 7.000%, 5/01/2014		25,583,800
	27,144,615	CIT Group, Inc., 7.000%, 5/01/2015		25,040,907
	67,386,037	CIT Group, Inc., 7.000%, 5/01/2016		61,489,759
	70,757,457	CIT Group, Inc., 7.000%, 5/01/2017		63,681,711
	3,100,000	General Electric Capital Corp., EMTN, 6.125%, 5/17/2012, (GBP)		4,942,300
	6,610,000	General Electric Capital Corp., EMTN, 9.000%, 1/04/2011, (NZD)		4,623,153
	79,035,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		55,335,255
	65,300,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		47,094,586
	46,300,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		33,472,449
	15,305,000	General Electric Capital Corp., Series A, MTN, 0.603%, 5/13/2024(b)		12,115,300
	115,000,000	General Electric Capital Corp., Series A, MTN, 3.485%, 3/08/2012, (SGD)		83,583,871
	243,057,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		168,181,591
	5,760,000	General Motors Acceptance Corp. of Canada Ltd., EMTN, 7.125%, 9/13/2011, (AUD)		4,639,526
	10,985,000	International Lease Finance Corp., 6.375%, 3/25/2013		10,298,437
	24,750,000	International Lease Finance Corp., 144A, 8.625%, 9/15/2015		23,450,625
	415,000	International Lease Finance Corp., Series Q, MTN, 5.250%, 1/10/2013		379,725
	2,410,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		2,175,025
	2,547,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		2,260,463
	34,782,000	iStar Financial, Inc., 5.150%, 3/01/2012		28,521,240


Principal Amount (‡)		Description	Value (†)
		Non-Captive Diversified — continued
$	3,010,000	iStar Financial, Inc., 5.500%, 6/15/2012	$	2,468,200
	19,110,000	iStar Financial, Inc., 5.650%, 9/15/2011		17,199,000
	1,530,000	iStar Financial, Inc., 5.700%, 3/01/2014		1,128,375
	4,040,000	iStar Financial, Inc., 5.800%, 3/15/2011		3,757,200
	4,815,000	iStar Financial, Inc., 5.850%, 3/15/2017		3,370,500
	8,815,000	iStar Financial, Inc., 5.875%, 3/15/2016		6,170,500
	4,300,000	iStar Financial, Inc., 6.050%, 4/15/2015		3,096,000
	35,130,000	iStar Financial, Inc., 8.625%, 6/01/2013		28,455,300
	1,780,000	iStar Financial, Inc., Series B, 5.125%, 4/01/2011		1,637,600
	44,610,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		35,241,900

				1,036,304,760

		Oil Field Services — 1.5%
	7,015,000	Allis-Chalmers Energy, Inc., 8.500%, 3/01/2017		6,067,975
	8,060,000	Allis-Chalmers Energy, Inc., 9.000%, 1/15/2014		7,435,350
	10,860,000	Nabors Industries, Inc., 6.150%, 2/15/2018		11,644,298
	102,211,000	Nabors Industries, Inc., 9.250%, 1/15/2019		125,662,905
	3,095,000	Parker Drilling Co., 144A, 9.125%, 4/01/2018		2,940,250
	16,035,000	Rowan Cos., Inc., 7.875%, 8/01/2019		17,665,455
	15,520,000	Weatherford International Ltd., 6.500%, 8/01/2036		14,063,790
	2,975,000	Weatherford International Ltd., 6.800%, 6/15/2037		2,797,253
	9,580,000	Weatherford International Ltd., 7.000%, 3/15/2038		9,065,544

				197,342,820

		Packaging — 0.3%
	2,450,000	OI European Group BV, 144A, 6.875%, 3/31/2017, (EUR)		2,936,062
	1,750,000	Owens-Brockway Glass Container, Inc., 6.750%, 12/01/2014, (EUR)		2,118,587
	33,261,000	Owens-Illinois, Inc., Senior Note, 7.800%, 5/15/2018		34,633,016

				39,687,665

		Packaging & Containers — 0.0%
	4,445,000	XL Capital Ltd., 6.250%, 5/15/2027		4,214,242
	1,425,000	XL Capital Ltd., 6.375%, 11/15/2024		1,471,650

				5,685,892

		Paper — 2.8%
	40,966,000	Fibria Overseas Finance Ltd., 144A, 7.500%, 5/04/2020		41,580,490

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Paper — continued
$	12,430,000	Georgia-Pacific Corp., 7.250%, 6/01/2028	$	12,274,625
	11,605,000	Georgia-Pacific Corp., 7.375%, 12/01/2025		11,663,025
	120,000	Georgia-Pacific Corp., 7.700%, 6/15/2015		125,100
	42,425,000	Georgia-Pacific Corp., 7.750%, 11/15/2029		42,849,250
	16,475,000	Georgia-Pacific Corp., 8.000%, 1/15/2024		17,463,500
	11,003,000	Georgia-Pacific Corp., 8.875%, 5/15/2031		11,965,763
	154,533,000	International Paper Co., 7.950%, 6/15/2018		183,985,599
	14,520,000	Westvaco Corp., 7.950%, 2/15/2031		15,194,280
	17,355,000	Westvaco Corp., 8.200%, 1/15/2030		18,312,354
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		2,705,611
	1,020,000	Weyerhaeuser Co., 7.375%, 3/15/2032		1,007,667

				359,127,264

		Pharmaceuticals — 0.3%
	39,725,000	Elan Finance PLC/Elan Finance Corp., 8.875%, 12/01/2013		39,824,312

		Pipelines — 2.2%
	19,745,000	DCP Midstream LP, 144A, 6.450%, 11/03/2036		20,085,266
	15,685,000	El Paso Corp., 6.950%, 6/01/2028		14,042,718
	1,500,000	El Paso Corp., 7.420%, 2/15/2037		1,349,642
	750,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		741,234
	1,000,000	El Paso Energy Corp., GMTN, 7.750%, 1/15/2032		988,223
	5,255,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		5,464,238
	9,115,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		8,747,693
	13,175,000	Enterprise Products Operating LLP, 6.300%, 9/15/2017		14,737,871
	5,100,000	Florida Gas Transmission Co., 144A, 7.900%, 5/15/2019		5,968,219
	500,000	Kinder Morgan Energy Partners LP, 5.800%, 3/15/2035		471,824
	45,436,524	Maritimes & Northeast Pipeline LLC, 144A, 7.500%, 5/31/2014(c)		49,986,083
	81,710,000	NGPL Pipeco LLC, 144A, 7.119%, 12/15/2017		77,931,321
	3,425,000	ONEOK Partners LP, 6.650%, 10/01/2036		3,513,303
	20,770,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		22,545,170
	44,730,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		44,673,506


Principal Amount (‡)		Description	Value (†)
		Pipelines — continued
$	4,168,000	Transportadora de Gas del Sur SA, 144A, 7.875%, 5/14/2017	$	4,001,280

				275,247,591

		Property & Casualty Insurance — 0.3%
	3,405,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		3,678,088
	2,660,000	Marsh & McLennan Cos., Inc., 5.375%, 7/15/2014		2,811,923
	11,710,000	Marsh & McLennan Cos., Inc., 5.750%, 9/15/2015		12,524,630
	11,075,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		10,327,880
	6,080,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 144A, 14.000%, 1/15/2033		2,736,000
	11,205,000	Willis North America, Inc., 6.200%, 3/28/2017		11,663,587

				43,742,108

		Railroads — 0.1%
	1,200,000	Canadian Pacific Railway Co., 5.750%, 3/15/2033		1,205,340
	9,615,000	CSX Corp., MTN, 6.000%, 10/01/2036		10,305,511
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		818,630

				12,329,481

		Refining — 0.0%
	1,335,000	Valero Energy Corp., 6.625%, 6/15/2037		1,299,815

		REITs — 1.3%
	2,025,000	Camden Property Trust, 5.000%, 6/15/2015		2,088,476
	27,950,000	Camden Property Trust, 5.700%, 5/15/2017		29,109,394
	4,030,000	Duke Realty LP, 5.950%, 2/15/2017		4,113,836
	3,300,000	ERP Operating LP, 5.125%, 3/15/2016		3,473,735
	47,305,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		47,195,205
	4,180,000	ProLogis, 5.625%, 11/15/2015		4,008,624
	3,915,000	ProLogis, 5.625%, 11/15/2016		3,680,538
	4,635,000	ProLogis, 5.750%, 4/01/2016		4,411,704
	1,002,000	ProLogis, 6.625%, 5/15/2018		954,687
	2,080,000	ProLogis, 7.375%, 10/30/2019		2,037,094
	1,500,000	Simon Property Group LP, 5.250%, 12/01/2016		1,597,356
	4,900,000	Simon Property Group LP, 5.750%, 12/01/2015		5,386,854
	550,000	Simon Property Group LP, 5.875%, 3/01/2017		594,641

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)			Description	Value (†)
			REITs — continued
$	1,890,000		Simon Property Group LP, 6.100%, 5/01/2016	$	2,097,785
	450,000		Simon Property Group LP, 6.125%, 5/30/2018		496,699
	46,015,000		WEA Finance LLC/WT Finance Australia Property Ltd., 144A, 6.750%, 9/02/2019		51,143,602

					162,390,230

			Restaurants — 0.0%
	1,250,000		McDonald’s Corp., EMTN, 3.628%, 10/10/2010, (SGD)		899,288

			Retailers — 2.0%
	8,758,000		Dillard’s, Inc., 6.625%, 1/15/2018		7,969,780
	4,187,000		Dillard’s, Inc., 7.130%, 8/01/2018		3,935,780
	1,500,000		Dillard’s, Inc., 7.750%, 7/15/2026		1,290,000
	425,000		Dillard’s, Inc., 7.875%, 1/01/2023		378,250
	3,325,000		Dillard’s, Inc., Class A, 7.000%, 12/01/2028		2,726,500
	108,713,000		Home Depot, Inc., 5.875%, 12/16/2036		111,441,588
	3,685,000		J.C. Penney Corp., Inc., 5.750%, 2/15/2018		3,694,212
	635,000		J.C. Penney Corp., Inc., 7.125%, 11/15/2023		669,925
	3,985,000		J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,706,050
	37,064,000		J.C. Penney Corp., Inc., Senior Note, 6.375%, 10/15/2036		35,025,480
	15,907,000		Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		14,952,580
	12,275,000		Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		11,323,687
	2,365,000		Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,276,313
	6,365,000		Marks & Spencer PLC, 144A, 7.125%, 12/01/2037		6,673,804
	32,675,000		Toys R Us, Inc., 7.375%, 10/15/2018		30,714,500
	8,355,000		Toys R Us, Inc., 7.875%, 4/15/2013		8,396,775
	10,270,000		Woolworth Corp., 8.500%, 1/15/2022		9,653,800

					254,829,024

			Sovereigns — 4.9%
	104,626,000,000		Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		12,889,762
	10,000,000,000		Indonesia Treasury Bond, Series FR47, 10.000%, 2/15/2028, (IDR)		1,143,436
	272,460,000,000		Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		25,547,280
	2,350,305	(†††)	Mexican Fixed Rate Bonds, Series M-10, 7.250%, 12/15/2016, (MXN)		18,821,631
	2,037,000	(†††)	Mexican Fixed Rate Bonds, Series M-10, 9.000%, 12/20/2012, (MXN)		17,062,349


Principal Amount (‡)		Description	Value (†)
		Sovereigns — continued
18,686,981	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)	$	153,896,439
79,755,000		New South Wales Treasury Corp., Series 10RG, 7.000%, 12/01/2010, (AUD)		67,745,975
10,530,000		New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		9,057,051
66,305,000		New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		56,166,874
56,700,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		31,687,604
140,235,000		Republic of Brazil, 12.500%, 1/05/2016, (BRL)		86,432,929
107,840,000		Republic of Brazil, 12.500%, 1/05/2022, (BRL)		67,661,385
18,400,000		Republic of Croatia, 144A, 6.750%, 11/05/2019		19,262,003
3,178,700,000		Republic of Iceland, 7.250%, 5/17/2013, (ISK)		16,002,906
2,528,745,000		Republic of Iceland, 8.000%, 7/22/2011, (ISK)		12,198,195
5,387,208,000		Republic of Iceland, 13.750%, 12/10/2010, (ISK)		26,199,371
4,020,000		Republic of Venezuela, 7.000%, 3/16/2015, (EUR)		3,920,395

				625,695,585

		Supermarkets — 0.7%
2,000,000		American Stores Co., 7.900%, 5/01/2017		1,890,000
72,681,000		New Albertson’s, Inc., 7.450%, 8/01/2029		60,325,230
19,060,000		New Albertson’s, Inc., 7.750%, 6/15/2026		15,819,800
4,895,000		New Albertson’s, Inc., 8.000%, 5/01/2031		4,234,175
1,510,000		New Albertson’s, Inc., 8.700%, 5/01/2030		1,374,100
13,242,000		New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		9,666,660

				93,309,965

		Supranational — 1.3%
16,375,000		European Investment Bank, 11.250%, 2/14/2013, (BRL)		9,640,384
460,500,000,000		European Investment Bank, EMTN, 144A, Zero Coupon, 4/24/2013, (IDR)		41,986,018
24,398,000		European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD)		17,421,080
60,665,000		European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		52,419,163
244,840,000,000		Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		21,326,604
24,450,000		Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		17,311,319

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	Supranational — continued
8,300,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)	$	5,952,689

			166,057,257

	Technology — 2.4%
41,705,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		46,061,254
46,274,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		30,540,840
5,065,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,342,900
832,000	Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR)		991,976
2,435,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		2,689,319
27,325,000	Avnet, Inc., 5.875%, 3/15/2014		29,607,457
35,630,000	Avnet, Inc., 6.000%, 9/01/2015		38,608,632
11,345,000	Avnet, Inc., 6.625%, 9/15/2016		12,631,886
5,425,000	Corning, Inc., 5.900%, 3/15/2014		5,918,203
6,220,000	Corning, Inc., 6.200%, 3/15/2016		7,017,609
6,150,000	Corning, Inc., 6.850%, 3/01/2029		6,894,531
4,725,000	Corning, Inc., 7.250%, 8/15/2036		5,289,406
3,640,000	Eastman Kodak Co., 7.250%, 11/15/2013		3,567,200
11,626,000	Equifax, Inc., 7.000%, 7/01/2037		12,820,769
285,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		260,063
6,290,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		5,032,000
475,000	Motorola, Inc., 6.000%, 11/15/2017		509,861
10,830,000	Motorola, Inc., 6.500%, 9/01/2025		10,783,420
22,539,000	Motorola, Inc., 6.500%, 11/15/2028		22,744,037
23,255,000	Motorola, Inc., 6.625%, 11/15/2037		23,881,560
250,000	Motorola, Inc., 7.500%, 5/15/2025		275,732
9,350,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		6,264,500
11,770,000	Nortel Networks Ltd., 6.875%, 9/01/2023(d)		3,177,900
270,000	Samsung Electronics Co. Ltd., 144A, 7.700%, 10/01/2027		313,612
21,822,000	Xerox Capital Trust I, 8.000%, 2/01/2027		21,939,468
1,730,000	Xerox Corp., MTN, 7.200%, 4/01/2016		2,016,409

			303,180,544


Principal Amount (‡)		Description	Value (†)
		Tobacco — 0.6%
$	1,375,000	Altria Group, Inc., 9.700%, 11/10/2018	$	1,741,273
	52,930,000	Reynolds American, Inc., 6.750%, 6/15/2017		57,343,727
	13,400,000	Reynolds American, Inc., 7.250%, 6/15/2037		13,786,228

				72,871,228

		Transportation Services — 0.4%
	10,503,000	APL Ltd., Senior Note, 8.000%, 1/15/2024(c)		6,826,950
	13,710,140	Atlas Air, Inc., Series 1998-1, Class 1B, 7.680%, 7/02/2015		12,887,532
	8,312,304	Atlas Air, Inc., Series 1999-1, Class A1, 7.200%, 7/02/2020		7,813,565
	203,444	Atlas Air, Inc., Series 1999-1, Class A2, 6.880%, 1/02/2011		193,272
	10,170,982	Atlas Air, Inc., Series 1999-1, Class B, 7.630%, 7/02/2016		8,594,479
	4,744,556	Atlas Air, Inc., Series 1999-1, Class C, 8.770%, 7/02/2012(e)		3,653,308
	4,572,669	Atlas Air, Inc., Series 2000-1, Class B, 9.057%, 7/02/2017		4,412,626
	6,862,758	Atlas Air, Inc., Series C, 8.010%, 7/02/2011(e)		5,421,579
	3,970,000	Erac USA Finance Co., 144A, 7.000%, 10/15/2037		4,326,105

				54,129,416

		Treasuries — 14.0%
	393,245,000	Canadian Government, 1.000%, 9/01/2011, (CAD)		368,569,066
	177,160,000	Canadian Government, 1.250%, 12/01/2011, (CAD)		166,617,436
	320,680,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		304,172,307
	130,000,000	Canadian Government, 2.750%, 12/01/2010, (CAD)		123,150,439
	130,216,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		128,031,361
	101,755,000	Canadian Government, 3.750%, 6/01/2012, (CAD)		99,834,698
	171,980,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		170,897,603
	25,445,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		26,186,444
	75,385,000	Canadian Government, 5.250%, 6/01/2012, (CAD)		75,971,340
	2,638,043	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		1,323,853
	22,670,000	New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		16,373,785
	104,165,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		75,757,182
	457,420,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		76,414,426
	221,050,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		37,821,077
	366,200,000	Norwegian Government, 6.000%, 5/16/2011, (NOK)		58,089,609

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)	Description	Value (†)
	Treasuries — continued
341,940,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)	$	58,567,198

			1,787,777,824

	Utility Other — 0.0%
3,300,000	Listrindo Capital BV, 144A, 9.250%, 1/29/2015		3,493,413

	Wireless — 1.1%
29,635,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		28,153,250
15,931,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		15,433,156
42,310,000	Nextel Communications, Inc., Series F, 5.950%, 3/15/2014		39,242,525
21,186,000	Sprint Capital Corp., 6.875%, 11/15/2028		17,584,380
18,070,000	Sprint Capital Corp., 6.900%, 5/01/2019		16,353,350
6,260,000	Sprint Capital Corp., 8.750%, 3/15/2032		5,978,300
11,309,000	Sprint Nextel Corp., 6.000%, 12/01/2016		10,149,828
13,320,000	True Move Co. Ltd., 144A, 10.750%, 12/16/2013		13,086,900

			145,981,689

	Wirelines — 3.3%
10,245,000	AT&T Corp., 6.500%, 3/15/2029		10,977,794
3,460,000	AT&T, Inc., 6.500%, 9/01/2037		3,837,656
5,650,000	Axtel SAB de CV, 144A, 9.000%, 9/22/2019		5,028,500
4,370,000	Bell Canada, MTN, 144A, 6.550%, 5/01/2029, (CAD)		4,287,900
8,445,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		9,019,265
33,640,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		31,531,634
2,715,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		3,008,288
155,000	Cincinnati Bell, Inc., 7.000%, 2/15/2015		145,312
5,330,000	Embarq Corp., 7.995%, 6/01/2036		5,289,620
35,260,000	Frontier Communications Corp., 7.875%, 1/15/2027		31,822,150
10,555,000	GTE Corp., 6.940%, 4/15/2028		11,611,967
525,000	Hawaiian Telcom Communications, Inc., Series B, 12.500%, 5/01/2015(d)		53
1,120,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		1,818,241
1,800,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		2,292,388
32,435,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		28,056,275
13,010,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		11,806,575


Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
$	3,346,000	New England Telephone & Telegraph Co., 7.875%, 11/15/2029	$	3,903,775
	16,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		15,354,900
	32,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		29,965,375
	42,460,000	Qwest Capital Funding, Inc., Guaranteed Note, 6.875%, 7/15/2028		35,878,700
	12,463,000	Qwest Capital Funding, Inc., Guaranteed Note, 7.625%, 8/03/2021		11,715,220
	33,130,000	Qwest Corp., 6.875%, 9/15/2033		30,396,775
	3,075,000	Qwest Corp., 7.200%, 11/10/2026		2,875,125
	3,999,000	Qwest Corp., 7.250%, 9/15/2025		3,839,040
	2,288,000	Qwest Corp., 7.500%, 6/15/2023		2,190,760
	5,470,000	SK Broadband Co. Ltd., 144A, 7.000%, 2/01/2012		5,688,800
	23,000,000	Telecom Italia Capital SA, 6.000%, 9/30/2034		19,704,905
	19,635,000	Telecom Italia Capital SA, 6.375%, 11/15/2033		17,582,691
	31,690,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		30,832,669
	18,600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		17,639,555
	10,731,000	Verizon Global Funding Corp., Senior Note, 5.850%, 9/15/2035		11,069,252
	11,680,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		10,330,259
	6,835,000	Verizon New York, Inc., Series A, 7.375%, 4/01/2032		7,729,086
	5,215,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		5,160,842

				422,391,347

		Total Non-Convertible Bonds (Identified Cost $10,105,196,906)		10,422,293,598

	Convertible Bonds — 7.9%
		Airlines — 0.1%
	7,730,000	AMR Corp., 6.250%, 10/15/2014		7,362,825
	1,255,000	UAL Corp., 4.500%, 6/30/2021		1,218,856

				8,581,681

		Automotive — 1.3%
	2,020,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(f)		1,565,500
	121,370,000	Ford Motor Co., 4.250%, 11/15/2016		151,257,362
	8,460,000	Navistar International Corp., 3.000%, 10/15/2014		9,919,350

				162,742,212

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Diversified Manufacturing — 0.3%
$	30,570,000	Owens-Brockway Glass Container, Inc., 144A, 3.000%, 6/01/2015	$	28,086,187
	16,727,000	Trinity Industries, Inc., 3.875%, 6/01/2036		12,837,973

				40,924,160

		Electric — 0.0%
	1,800,000	CMS Energy Corp., 5.500%, 6/15/2029		2,092,500

		Healthcare — 0.5%
	26,280,000	Affymetrix, Inc., 3.500%, 1/15/2038		24,538,950
	19,215,000	Hologic, Inc., (Step to Zero Coupon on 12/15/2013), 2.000%, 12/15/2037(f)		16,356,769
	12,005,000	Life Technologies Corp., 1.500%, 2/15/2024		13,190,494
	190,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		177,887
	2,380,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,198,525
	5,445,000	Omnicare, Inc., 3.250%, 12/15/2035		4,505,737

				60,968,362

		Independent Energy — 0.1%
	1,860,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		1,341,525
	1,300,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		1,012,375
	3,795,000	Penn Virginia Corp., 4.500%, 11/15/2012		3,538,838

				5,892,738

		Lodging — 0.2%
	30,418,000	Host Hotels & Resorts, Inc., 144A, 2.625%, 4/15/2027		28,821,055

		Media Non-Cable — 0.0%
	7,732,404	Liberty Media LLC, 3.500%, 1/15/2031		4,233,491

		Metals & Mining — 0.1%
	1,000,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,073,750
	11,270,000	United States Steel Corp., 4.000%, 5/15/2014		15,763,913

				16,837,663

		Non-Captive Diversified — 0.3%
	44,035,000	iStar Financial, Inc., 0.791%, 10/01/2012(b)		31,705,200

		Oil Field Services — 0.0%
	535,000	Transocean, Inc., Series C, 1.500%, 12/15/2037		442,713

		Pharmaceuticals — 1.1%
	635,000	Human Genome Sciences, Inc., 2.250%, 10/15/2011		1,000,125
	41,680,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		60,957,000
	2,240,000	Kendle International, Inc., 3.375%, 7/15/2012		2,060,800


Principal Amount (‡)		Description	Value (†)
		Pharmaceuticals — continued
$	24,461,000	Nektar Therapeutics, 3.250%, 9/28/2012	$	23,451,984
	28,222,000	Valeant Pharmaceuticals International, Subordinated Note, 4.000%, 11/15/2013		47,236,572

				134,706,481

		REITs — 0.2%
	6,469,000	ProLogis, 1.875%, 11/15/2037		5,805,927
	19,445,000	ProLogis, 3.250%, 3/15/2015		17,378,969

				23,184,896

		Technology — 2.6%
	6,512,000	Advanced Micro Devices, Inc., 5.750%, 8/15/2012		6,389,900
	5,055,000	Advanced Micro Devices, Inc., 6.000%, 5/01/2015		4,802,250
	2,560,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		2,156,800
	220,000	Ciena Corp., 0.250%, 5/01/2013		177,925
	30,160,000	Ciena Corp., 0.875%, 6/15/2017		18,736,900
	6,075,000	Ciena Corp., 4.000%, 3/15/2015		5,672,531
	9,863,000	Intel Corp., 2.950%, 12/15/2035		9,369,850
	220,000,000	Intel Corp., 144A, 3.250%, 8/01/2039		247,775,000
	9,197,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		8,576,203
	3,241,000	Maxtor Corp., Subordinated Note, 5.750%, 3/01/2012(c)		3,176,180
	7,680,000	Micron Technology, Inc., 1.875%, 6/01/2014		6,748,800
	745,000	Nortel Networks Corp., 1.750%, 4/15/2012(d)		579,238
	30,767,000	Nortel Networks Corp., 2.125%, 4/15/2014(d)		23,921,342

				338,082,919

		Textile — 0.0%
	85,000	Dixie Group, Inc., Subordinated Note, 7.000%, 5/15/2012		74,800

		Wireless — 0.1%
	16,157,000	NII Holdings, Inc., 3.125%, 6/15/2012		15,248,169

		Wirelines — 1.0%
	34,645,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		31,613,563
	13,484,000	Level 3 Communications, Inc., 5.250%, 12/15/2011		12,910,930
	54,075,000	Level 3 Communications, Inc., 144A, 7.000%, 3/15/2015(c)		52,385,156
	32,895,000	Level 3 Communications, Inc., 7.000%, 3/15/2015(c)		31,867,031

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Principal Amount (‡)		Description	Value (†)
		Wirelines — continued
$	1,000,000	Qwest Communications International, Inc., 3.500%, 11/15/2025	$	1,107,500

				129,884,180

		Total Convertible Bonds (Identified Cost $909,646,757)		1,004,423,220

	Municipals — 1.1%
		California — 0.3%
	4,170,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028		3,315,775
	1,530,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028		1,289,408
	5,175,000	State of California, (AMBAC insured), 4.500%, 8/01/2027		4,757,067
	14,415,000	State of California, 4.500%, 10/01/2029		12,869,424
	4,190,000	State of California, (AMBAC insured), 4.500%, 8/01/2030		3,728,094
	3,620,000	State of California, 4.500%, 8/01/2030		3,220,931
	2,680,000	State of California (Various Purpose), (MBIA insured), 3.250%, 12/01/2027		2,088,685
	12,645,000	State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033		10,951,076

				42,220,460

		District of Columbia — 0.0%
	3,850,000	Metropolitan Washington Airport Authority, Series D, 8.000%, 10/01/2047		4,082,232

		Illinois — 0.0%
	1,725,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		1,621,396

		Michigan — 0.1%
	12,700,000	Michigan Tobacco Settlement Finance Authority, Taxable Turbo Series A, 7.309%, 6/01/2034(c)		9,723,120

		Virginia — 0.7%
	128,820,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		86,947,059

		Total Municipals (Identified Cost $189,914,130)		144,594,267

		Total Bonds and Notes (Identified Cost $11,204,757,793)		11,571,311,085

	Bank Loans — 0.5%
		Chemicals — 0.1%
	4,238,167	Hexion Specialty Chemicals, Inc., Extended Term Loan C1, 4.063%, 5/05/2015(g)		3,835,541


Principal Amount (‡)		Description	Value (†)
		Chemicals — continued
$	812,035	Hexion Specialty Chemicals, Inc., Extended Term Loan C2, 4.313%, 5/05/2015(g)	$	734,892

				4,570,433

		Electric — 0.0%
	5,019,391	Texas Competitive Electric Holdings Company LLC, Term Loan B2, 10/10/2014(h)		3,705,565

		Media Non-Cable — 0.0%
	2,797,946	Tribune Company, Term Loan X, 5.000%, 6/04/2009(d)(g)(i)		1,656,384

		Oil Field Services — 0.0%
	2,485,000	Dresser, Inc., 2nd Lien Term Loan, 6.195%, 5/04/2015(g)		2,284,659
	1,220,433	Dresser, Inc., Term Loan, 2.695%, 5/04/2014(g)		1,115,939

				3,400,598

		Printing & Publishing — 0.2%
	27,272,097	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(g)		23,347,369

		Wirelines — 0.2%
	3,975,879	FairPoint Communications, Inc., Initial Term Loan A, 4.750%, 3/31/2014(d)(g)		2,668,809
	12,057,742	FairPoint Communications, Inc., Initial Term Loan B, 5.000%, 3/31/2015(d)(g)		8,042,514
	17,256,403	Hawaiian Telcom Communications, Inc., New Tranche C Term Loan, 4.750%, 5/30/2014(g)(j)		14,344,385
	5,395,000	Level 3 Financing, Inc., Tranche A Term Loan, 2.548%, 3/13/2014(g)		4,784,717

				29,840,425

		Total Bank Loans (Identified Cost $69,747,982)		66,520,774


Shares
	Common Stocks — 4.0%
		Biotechnology — 0.2%
	867,059	Vertex Pharmaceuticals, Inc.(e)		28,526,241

		Containers & Packaging — 0.1%
	460,656	Owens-Illinois, Inc.(e)		12,184,351
	128,015	Smurfit-Stone Container Corp.(e)		3,168,376

				15,352,727

		Electric Utilities — 0.0%
	282,500	Duke Energy Corp.		4,520,000

		Electronic Equipment, Instruments & Components — 0.0%
	41,343	Corning, Inc.		667,689

		Food Products — 0.4%
	2,309,175	ConAgra Foods, Inc.		53,849,961

		Household Durables — 0.1%
	477,725	KB Home		5,254,975

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Shares	Description	Value (†)
	Household Durables — continued
549,450	Lennar Corp., Class A	$	7,642,849

			12,897,824

	Media — 0.0%
4,701	Dex One Corp.(e)		89,319

	Oil, Gas & Consumable Fuels — 0.2%
846,398	Chesapeake Energy Corp.		17,732,038
216,429	Repsol YPF SA, Sponsored ADR		4,417,965
141,249	Spectra Energy Corp.		2,834,868

			24,984,871

	Pharmaceuticals — 1.6%
7,978,200	Bristol-Myers Squibb Co.		198,976,308
2,288	Teva Pharmaceutical Industries Ltd., Sponsored ADR		118,953

			199,095,261

	REITs — 0.4%
290,904	Apartment Investment & Management Co., Class A		5,634,811
889,730	Associated Estates Realty Corp.		11,522,004
201,557	Developers Diversified Realty Corp.		1,995,414
460,000	Equity Residential		19,154,400
123,159	Simon Property Group, Inc.		9,945,089

			48,251,718

	Semiconductors & Semiconductor Equipment — 1.0%
6,170,000	Intel Corp.		120,006,500

	Total Common Stocks (Identified Cost $536,580,775)		508,242,111

Preferred Stocks — 1.8%
Convertible Preferred Stocks — 1.3%
	Automotive — 0.5%
1,549,442	Ford Motor Co. Capital Trust II, 6.500%(e)		68,407,864

	Capital Markets — 0.1%
183,851	Newell Financial Trust I, 5.250%		6,434,785

	Commercial Banks — 0.0%
5,933	Wells Fargo & Co., Series L, Class A, 7.500%		5,523,623

	Diversified Financial Services — 0.2%
16,622	Bank of America Corp., Series L, 7.250%		14,814,358
203,258	Sovereign Capital Trust IV, 4.375%		6,428,034

			21,242,392

	Electric Utilities — 0.1%
380,577	AES Trust III, 6.750%		16,483,741
107,725	CMS Energy Trust I, 7.750%(c)(k)		3,770,375

			20,254,116

	Machinery — 0.1%
229,491	United Rentals Trust I, 6.500%		6,956,446


Shares	Description	Value (†)
	Oil, Gas & Consumable Fuels — 0.1%
52,020	Chesapeake Energy Corp., 4.500%	$	4,239,630
159,977	El Paso Energy Capital Trust I, 4.750%		5,799,166

			10,038,796

	REITs — 0.0%
42,700	FelCor Lodging Trust, Inc., Series A, 7.800%(e)		865,102

	Semiconductors & Semiconductor Equipment — 0.2%
32,320	Lucent Technologies Capital Trust I, 7.750%		23,415,840

	Total Convertible Preferred Stocks (Identified Cost $157,476,006)		163,138,964

Non-Convertible Preferred Stocks — 0.5%
	Banking — 0.2%
36,916	Ally Financial, Inc., Series G, 144A, 7.000%		28,694,117

	Diversified Financial Services — 0.0%
35,000	Bank of America Corp., 6.375%		673,750

	Electric Utilities — 0.0%
393	Entergy New Orleans, Inc., 4.750%		31,022

	Household Durables — 0.0%
25,411	Hovnanian Enterprises, Inc., 7.625%(e)		180,926

	REITs — 0.1%
1,596	Highwoods Properties, Inc., Series A, 8.625%		1,567,072
116,192	ProLogis, Series C, 8.540%		5,461,024

			7,028,096

	Software — 0.1%
26,000	Falcons Funding Trust I (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 144A, 8.875%(f)		26,918,125

	Thrifts & Mortgage Finance — 0.1%
389,800	Countrywide Capital IV, 6.750%		8,185,800
2,131,675	Federal National Mortgage Association, (fixed rate to 12/13/2010, variable rate thereafter), 8.250%(e)(l)		724,770

			8,910,570

	Total Non-Convertible Preferred Stocks (Identified Cost $102,264,752)		72,436,606

	Total Preferred Stocks (Identified Cost $259,740,758)		235,575,570

Closed-End Investment Companies — 0.2%
942,380	Dreyfus High Yield Strategies		3,967,420
88,955	DWS High Income Trust		791,700

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)


Shares		Description	Value (†)
	Closed-End Investment Companies — continued
	860,000	Highland Credit Strategies Fund	$	6,131,800
	104,115	Morgan Stanley Emerging Markets Debt Fund, Inc.		1,034,903
	2,042,648	Western Asset High Income Opportunity Fund, Inc.		12,174,182
	1,217,820	Western Asset Managed High Income Fund, Inc.		7,246,029

		Total Closed-End Investment Companies (Identified Cost $38,386,105)		31,346,034

	Warrants — 0.1%
		Pharmaceuticals — 0.1%
	574,624	Valeant Pharmaceuticals International, Expiration 8/16/2010(c)(e)(k) (Identified Cost $0)		11,883,225


Principal Amount (‡)
	Short-Term Investments — 1.5%
$	2,150,723	Repurchase Agreement with State Street Corporation, dated 6/30/2010 at 0.000% to be repurchased at $2,150,723 on 7/01/2010, collateralized by $2,090,000 U.S. Treasury Note, 3.125% due 4/30/2017 valued at $2,195,528 including accrued interest(m)		2,150,723
	192,789,198	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2010 at 0.000% to be repurchased at $192,789,198 on 7/01/2010, collateralized by $145,000,000 Federal Farm Credit Bank, 2.375% due 4/28/2014 valued at $146,812,500; $8,960,000 Federal Home Loan Mortgage Corp., 4.750% due 11/17/2015 valued at $10,147,200; $34,430,000 Federal National Mortgage Association, 4.125% due 4/15/2014 valued at $37,976,290; $1,610,000 Federal Home Loan Mortgage Corp., 3.000% due 7/28/2014 valued at $1,710,625 including accrued interest(m)		192,789,198

		Total Short-Term Investments (Identified Cost $194,939,921)		194,939,921

		Total Investments — 98.6% (Identified Cost $12,304,153,334)(a)		12,619,818,720
		Other assets less liabilities—1.4%		173,646,031

		Net Assets — 100.0%	$	12,793,464,751

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

(†)

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available, are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. 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 a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at the net asset value each day.

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

(†††)

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

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At June 30, 2010, the net unrealized appreciation on investments based on a cost of $12,325,526,329 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	$	897,761,411
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(603,469,020	)

Net unrealized appreciation	$	294,292,391

At September 30, 2009, the Fund had a capital loss carryforward of $45,672,245 which expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $552,853,501. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.



(b)		Variable rate security. Rate as of June 30, 2010 is disclosed.

(c)		Illiquid security. At June 30, 2010, the value of these securities amounted to $463,175,688 or 3.6% of net assets.

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

(e)		Non-income producing security.

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

(g)		Variable rate security. Rate shown represents the weighted average rate at June 30, 2010.

(h)		All or a portion of this security has not settled. Contract rates are not determined and do not take effect until settlement date.

(i)		Issuer has filed for bankruptcy.

(j)		All or a portion of interest payment is paid-in-kind.

(k)		Fair valued security by the Fund’s investment adviser. At June 30, 2010 the value of these securities amounted to $15,653,600 or 0.1% of net assets.

(l)		Future dividend payments have been eliminated as the issuer has been placed in conservatorship.

(m)		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 a Fund’s ability to dispose of the underlying securities.

144A		Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2010, the value of these securities amounted to $1,566,964,228 or 12.2% 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 are significantly influenced by trading on exchanges not located in the United States.
ABS		Asset-Backed Securities
AGMC		Assured Guaranty Municipal Corp.
AMBAC		American Municipal Bond Assurance Corp.
EMTN		Euro Medium Term Note
GMTN		Global Medium Term Note
MBIA		Municipal Bond Investors Assurance Corp.
MTN		Medium Term Note
REITs		Real Estate Investment Trusts

AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
EUR		Euro
GBP		British Pound
IDR		Indonesian Rupiah
ISK		Icelandic Krona
KRW		South Korean Won
MXN		Mexican Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
SGD		Singapore Dollar

Fair Value Measurements

•

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

•

Level 3 - prices determined using significant unobservable inputs for situations where 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.

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2010, at value:

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2010:

Securities valued at $123,559,155 were transferred from Level 3 to Level 2 during the period ended June 30, 2010. At September 30, 2009, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at June 30, 2010, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service.

Securities valued at $30,455,245 were transferred from Level 3 to Level 2 during the period ended June 30, 2010. At September 30, 2009, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service; at June 30, 2010, these securities were valued using broker-dealer bid quotations based on inputs observable to the Fund.

Securities valued at $6,976,725 were transferred from Level 2 to Level 3 during the period ended June 30, 2010. At September 30, 2009, these securities were valued on the basis of evaluated bids furnished to the to the Fund by a pricing service; at June 30, 2010, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

LOOMIS SAYLES STRATEGIC INCOME FUND — PORTFOLIO OF INVESTMENTS (continued)

Industry Summary at June 30, 2010 (Unaudited)


Treasuries	14.0	%
Non-Captive Diversified	8.4
Banking	6.6
Technology	5.0
Sovereigns	4.9
Automotive	4.8
Wirelines	4.5
Non-Captive Consumer	4.0
Electric	3.4
Pharmaceuticals	3.1
Healthcare	3.0
Paper	2.8
Pipelines	2.2
Media Cable	2.1
Retailers	2.0
Airlines	2.0
REITs	2.0
Other Investments, less than 2% each	22.3
Short-Term Investments	1.5

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%

Currency Exposure at June 30, 2010 as a Percentage of Net Assets (Unaudited)


United States Dollar	71.2	%
Canadian Dollar	12.4
New Zealand Dollar	3.4
Other, less than 2% each	11.6

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%


Shares	Description	Value (†)
Common Stocks – 96.3% of Net Assets
	Aerospace & Defense – 3.0%
283,439	Honeywell International, Inc.	$	11,062,624
264,867	Northrop Grumman Corp.		14,419,360

			25,481,984

	Auto Components – 2.5%
795,288	Goodyear Tire & Rubber Co. (The)(b)		7,905,163
473,780	Johnson Controls, Inc.		12,730,468

			20,635,631

	Beverages – 2.7%
199,212	Dr Pepper Snapple Group, Inc.		7,448,536
246,863	PepsiCo, Inc.		15,046,300

			22,494,836

	Biotechnology – 1.2%
187,170	Amgen, Inc.(b)		9,845,142

	Capital Markets – 5.6%
414,323	Ameriprise Financial, Inc.		14,969,490
343,931	Bank of New York Mellon Corp.		8,491,656
412,384	Legg Mason, Inc.		11,559,124
364,332	State Street Corp.		12,321,708

			47,341,978

	Chemicals – 1.2%
156,712	Air Products & Chemicals, Inc.		10,156,505

	Commercial Banks – 6.3%
774,208	Fifth Third Bancorp		9,515,016
286,681	PNC Financial Services Group, Inc.		16,197,476
469,356	U.S. Bancorp		10,490,107
669,420	Wells Fargo & Co.		17,137,152

			53,339,751

	Computers & Peripherals – 1.5%
297,399	Hewlett-Packard Co.		12,871,429

	Construction & Engineering – 0.6%
256,728	Foster Wheeler AG(b)		5,406,692

	Consumer Finance – 1.3%
790,864	Discover Financial Services		11,056,279

	Containers & Packaging – 1.2%
381,390	Owens-Illinois, Inc.(b)		10,087,765

	Diversified Financial Services – 6.5%
1,500,804	Bank of America Corp.		21,566,554
2,485,029	Citigroup, Inc.(b)		9,343,709
655,082	JPMorgan Chase & Co.		23,982,552

			54,892,815

	Diversified Telecommunication Services – 1.4%
358,249	CenturyLink, Inc.		11,933,274

	Electric Utilities – 1.3%
328,037	American Electric Power Co., Inc.		10,595,595

	Electrical Equipment – 0.8%
390,569	ABB Ltd., Sponsored ADR(b)		6,749,032

	Energy Equipment & Services – 1.9%
127,997	Schlumberger Ltd.		7,083,354
238,487	Smith International, Inc.		8,979,036

			16,062,390

	Food & Staples Retailing – 1.2%
353,164	CVS Caremark Corp.		10,354,768

	Food Products – 1.4%
487,172	ConAgra Foods, Inc.		11,360,851

	Gas Utilities – 1.3%
291,815	EQT Corp.		10,546,194


Shares	Description	Value (†)
	Health Care Equipment & Supplies – 3.1%
1,244,771	Boston Scientific Corp.(b)	$	7,219,672
253,605	Covidien PLC		10,189,849
249,063	Medtronic, Inc.		9,033,515

			26,443,036

	Health Care Providers & Services – 1.5%
454,900	UnitedHealth Group, Inc.		12,919,160

	Household Durables – 1.5%
251,145	Harman International Industries, Inc.(b)		7,506,724
596,005	Pulte Group, Inc.(b)		4,934,921

			12,441,645

	Household Products – 0.5%
81,719	Energizer Holdings, Inc.(b)		4,108,831

	Independent Power Producers & Energy Traders – 0.9%
597,670	Calpine Corp.(b)		7,602,362

	Industrial Conglomerates – 4.3%
1,616,224	General Electric Co.		23,305,950
147,350	Siemens AG, Sponsored ADR		13,192,246

			36,498,196

	Insurance – 4.0%
153,313	Berkshire Hathaway, Inc., Class B(b)		12,217,513
228,834	Travelers Cos., Inc. (The)		11,270,075
472,952	Unum Group		10,263,058

			33,750,646

	Internet Software & Services – 2.1%
344,627	AOL, Inc.(b)		7,164,796
525,689	eBay, Inc.(b)		10,308,761

			17,473,557

	Media – 7.3%
637,030	CBS Corp., Class B		8,236,798
1,064,604	Comcast Corp., Class A		18,492,172
427,999	DIRECTV, Class A(b)		14,517,726
255,167	Omnicom Group, Inc.		8,752,228
375,546	Viacom, Inc., Class B		11,780,878

			61,779,802

	Multi-Utilities & Unregulated Power – 1.3%
354,064	Public Service Enterprise Group, Inc.		11,092,825

	Oil, Gas & Consumable Fuels – 10.8%
102,219	Anadarko Petroleum Corp.		3,689,084
331,303	CONSOL Energy, Inc.		11,184,789
1,222,933	El Paso Corp.		13,586,785
384,110	ExxonMobil Corp.		21,921,158
281,996	Hess Corp.		14,195,679
386,737	Total SA, Sponsored ADR		17,263,940
513,433	Valero Energy Corp.		9,231,525

			91,072,960

	Paper & Forest Products – 1.1%
253,794	Weyerhaeuser Co.		8,933,549

	Personal Products – 0.8%
117,752	Estee Lauder Cos., Inc. (The), Class A		6,562,319

	Pharmaceuticals – 5.9%
512,700	Bristol-Myers Squibb Co.		12,786,738
163,770	Johnson & Johnson		9,672,256
475,341	Merck & Co., Inc.		16,622,675
366,390	Sanofi-Aventis SA, Sponsored ADR		11,013,683

			50,095,352

	Road & Rail – 1.2%
186,956	Norfolk Southern Corp.		9,918,016


Shares		Description	Value (†)
		Semiconductors & Semiconductor Equipment – 1.3%
	910,581	Applied Materials, Inc.	$	10,945,184

		Software – 1.9%
	764,484	Oracle Corp.		16,405,827

		Specialty Retail – 2.3%
	451,233	Gap, Inc. (The)		8,780,994
	513,386	Lowe’s Cos., Inc.		10,483,342

				19,264,336

		Wireless Telecommunication Services – 1.6%
	654,491	Vodafone Group PLC, Sponsored ADR		13,528,329

		Total Common Stocks (Identified Cost $852,528,496)		812,048,843


Principal Amount
	Short-Term Investments – 2.5%
$	21,211,166	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2010 at 0.000% to be repurchased at $21,211,166 on 7/01/2010 collateralized by $19,105,000 Federal Home Mortgage Corp., 4.750% due 11/17/2015 with a value of $21,636,413 including accrued interest(c) (Identified Cost $21,211,166)		21,211,166

		Total Investments - 98.8% (Identified Cost $873,739,662)(a)		833,260,009
		Other assets less liabilities — 1.2%		9,920,804

		Net Assets — 100.0%	$	843,180,813

(†)

Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. 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 a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.

Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. Investments in other open-end investment companies are valued at their net asset value each day.

(a)

Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): At June 30, 2010, the net unrealized depreciation on investments based on a cost of $873,739,662 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	$	30,364,267
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(70,843,920	)

Net unrealized depreciation	$	(40,479,653	)

At September 30 , 2009, the Fund had a capital loss carryforward of $26,840,015 which expires on September 30, 2017. At September 30, 2009 post-October capital loss deferrals were $66,497,637. 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 are significantly influenced by trading on exchanges not located in the United States.

Fair Value Measurements

•

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

•

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2010, at value:

Asset Valuation Inputs


Description*	Level 1		Level 2		Level 3		Total
Common Stocks	$	812,048,843	$	—	$	—	$	812,048,843
Short-Term Investments		—		21,211,166		—		21,211,166

Total	$	812,048,843	$	21,211,166	$	—	$	833,260,009

*	Major categories of the Fund’s investments are included above.

Industry Summary at June 30, 2010 (Unaudited)


Oil, Gas & Consumable Fuels	10.8	%
Media	7.3
Diversified Financial Services	6.5
Commercial Banks	6.3
Pharmaceuticals	5.9
Capital Markets	5.6
Industrial Conglomerates	4.3
Insurance	4.0
Health Care Equipment & Supplies	3.1
Aerospace & Defense	3.0
Beverages	2.7
Auto Components	2.5
Specialty Retail	2.3
Internet Software & Services	2.1
Other Investments, less than 2% each	29.9
Short-Term Investments	2.5

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

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 has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

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.

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.


Investments in Securities	Balance as of September 30, 2009		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Net Purchases (Sales)		Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2010
Bonds and Notes
Non-Convertible Bonds
Korea	$	—	$	—	$	—	$	(9,891	)	$	354,142	$	—	$	—		$	344,251
Netherlands		—		—		—		(435	)		61,572		—		—			61,137
United States		859,552		—		—		—			—		—		(859,552	)		—
Convertible Bonds
United States		227,900		—		—		—			—		—		(227,900	)		—
Warrants
United States		—		—		—		258,397			—		—		—			258,397

Total	$	1,087,452	$	—	$	—	$	248,071		$	415,714	$	—	$	(1,087,452	)	$	663,785


Investments in Securities	Balance as of September 30, 2009		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Net Purchases (Sales)			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2010
Bonds and Notes
Non-Convertible Bonds
Collateralized Mortgage Obligations	$	389,767	$	—	$	—		$	—		$	—		$	—	$	(389,767	)	$	—
Electric		—		374		—			(20,174	)		—			123,300		—			103,500
Non-Captive Consumer		497,545		7,243		(19,550	)		37,378			(522,616	)		—		—			—
Non-Captive Diversified		478,858		—		—			—			—			—		(478,858	)		—
Supranational		678,290		—		—			—			—			—		(678,290	)		—
Technology		900,000		4,241		302,588			(140,839	)		(1,065,990	)		—		—			—
Treasuries		—		1,251		—			(14,642	)		42,929			—		—			29,538
Wirelines		970,125		504		—			(9,448	)		(961,181	)		—		—			—
Convertible Bonds
Technology		196,560		—		—			—			—			—		(196,560	)		—
Wirelines		863,900		—		—			—			—			—		(863,900	)		—

Total	$	4,975,045	$	12,362	$	283,038		$	(147,835	)	$	(2,505,497	)	$	123,300	$	(2,607,375	)	$	133,038


Technology	10.5	%
Wirelines	9.9
Healthcare	5.2
Wireless	4.5
Sovereigns	4.3
Non-Captive Diversified	4.2
Automotive	3.6
Home Construction	3.2
Independent Energy	2.8
Pharmaceuticals	2.7
Electric	2.3
Supranational	2.0
Other Investments, less than 2% each	28.0
Short-Term Investments	17.0

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%


Counterparty	Reference Obligation	(Pay)/Receive Fixed Rate		Expiration Date	Notional Value		Unamortized Up Front Payment Pay/(Receive)			Market Value		Unrealized Appreciation
JPMorgan Chase	CDX North America Investment Grade Index	(1.00	%)	06/20/2015	$	660,000	$	(4,273	)	$	5,811	$	9,901	*


United States Dollar	72.3	%
Canadian Dollar	16.7
New Zealand Dollar	3.2
Norwegian Krone	2.4
Other, less than 2% each	4.6

Total Investments	99.2
Other assets less liabilities	0.8

Net Assets	100.0	%


Description *	Level 1		Level 2		Level 3		Total
Bonds and Notes	$	—	$	319,906,399	$	—	$	319,906,399
Short-Term Investments		—		9,615,167		—		9,615,167

Total	$	—	$	329,521,566	$	—	$	329,521,566


Treasuries	28.8	%
Government Owned - No Guarantee	22.4
Mortgage Related	21.7
Commercial Mortgage-Backed Securities	13.0
Government Sponsored	5.0
Abs Car Loan	2.1
Other Investments, less than 2% each	2.7
Short-Term Investments	2.9

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%


	Shares	Value (†)
COMMON STOCKS – 97.4% of Net Assets
Aerospace & Defense – 2.0%
HEICO Corp.	28,515	$	1,024,259
Hexcel Corp.(b)	85,239		1,322,057

			2,346,316

Air Freight & Logistics – 1.1%
Atlas Air Worldwide Holdings, Inc.(b)	26,957		1,280,458

Auto Components – 0.9%
Amerigon, Inc.(b)	138,752		1,023,990

Biotechnology – 5.2%
Alexion Pharmaceuticals, Inc.(b)	20,875		1,068,591
Alkermes, Inc.(b)	74,573		928,434
Cepheid, Inc.(b)	74,574		1,194,675
Clinical Data, Inc.(b)	51,680		642,899
Incyte Corp. Ltd.(b)	66,910		740,694
Pharmasset, Inc.(b)	28,645		783,154
Regeneron Pharmaceuticals, Inc.(b)	31,549		704,174

			6,062,621

Building Products – 1.1%
Trex Company, Inc.(b)	64,698		1,299,783

Capital Markets – 3.2%
Evercore Partners, Inc., Class A	37,942		885,946
Greenhill & Co., Inc.	15,510		948,126
Harris & Harris Group, Inc.(b)	159,358		651,774
Stifel Financial Corp.(b)	27,137		1,177,475

			3,663,321

Commercial Banks – 2.1%
Signature Bank(b)	36,482		1,386,681
SVB Financial Group(b)	24,800		1,022,504

			2,409,185

Commercial Services & Supplies – 2.1%
EnerNOC, Inc.(b)	35,814		1,125,992
Waste Connections, Inc.(b)	38,719		1,350,906

			2,476,898

Communications Equipment – 2.9%
Ciena Corp.(b)	55,605		705,071
DG FastChannel, Inc.(b)	33,239		1,082,927
F5 Networks, Inc.(b)	12,672		868,919
Meru Networks, Inc.(b)	55,905		663,033

			3,319,950

Computers & Peripherals – 1.1%
Netezza Corp.(b)	96,525		1,320,462

Construction & Engineering – 0.8%
MasTec, Inc.(b)	98,528		926,163


	Shares	Value (†)
COMMON STOCKS – continued
Diversified Consumer Services – 1.8%
Grand Canyon Education, Inc.(b)	44,254	$	1,036,871
Lincoln Educational Services Corp.(b)	47,998		988,279

			2,025,150

Diversified Financial Services – 0.8%
MSCI, Inc.(b)	34,146		935,600

Electrical Equipment – 1.2%
Polypore International, Inc.(b)	63,379		1,441,238

Electronic Equipment Instruments & Components – 1.1%
IPG Photonics Corp.(b)	79,935		1,217,410

Energy Equipment & Services – 1.6%
Oceaneering International, Inc.(b)	21,284		955,652
T-3 Energy Services, Inc.(b)	34,119		951,920

			1,907,572

Food Products – 1.2%
Diamond Foods, Inc.	32,480		1,334,928

Health Care Equipment & Supplies – 9.3%
AGA Medical Holdings, Inc.(b)	85,746		1,088,117
Align Technology, Inc.(b)	70,114		1,042,595
DexCom, Inc.(b)	88,805		1,026,586
ev3, Inc.(b)	51,678		1,158,104
Insulet Corp.(b)	63,040		948,752
Masimo Corp.	40,848		972,591
MELA Sciences, Inc.(b)	89,923		669,027
ResMed, Inc.(b)	22,357		1,359,529
Volcano Corp.(b)	59,238		1,292,573
Zoll Medical Corp.(b)	44,124		1,195,760

			10,753,634

Health Care Providers & Services – 6.1%
Bio-Reference Labs, Inc.(b)	57,412		1,272,824
Catalyst Health Solutions, Inc.(b)	30,466		1,051,077
Hanger Orthopedic Group, Inc.(b)	72,256		1,297,718
HMS Holdings Corp.(b)	26,940		1,460,687
IPC The Hospitalist Co.(b)	35,350		887,285
MWI Veterinary Supply, Inc.(b)	21,483		1,079,735

			7,049,326

Health Care Technology – 2.6%
MedAssets, Inc.(b)	70,781		1,633,625
SXC Health Solutions Corp.(b)	18,590		1,361,718

			2,995,343

Hotels, Restaurants & Leisure – 2.0%
Life Time Fitness, Inc.(b)	36,908		1,173,305


	Principal Amount		Value (†)
SHORT-TERM INVESTMENTS – 2.6%
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/10 at 0.000% to be repurchased at $2,973,312 on 7/01/10 collateralized by $2,680,000 Federal Home Loan Mortgage Corp., 4.750% due 11/17/15 valued at $3,035,100 including accrued interest(c) (Identified Cost $2,973,312)	$	2,973,312	$	2,973,312

TOTAL INVESTMENTS – 100.0% (Identified Cost $98,375,226)(a)				115,929,038
Other assets less liabilities—0.0%				(721	)

NET ASSETS – 100.0%			$	115,928,317


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	21,937,610
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,382,735	)

Net unrealized appreciation	$	17,554,875


Software	9.3	%
Health Care Equipment & Supplies	9.3
Specialty Retail	7.3
Semiconductors & Semiconductor Equipment	6.7
Internet Software & Services	6.5
Health Care Providers & Services	6.1
Biotechnology	5.2
Oil, Gas & Consumable Fuels	5.0
Professional Services	3.5
Capital Markets	3.2
Textiles, Apparel & Luxury Goods	3.0
Communications Equipment	2.9
Health Care Technology	2.6
Commercial Services & Supplies	2.1
Commercial Banks	2.1
Hotels, Restaurants & Leisure	2.0
Aerospace & Defense	2.0
Other Investments, less than 2% each	18.6
Short-Term Investments	2.6

Total Investments	100.0
Other assets less liabilities	0.0

Net Assets	100.0	%


Investments in Securities	Balance as of September 30, 2009		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Net Purchases (Sales)			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2010
Bonds and Notes
Non-Convertible Bonds
Airlines	$	6,940,852	$	—	$	—	$	—		$	—		$	—	$	(6,940,852	)	$	—
Automotive		2,526,146		—		—		—			—			—		(2,526,146	)		—
Chemicals		23,203,580		—		—		—			—			—		(23,203,580	)		—
Diversified Manufacturing		20,732,656		—		—		—			—			—		(20,732,656	)		—
Electric		4,708,532		16,192		—		(1,136,541	)		—			6,976,725		(4,708,533	)		5,856,375
Non-Captive Consumer		4,129,285		2,638		268		205,168			(4,337,359	)		—		—			—
Non-Captive Diversified		4,017,538		—		—		—			—			—		(4,017,538	)		—
Supranational		30,455,245		—		—		—			—			—		(30,455,245	)		—
Technology		225,000		—		—		—			—			—		(225,000	)		—
Treasuries		—		56,045		—		(656,174	)		1,923,982			—		—			1,323,853
Convertible Bonds
Technology		3,394,300		—		—		—			—			—		(3,394,300	)		—
Wirelines		57,319,500		—		—		—			—			—		(57,319,500	)		—
Preferred Stocks
Convertible Preferred Stocks
Electric Utilities		3,770,375		—		—		—			—			—		—			3,770,375
REITs		491,050		—		—		—			—			—		(491,050	)		—
Warrants
Pharmaceuticals		—		—		—		11,883,225			—			—		—			11,883,225

Total	$	161,914,059	$	74,875	$	268	$	10,295,678		$	(2,413,377	)	$	6,976,725	$	(154,014,400	)	$	22,833,828


(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.


Loomis Sayles Funds II

By:		/s/ ROBERT J. BLANDING
Name:		Robert J. Blanding
Title:		Chief Executive Officer

Date:		August 23, 2010