Loomis Sayles Funds II

N-Q 1 d384607dnq.htm LOOMIS SAYLES FUNDS II Loomis Sayles Funds II

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06241

Loomis Sayles Funds II

(Exact name of registrant as specified in charter)

399 Boylston Street,

Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

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

Date of fiscal year end: September 30

Date of reporting period: June 30, 2012

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of June 30, 2012 (Unaudited)

Loomis Sayles Global Equity and Income Fund


Shares		Description	Value (†)
	Common Stocks – 66.2% of Net Assets

		Argentina – 1.0%
	523,143	Arcos Dorados Holdings, Inc., Class A	$	7,732,053

		Belgium – 1.5%
	151,738	Anheuser-Busch InBev NV		11,963,207

		Brazil – 4.0%
	458,800	Cia Hering		8,703,152
	153,433	Embraer S.A., ADR		4,070,577
	583,700	Mills Estruturas e Servicos de Engenharia S.A.		8,020,971
	458,400	Natura Cosmeticos S.A.		10,726,811

				31,521,511

		Canada – 0.4%
	64,267	Potash Corp. of Saskatchewan, Inc.		2,807,825
	9,996	Valeant Pharmaceuticals International, Inc.(b)		447,721

				3,255,546

		Chile – 2.5%
	131,604	Banco Santander Chile, ADR		10,197,994
	1,087,587	S.A.C.I. Falabella		9,936,516

				20,134,510

		China – 2.1%
	69,976	Baidu, Inc., Sponsored ADR(b)		8,045,840
	802,000	China Mobile Ltd.		8,814,335

				16,860,175

		Denmark – 2.0%
	110,642	Novo Nordisk A/S, Class B		16,047,156

		France – 1.6%
	172,688	Sanofi		13,072,618

		Germany – 0.8%
	74,543	Siemens AG, (Registered)		6,263,628

		Hong Kong – 0.5%
	1,237,000	Hang Lung Properties Ltd.		4,231,305

		Japan – 1.4%
	66,800	FANUC Corp.		10,980,651

		Mexico – 1.1%
	4,353,300	Genomma Lab Internacional S.A. de CV, Class B(b)		8,599,103

		Netherlands – 1.1%
	748,161	DE Master Blenders 1753 NV(b)		8,435,963

		Russia – 0.8%
	192,594	Mail.ru Group Ltd., GDR, 144A(b)(c)		6,517,381


Shares		Description	Value (†)
	Common Stocks – continued

		Sweden – 2.3%
	401,375	Atlas Copco AB, Class A	$	8,637,896
	202,620	Elekta AB, Class B		9,258,862

				17,896,758

		Switzerland – 1.4%
	145,774	ACE Ltd.		10,806,227

		United Kingdom – 10.2%
	367,184	Antofagasta PLC		6,281,002
	409,215	BG Group PLC		8,377,235
	220,367	British American Tobacco PLC		11,203,457
	260,438	Burberry Group PLC		5,422,525
	577,512	Diageo PLC		14,885,365
	149,899	Royal Dutch Shell PLC, ADR		10,107,689
	597,082	Standard Chartered PLC		12,970,398
	4,326,240	Vodafone Group PLC		12,160,004

				81,407,675

		United States – 31.5%
	229,900	American Express Co.		13,382,479
	35,023	Apple, Inc.(b)		20,453,432
	251,169	AT&T, Inc.		8,956,687
	669,923	Calpine Corp.(b)		11,060,429
	90,040	Caterpillar, Inc.		7,645,296
	251,025	CenturyLink, Inc.		9,912,977
	300,286	Citigroup, Inc.		8,230,839
	376,850	Coca-Cola Enterprises, Inc.		10,566,874
	216,501	CVS Caremark Corp.		10,117,092
	1,679	Dex One Corp.(b)		1,570
	242,061	FMC Technologies, Inc.(b)		9,496,053
	23,905	Google, Inc., Class A(b)		13,866,573
	955	Hawaiian Telcom Holdco, Inc.(b)		18,632
	109,325	Hillshire Brands Co.		3,169,326
	107,446	Jones Lang LaSalle, Inc.		7,560,975
	333,902	Microsoft Corp.		10,214,062
	121,632	National Fuel Gas Co.		5,714,271
	175,544	National Oilwell Varco, Inc.		11,312,055
	507,538	Oracle Corp.		15,073,879
	231,464	PNC Financial Services Group, Inc.		14,144,765
	113,391	Praxair, Inc.		12,329,003
	32,654	Precision Castparts Corp.		5,371,257
	20,917	Priceline.com, Inc.(b)		13,899,765
	154,965	QUALCOMM, Inc.		8,628,451
	169,018	Schlumberger Ltd.		10,970,958
	299	SuperMedia, Inc.(b)		748
	256,769	Texas Instruments, Inc.		7,366,703
	26,818	Vertex Pharmaceuticals, Inc.(b)		1,499,663

				250,964,814

		Total Common Stocks (Identified Cost $510,002,362)		526,690,281


Principal Amount (‡)			Description	Value (†)
	Bonds and Notes – 28.8%

	Non-Convertible Bonds – 27.8%

			Argentina – 0.1%
$	626,891		Argentina Government International Bond, 8.280%, 12/31/2033	$	410,613
	170,000		Pan American Energy LLC, 7.875%, 5/07/2021, 144A		144,500
	500,000		Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		347,500

					902,613

			Australia – 0.1%
	500,000		Macquarie Bank Ltd., 6.625%, 4/07/2021, 144A		501,338
	235,000		New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		268,575
	155,000		Sydney Airport Finance Co., 5.125%, 2/22/2021, 144A		165,745

					935,658

			Belgium – 0.1%
	350,000		Anheuser-Busch InBev NV, EMTN, 6.500%, 6/23/2017, (GBP)		650,243

			Brazil – 1.3%
	400,000		Banco Santander Brasil S.A., 4.500%, 4/06/2015, 144A		400,000
	1,793,202		Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		933,968
	800,000		Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		822,000
	646,950	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 8/15/2014, (BRL)		339,195
	517,560	(††)	Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL)		274,174
	1,115	(†††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL)		557,394
	600,000		BRF - Brazil Foods S.A., 5.875%, 6/06/2022, 144A		618,000
	400,000		CSN Resources S.A., 6.500%, 7/21/2020, 144A		433,320
	450,000		Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A		449,100
	119,000		Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		123,165
	300,000		Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A		312,000
	100,000		LPG International, Inc., 7.250%, 12/20/2015		110,500
	100,000		Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A		78,000
	196,000		Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A		205,310
	500,000		Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A		526,650
	600,000		OGX Petroleo e Gas Participacoes S.A., 8.500%, 6/01/2018, 144A		534,000


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

	Non-Convertible Bonds – continued

		Brazil – continued
	2,400,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)	$	1,251,680
	320,000	Petrobras International Finance Co., 5.375%, 1/27/2021		344,887
	300,000	Petrobras International Finance Co., 6.875%, 1/20/2040		356,857
	350,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		189,943
	129,000	Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A		131,580
	536,000	Vale Overseas Ltd., 6.875%, 11/21/2036		621,735
	200,000	Voto-Votorantim Ltd., 6.750%, 4/05/2021, 144A		218,000
	400,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A		400,000

				10,231,458

		Canada – 0.6%
	600,000	Bell Canada, MTN, 5.000%, 2/15/2017, (CAD)		645,662
	2,265,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(d)		2,360,174
	650,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		653,020
	465,000	Pacific Rubiales Energy Corp., 7.250%, 12/12/2021, 144A		504,525
	100,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		108,488
	600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		658,373

				4,930,242

		Chile – 0.1%
	250,000,000	Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)		477,134
	200,000	Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022, 144A		204,457
	250,000	E.CL S.A., 5.625%, 1/15/2021, 144A		271,022

				952,613

		China – 0.1%
	400,000	China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A		409,403

		Colombia – 0.2%
	400,000	Banco Davivienda S.A., 5.875%, 7/09/2022, 144A		401,800
	435,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		269,787
	1,300,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		789,052
	200,000,000	Republic of Colombia, 7.750%, 4/14/2021, (COP)		139,475


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

	Non-Convertible Bonds – continued

		Colombia – continued
$	40,000	Republic of Colombia, 8.125%, 5/21/2024	$	58,140

				1,658,254

		Czech Republic – 0.1%
	400,000	CEZ AS, 4.250%, 4/03/2022, 144A		409,828

		France – 0.1%
	400,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		643,563
	150,000	Lafarge S.A., EMTN, 5.375%, 6/26/2017, (EUR)		194,670
	240,000	Veolia Environnement S.A., EMTN, 4.000%, 2/12/2016, (EUR)		326,322
	25,000	Veolia Environnement S.A., EMTN, 5.125%, 5/24/2022, (EUR)		35,197

				1,199,752

		Germany – 0.2%
	1,095,000	Bundesrepublik Deutschland, 3.750%, 1/04/2017, (EUR)		1,582,563

		Hong Kong – 0.2%
	600,000	Bank of East Asia Ltd., EMTN, (fixed rate to 5/04/2017, variable rate thereafter), 6.375%, 5/04/2022		639,828
	400,000	Hutchison Whampoa International 11 Ltd., 3.500%, 1/13/2017, 144A		414,762
	400,000	Noble Group Ltd., 6.750%, 1/29/2020, 144A		386,000

				1,440,590

		Hungary – 0.0%
	200,000	Hungary Government International Bond, 6.375%, 3/29/2021		194,800

		Iceland – 0.1%
	1,000,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		969,781

		India – 0.2%
	200,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		187,914
	1,400,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		1,246,000

				1,433,914

		Indonesia – 0.1%
	200,000	Adaro Indonesia PT, 7.625%, 10/22/2019, 144A		212,000
	3,500,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		458,301


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

	Non-Convertible Bonds – continued

		Indonesia – continued
	781,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)	$	109,446

				779,747

		Ireland – 0.0%
	100,000	WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP)		176,663

		Italy – 0.2%
	250,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		246,036
	500,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)		484,534
	400,000	Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)		486,838
	400,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)		482,945
	125,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		95,938
	10,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		7,850
	100,000	Telecom Italia SpA, EMTN, 5.375%, 1/29/2019, (EUR)		118,579

				1,922,720

		Korea – 0.8%
	8,000,000	Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		189,942
	400,000	Hana Bank, 4.000%, 11/03/2016, 144A		418,941
	600,000	Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A		605,061
	600,000	Hyundai Steel Co., 4.625%, 4/21/2016, 144A		623,602
	400,000	Kia Motors Corp., 3.625%, 6/14/2016, 144A		410,708
	400,000	Korea Finance Corp., 4.625%, 11/16/2021		433,655
	400,000	Korea National Oil Corp., 3.125%, 4/03/2017, 144A		407,888
	2,700,000,000	Korea Treasury Bond, 5.000%, 9/10/2014, (KRW)		2,438,787
	400,000	Shinhan Bank, 4.375%, 7/27/2017, 144A		426,601
	140,000	SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A		172,953
	200,000	Woori Bank, 5.875%, 4/13/2021, 144A		222,647

				6,350,785

		Latvia – 0.1%
	600,000	Republic of Latvia, 5.250%, 2/22/2017, 144A		619,500


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

	Non-Convertible Bonds – continued

			Luxembourg – 0.1%
$	400,000		ArcelorMittal, 6.750%, 3/01/2041	$	373,356
	400,000		VTB Bank OJSC, 6.000%, 4/12/2017, 144A		403,824

					777,180

			Malaysia – 0.1%
	1,750,000		Malaysia Government Bond, 3.434%, 8/15/2014, (MYR)		555,896
	1,000,000		Malaysia Government Bond, 4.262%, 9/15/2016, (MYR)		328,676

					884,572

			Mexico – 1.7%
	7,000,000		America Movil SAB de CV, 3.500%, 2/08/2015, (CNY)		1,115,299
	195,000		Axtel SAB de CV, 7.625%, 2/01/2017, 144A		127,725
	145,000		Axtel SAB de CV, 9.000%, 9/22/2019, 144A		95,700
	700,000		Corporacion GEO SAB de CV, 9.250%, 6/30/2020, 144A		728,000
	600,000		Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A		630,000
	94,000	(††††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		762,136
	668,400	(††††)	Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN)		5,678,546
	74,000	(††††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		611,037
	88,000	(††††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		783,575
	65,000	(††††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		682,739
	80,000	(††††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		725,562
	100,000		Mexichem SAB de CV, 8.750%, 11/06/2019, 144A		118,750
	330,000		Petroleos Mexicanos, 8.000%, 5/03/2019		419,100
	800,000		Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A		836,000
	400,000		Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A		422,000

					13,736,169

			Netherlands – 0.2%
	200,000		EADS Finance BV, EMTN, 4.625%, 8/12/2016, (EUR)		280,370
	200,000		Indosat Palapa Co. BV, 7.375%, 7/29/2020, 144A		216,000
	400,000		Listrindo Capital BV, 6.950%, 2/21/2019, 144A		409,264
	100,000		Myriad International Holding BV, 6.375%, 7/28/2017, 144A		110,196


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

	Non-Convertible Bonds – continued

		Netherlands – continued
	50,000	OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR)	$	65,332
	200,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		206,352

				1,287,514

		New Zealand – 0.1%
	1,000,000	New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		962,445

		Norway – 0.3%
	475,000	Eksportfinans ASA, 2.000%, 9/15/2015		425,099
	3,335,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		631,551
	6,360,000	Norwegian Government, 4.500%, 5/22/2019, (NOK)		1,261,790

				2,318,440

		Oman – 0.0%
	200,000	MBPS Finance Co., 11.250%, 11/15/2015, 144A		162,250

		Panama – 0.0%
	300,000	Banco Latinoamericano de Comercio Exterior, S.A., 3.750%, 4/04/2017, 144A		298,500

		Philippines – 0.1%
	30,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		759,167

		Poland – 0.1%
	95,000	Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		104,323
	800,000	Poland Government International Bond, 5.000%, 3/23/2022		873,200

				977,523

		Republic of Korea – 0.0%
	250,000	Lotte Shopping Co. Ltd., 3.375%, 5/09/2017, 144A		254,205

		Russia – 0.0%
	200,000	Gazprom OAO Via Gaz Capital S.A., 4.950%, 5/23/2016, 144A		207,098

		Singapore – 0.6%
	1,200,000	DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A		1,202,327
	3,355,000	Singapore Government Bond, 1.625%, 4/01/2013, (SGD)		2,675,604
	345,000	Singapore Government Bond, 2.250%, 7/01/2013, (SGD)		277,960
	605,000	Singapore Government Bond, 2.250%, 6/01/2021, (SGD)		510,265


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

	Non-Convertible Bonds – continued

		Singapore – continued
$	150,000	STATS ChipPAC Ltd., 7.500%, 8/12/2015, 144A	$	160,500

				4,826,656

		South Africa – 0.2%
	450,000	Edcon Proprietary Ltd., 3.912%, 6/15/2014, (EUR)(e)		517,539
	130,000	Edcon Proprietary Ltd., 3.912%, 6/15/2014, 144A, (EUR)(e)		149,511
	285,000	Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR)		388,262
	400,000	Transnet Ltd., 4.500%, 2/10/2016, 144A		417,016

				1,472,328

		Spain – 0.1%
	550,000	Spain Government Bond, 4.250%, 10/31/2016, (EUR)		659,497

		Supranationals – 0.3%
	840,000	Central American Bank for Economic Integration, 3.875%, 2/09/2017, 144A		868,315
	1,115,000	Corp Andina de Fomento, 4.375%, 6/15/2022		1,138,897
	305,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)		349,495
	400,000,000	International Bank for Reconstruction & Development, GMTN, 2.300%, 2/26/2013, (KRW)		346,828

				2,703,535

		Sweden – 0.1%
	3,020,000	Sweden Government Bond, 5.500%, 10/08/2012, (SEK)		441,292

		Turkey – 0.5%
	600,000	Akbank TAS, 5.125%, 7/22/2015, 144A		611,280
	600,000	Export Credit Bank of Turkey, 5.375%, 11/04/2016, 144A		619,500
	1,200,000	Turkey Government Bond, Zero Coupon, 5/15/2013, (TRY)		614,757
	1,200,000	Turkey Government International Bond, 5.125%, 3/25/2022		1,249,500
	600,000	Yapi ve Kredi Bankasi Via Unicredit Luxembourg S.A., 5.188%, 10/13/2015, 144A		604,500

				3,699,537

		United Arab Emirates – 0.2%
	500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		491,250
	600,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A		647,250


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

	Non-Convertible Bonds – continued

		United Arab Emirates – continued
$	200,000	Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A	$	222,250

				1,360,750

		United Kingdom – 0.5%
	410,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		358,889
	250,000	BAT International Finance PLC, 3.250%, 6/07/2022, 144A		247,067
	150,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		260,967
	60,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		106,521
	150,000	Imperial Tobacco Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP)		274,515
	400,000	Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP)		636,008
	100,000	Rexam PLC, EMTN, 4.375%, 3/15/2013, (EUR)		128,676
	250,000	Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR)		341,436
	730,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)		1,194,190
	250,000	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)		482,727

				4,030,996

		United States – 17.6%
	420,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		285,600
	15,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		10,125
	975,000	Alcoa, Inc., 5.900%, 2/01/2027		964,632
	1,325,000	Ally Financial, Inc., 5.500%, 2/15/2017		1,345,857
	257,000	Ally Financial, Inc., 6.750%, 12/01/2014		270,492
	60,000	Ally Financial, Inc., 6.875%, 8/28/2012		60,300
	55,000	Ally Financial, Inc., 7.500%, 12/31/2013		58,300
	129,000	Ally Financial, Inc., 8.000%, 12/31/2018		142,868
	1,728,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,026,080
	720,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		781,200
	60,000	Arrow Electronics, Inc., 6.875%, 7/01/2013		63,397
	19,340	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		18,373
	925,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		927,895


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

	Non-Convertible Bonds – continued

		United States – continued
$	145,000	Avnet, Inc., 6.000%, 9/01/2015	$	159,126
	1,820,000	Ball Corp., 5.000%, 3/15/2022		1,892,800
	200,000	Bank of America Corp., 5.490%, 3/15/2019		203,680
	450,000	Bank of America Corp., (fixed rate to 5/06/2014, variable rate thereafter), 4.750%, 5/06/2019, (EUR)		481,206
	115,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		118,646
	15,000	Boston Scientific Corp., 5.125%, 1/12/2017		16,625
	5,000	Boston Scientific Corp., 5.450%, 6/15/2014		5,358
	15,000	Boston Scientific Corp., 6.400%, 6/15/2016		17,275
	1,520,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		1,533,069
	1,995,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,075,949
	510,000	CenturyLink, Inc., 7.650%, 3/15/2042		494,986
	55,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		54,063
	605,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		584,255
	20,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		19,800
	90,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		88,650
	2,300,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		2,363,250
	750,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		599,497
	586,146	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		580,285
	80,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class AM, 5.869%, 9/15/2040		67,893
	190,000	CSX Corp., 6.250%, 3/15/2018		228,698
	265,000	Cummins, Inc., 5.650%, 3/01/2098		272,774
	258,167	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		261,085
	250,321	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		255,328
	42,000	Dillard’s, Inc., 6.625%, 1/15/2018		43,733
	50,000	Dillard’s, Inc., 7.000%, 12/01/2028		48,125
	8,000	Dillard’s, Inc., 7.750%, 7/15/2026		8,010
	250,000	Exelon Corp., 4.900%, 6/15/2015		271,720


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

	Non-Convertible Bonds – continued

		United States – continued
$	150,000	Foot Locker, Inc., 8.500%, 1/15/2022	$	162,563
	25,000	Ford Motor Co., 6.375%, 2/01/2029		27,124
	50,000	Ford Motor Co., 6.625%, 2/15/2028		55,522
	2,105,000	Ford Motor Co., 6.625%, 10/01/2028		2,367,363
	40,000	Ford Motor Co., 7.125%, 11/15/2025		45,400
	835,000	Ford Motor Co., 7.450%, 7/16/2031		1,045,837
	5,000	Ford Motor Co., 7.500%, 8/01/2026		5,800
	2,250,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		2,400,799
	845,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		939,115
	905,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		1,070,394
	905,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		932,833
	28,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		29,540
	45,000	General Electric Capital Corp., 5.625%, 5/01/2018		51,729
	205,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		235,341
	600,000	General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%, 12/15/2049		633,876
	900,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		772,812
	750,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		814,324
	3,435,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		4,212,839
	105,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		133,785
	180,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		233,832
	405,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		570,965
	200,000	Gerdau Holdings, Inc., 7.000%, 1/20/2020, 144A		223,000
	2,295,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,249,222
	50,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		69,261
	3,045,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		3,041,194
	165,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		156,338
	410,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		448,388


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

	Non-Convertible Bonds – continued

		United States – continued
$	20,000	HCA, Inc., 5.750%, 3/15/2014	$	20,925
	90,000	HCA, Inc., 6.375%, 1/15/2015		95,625
	225,000	HCA, Inc., 7.050%, 12/01/2027		202,500
	245,000	HCA, Inc., 7.190%, 11/15/2015		258,475
	90,000	HCA, Inc., 7.500%, 12/15/2023		86,513
	250,000	HCA, Inc., 7.500%, 11/06/2033		234,375
	1,500,000	HCA, Inc., 7.690%, 6/15/2025		1,443,750
	395,000	HCA, Inc., 8.360%, 4/15/2024		400,925
	195,000	HCA, Inc., MTN, 7.580%, 9/15/2025		186,225
	75,000	HCA, Inc., MTN, 7.750%, 7/15/2036		70,500
	585,000	Hercules, Inc., 6.500%, 6/30/2029		479,700
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		504,332
	110,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		120,610
	80,000	International Lease Finance Corp., 5.875%, 4/01/2019		80,078
	1,620,000	International Lease Finance Corp., 6.250%, 5/15/2019		1,650,375
	1,670,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		1,709,662
	70,000	iStar Financial, Inc., 5.850%, 3/15/2017		61,775
	405,000	iStar Financial, Inc., 5.875%, 3/15/2016		365,512
	145,000	iStar Financial, Inc., 6.050%, 4/15/2015		135,213
	1,235,000	iStar Financial, Inc., 8.625%, 6/01/2013		1,235,000
	35,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		32,988
	950,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		917,937
	5,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		4,531
	64,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		48,320
	15,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		13,931
	10,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		8,375
	5,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		3,644


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

	Non-Convertible Bonds – continued

		United States – continued
$	370,000	Jefferies Group, Inc., 3.875%, 11/09/2015	$	363,525
	665,000	Jefferies Group, Inc., 5.125%, 4/13/2018		645,050
	890,000	Jefferies Group, Inc., 6.250%, 1/15/2036		801,000
	715,000	Jefferies Group, Inc., 6.450%, 6/08/2027		679,250
	1,410,000	Jefferies Group, Inc., 6.875%, 4/15/2021		1,417,906
	15,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A		10,463
	260,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		170,300
	1,665,000	KB Home, 8.000%, 3/15/2020		1,698,300
	15,000	Lennar Corp., Series B, 5.500%, 9/01/2014		15,600
	1,090,000	Lennar Corp., Series B, 5.600%, 5/31/2015		1,144,500
	55,000	Lennar Corp., Series B, 6.500%, 4/15/2016		58,300
	1,435,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		1,506,750
	235,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		244,400
	30,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		32,400
	165,000	Masco Corp., 6.500%, 8/15/2032		158,608
	865,000	Masco Corp., 7.750%, 8/01/2029		906,288
	600,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		620,333
	2,700,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		2,544,110
	310,000	MGM Resorts International, 8.625%, 2/01/2019, 144A		331,700
	310,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(f)		241,800
	410,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(f)		360,800
	230,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		367,563
	2,500,000	Morgan Stanley, 5.750%, 1/25/2021		2,465,105
	500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		531,498
	600,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		591,133
	100,000	Morgan Stanley, Series F, MTN, 0.916%, 10/18/2016(e)		87,153
	1,382,000	New Albertson’s, Inc., 7.450%, 8/01/2029		1,015,770


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

	Non-Convertible Bonds – continued

		United States – continued
$	100,000	New Albertson’s, Inc., 7.750%, 6/15/2026	$	79,000
	3,450,000	New Albertson’s, Inc., 8.000%, 5/01/2031		2,673,750
	1,965,000	New Albertson’s, Inc., 8.700%, 5/01/2030		1,601,475
	155,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		106,950
	15,000	News America, Inc., 6.400%, 12/15/2035		17,295
	935,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		936,169
	10,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		10,038
	250,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(f)(g)		40,000
	155,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		148,025
	2,475,000	NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A		2,654,437
	35,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(g)		37,975
	565,000	Owens Corning, Inc., 6.500%, 12/01/2016		628,235
	535,000	Owens Corning, Inc., 7.000%, 12/01/2036		568,569
	40,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		45,550
	47,000	Pulte Group, Inc., 5.200%, 2/15/2015		48,410
	540,000	Pulte Group, Inc., 6.000%, 2/15/2035		432,000
	785,000	Pulte Group, Inc., 6.375%, 5/15/2033		647,625
	220,000	Pulte Group, Inc., 7.875%, 6/15/2032		209,000
	1,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,418,889
	650,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		626,679
	400,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		413,572
	60,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		59,082
	560,000	Qwest Corp., 6.875%, 9/15/2033		557,200
	115,000	Qwest Corp., 7.250%, 9/15/2025		126,195
	1,155,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		1,131,900
	500,000	Range Resources Corp., 5.000%, 8/15/2022		493,750
	750,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		749,954


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

	Non-Convertible Bonds – continued

			United States – continued
$	403,000		Residential Capital LLC, 9.625%, 5/15/2015(g)	$	388,895
	80,000		Reynolds American, Inc., 6.750%, 6/15/2017		96,046
	20,000		Reynolds American, Inc., 7.250%, 6/15/2037		24,169
	400,000		Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019, 144A		415,000
	655,000		Rockies Express Pipeline LLC, 3.900%, 4/15/2015, 144A		630,437
	855,000		Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		735,300
	1,600	(†††††)	SLM Corp., 6.000%, 12/15/2043		34,545
	120,000		SLM Corp., MTN, 5.050%, 11/14/2014		123,594
	35,000		SLM Corp., MTN, 5.125%, 8/27/2012		35,131
	1,130,000		SLM Corp., MTN, 7.250%, 1/25/2022		1,194,975
	10,000		SLM Corp., Series A, MTN, 0.766%, 1/27/2014(e)		9,553
	228,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		234,840
	10,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		9,525
	115,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		117,154
	65,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		67,273
	2,560,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		2,163,200
	625,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		700,000
	400,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		319,000
	100,000		Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		99,125
	300,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		249,750
	330,000		Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		316,800
	200,000		Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		199,250
	595,000		Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		474,881
	294,000		Sprint Capital Corp., 6.875%, 11/15/2028		236,670
	420,000		Sprint Capital Corp., 6.900%, 5/01/2019		394,800
	110,000		Sprint Capital Corp., 8.750%, 3/15/2032		100,100
	26,000		Sprint Nextel Corp., 6.000%, 12/01/2016		24,895


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

	Non-Convertible Bonds – continued

		United States – continued
$	1,360,000	Tenet Healthcare Corp., 6.875%, 11/15/2031	$	1,152,600
	250,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		319,918
	820,000	Textron, Inc., 5.950%, 9/21/2021		929,290
	1,431,000	Toys R Us, Inc., 7.375%, 10/15/2018		1,162,687
	3,150,000	TXU Corp., Series P, 5.550%, 11/15/2014		2,260,125
	2,570,000	TXU Corp., Series Q, 6.500%, 11/15/2024		1,227,175
	30,000	TXU Corp., Series R, 6.550%, 11/15/2034		13,725
	7,795,000	U.S. Treasury Note, 0.250%, 2/15/2015		7,767,593
	9,200,000	U.S. Treasury Note, 0.375%, 6/30/2013		9,211,141
	1,100,000	U.S. Treasury Note, 0.750%, 3/31/2013		1,104,425
	12,500,000	U.S. Treasury Note, 0.750%, 6/30/2017		12,512,700
	356,741	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		407,149
	1,735,000	United States Steel Corp., 6.650%, 6/01/2037		1,353,300
	770,000	United States Steel Corp., 7.500%, 3/15/2022		739,200
	295,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		309,012
	140,000	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		143,325
	75,000	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		76,875
	50,000	USG Corp., 6.300%, 11/15/2016		47,875
	230,000	USG Corp., 9.750%, 1/15/2018		241,500
	5,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		5,175
	110,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		120,176
	85,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		138,408
	100,000	Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP)		145,229
	60,000	Weyerhaeuser Co., 6.950%, 10/01/2027		64,944
	315,000	Weyerhaeuser Co., 7.375%, 3/15/2032		351,833
	125,000	Xerox Corp., 6.750%, 2/01/2017		145,343
	20,000	Xerox Corp., MTN, 7.200%, 4/01/2016		23,318


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

	Non-Convertible Bonds – continued

		United States – continued
	250,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)	$	315,775

				140,158,050

		Uruguay – 0.2%
	4,170,450	Uruguay Government International Bond, 3.700%, 6/26/2037, (UYU)		191,545
	5,294,849	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)		265,924
	18,379,718	Uruguay Government International Bond, 5.000%, 9/14/2018, (UYU)		925,994

				1,383,463

		Venezuela – 0.1%
	800,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027		450,000

		Total Non-Convertible Bonds (Identified Cost $213,534,757)		221,562,294

	Convertible Bonds – 0.9%

		United States – 0.9%
	350,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h)		256,375
	200,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		171,250
	125,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		114,219
	185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		205,813
	125,000	Ford Motor Co., 4.250%, 11/15/2016		173,750
	745,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(h)		728,237
	620,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		740,125
	1,125,000	Intel Corp., 3.250%, 8/01/2039		1,514,531
	215,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(f)		256,925
	2,185,000	Old Republic International Corp., 3.750%, 3/15/2018		1,966,500
	375,000	Omnicare, Inc., 3.750%, 12/15/2025		492,656
	610,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		582,550
	90,000	Trinity Industries, Inc., 3.875%, 6/01/2036		88,763

		Total Convertible Bonds (Identified Cost $6,726,649)		7,291,694


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

	Municipals – 0.1%

		United States – 0.1%
$	415,000	State of Illinois, 5.100%, 6/01/2033	$	392,258
	135,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(f)		86,307

		Total Municipals (Identified Cost $449,968)		478,565

		Total Bonds and Notes (Identified Cost $220,711,374)		229,332,553

	Senior Loans – 0.7%

		United States – 0.7%
	4,215,000	Chesapeake Energy Corporation, Unsecured Term Loan, 8.500%, 12/01/2017(e)		4,177,655
	1,270,000	Flying Fortress, Inc., 1st Lien Term Loan, 5.000%, 6/30/2017(e)		1,271,587
	48,054	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(e)		27,256

		Total Senior Loans (Identified Cost $5,422,125)		5,476,498


Shares
	Preferred Stocks – 0.4%

	Convertible Preferred Stocks – 0.3%

		United States – 0.3%
	71,820	General Motors Co., Series B, 4.750%		2,384,424
	820	Lucent Technologies Capital Trust I, 7.750%		553,500

		Total Convertible Preferred Stocks (Identified Cost $3,969,958)		2,937,924

	Non-Convertible Preferred Stock – 0.1%

		United States – 0.1%
	682	Ally Financial, Inc., Series G, 7.000% 144A (Identified Cost $145,366)		607,598

		Total Preferred Stocks (Identified Cost $4,115,324)		3,545,522

Principal Amount
	Short-Term Investments – 6.7%
$	1,431	Repurchase Agreement with State Street Bank and Trust Company, dated 6/29/2012 at 0.000% to be repurchased at $1,431 on 7/02/2012 collateralized by $5,000 U.S. Treasury Note, 1.750% due 3/31/2014 valued at $5,145 including accrued interest(i)		1,431
	53,285,182	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $53,285,182 on 7/02/2012 collateralized by $52,140,000 U.S. Treasury Note, 1.500% due 6/30/2016 valued at $54,355,950 including accrued interest(i)		53,285,182

		Total Short-Term Investments (Identified Cost $53,286,613)		53,286,613


Total Investments – 102.8% (Identified Cost $793,537,798)(a)		818,331,467
Other assets less liabilities – (2.8)%		(22,267,286	)

Net Assets – 100.0%	$	796,064,181

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

(†)

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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent 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.

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

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

Investments in other open-end investment companies are valued at their net asset value each day. 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.

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. At June 30, 2012, approximately 20% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities. Additionally, one security held by the Fund for which market quotations were not readily available as of June 30, 2012, was fair valued pursuant to procedures approved by the Board of Trustees, amounting to 0.8% of net assets.

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

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

(†††)

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

(††††)

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

(†††††)

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

(a)	Federal Tax Information (Amounts exclude certain adjustments 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, 2012, the net unrealized appreciation on investments based on a cost of $793,816,505 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	$	49,805,799
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(25,290,837	)

Net unrealized appreciation	$	24,514,962

At September 30, 2011, the Fund had a short-term capital loss carryforward of $51,909,722 of which $13,460,729 expires on September 30, 2017 and $38,448,993 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)	Fair valued security by the Fund’s investment adviser. At June 30, 2012, the value of this security amounted to $6,517,381 or 0.8% of net assets.

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

(e)	Variable rate security. Rate as of June 30, 2012 is disclosed.

(f)	Illiquid security. At June 30, 2012, the value of these securities amounted to $985,832 or less than 0.1% of net assets.

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

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

(i)

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

All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, the value of Rule 144A holdings amounted to $48,876,862 or 6.1% of net assets.

ADR/	An American Depositary Receipt or Global Depositary Receipt is a certificate issued by a custodian bank representing the

GDR	right to receive securities of the foreign issuer described. The values of ADRs and GDRs may be significantly influenced by trading on exchanges not located in the United States.

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

CHF	Swiss Franc

CLP	Chilean Peso

CNY	Chinese Renminbi

COP	Colombian Peso

EUR

Euro

GBP	British Pound

IDR	Indonesian Rupiah

KRW	South Korean Won

MXN	Mexican Peso

MYR	Malaysian Ringgit

NOK	Norwegian Krone

NZD	New Zealand Dollar

PHP	Philippine Peso

SEK	Swedish Krona

SGD	Singapore Dollar

TRY	Turkish Lira

UYU	Uruguayan Peso

Forward Foreign Currency Contracts

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

At June 30, 2012, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date		Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹		9/19/2012	Australian Dollar		700,000	$	711,329	$	(20,100	)
Buy¹		8/06/2012	Brazilian Real		1,000,000		494,341		(16,906	)
Buy¹		11/13/2012	Brazilian Real		980,000		477,345		(8,044	)
Buy¹		12/21/2012	Brazilian Real		1,280,000		620,190		9,212
Buy²		8/22/2012	Chinese Renminbi		11,630,000		1,826,334		(21,164	)
Sell²		8/22/2012	Chinese Renminbi		7,000,000		1,099,255		16,029
Buy³		9/21/2012	Malaysian Ringgit		1,250,000		391,751		(1,603	)
Sell⁴		7/31/2012	New Zealand Dollar		1,430,000		1,142,538		(19,246	)
Buy¹		9/10/2012	South Korean Won		1,488,000,000		1,293,295		38,445
Buy⁴		9/10/2012	South Korean Won		780,000,000		677,937		19,598

Total								$	(3,779	)

At June 30, 2012, the Fund had the following open forward cross currency contracts:


Settlement Date	Deliver/Units of Currency			Receive⁵/Units of Currency			Unrealized Appreciation (Depreciation)
9/12/2012		Norwegian Krone	5,600,000		Euro	733,849	$	(9,660	)

¹	Counterparty is Credit Suisse AG.

²	Counterparty is Morgan Stanley Capital Services Inc.

³	Counterparty is JP Morgan Chase Bank, N.A.

⁴	Counterparty is Barclays Bank PLC.

⁵	Counterparty is Deutsche Bank AG.

Fair Value Measurements

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

•

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

•

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

•

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks
Belgium	$	—	$	11,963,207$		—	$	11,963,207
China		8,045,840		8,814,335		—		16,860,175
Denmark		—		16,047,156		—		16,047,156
France		—		13,072,618		—		13,072,618
Germany		—		6,263,628		—		6,263,628
Hong Kong		—		4,231,305		—		4,231,305
Japan		—		10,980,651		—		10,980,651
Russia		—		6,517,381		—		6,517,381
Sweden		—		17,896,758		—		17,896,758
United Kingdom		10,107,689		71,299,986		—		81,407,675
All Other Common Stocks*		341,449,727		—		—		341,449,727

Total Common Stocks		359,603,256		167,087,025		—		526,690,281

Bonds and Notes
Non-Convertible Bonds
Colombia		—		1,256,454		401,800		1,658,254
Korea		—		3,911,998		2,438,787		6,350,785
United States		34,545		139,524,008		599,497		140,158,050
All Other Non-Convertible Bonds*		—		73,395,205		—		73,395,205

Total Non-Convertible Bonds		34,545		218,087,665		3,440,084		221,562,294

Convertible Bonds*		—		7,291,694		—		7,291,694
Municipals*		—		478,565		—		478,565

Total Bonds and Notes		34,545		225,857,924		3,440,084		229,332,553

Senior Loans*		—		5,476,498		—		5,476,498
Preferred Stocks
Convertible Preferred Stocks*		2,937,924		—		—		2,937,924
Non-Convertible Preferred Stock*		—		607,598		—		607,598



Total Preferred Stocks		2,937,924		607,598		—		3,545,522

Short-Term Investments		—		53,286,613		—		53,286,613

Total Investments		362,575,725		452,315,658		3,440,084		818,331,467

Forward Foreign Currency Contracts (unrealized appreciation)		—		83,284		—		83,284

Total	$	362,575,725	$	452,398,942	$	3,440,084	$	818,414,751

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(96,723	)	$	—	$	(96,723	)

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)			Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
Colombia	$	—	$	—		$	—		$	4,036	$	397,764	$	—		$	—	$	—		$	401,800	$	4,036
Korea		351,758		(3,172	)		—			58,067		2,032,134		—			—		—			2,438,787		58,067
Supranationals		983,784		229			(168,909	)		60,153		—		(875,257	)		—		—			—		—
United States		10,000		688			(22,067	)		33,426		590,550		(13,100	)		—		—			599,497		8,947
Preferred Stocks
Non-Convertible Preferred Stocks
United States		409,200		—			—			—		—		—			—		(409,200	)		—		—

Total	$	1,754,742	$	(2,255	)	$	(190,976	)	$	155,682	$	3,020,448	$	(888,357	)	$	—	$	(409,200	)	$	3,440,084	$	71,050

A preferred stock valued at $409,200 was transferred from Level 3 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts.

The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended June 30, 2012, 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 credit-risk-related 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 features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of June 30, 2012, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Counterparty	Derivatives			Collateral Pledged
Deutsche Bank AG	$	(9,660	)	$	—
JP Morgan Chase Bank, N.A.		(1,603	)		—
Morgan Stanley Capital Services Inc.		(5,135	)		—

of June 30, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $83,284 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $2,959.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Collateral is posted based on the requirements established under International Swap and Derivative Association (“ISDA”) agreements negotiated between the fund and the derivative counterparties. This risk of loss to a fund counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Fund’s claim against any collateral received may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of June 30, 2012:


Asset Derivatives	Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	83,284

Liability Derivatives	Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	(96,723	)

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

New Accounting Pronouncement

In December 2011, Accounting Standards Update (“ASU”) No.2011-11, “Disclosures about Offsetting Assets and Liabilities,” was issued and is effective for interim and annual periods beginning after January 1, 2013. The ASU enhances disclosure requirements with respect to an entity’s rights of setoff and related arrangements associated with its financial and derivative instruments. Management is currently evaluating the impact the adoption of ASU 2011-11 may have on the Fund’s financial statement disclosures.

Industry Summary at June 30, 2012 (Unaudited)


Treasuries	7.6	%
Pharmaceuticals	4.9
Beverages	4.7
Commercial Banks	4.7
Energy Equipment & Services	4.0
Internet Software & Services	3.6
Machinery	3.4
Software	3.2
Banking	2.7
Wireless Telecommunication Services	2.6
Computers & Peripherals	2.6
Diversified Telecommunication Services	2.4
Oil, Gas & Consumable Fuels	2.3
Automotive	2.2
Chemicals	2.2
Other Investments, less than 2% each	43.0
Short-Term Investments	6.7

Total Investments	102.8
Other assets less liabilities (including open forward foreign currency contracts)	(2.8	)

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2012 (Unaudited)


United States Dollar	69.5	%
British Pound	9.6
Euro	6.0
Brazilian Real	3.9
Swedish Krone	2.3
Mexican Peso	2.3
Danish Krone	2.0
Other, less than 2% each	7.2

Total Investments	102.8
Other assets less liabilities (including open forward foreign currency contracts)	(2.8	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2012 (Unaudited)

Loomis Sayles Growth Fund


Shares		Description	Value (†)
	Common Stocks – 98.6% of Net Assets

		Air Freight & Logistics – 7.0%
	105,585	Expeditors International of Washington, Inc.	$	4,091,419
	69,802	United Parcel Service, Inc., Class B		5,497,605

				9,589,024

		Beverages – 5.0%
	48,389	Coca-Cola Co. (The)		3,783,536
	5,426	Diageo PLC, Sponsored ADR		559,258
	61,910	SABMiller PLC, Sponsored ADR		2,508,593

				6,851,387

		Biotechnology – 2.2%
	41,189	Amgen, Inc.		3,008,445

		Capital Markets – 8.9%
	17,324	Franklin Resources, Inc.		1,922,791
	58,681	Greenhill & Co., Inc.		2,091,978
	84,868	Legg Mason, Inc.		2,237,969
	299,099	SEI Investments Co.		5,949,079

				12,201,817

		Communications Equipment – 9.7%
	404,345	Cisco Systems, Inc.		6,942,604
	114,045	QUALCOMM, Inc.		6,350,025

				13,292,629

		Consumer Finance – 3.8%
	89,440	American Express Co.		5,206,302

		Energy Equipment & Services – 3.3%
	70,304	Schlumberger Ltd.		4,563,433

		Food Products – 4.0%
	440,803	Danone S.A., Sponsored ADR		5,457,141

		Health Care Equipment & Supplies – 5.7%
	51,582	Medtronic, Inc.		1,997,771
	90,091	Zimmer Holdings, Inc.		5,798,257

				7,796,028

		Household Products – 3.9%
	28,224	Clorox Co. (The)		2,045,111
	53,996	Procter & Gamble Co. (The)		3,307,255

				5,352,366

		Internet & Catalog Retail – 7.1%
	37,053	Amazon.com, Inc.(b)		8,461,053
	43,700	Blue Nile, Inc.(b)		1,298,327

				9,759,380

		Internet Software & Services – 7.1%
	69,543	Facebook, Inc., Class A(b)		2,164,178


Shares		Description	Value (†)
	Common Stocks – continued

		Internet Software & Services – continued
	12,930	Google, Inc., Class A(b)	$	7,500,305

				9,664,483

		IT Services – 6.4%
	38,413	Automatic Data Processing, Inc.		2,138,068
	53,434	Visa, Inc., Class A		6,606,045

				8,744,113

		Pharmaceuticals – 5.1%
	61,929	Merck & Co., Inc.		2,585,536
	79,053	Novartis AG, ADR		4,419,062

				7,004,598

		Semiconductors & Semiconductor Equipment – 2.9%
	15,391	Altera Corp.		520,832
	18,420	Analog Devices, Inc.		693,881
	118,599	ARM Holdings PLC, Sponsored ADR		2,821,470

				4,036,183

		Software – 12.9%
	107,176	Autodesk, Inc.(b)		3,750,088
	36,004	FactSet Research Systems, Inc.		3,346,212
	123,353	Microsoft Corp.		3,773,368
	230,796	Oracle Corp.		6,854,641

				17,724,309

		Specialty Retail – 3.6%
	50,951	Home Depot, Inc. (The)		2,699,893
	78,147	Lowe’s Cos., Inc.		2,222,501

				4,922,394

		Total Common Stocks (Identified Cost $118,030,932)		135,174,032


Principal Amount
	Short-Term Investments – 1.4%
$	1,928,922	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $1,928,922 on 7/02/2012 collateralized by $1,970,000 Federal National Mortgage Association, 0.375% due 12/28/2012 valued at $1,971,970 including accrued interest(c) (Identified Cost $1,928,922)		1,928,922

		Total Investments – 100.0% (Identified Cost $119,959,854)(a)		137,102,954
		Other assets less liabilities – (0.0)%		(48,199	)

		Net Assets – 100.0%	$	137,054,755

(†)

Investments in other open-end investment companies are valued at their net asset value each day.

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

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

At June 30, 2012, the net unrealized appreciation on investments based on a cost of $119,959,854 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	20,884,055
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,740,955	)

Net unrealized appreciation	$	17,143,100

At September 30, 2011, the Fund had a short-term capital loss carryforward of $91,817,905 of which $75,866 expires on September 30, 2016; $57,062,095 expires on September 30, 2017 and $34,679,944 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

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

Fair Value Measurements

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	135,174,032	$	—	$	—	$	135,174,032
Short-Term Investments		—		1,928,922		—		1,928,922

Total	$	135,174,032	$	1,928,922	$	—	$	137,102,954

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

For the period ended June 30, 2012, there were no transfers between Levels 1, 2 and 3.

New Accounting Pronouncement

In December 2011, Accounting Standards Update (“ASU”) No. 2011-11, “Disclosures about Offsetting Assets and Liabilities,” was issued and is effective for interim and annual periods beginning after January 1, 2013. The ASU enhances disclosure requirements with respect to an entity’s rights of setoff and related arrangements associated with its financial and derivative instruments. Management is currently evaluating the impact the adoption of ASU 2011-11 may have on the Fund’s financial statement disclosures.

Industry Summary at June 30, 2012 (Unaudited)


Software	12.9	%
Communications Equipment	9.7
Capital Markets	8.9
Internet & Catalog Retail	7.1
Internet Software & Services	7.1
Air Freight & Logistics	7.0
IT Services	6.4
Health Care Equipment & Supplies	5.7
Pharmaceuticals	5.1
Beverages	5.0
Food Products	4.0
Household Products	3.9
Consumer Finance	3.8
Specialty Retail	3.6
Energy Equipment & Services	3.3
Semiconductors & Semiconductor Equipment	2.9
Biotechnology	2.2
Short-Term Investments	1.4

Total Investments	100.0
Other assets less liabilities	(0.0	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2012 (Unaudited)

Loomis Sayles High Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 89.0% of Net Assets

	Non-Convertible Bonds – 78.0%

		ABS Car Loan – 0.2%
$	350,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A	$	354,554

		ABS Home Equity – 1.8%
	200,000	Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1, 0.695%, 1/25/2036(b)		126,643
	600,000	Ameriquest Mortgage Securities, Inc., Series 2005-R7, Class M2, 0.745%, 9/25/2035(b)		287,694
	129,479	Citimortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036		94,442
	390,547	Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036		243,379
	222,802	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.515%, 4/25/2035(b)		136,600
	449,977	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.318%, 7/19/2035(b)		387,700
	99,401	GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.848%, 12/25/2034(b)		74,939
	142,378	JP Morgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 5.263%, 3/25/2036(b)		98,782
	209,806	Lehman Mortgage Trust, Series 2006-1, Class 3A5, 5.500%, 2/25/2036		192,907
	415,841	MASTR Asset Securitization Trust, Series 2007-1, Class 1A4, 6.500%, 11/25/2037		357,723
	196,673	New Century Home Equity Loan Trust, Series 2005-1, Class M3, 0.765%, 3/25/2035(b)		146,073
	300,000	New Century Home Equity Loan Trust, Series 2005-2, Class M2, 0.695%, 6/25/2035(b)		183,334
	146,611	New York Mortgage Trust, Series 2006-1, Class 2A2, 2.947%, 5/25/2036(b)		119,165
	575,000	Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.745%, 7/25/2035(b)		425,160
	139,688	Saxon Asset Securities Trust, Series 2004-3, Class M2, 0.895%, 12/26/2034(b)		103,123
	140,591	WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.907%, 4/25/2047(b)		99,116

				3,076,780

		ABS Other – 0.3%
	458,415	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		458,337

		Aerospace & Defense – 0.0%
	100,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		81,076

		Airlines – 1.4%
	2,005,000	Air Canada, 9.250%, 8/01/2015, 144A		1,959,887
	30,000	Air Canada, 12.000%, 2/01/2016, 144A		26,475


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

	Non-Convertible Bonds – continued

		Airlines – continued
$	19,836	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018	$	19,836
	198,446	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		201,919
	171,704	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		175,197

				2,383,314

		Automotive – 1.3%
	2,190,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		2,187,263

		Banking – 2.5%
	820,000	HBOS PLC, 6.000%, 11/01/2033, 144A		641,847
	1,400,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		1,320,835
	900,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		956,697
	1,000,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		857,184
	200,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		233,702
	250,000	Societe Generale, S.A., (fixed rate to 9/04/2019, variable rate thereafter), 9.375%, 9/29/2049, (EUR)		291,065

				4,301,330

		Building Materials – 3.5%
	50,000	Masco Corp., 6.500%, 8/15/2032		48,063
	360,000	Masco Corp., 7.125%, 3/15/2020		397,210
	345,000	Masco Corp., 7.750%, 8/01/2029		361,468
	845,000	Masonite International Corp., 8.250%, 4/15/2021, 144A		870,350
	1,300,000	Ply Gem Industries, Inc., 8.250%, 2/15/2018		1,274,000
	2,955,000	USG Corp., 6.300%, 11/15/2016		2,829,412
	100,000	USG Corp., 8.375%, 10/15/2018, 144A		105,000
	75,000	USG Corp., 9.750%, 1/15/2018		78,750

				5,964,253

		Chemicals – 1.7%
	1,270,000	Hercules, Inc., 6.500%, 6/30/2029		1,041,400
	850,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		867,000
	420,000	JM Huber Corp., 9.875%, 11/01/2019, 144A		451,500


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

	Non-Convertible Bonds – continued

		Chemicals – continued
$	778,754	Reichhold Industries, Inc., 9.000%, 5/08/2017, 144A(c)(d)	$	545,128

				2,905,028

		Collateralized Mortgage Obligations – 2.2%
	339,779	Adjustable Rate Mortgage Trust, Series 2005-10, Class 5A1, 0.505%, 1/25/2036(b)		218,036
	149,403	American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.569%, 10/25/2034(b)		107,167
	365,128	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.237%, 9/25/2045(b)		292,686
	374,152	American Home Mortgage Investment Trust, Series 2006-1, Class 11A1, 0.385%, 3/25/2046(b)		243,909
	76,757	Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 3.002%, 2/25/2035(b)		66,050
	376,373	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.904%, 4/25/2035(b)		177,310
	538,464	GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.315%, 12/25/2046(b)		199,393
	553,361	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.745%, 1/25/2036(b)		332,199
	554,104	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.365%, 7/25/2037(b)(e)		259,653
	368,173	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 2.816%, 3/25/2035(b)		256,764
	658,194	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.405%, 1/25/2047(b)		333,639
	619,555	Merrill Lynch Alternative Note Asset, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037		397,457
	570,395	Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036		359,246
	469,964	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.107%, 8/25/2046(b)		209,764
	615,648	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OC1, Class A1, 0.485%, 1/25/2047(b)		243,858

				3,697,131

		Commercial Mortgage-Backed Securities – 1.5%
	500,846	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.156%, 6/19/2035(b)		467,941
	1,690,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.790%, 8/10/2045(b)		1,512,663
	650,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class AM, 5.856%, 9/12/2049		596,060

				2,576,664

		Construction Machinery – 0.3%
	205,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		214,738
	300,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A		316,500

				531,238


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

	Non-Convertible Bonds – continued

		Consumer Cyclical Services – 0.5%
$	1,035,000	ServiceMaster Co. (The), 7.450%, 8/15/2027	$	859,050

		Consumer Products – 0.4%
	740,000	Visant Corp., 10.000%, 10/01/2017		734,450

		Diversified Manufacturing – 0.2%
	400,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A		400,000

		Electric – 2.3%
	18,711	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		19,834
	375,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018(f)		251,250
	180,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026(f)		120,600
	815,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019(f)		546,050
	1,055,000	Edison Mission Energy, 7.625%, 5/15/2027		574,975
	1,395,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,111,141
	200,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		173,984
	140,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(d)(f)		22,400
	515,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		351,488
	1,015,000	TXU Corp., Series Q, 6.500%, 11/15/2024		484,662
	370,000	TXU Corp., Series R, 6.550%, 11/15/2034		169,275

				3,825,659

		Food & Beverage – 0.5%
	475,000	Del Monte Corp., 7.625%, 2/15/2019		479,156
	400,000	Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A		312,000

				791,156

		Gaming – 2.0%
	1,020,000	Caesars Entertainment Operating Co., Inc., 10.000%, 12/15/2018		697,425
	1,360,000	MGM Resorts International, 7.500%, 6/01/2016		1,407,600
	1,250,000	MGM Resorts International, 7.625%, 1/15/2017		1,290,625

				3,395,650

		Government Owned - No Guarantee – 0.5%
	900,000	DP World Ltd., 6.850%, 7/02/2037, 144A		884,250


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

	Non-Convertible Bonds – continued

		Healthcare – 2.1%
$	165,000	HCA, Inc., 7.050%, 12/01/2027	$	148,500
	640,000	HCA, Inc., 7.500%, 12/15/2023		615,200
	470,000	HCA, Inc., 7.690%, 6/15/2025		452,375
	480,000	HCA, Inc., 8.360%, 4/15/2024		487,200
	800,000	HCA, Inc., MTN, 7.580%, 9/15/2025		764,000
	515,000	HCA, Inc., MTN, 7.750%, 7/15/2036		484,100
	635,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		538,163

				3,489,538

		Home Construction – 6.1%
	255,000	Beazer Homes USA, Inc., 9.125%, 6/15/2018		225,038
	310,000	Beazer Homes USA, Inc., 9.125%, 5/15/2019		270,475
	600,000	Corp GEO SAB de CV, 8.875%, 3/27/2022, 144A		618,000
	975,000	Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A		1,023,750
	305,000	K. Hovnanian Enterprises, Inc., 10.625%, 10/15/2016		290,512
	15,000	KB Home, 5.875%, 1/15/2015		14,850
	25,000	KB Home, 6.250%, 6/15/2015		24,750
	2,580,000	KB Home, 7.250%, 6/15/2018		2,567,100
	1,850,000	Lennar Corp., 6.950%, 6/01/2018		1,974,875
	3,135,000	Pulte Group, Inc., 6.000%, 2/15/2035		2,508,000
	495,000	Pulte Group, Inc., 6.375%, 5/15/2033		408,375
	380,000	Pulte Group, Inc., 7.875%, 6/15/2032		361,000
	70,000	Standard Pacific Corp., 8.375%, 1/15/2021		75,950

				10,362,675

		Independent Energy – 3.7%
	30,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		29,700
	400,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		394,000
	1,365,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		1,160,250
	685,000	Halcon Resources Corp., 9.750%, 7/15/2020, 144A		675,725


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

	Non-Convertible Bonds – continued

		Independent Energy – continued
$	2,800,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A	$	2,415,000
	200,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A		178,000
	810,000	SandRidge Energy, Inc., 7.500%, 3/15/2021		799,875
	675,000	SandRidge Energy, Inc., 8.125%, 10/15/2022, 144A		681,750

				6,334,300

		Life Insurance – 0.6%
	860,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		933,100

		Lodging – 0.1%
	180,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		181,800

		Media Non-Cable – 4.0%
	1,440,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		1,231,200
	85,000	Clear Channel Communications, Inc., 5.750%, 1/15/2013		84,256
	595,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020, 144A		581,613
	2,905,000	Intelsat Luxembourg S.A., 11.250%, 2/04/2017		2,992,150
	1,100,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		1,047,750
	915,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		896,700

				6,833,669

		Metals & Mining – 2.9%
	990,000	ArcelorMittal, 6.750%, 3/01/2041		924,057
	1,935,000	Arch Coal, Inc., 7.250%, 6/15/2021		1,620,563
	35,000	Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A		33,775
	780,000	Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		661,050
	2,225,000	United States Steel Corp., 6.650%, 6/01/2037		1,735,500

				4,974,945

		Non-Captive Consumer – 2.8%
	1,605,000	Residential Capital LLC, 9.625%, 5/15/2015(f)		1,548,825
	1,920,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		1,531,200
	2,000,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		1,596,240

				4,676,265


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

	Non-Convertible Bonds – continued

		Non-Captive Diversified – 2.1%
$	240,000	Aircastle Ltd., 7.625%, 4/15/2020	$	243,600
	1,620,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,899,450
	1,045,000	International Lease Finance Corp., 8.625%, 1/15/2022		1,210,185
	100,000	iStar Financial, Inc., 5.850%, 3/15/2017		88,250
	135,000	iStar Financial, Inc., 5.875%, 3/15/2016		121,837
	15,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		14,494

				3,577,816

		Packaging – 1.5%
	2,000,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.500%, 2/15/2021, 144A		1,900,000
	755,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		724,800

				2,624,800

		Pharmaceuticals – 0.4%
	140,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		137,200
	530,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		531,325

				668,525

		Pipelines – 1.3%
	615,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		587,325
	655,000	NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A		702,487
	215,000	Rockies Express Pipeline LLC, 3.900%, 4/15/2015, 144A		206,938
	785,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		675,100

				2,171,850

		Retailers – 2.2%
	40,000	Dillard’s, Inc., 7.000%, 12/01/2028		38,500
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		435,544
	205,000	Dillard’s, Inc., 7.750%, 5/15/2027		202,437
	35,000	Dillard’s, Inc., 7.875%, 1/01/2023		36,444
	2,080,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		1,570,400
	250,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		209,375


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

	Non-Convertible Bonds – continued

		Retailers – continued
$	1,440,000	Toys R Us, Inc., 7.375%, 10/15/2018	$	1,170,000

				3,662,700

		Sovereigns – 1.2%
	1,050,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		569,828
	2,250,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,391,897

				1,961,725

		Supermarkets – 0.9%
	315,000	American Stores Co., 8.000%, 6/01/2026		263,025
	955,000	New Albertson’s, Inc., 7.750%, 6/15/2026		754,450
	735,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		507,150

				1,524,625

		Supranational – 0.6%
	2,000,000	European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL)		999,900

		Technology – 2.3%
	250,000	Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR)		308,465
	1,350,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		918,000
	1,930,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		1,302,750
	1,460,000	First Data Corp., 8.250%, 1/15/2021, 144A		1,460,000

				3,989,215

		Textile – 2.4%
	1,925,000	Hanesbrands, Inc., 6.375%, 12/15/2020		2,026,062
	2,605,000	Jones Group, Inc. (The), 6.125%, 11/15/2034		1,927,700
	175,000	Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		168,000

				4,121,762

		Transportation Services – 0.3%
	275,000	APL Ltd., 8.000%, 1/15/2024(d)		188,375
	640,000	Overseas Shipholding Group, 7.500%, 2/15/2024		361,600

				549,975

		Treasuries – 9.4%
	7,425,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(g)		7,736,994


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

	Non-Convertible Bonds – continued

			Treasuries – continued
	150,000		Ireland Government Bond, 4.500%, 10/18/2018, (EUR)	$	173,728
	375,000		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		422,113
	930,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		1,070,861
	65,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		70,373
	60,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		69,176
	55,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		65,477
	301,500	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		2,732,675
	10,000,000		Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		247,271
	120,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		3,036,668
	400,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		324,778

					15,950,114

			Wireless – 3.3%
	900,000		Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A		526,500
	1,595,000		Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/2015, 144A		1,451,450
	4,236,000		Sprint Capital Corp., 6.875%, 11/15/2028		3,409,980
	5,000		Sprint Capital Corp., 6.900%, 5/01/2019		4,700
	285,000		Sprint Capital Corp., 8.750%, 3/15/2032		259,350

					5,651,980

			Wirelines – 4.7%
	665,000		Axtel SAB de CV, 9.000%, 9/22/2019, 144A		438,900
	130,000		Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		106,925
	1,105,000		Cincinnati Bell, Inc., 8.750%, 3/15/2018		1,063,563
	1,070,000		Frontier Communications Corp., 9.000%, 8/15/2031		1,021,850
	940,000		Level 3 Financing, Inc., 8.125%, 7/01/2019		964,675
	1,910,000		Level 3 Financing, Inc., 8.750%, 2/15/2017		1,986,400
	350,000		Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		313,980
	250,000		Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		257,940
	300,000		Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		354,555


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

	Non-Convertible Bonds – continued

		Wirelines – continued
$	25,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034	$	19,188
	15,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		11,775
	1,050,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		904,453
	675,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		590,144

				8,034,348

		Total Non-Convertible Bonds (Identified Cost $132,366,471)		132,682,810

	Convertible Bonds – 11.0%

		Automotive – 2.1%
	1,465,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h)		1,073,113
	1,760,000	Ford Motor Co., 4.250%, 11/15/2016		2,446,400

				3,519,513

		Construction Machinery – 0.3%
	555,000	Ryland Group, Inc. (The), 1.625%, 5/15/2018		607,725

		Diversified Manufacturing – 0.8%
	1,325,000	Trinity Industries, Inc., 3.875%, 6/01/2036		1,306,781

		Home Construction – 0.1%
	70,000	Lennar Corp., 2.000%, 12/01/2020, 144A		87,850

		Independent Energy – 0.3%
	440,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		376,750
	90,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		82,238

				458,988

		Metals & Mining – 0.5%
	960,000	Peabody Energy Corp., 4.750%, 12/15/2066		778,800
	165,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		172,425

				951,225

		Pharmaceuticals – 2.0%
	1,365,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		1,629,469
	1,370,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		1,789,562

				3,419,031


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

	Convertible Bonds – continued

		Technology – 4.6%
$	3,780,000	Ciena Corp., 0.875%, 6/15/2017	$	3,231,900
	145,000	Ciena Corp., 3.750%, 10/15/2018, 144A		161,312
	40,000	Ciena Corp., 4.000%, 3/15/2015, 144A		44,700
	2,700,000	Intel Corp., 2.950%, 12/15/2035		3,054,375
	620,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		554,125
	700,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		644,875
	80,000	SanDisk Corp., 1.500%, 8/15/2017		82,300

				7,773,587

		Textile – 0.3%
	570,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A		549,338

		Total Convertible Bonds (Identified Cost $17,078,935)		18,674,038

		Total Bonds and Notes (Identified Cost $149,445,406)		151,356,848

	Senior Loans – 0.5%
		Media Non-Cable – 0.2%
	294,831	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)		167,225
	224,012	Tribune Company, Term Loan X, 5.000%, 6/04/2009(f)(i)		146,728

				313,953

		Non-Captive Consumer – 0.1%
	250,000	Chesapeake Energy Corporation, Unsecured Term Loan, 8.500%, 12/01/2017(b)		247,785

		Wirelines – 0.2%
	368,296	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b)		325,665

		Total Senior Loans (Identified Cost $1,227,664)		887,403


Shares
	Preferred Stocks – 5.4%

	Convertible Preferred Stocks – 3.8%

		Automotive – 1.5%
	72,750	General Motors Co., Series B, 4.750%		2,415,300
	2,500	Goodyear Tire & Rubber Co. (The), 5.875%		108,000

				2,523,300


Shares		Description	Value (†)
	Preferred Stocks – continued

	Convertible Preferred Stocks – continued

		Banking – 0.0%
	25	Bank of America Corp., Series L, 7.250%	$	24,375

		Construction Machinery – 0.1%
	2,213	United Rentals Trust I, 6.500%		112,310

		Consumer Products – 1.6%
	55,115	Newell Financial Trust I, 5.250%		2,769,528

		Pipelines – 0.6%
	20,675	El Paso Energy Capital Trust I, 4.750%		1,047,189

		Total Convertible Preferred Stocks (Identified Cost $6,509,368)		6,476,702

	Non-Convertible Preferred Stocks – 1.6%
		Non-Captive Diversified – 1.6%
	965	Ally Financial, Inc., Series G, 7.000%, 144A		859,724
	78,785	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		1,808,116

				2,667,840

		Total Non-Convertible Preferred Stocks (Identified Cost $2,862,039)		2,667,840

		Total Preferred Stocks (Identified Cost $9,371,407)		9,144,542

	Common Stocks – 1.1%
		Automobiles – 0.3%
	53,720	Ford Motor Co.		515,175

		Chemicals – 0.0%
	1,087	Ashland, Inc.		75,340

		Diversified Telecommunication Services – 0.0%
	593	Hawaiian Telcom Holdco, Inc.(j)		11,569

		Household Durables – 0.3%
	46,500	KB Home		455,700

		Media – 0.0%
	1,835	SuperMedia, Inc.(j)		4,588

		Oil, Gas & Consumable Fuels – 0.3%
	14,882	Kinder Morgan, Inc.		479,498

		Pharmaceuticals – 0.2%
	6,875	Merck & Co., Inc.		287,031

		Total Common Stocks (Identified Cost $1,834,516)		1,828,901

	Warrants – 0.0%
	10,023	FairPoint Communications, Inc., Expiration on 1/24/2018(d)(j)(k)		—


Shares		Description	Value (†)
	Warrants – continued
	22,512	Kinder Morgan, Inc., Expiration on 5/25/2017(j)	$	48,626

		Total Warrants (Identified Cost $29,891)		48,626


Principal Amount (‡)
	Short-Term Investments – 2.9%
$	15,773	Repurchase Agreement with State Street Bank and Trust Company, dated 6/29/2012 at 0.000% to be repurchased at $15,773 on 7/02/2012 collateralized by $20,000 U.S. Treasury Note, 1.750% due 3/31/2014 valued at $20,580 including accrued interest(l)		15,773
	4,859,907	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $4,859,907 on 7/02/2012 collateralized by $4,955,000 Federal Home Loan Bank, 0.370% due 05/01/2013 valued at $4,961,194 including accrued interest(l)		4,859,907

		Total Short-Term Investments (Identified Cost $4,875,680)		4,875,680

		Total Investments – 98.9% (Identified Cost $166,784,564)(a)		168,142,000
		Other assets less liabilities – 1.1%		1,867,506

		Net Assets – 100.0%	$	170,009,506

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

(†)

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

Investments in other open-end investment companies are valued at their net asset value each day.

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

(††)	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, 2012, the net unrealized appreciation on investments based on a cost of $166,880,512 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	$	9,301,113
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(8,039,625	)

Net unrealized appreciation	$	1,261,488

(b)	Variable rate security. Rate as of June 30, 2012 is disclosed.

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

(d)	Illiquid security. At June 30, 2012, the value of these securities amounted to $755,903 or 0.4% of net assets.

(e)	The issuer is making partial payment with respect to interest and/or principal. Income is not being accrued.

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

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

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

(i)	Issuer has filed for bankruptcy.

(j)	Non-income producing security.

(k)	Fair valued security by the Fund’s investment adviser. At June 30, 2012, the value of this security amounted to $0.

(l)

144A

ABS	Asset-Backed Securities

EMTN	Euro Medium Term Note

GMTN	Global Medium Term Note

MTN	Medium Term Note

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

EUR

Euro

MXN	Mexican Peso

PHP	Philippine Peso

Forward Foreign Currency Contracts

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

At June 30, 2012, the Fund had the following open forward foreign currency contracts:

Contract
to
Buy/Sell¹

Delivery
Date

Currency

Units

Notional
Value

Unrealized
Appreciation
(Depreciation)

Sell

7/31/2012

Euro

2,940,000

$3,721,391

135,066

¹	Counterparty is Barclays Bank PLC.

Fair Value Measurements

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Chemicals	$	—	$	2,359,900	$	545,128	$	2,905,028
All Other Non-Convertible Bonds*		—		129,777,782		—		129,777,782

Total Non-Convertible Bonds		—		132,137,682		545,128		132,682,810

Convertible Bonds*		—		18,674,038		—		18,674,038

Total Bonds and Notes		—		150,811,720		545,128		151,356,848

Senior Loans*		—		887,403		—		887,403
Preferred Stocks
Convertible Preferred Stocks
Construction Machinery		—		112,310		—		112,310
Consumer Products		—		2,769,528		—		2,769,528
All Other Convertible Preferred Stocks*		3,594,864		—		—		3,594,864

Total Convertible Preferred Stocks		3,594,864		2,881,838		—		6,476,702

Non-Convertible Preferred Stocks*		1,808,116		859,724		—		2,667,840

Total Preferred Stocks		5,402,980		3,741,562		—		9,144,542

Common Stocks*		1,828,901		—		—		1,828,901
Warrants**		48,626		—		—		48,626
Short-Term Investments		—		4,875,680		—		4,875,680

Total Investments		7,280,507		160,316,365		545,128		168,142,000

Forward Foreign Currency Contracts (unrealized appreciation)		—		135,066		—		135,066

Total	$	7,280,507	$	160,451,431	$	545,128	$	168,277,066

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

**	Includes a security fair valued at zero using Level 2 inputs.

A preferred stock valued at $140,000 was transferred from Level 1 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued at market price in accordance with the Fund’s valuation policies; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
Chemicals	$	—	$	493	$	—		$	(213,133	)	$	757,768	$	—		$	—	$	—		$	545,128	$	(213,133	)
Consumer Cyclical Services		843,525		—		—			—			—		—			—		(843,525	)		—		—
Treasuries		27,508		715		(34,823	)		22,081			—		(15,481	)		—		—			—		—

Total	$	871,033	$	1,208	$	(34,823	)	$	(191,052	)	$	757,768	$	(15,481	)	$	—	$	(843,525	)	$	545,128	$	(213,133	)

A debt security valued at $843,525 was transferred from Level 3 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

Derivatives

The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related 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 features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of June 30, 2012, the Fund did not hold any derivative positions (including open trades) subject to credit-risk-related contingent features that were in a net liability position by counterparty.

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of June 30, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $135,066 and the amount of loss that the Fund would incur after taking into account master netting arrangement is $135,066.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. Collateral is posted based on the requirements established under International Swap and Derivative Association (“ISDA”) agreements negotiated between the fund and the derivative counterparties. This risk of loss to a fund counterparty default should be limited to the extent a Fund is undercollateralized, however; final settlement of a Fund’s claim against any collateral received may be subject to bankruptcy court proceedings.

The following is a summary of derivative instruments for the Fund, as of June 30, 2012:


Asset Derivatives	Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	135,066

New Accounting Pronouncement

Industry Summary at June 30, 2012 (Unaudited)


Treasuries	9.4	%
Technology	6.9
Home Construction	6.2
Wirelines	4.9
Automotive	4.9
Media Non-Cable	4.2
Independent Energy	4.0
Non-Captive Diversified	3.7
Building Materials	3.5
Metals & Mining	3.4
Wireless	3.3
Non-Captive Consumer	2.9
Textile	2.7
Pharmaceuticals	2.6
Banking	2.5
Electric	2.3
Collateralized Mortgage Obligations	2.2
Retailers	2.2
Healthcare	2.1
Consumer Products	2.0
Gaming	2.0
Other Investments, less than 2% each	18.1
Short-Term Investments	2.9

Total Investments	98.9
Other assets less liabilities (including open forward foreign currency contracts)	1.1

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2012 (Unaudited)

Loomis Sayles International Bond Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 97.2% of Net Assets

		Belgium – 1.6%
	260,000	Belgium Government Bond, 3.500%, 6/28/2017, (EUR)	$	349,397

		Brazil – 2.9%
	119,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		123,165
	350,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		189,942
	100,000	Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR)		129,670
	200,000	Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A		200,000

				642,777

		Canada – 7.6%
	95,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		110,436
	75,000	Canada Government International Bond, 3.500%, 1/13/2020, (EUR)		110,012
	230,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		239,665
	85,000	Methanex Corp., 5.250%, 3/01/2022		88,188
	400,000	Province of Ontario Canada, EMTN, 3.000%, 9/28/2020, (EUR)		540,895
	150,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		206,347
	200,000	Province of Quebec Canada, Series 169, EMTN, 3.625%, 2/10/2015, (EUR)		271,262
	95,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		103,064

				1,669,869

		Denmark – 0.6%
	645,000	Kingdom of Denmark, 4.000%, 11/15/2015, (DKK)		123,671

		Finland – 2.2%
	330,000	Finland Government Bond, 3.875%, 9/15/2017, (EUR)		474,114

		France – 6.3%
	50,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		50,434
	530,000	France Government Bond OAT, 3.000%, 4/25/2022, (EUR)		688,556
	325,000	France Government Bond OAT, 3.750%, 4/25/2021, (EUR)		450,236
	100,000	Klepierre, EMTN, 4.000%, 4/13/2017, (EUR)		131,457


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

		France – continued
	50,000	Lafarge S.A., EMTN, 5.375%, 6/26/2017, (EUR)	$	64,890

				1,385,573

		Germany – 5.4%
	705,000	Bundesobligation, 1.250%, 10/14/2016, (EUR)		920,084
	175,000	Bundesrepublik Deutschland, 3.750%, 1/04/2017, (EUR)		252,921

				1,173,005

		Ireland – 0.8%
	100,000	WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP)		176,663

		Italy – 5.6%
	50,000	Enel Finance International S.A., EMTN, 5.625%, 8/14/2024, (GBP)		65,848
	100,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		98,415
	350,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)		339,174
	320,000	Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)		389,470
	150,000	Italy Buoni Poliennali Del Tesoro, 4.750%, 5/01/2017, (EUR)		187,581
	60,000	Republic of Italy, 6.875%, 9/27/2023		60,864
	75,000	Telecom Italia Finance S.A., EMTN, 7.750%, 1/24/2033, (EUR)		94,398

				1,235,750

		Japan – 30.3%
	47,000,000	Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY)		597,676
	70,000,000	Japan Finance Organization for Municipalities, 2.000%, 5/09/2016, (JPY)		935,339
	93,000,000	Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)		1,177,199
	104,000,000	Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)		1,360,093
	72,400,000	Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY)(b)		974,193
	84,000,000	Japan Government Twenty Year Bond, 2.000%, 9/20/2025, (JPY)		1,155,994
	32,000,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)		431,694

				6,632,188

		Korea – 0.4%
	3,600,000	Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		85,474

		Luxembourg – 0.3%
	50,000	FMC Finance VIII, S.A., 6.500%, 9/15/2018, 144A, (EUR)		70,077


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

			Malaysia – 0.5%
	370,000		Malaysia Government Bond, 4.262%, 9/15/2016, (MYR)	$	121,610

			Mexico – 4.0%
	100,000		America Movil SAB de CV, EMTN, 4.125%, 10/25/2019, (EUR)		136,978
	160,000		Axtel SAB de CV, 9.000%, 9/22/2019, 144A		105,600
	15,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		121,617
	20,500	(††)	Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN)		174,163
	37,500	(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		340,107

					878,465

			Netherlands – 0.7%
	50,000		EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		54,892
	30,000		Fresenius Finance BV, 4.250%, 4/15/2019, 144A, (EUR)		39,389
	50,000		Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		51,588

					145,869

			Norway – 2.0%
	30,000		Eksportfinans ASA, 2.000%, 9/15/2015		26,848
	2,205,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		417,563

					444,411

			Philippines – 0.6%
	5,000,000		Philippine Government International Bond, 4.950%, 1/15/2021, (PHP)		123,635

			Poland – 1.4%
	225,000		Poland Government International Bond, EMTN, 2.625%, 5/12/2015, (CHF)		245,564
	50,000		Poland Government International Bond, 5.000%, 3/23/2022		54,575

					300,139

			Singapore – 2.0%
	135,000		Singapore Government Bond, 1.625%, 4/01/2013, (SGD)		107,662
	360,000		Singapore Government Bond, 2.250%, 7/01/2013, (SGD)		290,046
	40,000		Singapore Government Bond, 2.250%, 6/01/2021, (SGD)		33,736

					431,444

			South Africa – 0.5%
	100,000		Edcon Proprietary Ltd., 3.912%, 6/15/2014, 144A, (EUR)(c)		115,009


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

		United Arab Emirates – 0.4%
$	100,000	DP World Ltd., 6.850%, 7/02/2037, 144A	$	98,250

		United Kingdom – 10.9%
	50,000	British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP)		89,514
	105,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		182,677
	50,000	BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP)		88,768
	100,000	Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR)		136,574
	500,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)		817,938
	150,000	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)		289,636
	40,000	United Kingdom Treasury, 4.750%, 12/07/2038, (GBP)		83,426
	335,000	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)		695,280

				2,383,813

		United States – 9.2%
	85,000	American Tower Corp., 4.700%, 3/15/2022		87,260
	100,000	BA Credit Card Trust, Series 04A1, 4.500%, 1/17/2014, (EUR)		130,389
	90,000	Boston Properties LP, 3.850%, 2/01/2023		90,845
	50,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		91,766
	45,000	HCA, Inc., 8.360%, 4/15/2024		45,675
	150,000	HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR)		204,433
	100,000	JPMorgan Chase & Co., EMTN, 4.375%, 1/30/2014, (EUR)		132,027
	150,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		174,243
	100,000	Newmont Mining Corp., 3.500%, 3/15/2022		98,700
	40,000	NII Capital Corp., 7.625%, 4/01/2021		34,300
	555,000	U.S. Treasury Note, 0.250%, 10/31/2013		554,740
	75,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		73,500
	35,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		35,087
	100,000	Wachovia Corp., EMTN, 4.375%, 11/27/2018, (EUR)		130,638
	100,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		126,310

				2,009,913


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

		Uruguay – 1.0%
	4,210,260	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)	$	211,452

		Total Bonds and Notes (Identified Cost $21,442,332)		21,282,568

	Short-Term Investments – 0.7%
$	155,125	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $155,125 on 7/02/2012 collateralized by $140,000 Federal Home Loan Mortgage Corp., 4.750% due 11/17/2015 valued at $160,125 including accrued interest(d) (Identified Cost $155,125)		155,125

		Total Investments – 97.9% (Identified Cost $21,597,457)(a)		21,437,693
		Other assets less liabilities – 2.1%		458,205

		Net Assets – 100.0%	$	21,895,898

(‡)	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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.

Credit default swap agreements are valued based on mid prices supplied by an independent pricing service, if available, or quotations obtained from broker-dealers.

Investments in other open-end investment companies are valued at their net asset value each day.

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

(††)	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, 2012, the net unrealized depreciation on investments based on a cost of $21,652,616 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	$	305,121
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(520,044	)

Net unrealized depreciation	$	(214,923	)

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

(c)	Variable rate security. Rate as of June 30, 2012 is disclosed.

(d)

144A

EMTN	Euro Medium Term Note

BRL	Brazilian Real

CAD	Canadian Dollar

CHF	Swiss Franc

DKK	Danish Krone

EUR

Euro

GBP	British Pound

JPY	Japanese Yen

MXN	Mexican Peso

MYR	Malaysian Ringgit

NOK	Norwegian Krone

PHP	Philippine Peso

SGD	Singapore Dollar

UYU	Uruguayan Peso

Forward Foreign Currency Contracts

At June 30, 2012, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date	Currency	Units			Notional Value	Unrealized Appreciation (Depreciation)
Sell¹	9/28/2012	British Pound		156,000	$244,264		$	619
Buy²	9/19/2012	Canadian Dollar		650,000	637,345			13,227
Buy⁴	9/21/2012	Malaysian Ringgit		290,000	90,886			(372	)
Buy¹	9/10/2012	South Korean Won		630,000,000	547,564			15,829
Buy³	9/10/2012	South Korean Won		164,700,000	143,149			4,255
Sell³	9/10/2012	South Korean Won		60,000,000	52,149			(1,139	)
Buy²	9/19/2012	Swiss Franc		226,000	238,583			2,500
Sell²	9/19/2012	Swiss Franc		226,000	238,582			(1,490	)

Total							$	33,429

At June 30, 2012, the Fund had the following open forward cross currency contracts:


Settlement Date	Deliver/Units of Currency	Receive⁵/Units of Currency	Unrealized Appreciation (Depreciation)
9/12/2012	Norwegian Krone 1,255,000	Euro 164,461	$	(2,165)

¹	Counterparty is Barclays Bank PLC.

²	Counterparty is UBS AG.

³	Counterparty is Credit Suisse AG.

⁴	Counterparty is JP Morgan Chase Bank, N.A.

⁵	Counterparty is Deutsche Bank AG.

Fair Value Measurements

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes*	$	—	$	21,282,568	$	—	$	21,282,568
Short-Term Investments		—		155,125		—		155,125

Total Investments		—		21,437,693		—		21,437,693

Forward Foreign Currency Contracts (unrealized appreciation)		—		36,430		—		36,430

Total	$	—	$	21,474,123	$	—	$	21,474,123

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(5,166	)	$	—	$	(5,166	)

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

For the period ended June 30, 2012, there were no transfers between Levels 1, 2 and 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-convertible Bonds
Supranational	$	118,679	$	67	$	(16,300	)	$	7,247	$	—	$	(109,693	)	$	—	$	—	$	—	$	—

Derivatives


Counterparty	Derivatives			Collateral Pledged
Deutsche Bank AG	$	(2,165	)	$	—
JP Morgan Chase Bank, N.A.		(372	)		—

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of June 30, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $36,430 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $33,801.

The following is a summary of derivative instruments for the Fund, as of June 30, 2012:


Asset Derivatives	Foreign Exchange Contracts
Forwards (unrealized appreciation)	$	36,430

Liability Derivatives	Foreign Exchange Contracts
Forwards (unrealized depreciation)	$	(5,166	)

New Accounting Pronouncement

Industry Summary at June 30, 2012 (Unaudited)


Treasuries	62.7	%
Government Guaranteed	7.0
Supranational	4.1
Banking	2.6
Sovereigns	2.5
Wirelines	2.4
Local Authorities	2.1
Other Investments, less than 2% each	13.8
Short-Term Investments	0.7

Total Investments	97.9
Other assets less liabilities (including open forward foreign currency contracts)	2.1

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2012 (Unaudited)


Euro	33.0	%
Japanese Yen	30.3
British Pound	11.8
United States Dollar	8.8
Norwegian Krone	2.9
Canadian Dollar	2.1
Singapore Dollar	2.0
Other, less than 2% each	7.0

Total Investments	97.9
Other assets less liabilities	2.1

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2012 (Unaudited)

Loomis Sayles Investment Grade Bond Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 92.2% of Net Assets

	Non-Convertible Bonds – 88.1%

		ABS Car Loan – 0.7%
$	1,717,917	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.384%, 8/20/2013, 144A(b)	$	1,716,418
	831,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class B, 5.740%, 8/20/2014, 144A		858,728
	4,590,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class B, 6.740%, 5/20/2016, 144A		5,089,216
	2,889,250	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		3,091,697
	18,620,000	Chesapeake Funding LLC, Series 2009-2A, Class B, 1.992%, 9/15/2021, 144A(b)		18,824,820
	16,736,000	Chesapeake Funding LLC, Series 2009-2A, Class C, 1.992%, 9/15/2021, 144A(b)		16,802,944
	19,574,000	Ford Auto Securitization Trust, Series 2010-R3A, Class A3, 2.714%, 9/15/2015, 144A, (CAD)		19,524,205
	5,481,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		5,483,153
	3,512,107	Merrill Auto Trust Securitization Asset, Series 2008-1, Class B, 6.750%, 4/15/2015		3,521,747

				74,912,928

		ABS Credit Card – 0.6%
	28,592,000	Chase Issuance Trust, Series 2007-B1, Class B1, 0.492%, 4/15/2019(b)		28,293,291
	19,182,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		20,794,544
	14,465,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		15,289,239
	2,324,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019		2,573,561

				66,950,635

		ABS Other – 1.4%
	1,630,454	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		1,648,650
	7,275,242	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		7,348,928
	33,607,996	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		35,086,058
	31,931,859	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		32,895,531
	40,535,368	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		46,749,088
	15,872,659	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		16,512,216
	16,214,495	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		16,505,858

				156,746,329


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

	Non-Convertible Bonds – continued

		Aerospace & Defense – 0.0%
	$ 2,100,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A	$	2,110,500

		Airlines – 2.5%
	155,604	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		157,549
	769,912	Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019		811,333
	888,684	Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020		948,670
	8,640,983	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		9,505,081
	1,741,229	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,893,586
	3,122,083	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		3,356,239
	54,678,179	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		59,325,824
	11,397,351	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		11,629,173
	25,977,159	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		29,743,846
	19,508,363	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		21,995,679
	3,065,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021		3,095,650
	1,848,459	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,987,094
	13,580,966	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		13,734,431
	33,381,292	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		37,887,767
	2,610,048	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		2,779,701
	20,198,823	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		21,865,226
	6,139,070	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		6,200,461
	7,277,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		7,468,196
	24,068,327	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		25,151,402
	5,864,389	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		6,693,027
	17,106,706	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		18,133,109

				284,363,044

		Automotive – 1.1%
	40,992,000	Cummins, Inc., 5.650%, 3/01/2098		42,194,582
	5,274,000	Cummins, Inc., 6.750%, 2/15/2027		6,542,692
	1,948,000	Ford Motor Co., 6.375%, 2/01/2029		2,113,522


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

	Non-Convertible Bonds – continued

		Automotive – continued
$	125,000	Ford Motor Co., 6.500%, 8/01/2018	$	141,250
	255,000	Ford Motor Co., 6.625%, 2/15/2028		283,160
	5,074,000	Ford Motor Co., 6.625%, 10/01/2028		5,706,413
	8,544,000	Ford Motor Co., 7.450%, 7/16/2031		10,701,360
	240,000	Ford Motor Co., 7.500%, 8/01/2026		278,400
	40,126,000	Ford Motor Credit Co. LLC, 6.625%, 8/15/2017		45,642,282
	338,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		360,654
	5,319,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		5,911,425
	4,540,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		5,369,712
	2,370,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,245,575

				127,491,027

		Banking – 11.2%
	22,547,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		29,148,266
	7,200,000	American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017		8,503,070
	35,878,000	Associates Corp. of North America, 6.950%, 11/01/2018		40,452,804
	3,590,000	Bank of America Corp., 5.420%, 3/15/2017		3,717,212
	9,805,000	Bank of America Corp., 6.000%, 9/01/2017		10,581,419
	11,100,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		11,451,948
	5,000,000	Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD)		5,219,034
	2,393,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,813,883
	17,249,000	Bank of America NA, 5.300%, 3/15/2017		17,958,451
	10,227,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		10,333,801
	7,110,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		6,223,663
	337,230,000,000	Barclays Financial LLC, EMTN, 8.250%, 10/27/2014, (IDR)		36,016,918
	2,173,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		2,287,678
	370,000	BNP Paribas/Australia, 7.000%, 5/24/2016, (AUD)		381,509
	8,994,000	Capital One Financial Corp., 6.150%, 9/01/2016		10,055,049
	51,425,000	Citigroup, Inc., 4.450%, 1/10/2017		53,905,896


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

	Non-Convertible Bonds – continued

		Banking – continued
$	6,473,000	Citigroup, Inc., 5.000%, 9/15/2014	$	6,635,259
	2,700,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		2,190,763
	14,680,000	Citigroup, Inc., 5.500%, 2/15/2017		15,339,719
	1,297,000	Citigroup, Inc., 5.850%, 12/11/2034		1,392,219
	2,740,000	Citigroup, Inc., 5.875%, 2/22/2033		2,650,186
	19,875,000	Citigroup, Inc., 6.125%, 5/15/2018		22,191,908
	8,705,000	Citigroup, Inc., 6.125%, 8/25/2036		8,562,038
	44,910,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		35,897,890
	21,257,000	Citigroup, Inc., 6.375%, 8/12/2014		22,754,386
	2,398,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		2,571,880
	63,845,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		67,597,107
	17,525,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.375%, 1/19/2017		18,036,502
	14,145,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.875%, 2/08/2022		14,388,761
	1,174,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		1,145,023
	112,330,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		110,089,354
	6,645,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		6,840,516
	1,527,000	HBOS PLC, 6.000%, 11/01/2033, 144A		1,195,244
	1,000,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		943,454
	700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		623,000
	2,950,000	JPMorgan Chase & Co., EMTN, 1.176%, 5/30/2017, (GBP)(b)		4,031,077
	12,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		1,242,097
	16,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,764,812
	100,000	Keybank NA, 6.950%, 2/01/2028		118,791
	9,787,000	Lloyds TSB Bank PLC, EMTN, 4.570%, 10/13/2015, (CAD)		9,474,577
	81,622,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		80,393,752
	6,479,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		6,667,720
	4,300,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		4,445,723


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

	Non-Convertible Bonds – continued

		Banking – continued
$	103,309,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037	$	97,344,248
	9,780,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		5,015,385
	3,132,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		3,638,184
	11,641,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		13,025,534
	40,126,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		38,222,463
	2,652,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		2,884,713
	1,500,000	Morgan Stanley, 0.947%, 10/15/2015(b)		1,336,272
	4,250,000	Morgan Stanley, 3.450%, 11/02/2015		4,115,462
	14,023,000	Morgan Stanley, 3.800%, 4/29/2016		13,585,511
	110,093,000	Morgan Stanley, 5.500%, 7/24/2020		107,711,248
	5,900,000	Morgan Stanley, 5.750%, 1/25/2021		5,817,648
	60,800,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		64,751,340
	550,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		883,965
	5,400,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		5,288,868
	24,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		25,618,213
	3,800,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		3,929,747
	38,206,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		37,812,478
	5,187,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		5,423,361
	9,400,000	Morgan Stanley, Series F, MTN, 0.916%, 10/18/2016(b)		8,192,363
	9,699,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		9,962,435
	2,239,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		3,574,549
	2,875,000	National City Bank of Indiana, 4.250%, 7/01/2018		3,067,234
	8,638,000	National City Corp., 6.875%, 5/15/2019		10,425,470
	5,250,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		5,688,123
	6,150,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		7,186,329
	1,650,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		1,504,248
	700,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		681,787


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

	Non-Convertible Bonds – continued

		Banking – continued
$	16,175,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016	$	15,630,776
	1,000,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		1,146,606
	1,800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		1,661,814
	1,400,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		1,211,283
	30,886,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		29,516,577
	3,300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		3,649,668
	17,861,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A		19,330,960

				1,257,069,221

		Brokerage – 1.4%
	59,450,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		59,961,151
	44,990,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(c)		44,408,594
	11,813,000	Jefferies Group, Inc., 6.250%, 1/15/2036		10,631,700
	7,465,000	Jefferies Group, Inc., 6.450%, 6/08/2027		7,091,750
	1,693,000	Jefferies Group, Inc., 6.875%, 4/15/2021		1,702,493
	35,030,000	Jefferies Group, Inc., 8.500%, 7/15/2019		38,007,550

				161,803,238

		Building Materials – 1.2%
	6,640,000	Masco Corp., 4.800%, 6/15/2015		6,822,434
	10,942,000	Masco Corp., 5.850%, 3/15/2017		11,469,831
	6,616,000	Masco Corp., 6.125%, 10/03/2016		7,060,595
	4,808,000	Masco Corp., 6.500%, 8/15/2032		4,621,733
	28,539,000	Masco Corp., 7.125%, 3/15/2020		31,488,791
	5,725,000	Masco Corp., 7.750%, 8/01/2029		5,998,266
	24,394,000	Owens Corning, Inc., 6.500%, 12/01/2016		27,124,201
	41,379,000	Owens Corning, Inc., 7.000%, 12/01/2036		43,975,325
	1,037,000	USG Corp., 6.300%, 11/15/2016		992,928

				139,554,104

		Chemicals – 0.5%
	34,763,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		47,940,854


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

	Non-Convertible Bonds – continued

		Chemicals – continued
$	3,469,000	Cytec Industries, Inc., 6.000%, 10/01/2015	$	3,809,812
	1,700,000	Methanex Corp., 5.250%, 3/01/2022		1,763,767
	2,349,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		2,489,799

				56,004,232

		Collateralized Mortgage Obligations – 0.0%
	1,113,461	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.863%, 4/25/2035(b)		1,004,673
	2,356,892	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.390%, 7/25/2047(b)		1,433,224
	77,210	Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12, Class 1A1, 2.893%, 9/25/2036(b)		56,796

				2,494,693

		Commercial Mortgage-Backed Securities – 3.1%
	2,477,877	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		2,666,872
	33,167,701	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		36,839,962
	12,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		12,921,912
	62,292,812	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.679%, 6/15/2039(b)		66,701,337
	34,381,273	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.772%, 9/15/2039(b)		36,690,010
	6,711,090	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		7,197,671
	57,694,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		66,787,497
	23,544,272	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		26,090,632
	15,789,051	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class A4, 5.475%, 4/15/2043		17,647,596
	15,928,923	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.815%, 6/15/2049(b)		17,486,835
	21,524,263	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		24,082,874
	3,131,798	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.869%, 6/15/2038(b)		3,574,496
	1,311,441	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,427,947
	9,786,870	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.790%, 8/12/2045, 144A(b)		10,163,019
	6,851,000	Vornado DP LLC, Series 2010-VNO, Class D, 6.356%, 9/13/2028, 144A		7,354,692
	3,621,142	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		4,075,342


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

	Non-Convertible Bonds – continued

		Commercial Mortgage-Backed Securities – continued
$	6,222,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043	$	6,714,204

				348,422,898

		Construction Machinery – 0.3%
	23,638,000	Case New Holland, Inc., 7.750%, 9/01/2013		25,115,375
	6,787,000	Toro Co., 6.625%, 5/01/2037(c)		7,187,603
	400,000	United Rentals North America, Inc., 8.375%, 9/15/2020		421,000

				32,723,978

		Consumer Cyclical Services – 0.0%
	1,750,000	Western Union Co. (The), 6.200%, 11/17/2036		1,862,654
	196,000	Western Union Co. (The), 6.200%, 6/21/2040		213,186

				2,075,840

		Consumer Products – 0.2%
	7,458,000	Hasbro, Inc., 6.600%, 7/15/2028		8,234,228
	11,754,000	Snap-on, Inc., 6.700%, 3/01/2019		14,209,740

				22,443,968

		Distributors – 0.1%
	5,740,000	ONEOK, Inc., 6.000%, 6/15/2035		6,263,964

		Diversified Manufacturing – 1.2%
	1,395,000	Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018		1,698,989
	2,814,000	Textron Financial Corp., 5.400%, 4/28/2013		2,890,535
	1,181,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		1,252,202
	18,800,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		24,057,848
	78,795,000	Textron, Inc., 5.950%, 9/21/2021		89,296,798
	11,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		19,013,979

				138,210,351

		Electric – 2.7%
	35,959,293	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		40,422,560
	46,556,000	Ameren Illinois Co., 6.250%, 4/01/2018		55,092,834
	25,431,000	AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018		21,997,815
	10,973,249	Bruce Mansfield Unit, 6.850%, 6/01/2034		11,488,333


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

	Non-Convertible Bonds – continued

		Electric – continued
$	17,435,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017	$	19,604,960
	13,722,000	Cleveland Electric Illuminating Co. (The), 5.950%, 12/15/2036		15,513,352
	876,000	Commonwealth Edison Co., 4.700%, 4/15/2015		958,140
	12,185,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		9,705,560
	3,300,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		2,870,733
	1,000,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		1,103,002
	900,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		1,055,815
	979,000	Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013		1,040,128
	4,491,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		5,529,912
	37,810,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		29,683,043
	7,800,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		6,748,178
	3,603,000	Exelon Corp., 4.900%, 6/15/2015		3,916,032
	1,864,000	ITC Holdings Corp., 5.875%, 9/30/2016, 144A		2,141,915
	7,932,880	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(c)		8,076,227
	50,026,000	Southwestern Electric Power Co., 6.450%, 1/15/2019		60,352,917
	2,850,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		1,945,125
	1,075,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)(d)		849,250
	1,600,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)(d)		1,040,000

				301,135,831

		Entertainment – 0.0%
	3,616,000	Viacom, Inc., 6.125%, 10/05/2017		4,317,707

		Financial Other – 0.9%
	62,090,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		62,284,342
	26,914,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		35,838,386

				98,122,728

		Food & Beverage – 0.0%
	2,450,000	Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP)		4,496,547


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

	Non-Convertible Bonds – continued

		Government Guaranteed – 0.6%
	12,910,000	Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)	$	10,677,094
	13,005,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		13,220,725
	11,311,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)		10,896,342
	31,142,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		28,484,441

				63,278,602

		Government Owned - No Guarantee – 1.3%
	3,720,000	Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A		4,138,500
	36,975,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		43,861,594
	58,060,000	DP World Ltd., 6.850%, 7/02/2037, 144A		57,043,950
	26,030,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		2,730,898
	27,800,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		2,984,967
	22,478,000	Federal Home Loan Mortgage Corp., 1.625%, 4/15/2013		22,718,762
	15,170,000	Korea Gas Corp., 6.000%, 7/15/2014, 144A		16,318,611
	1,000,000	Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A		1,355,818

				151,153,100

		Government Sponsored – 0.6%
	66,200,000	Federal Home Loan Bank, 1.875%, 6/21/2013		67,236,229

		Health Insurance – 0.0%
	1,569,000	CIGNA Corp., 7.875%, 5/15/2027		1,956,665
	1,174,000	CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(e)		1,483,697

				3,440,362

		Healthcare – 1.0%
	20,100,000	Aristotle Holding, Inc., 4.750%, 11/15/2021, 144A		22,242,238
	7,692,000	Boston Scientific Corp., 6.000%, 1/15/2020		9,173,671
	7,374,000	Covidien International Finance S.A., 6.000%, 10/15/2017		8,917,754
	17,416,000	Express Scripts, Inc., 6.250%, 6/15/2014		19,042,515
	9,459,000	Express Scripts, Inc., 7.250%, 6/15/2019		11,893,766
	9,278,000	HCA, Inc., 5.750%, 3/15/2014		9,707,107
	802,000	HCA, Inc., 5.875%, 3/15/2022		838,090


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

	Non-Convertible Bonds – continued

		Healthcare – continued
$	1,908,000	HCA, Inc., 6.250%, 2/15/2013	$	1,950,930
	3,729,000	HCA, Inc., 6.375%, 1/15/2015		3,962,062
	3,127,000	HCA, Inc., 6.500%, 2/15/2016		3,369,343
	357,000	HCA, Inc., 6.750%, 7/15/2013		372,173
	2,936,000	HCA, Inc., 7.050%, 12/01/2027		2,642,400
	2,241,000	HCA, Inc., 7.190%, 11/15/2015		2,364,255
	4,119,000	HCA, Inc., 7.500%, 12/15/2023		3,959,389
	1,282,000	HCA, Inc., 7.500%, 11/06/2033		1,201,875
	3,807,000	HCA, Inc., 7.690%, 6/15/2025		3,664,238
	4,164,000	HCA, Inc., 8.360%, 4/15/2024		4,226,460
	1,199,000	HCA, Inc., MTN, 7.580%, 9/15/2025		1,145,045
	3,068,000	HCA, Inc., MTN, 7.750%, 7/15/2036		2,883,920
	2,256,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		2,463,071
	2,200,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,864,500

				117,884,802

		Home Construction – 0.1%
	2,006,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		2,036,090
	2,546,000	Pulte Group, Inc., 5.200%, 2/15/2015		2,622,380
	9,200,000	Pulte Group, Inc., 6.000%, 2/15/2035		7,360,000
	3,567,000	Pulte Group, Inc., 6.375%, 5/15/2033		2,942,775

				14,961,245

		Independent Energy – 0.9%
	11,930,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		13,858,294
	1,065,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		1,054,350
	805,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		792,925
	9,787,000	EQT Corp., 8.125%, 6/01/2019		11,737,187
	60,038,000	Equitable Resources, Inc., 6.500%, 4/01/2018		68,251,979
	7,240,000	Newfield Exploration Co., 5.625%, 7/01/2024		7,402,900

				103,097,635


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

	Non-Convertible Bonds – continued

		Industrial Other – 0.0%
$	4,893,000	Worthington Industries, Inc., 6.500%, 4/15/2020	$	5,420,490

		Life Insurance – 1.0%
	7,100,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)		10,341,296
	6,910,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		7,639,164
	2,036,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		2,210,251
	9,777,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		12,688,502
	600,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)		638,990
	5,900,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		5,951,280
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		15,461,325
	10,971,000	MetLife, Inc., 6.400%, 12/15/2066		10,754,608
	9,063,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		10,218,786
	6,440,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		6,607,015
	2,872,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		3,169,961
	14,489,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		17,873,891
	4,732,000	Unum Group, 7.125%, 9/30/2016		5,457,747

				109,012,816

		Local Authorities – 2.4%
	7,448,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		6,423,729
	99,450,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		104,351,045
	68,930,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		78,778,050
	17,930,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		20,181,013
	16,989	Province of Alberta, 5.930%, 9/16/2016, (CAD)		18,500
	489,000	Province of Nova Scotia, 6.600%, 6/01/2027, (CAD)		671,392
	29,791,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		26,137,212
	26,518,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		28,658,895

				265,219,836

		Lodging – 0.8%
	52,516,000	Choice Hotels International, Inc., 5.700%, 8/28/2020		54,097,047


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

	Non-Convertible Bonds – continued

		Lodging – continued
$	4,522,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018	$	5,027,831
	100,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		111,239
	23,518,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020		27,954,600

				87,190,717

		Media Cable – 1.1%
	17,832,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		19,345,644
	4,101,000	Time Warner Cable, Inc., 5.850%, 5/01/2017		4,818,905
	78,178,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		95,235,111

				119,399,660

		Media Non-Cable – 0.3%
	5,000,000	Clear Channel Communications, Inc., 9.000%, 3/01/2021		4,350,000
	7,536,000	News America, Inc., 6.150%, 3/01/2037		8,538,627
	4,482,000	News America, Inc., 8.150%, 10/17/2036		5,559,760
	5,000,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		4,762,500
	10,870,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		10,652,600

				33,863,487

		Metals & Mining – 1.8%
	15,060,000	Alcoa, Inc., 5.870%, 2/23/2022		15,493,924
	26,000,000	Alcoa, Inc., 5.900%, 2/01/2027		25,723,516
	5,505,000	Alcoa, Inc., 5.950%, 2/01/2037		5,307,382
	28,838,000	Alcoa, Inc., 6.150%, 8/15/2020		30,357,503
	5,804,000	Alcoa, Inc., 6.750%, 1/15/2028		6,150,818
	430,000	ArcelorMittal, 5.500%, 3/01/2021		407,002
	7,080,000	ArcelorMittal, 6.125%, 6/01/2018		7,178,745
	3,890,000	ArcelorMittal, 6.250%, 2/25/2022		3,809,897
	45,315,000	ArcelorMittal, 6.750%, 3/01/2041		42,296,613
	19,365,000	ArcelorMittal, 7.000%, 10/15/2039		18,796,676
	4,500,000	Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		3,813,750
	1,943,000	United States Steel Corp., 6.050%, 6/01/2017		1,889,567


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

	Non-Convertible Bonds – continued

			Metals & Mining – continued
$	4,612,000		United States Steel Corp., 6.650%, 6/01/2037	$	3,597,360
	31,210,000		United States Steel Corp., 7.000%, 2/01/2018		30,819,875
	3,655,000		Vale Overseas Ltd., 6.875%, 11/21/2036		4,239,632

					199,882,260

			Mortgage Related – 0.0%
	75,463		FHLMC, 5.000%, 12/01/2031		81,356
	12,037		FNMA, 6.000%, 7/01/2029		13,505

					94,861

			Non-Captive Consumer – 1.6%
	62,425	(††)	SLM Corp., 6.000%, 12/15/2043		1,347,808
	6,342,000		SLM Corp., MTN, 5.050%, 11/14/2014		6,531,968
	347,000		SLM Corp., MTN, 5.125%, 8/27/2012		348,300
	8,895,000		SLM Corp., MTN, 7.250%, 1/25/2022		9,406,463
	641,000		SLM Corp., MTN, 8.000%, 3/25/2020		701,895
	5,616,000		SLM Corp., Series A, MTN, 0.766%, 1/27/2014(b)		5,364,706
	9,224,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		9,500,720
	6,547,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		6,607,173
	1,957,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		1,864,039
	6,141,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		6,256,045
	4,548,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		4,707,012
	19,496,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		16,474,120
	30,667,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		34,347,040
	4,893,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		4,073,423
	87,676,000		Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		69,975,969

					177,506,681

			Non-Captive Diversified – 3.0%
	1,634,000		Ally Financial, Inc., 6.750%, 12/01/2014		1,723,756
	391,000		Ally Financial, Inc., 6.875%, 8/28/2012		393,444
	3,075,000		Ally Financial, Inc., 7.500%, 12/31/2013		3,259,500


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

	Non-Convertible Bonds – continued

		Non-Captive Diversified – continued
$	5,543,000	Ally Financial, Inc., 8.000%, 12/31/2018	$	6,138,872
	2,285,000	Ally Financial, Inc., 8.000%, 11/01/2031		2,640,208
	15,688,000	GATX Corp., 4.750%, 10/01/2012		15,818,508
	3,500,000	General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		3,841,123
	7,570,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 5/15/2013, (AUD)		7,886,060
	3,100,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 4/15/2015, (AUD)		3,295,248
	1,874,000	General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD)		1,982,816
	969,000	General Electric Capital Corp., 5.625%, 5/01/2018		1,113,904
	4,673,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		5,364,623
	51,370,000	General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)		42,896,541
	14,225,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		12,235,397
	36,850,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		31,642,348
	10,247,000	General Electric Capital Corp., Series A, MTN, 0.767%, 5/13/2024(b)		8,526,846
	16,696,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		18,127,949
	26,931,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		22,757,838
	22,425,000	International Lease Finance Corp., 5.875%, 4/01/2019		22,446,730
	38,780,000	International Lease Finance Corp., 6.250%, 5/15/2019		39,507,125
	13,899,000	International Lease Finance Corp., 6.375%, 3/25/2013		14,194,354
	60,419,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		66,611,947
	548,000	International Lease Finance Corp., 8.625%, 9/15/2015		605,540
	1,473,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		1,507,984
	1,625,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		1,665,625
	3,580,000	iStar Financial, Inc., 8.625%, 6/01/2013		3,580,000

				339,764,286

		Oil Field Services – 0.6%
	5,965,000	Nabors Industries, Inc., 6.150%, 2/15/2018		6,845,184
	22,583,000	Nabors Industries, Inc., 9.250%, 1/15/2019		29,319,915
	23,338,000	Rowan Cos., Inc., 7.875%, 8/01/2019		28,172,793


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

	Non-Convertible Bonds – continued

		Oil Field Services – continued
$	587,000	Transocean Ltd., 7.375%, 4/15/2018	$	689,871

				65,027,763

		Paper – 1.1%
	4,365,000	Celulosa Arauco y Constitucion S.A., 7.250%, 7/29/2019		5,139,473
	23,225,000	Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A		26,949,570
	715,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		876,908
	2,672,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,404,518
	644,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		836,598
	545,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		727,956
	1,336,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,883,479
	6,161,000	International Paper Co., 5.250%, 4/01/2016		6,780,230
	7,611,000	International Paper Co., 8.700%, 6/15/2038		10,741,694
	5,270,000	Mead Corp. (The), 7.550%, 3/01/2047		5,486,386
	5,764,000	Westvaco Corp., 8.200%, 1/15/2030		6,842,808
	26,007,000	Weyerhaeuser Co., 6.875%, 12/15/2033		27,414,005
	7,374,000	Weyerhaeuser Co., 7.375%, 10/01/2019		8,715,685
	18,254,000	Weyerhaeuser Co., 7.375%, 3/15/2032		20,388,458

				126,187,768

		Pharmaceuticals – 0.5%
	56,052,000	Roche Holdings, Inc., 5.000%, 3/01/2014, 144A		59,804,065
	489,000	Schering-Plough Corp., 5.300%, 12/01/2013		521,146

				60,325,211

		Pipelines – 3.4%
	650,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		770,751
	528,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		593,436
	1,571,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		1,668,996
	9,257,000	Enterprise Products Operating LLC, 4.050%, 2/15/2022		9,816,734
	3,328,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		4,211,764
	14,300,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		15,741,898


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

	Non-Convertible Bonds – continued

		Pipelines – continued
$	14,675,000	Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020	$	16,255,277
	66,165,000	Kinder Morgan Energy Partners LP, 5.950%, 2/15/2018		76,725,529
	303,000	Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016		318,908
	28,438,200	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		30,421,480
	30,760,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		30,760,000
	635,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		606,425
	4,950,000	NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A		5,308,875
	13,790,000	NiSource Finance Corp., 6.125%, 3/01/2022		16,177,545
	24,110,000	NiSource Finance Corp., 6.400%, 3/15/2018		28,162,843
	21,614,000	NiSource Finance Corp., 6.800%, 1/15/2019		25,911,382
	9,899,000	Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017		11,330,217
	47,594,000	Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018		56,404,030
	1,404,000	Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019		1,739,841
	2,085,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,424,006
	15,683,000	Plains All American Pipeline LP, 6.500%, 5/01/2018		18,816,103
	4,125,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		4,722,308
	19,574,000	Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A		22,896,882

				381,785,230

		Property & Casualty Insurance – 0.8%
	3,083,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		3,576,493
	9,038,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		9,245,910
	30,054,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		35,156,688
	944,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		509,760
	14,575,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		14,232,954
	7,609,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		8,053,305
	13,521,000	Willis North America, Inc., 7.000%, 9/29/2019		15,668,797
	2,212,000	XL Group PLC, 6.250%, 5/15/2027		2,430,878


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

	Non-Convertible Bonds – continued

		Property & Casualty Insurance – continued
$	1,463,000	XL Group PLC, 6.375%, 11/15/2024	$	1,630,948

				90,505,733

		Property Trust – 0.4%
	36,192,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		42,701,964

		Railroads – 0.1%
	9,787,000	Canadian Pacific Railway Co., 7.250%, 5/15/2019		12,034,653
	237,000	Missouri Pacific Railroad Co., 4.750%, 1/01/2030(c)		219,225
	1,701,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		1,394,820
	191,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		191,000

				13,839,698

		Real Estate Operations/Development – 0.1%
	10,276,000	First Industrial LP, 5.950%, 5/15/2017		10,571,014

		Refining – 0.1%
	7,700,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		7,699,530

		REITs - Apartments – 0.3%
	12,243,000	Camden Property Trust, 5.000%, 6/15/2015		13,195,420
	16,491,000	Camden Property Trust, 5.700%, 5/15/2017		18,513,423
	988,000	ERP Operating LP, 5.125%, 3/15/2016		1,089,195
	1,762,000	ERP Operating LP, 5.375%, 8/01/2016		1,973,555
	1,508,000	ERP Operating LP, 5.750%, 6/15/2017		1,739,873

				36,511,466

		REITs - Diversified – 0.2%
	4,140,000	Duke Realty LP, 5.950%, 2/15/2017		4,577,383
	19,574,000	Duke Realty LP, 6.500%, 1/15/2018		22,185,406

				26,762,789

		REITs - Healthcare – 0.1%
	5,972,000	Health Care REIT, Inc., 6.500%, 3/15/2041		6,380,300

		REITs - Office Property – 0.3%
	20,817,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		22,337,619


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

	Non-Convertible Bonds – continued

		REITs - Office Property – continued
	$11,306,000	Highwoods Properties, Inc., 7.500%, 4/15/2018	$	13,000,702

				35,338,321

		REITs - Regional Malls – 0.2%
	2,427,000	Simon Property Group LP, 5.250%, 12/01/2016		2,727,764
	12,209,000	Simon Property Group LP, 5.750%, 12/01/2015		13,641,164
	1,889,000	Simon Property Group LP, 5.875%, 3/01/2017		2,174,562
	4,066,000	Simon Property Group LP, 6.100%, 5/01/2016		4,627,283

				23,170,773

		REITs - Shopping Centers – 0.1%
	4,893,000	Equity One, Inc., 6.000%, 9/15/2017		5,309,120
	1,918,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		2,114,288

				7,423,408

		REITs - Single Tenant – 0.3%
	5,862,000	Realty Income Corp., 5.750%, 1/15/2021		6,552,819
	25,529,000	Realty Income Corp., 6.750%, 8/15/2019		30,077,579

				36,630,398

		REITs - Warehouse/Industrials – 0.6%
	3,873,000	ProLogis LP, 5.625%, 11/15/2015		4,220,977
	11,179,000	ProLogis LP, 5.625%, 11/15/2016		12,287,677
	10,889,000	ProLogis LP, 5.750%, 4/01/2016		11,891,289
	9,698,000	ProLogis LP, 6.625%, 5/15/2018		11,185,916
	18,869,000	ProLogis LP, 7.375%, 10/30/2019		22,860,567

				62,446,426

		Restaurants – 0.1%
	10,320,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		10,447,596

		Retailers – 0.5%
	7,996,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		7,246,375
	8,139,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		6,144,945
	12,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		11,145
	8,656,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		6,308,060


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

	Non-Convertible Bonds – continued

		Retailers – continued
$	13,425,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037	$	15,860,845
	10,467,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		11,507,807
	2,691,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		3,182,213
	8,064,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		8,522,801

				58,784,191

		Sovereigns – 1.2%
	44,750,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		24,285,536
	24,178,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		14,957,015
	52,555,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		52,750,505
	531,485,600	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		2,590,953
	33,600,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		32,584,642
	776,294,507	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		3,933,920

				131,102,571

		Supermarkets – 0.3%
	4,130,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		3,025,225
	3,269,000	Kroger Co. (The), 6.400%, 8/15/2017		3,908,066
	6,595,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,847,325
	7,875,000	New Albertson’s, Inc., 8.000%, 5/01/2031		6,103,125
	979,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		675,510
	10,863,000	Safeway, Inc., 6.350%, 8/15/2017		12,180,617

				30,739,868

		Supranational – 1.2%
	11,745,000	European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL)		5,871,915
	192,350,850,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		19,285,259
	9,640,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		10,518,516
	329,210,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		32,971,823
	410,030,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		40,053,503
	12,982,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		11,547,669


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

	Non-Convertible Bonds – continued

		Supranational – continued
	15,070,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)	$	12,016,028

				132,264,713

		Technology – 2.9%
	4,410,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		5,295,696
	4,600,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		3,128,000
	1,028,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		1,193,706
	3,059,000	Avnet, Inc., 5.875%, 3/15/2014		3,238,759
	6,097,000	Avnet, Inc., 6.000%, 9/01/2015		6,690,970
	1,507,000	Avnet, Inc., 6.625%, 9/15/2016		1,717,465
	11,704,000	BMC Software, Inc., 7.250%, 6/01/2018(c)		14,095,373
	13,457,000	Corning, Inc., 6.750%, 9/15/2013		14,328,771
	1,448,000	Corning, Inc., 6.850%, 3/01/2029		1,735,975
	56,271,000	Corning, Inc., 7.000%, 5/15/2024		72,581,993
	7,487,000	Corning, Inc., 7.250%, 8/15/2036		9,248,908
	55,237,000	Dun & Bradstreet Corp. (The), 6.000%, 4/01/2013		57,278,339
	7,051,000	Equifax, Inc., 7.000%, 7/01/2037		8,330,813
	112,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		118,160
	70,969,000	Ingram Micro, Inc., 5.250%, 9/01/2017		76,082,174
	7,795,000	Intuit, Inc., 5.750%, 3/15/2017		8,921,035
	19,078,000	KLA-Tencor Corp., 6.900%, 5/01/2018		22,787,164
	1,502,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		1,591,491
	2,256,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		2,734,588
	5,603,000	Tyco Electronics Group S.A., 6.550%, 10/01/2017		6,688,934
	561,000	Xerox Corp., 6.350%, 5/15/2018		654,048
	7,110,000	Xerox Corp., 6.750%, 2/01/2017		8,267,117

				326,709,479

		Textile – 0.0%
	3,755,000	Phillips-Van Heusen Corp., 7.750%, 11/15/2023		4,374,575


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

	Non-Convertible Bonds – continued

			Tobacco – 0.1%
$	8,128,000		Reynolds American, Inc., 6.750%, 6/15/2017	$	9,758,233
	1,992,000		Reynolds American, Inc., 7.250%, 6/15/2037		2,407,246

					12,165,479

			Transportation Services – 0.7%
	8,436,000		Erac USA Finance Co., 6.375%, 10/15/2017, 144A		9,860,132
	2,824,000		Erac USA Finance Co., 6.700%, 6/01/2034, 144A		3,241,593
	51,504,000		Erac USA Finance Co., 7.000%, 10/15/2037, 144A		62,084,930

					75,186,655

			Treasuries – 21.1%
	93,805,000		Canadian Government, 1.750%, 3/01/2013, (CAD)		92,606,293
	360,010,000		Canadian Government, 2.000%, 9/01/2012, (CAD)		354,256,771
	318,345,000		Canadian Government, 2.500%, 6/01/2015, (CAD)		325,114,639
	156,655,000		Canadian Government, 3.000%, 12/01/2015, (CAD)		163,237,557
	106,195,000		Canadian Government, 3.500%, 6/01/2013, (CAD)		106,688,372
	194,485,000		Canadian Government, 3.750%, 6/01/2019, (CAD)		219,605,104
	4,159,000		Canadian Government, 4.000%, 6/01/2016, (CAD)		4,518,444
	183,949,000		Canadian Government, 4.250%, 6/01/2018, (CAD)		210,044,427
	85,198,516		Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		98,675,632
	66,038,126		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		74,334,907
	29,854,296		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		34,398,318
	63,183,488		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		72,753,499
	1,130,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		1,223,406
	1,130,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		1,302,809
	1,120,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		1,333,349
	4,111,400	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		37,264,083
	12,263,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		11,315,106
	259,445,000		New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		214,239,409
	726,401,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		137,559,064


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

	Non-Convertible Bonds – continued

		Treasuries – continued
	118,387,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)	$	21,897,610
	994,369,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		174,229,583
	13,956,446	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		11,338,922
	4,599,829	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		4,042,274
	1,415,381,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		7,152,162
	6,000,000	Singapore Government Bond, 1.375%, 10/01/2014, (SGD)		4,864,076

				2,383,995,816

		Wireless – 0.7%
	31,416,000	Cellco Partnership/Verizon Wireless Capital LLC, 8.500%, 11/15/2018		42,989,183
	13,250,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		13,266,562
	10,674,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		10,687,342
	90,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		90,338
	6,373,000	Sprint Capital Corp., 6.875%, 11/15/2028		5,130,265
	2,594,000	Sprint Capital Corp., 6.900%, 5/01/2019		2,438,360
	612,000	Sprint Capital Corp., 8.750%, 3/15/2032		556,920
	91,000	Sprint Nextel Corp., 6.000%, 12/01/2016		87,133
	1,619,000	Vodafone Group PLC, 5.000%, 9/15/2015		1,810,999

				77,057,102

		Wirelines – 4.5%
	406,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		514,561
	1,874,000	BellSouth Corp., 6.000%, 11/15/2034		2,082,080
	2,936,000	BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		2,998,070
	6,665,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		8,090,890
	62,040,000	CenturyLink, Inc., 6.450%, 6/15/2021		64,557,335
	4,990,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		4,904,990
	2,708,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,615,145
	121,506,000	Deutsche Telekom International Finance BV, 6.000%, 7/08/2019		143,465,779
	24,103,000	Embarq Corp., 7.995%, 6/01/2036		25,177,873


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

	Non-Convertible Bonds – continued

		Wirelines – continued
$	1,440,000	Level 3 Financing, Inc., 8.750%, 2/15/2017	$	1,497,600
	200,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		216,000
	5,200,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		2,711,974
	8,450,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		7,580,386
	18,850,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		19,448,704
	200,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		236,370
	300,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		326,537
	1,698,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,804,699
	2,755,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		2,656,153
	4,370,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		4,518,279
	3,469,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		3,415,935
	333,000	Qwest Corp., 6.500%, 6/01/2017		374,131
	14,480,000	Qwest Corp., 6.875%, 9/15/2033		14,407,600
	4,668,000	Qwest Corp., 7.200%, 11/10/2026		4,714,680
	9,077,000	Qwest Corp., 7.250%, 9/15/2025		9,960,646
	9,474,000	Qwest Corp., 7.250%, 10/15/2035		9,545,055
	1,566,000	Qwest Corp., 7.500%, 6/15/2023		1,574,613
	40,846,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		31,349,305
	16,640,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		13,062,400
	300,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		258,415
	975,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		849,023
	14,375,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		12,567,876
	1,700,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		2,115,423
	2,700,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		3,188,979
	2,100,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		2,384,738
	8,800,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		11,869,776
	14,137,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		15,235,079


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

	Non-Convertible Bonds – continued

		Wirelines – continued
	54,665,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)	$	59,983,307
	3,598,000	Verizon Communications, Inc., 6.100%, 4/15/2018		4,383,433
	2,358,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		2,440,419
	2,642,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,234,297
	5,260,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		5,746,587

				508,065,142

		Total Non-Convertible Bonds (Identified Cost $8,919,094,578)		9,930,321,811

	Convertible Bonds – 3.6%

		Automotive – 0.4%
	34,827,000	Ford Motor Co., 4.250%, 11/15/2016		48,409,530

		Independent Energy – 0.2%
	19,000,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		16,268,750
	9,425,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		8,612,094

				24,880,844

		Life Insurance – 0.6%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		65,623,500

		Media Non-Cable – 0.0%
	395,898	Liberty Media LLC, 3.500%, 1/15/2031		173,205

		REITs - Warehouse/Industrials – 0.3%
	27,359,000	ProLogis LP, 3.250%, 3/15/2015		30,060,701

		Technology – 2.1%
	35,120,000	Intel Corp., 2.950%, 12/15/2035		39,729,500
	137,016,000	Intel Corp., 3.250%, 8/01/2039		184,457,790
	11,515,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		11,356,669
	880,000	Micron Technology, Inc., 1.875%, 6/01/2014		862,400

				236,406,359

		Wirelines – 0.0%
	2,926,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		3,496,570

		Total Convertible Bonds (Identified Cost $346,060,875)		409,050,709


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

	Municipals – 0.5%

		California – 0.0%
	$1,275,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028	$	1,044,837
	470,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028		437,622

				1,482,459

		District of Columbia – 0.2%
	14,680,000	Metropolitan Washington Airports Authority, 7.462%, 10/01/2046		17,413,123

		Illinois – 0.2%
	530,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		542,153
	24,640,000	State of Illinois, 5.100%, 6/01/2033		23,289,728

				23,831,881

		Michigan – 0.0%
	2,465,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		1,826,491

		Ohio – 0.0%
	6,430,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c)		4,921,779

		Virginia – 0.1%
	14,240,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		9,103,774

		Total Municipals (Identified Cost $57,937,440)		58,579,507

		Total Bonds and Notes (Identified Cost $9,323,092,893)		10,397,952,027

	Senior Loans – 0.9%

		Non-Captive Diversified – 0.5%
	55,685,000	Flying Fortress, Inc., 1st Lien Term Loan, 5.000%, 6/30/2017(b)		55,754,607

		Aerospace & Defense – 0.4%
	15,480,000	AWAS Finance Luxembourg S.A.R.L., Term Loan B 5.250%, 6/10/2016(b)		15,441,300
	28,050,000	AWAS Finance Luxembourg 2012 S.A., New Term Loan, 7/16/2018(f)		27,892,359

				43,333,659

		Total Senior Loans (Identified Cost $98,412,230)		99,088,266


Shares
	Common Stocks – 2.0%

		Electronic Equipment, Instruments & Components – 2.0%
	17,550,000	Corning, Inc. (Identified Cost $226,654,590)		226,921,500


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments – 3.9%
$	897,147	Repurchase Agreement with State Street Bank and Trust Company, dated 6/29/2012 at 0.000% to be repurchased at $897,147 on 7/02/2012 collateralized by $890,000 U.S. Treasury Note, 1.750% due 3/31/2014 valued at $915,802 including accrued interest(g)	$	897,147
	437,130,177	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $437,130,177 on 7/02/2012 collateralized by $21,830,000 Federal Home Loan Bank, 0.370% due 5/01/2013 valued at $21,857,288; $115,035,000 Federal Home Loan Bank, 0.200% due 3/01/2013 valued at $115,178,794; $179,135,000 Federal Home Loan Bank, 0.190% due 3/25/2013 valued at 179,135,000; $125,000,000 Federal Home Loan Bank, 1.625% due 3/20/2013 valued at $126,724,875; $2,985,000 U.S. Treasury Bill due 6/27/2013 valued at $2,979,030 including accrued interest(g)		437,130,177

		Total Short-Term Investments (Identified Cost $438,027,324)		438,027,324

		Total Investments – 99.0% (Identified Cost $10,086,187,037)(a)		11,161,989,117
		Other assets less liabilities – 1.0%		113,201,661

		Net Assets – 100.0%	$	11,275,190,778

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

(†)

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

Investments in other open-end investment companies are valued at their net asset value each day.

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

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

(†††)

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

(a)	Federal Tax Information (Amounts exclude certain adjustments 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, 2012, the net unrealized appreciation on investments based on a cost of $10,129,023,349 for federal income tax purposes was as follows:


Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,134,134,442
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(101,168,674	)

Net unrealized appreciation	$	1,032,965,768

(b)	Variable rate security. Rate as of June 30, 2012 is disclosed.

(c)	Illiquid security. At June 30, 2012, the value of these securities amounted to $131,886,020 or 1.2% of net assets.

(d)	Fair valued security by the Fund’s investment adviser. At June 30, 2012, the value of these securities amounted to $1,889,250 or less than 0.1% of net assets.

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

(f)	Position is unsettled. Contract rate was not determined at June 30, 2012 and does not take effect until settlement date.

(g)

144A


ABS		Asset-Backed Securities
AGMC		Assured Guaranty Municipal Corp.
EMTN		Euro Medium Term Note
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GMTN		Global Medium Term Note
MBIA		Municipal Bond Investors Assurance Corp.
MTN		Medium Term Note
REITs		Real Estate Investment Trusts
REMIC		Real Estate Mortgage Investment Conduit
AUD		Australian Dollar
BRL		Brazilian Real
CAD		Canadian Dollar
EUR		Euro
GBP		British Pound
IDR		Indonesian Rupiah
ISK		Icelandic Krona
KRW		South Korean Won
MXN		Mexican Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
SGD		Singapore Dollar

Fair Value Measurements

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	69,429,775	$	5,483,153	$	74,912,928
Banking		—		1,221,171,331		35,897,890		1,257,069,221
Electric		—		299,246,581		1,889,250		301,135,831
Non-Captive Consumer		1,347,808		176,158,873		—		177,506,681


Restaurants		—		—		10,447,596		10,447,596
All Other Non-Convertible Bonds*		—		8,109,249,554		—		8,109,249,554

Total Non-Convertible Bonds		1,347,808		9,875,256,114		53,717,889		9,930,321,811

Convertible Bonds*		—		409,050,709		—		409,050,709
Municipals*		—		58,579,507		—		58,579,507

Total Bonds and Notes		1,347,808		10,342,886,330		53,717,889		10,397,952,027

Common Stocks*		226,921,500		—		—		226,921,500
Senior Loans*		—		99,088,266		—		99,088,266
Short-Term Investments		—		438,027,324		—		438,027,324

Total	$	228,269,308	$	10,880,001,920	$	53,717,889	$	11,161,989,117

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	5,230,461	$	—	$	—		$	252,692		$	—	$	—		$	—	$	—	$	5,483,153	$	252,692
Banking		—		—		—			555,965			35,341,925		—			—		—		35,897,890		555,965
Electric		—		—		—			(994,781	)		—		—			2,884,031		—		1,889,250		(994,781	)
Restaurants		—		16,762		—			(569,450	)		—		—			11,000,284		—		10,447,596		(569,450	)
Treasuries		538,615		14,570		(671,562	)		421,513			—		(303,136	)		—		—		—		—

Total	$	5,769,076	$	31,332	$	(671,562	)	$	(334,061	)	$	35,341,925	$	(303,136	)	$	13,884,315	$	—	$	53,717,889	$	(755,574	)

A debt security valued at $11,000,284 was transferred from Level 2 to Level 3 during the period ended June 30, 2012. At September 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies; at June 30, 2012, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security.

Debt securities valued at $2,884,031 were transferred from Level 2 to Level 3 during the period ended June 30, 2012. At September 30, 2011, these securities was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies; at June 30, 2012, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service either was unable to price the security or did not provide a reliable price for the security.

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

New Accounting Pronouncement

In December 2011, Accounting Standards Update (“ASU”) No. 2011-11, “Disclosures about Offsetting Assets and Liabilities,” was issued and is effective for interim and annual periods beginning after January 1, 2013. The ASU enhances disclosure requirements with respect to an entity’s rights of setoff and related arrangements associated with its financial and derivative instruments. Management is currently evaluating the impact the adoption of ASU 2011-11 may have on the Fund’s financial statement disclosures.

Industry Summary at June 30, 2012 (Unaudited)


Treasuries	21.1	%
Banking	11.2
Technology	5.0
Wirelines	4.5
Non-Captive Diversified	3.5
Pipelines	3.4
Commercial Mortgage-Backed Securities	3.1
Electric	2.7
Airlines	2.5
Local Authorities	2.4
Electronic Equipment, Instruments & Components	2.0
Other Investments, less than 2% each	33.7


Short-Term Investments	3.9

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2012 (Unaudited)


United States Dollar	68.1	%
Canadian Dollar	14.5
New Zealand Dollar	4.0
Euro	3.5
Australian Dollar	3.4
Norwegian Krone	2.9
Other, less than 2% each	2.6

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2012 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)
	Bonds and Notes – 99.7% of Net Assets

		ABS Car Loan – 0.9%
$	1,380,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016	$	1,405,022
	214,461	ARI Fleet Lease Trust, Series 2010-A, Class A, 1.692%, 8/15/2018, 144A(b)		214,721
	1,805,000	SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 6/15/2016, 144A		1,808,014
	2,000,000	World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015		2,007,319

				5,435,076

		ABS Credit Card – 0.6%
	985,000	American Express Credit Account Master, Series 2004-2, Class A, 0.412%, 12/15/2016(b)		986,620
	2,100,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		2,270,230

				3,256,850

		ABS Home Equity – 0.1%
	481,790	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		458,596
	341,641	Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 5.700%, 1/25/2028(b)		326,389

				784,985

		ABS Student Loan – 0.9%
	5,091,110	Montana Higher Education Student Assistance Corp., Series 2012-1, Class A1, 0.844%, 9/20/2022(b)		5,091,110

		Collateralized Mortgage Obligations – 15.6%
	288,156	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 0.980%, 5/15/2023(b)		292,306
	187,490	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.090%, 8/15/2023(b)		190,329
	1,417,328	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.642%, 11/15/2032(b)		1,418,848
	3,825,000	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		4,234,105
	42,022	Federal Home Loan Mortgage Corp., REMIC, Series 2901, Class UA, 5.000%, 1/15/2030		42,077
	6,280,000	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020		6,770,609
	6,206,556	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 5.133%, 6/15/2048(b)(e)		6,408,341
	7,466,191	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 5.052%, 12/15/2036(b)(e)		7,652,855
	211,302	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 1.030%, 9/25/2022(b)		214,777
	181,641	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.260%, 4/25/2024(b)		184,253
	9,238,806	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.811%, 8/25/2038(b)		9,342,165
	150,887	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 0.970%, 4/25/2023(b)		153,401


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

		Collateralized Mortgage Obligations – continued
$	1,681,938	FHLMC, 2.791%, 12/01/2034(b)	$	1,799,084
	2,528,569	FHLMC, 4.303%, 3/01/2038(b)		2,710,615
	3,272,992	FHLMC, 5.314%, 11/01/2038(b)		3,537,610
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,813,174
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,798,379
	3,535,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		3,726,208
	700,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		726,643
	2,590,000	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018		2,674,450
	7,910,000	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		8,068,018
	7,045,128	FNMA, 3.375%, 7/01/2037(b)		7,498,098
	2,154,174	FNMA, 3.656%, 9/01/2036(b)		2,268,500
	1,075,141	NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.599%, 12/07/2020(b)		1,078,990
	1,280,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		1,364,800
	1,851,455	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.696%, 10/07/2020(b)		1,855,214
	6,468,260	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.806%, 12/08/2020(b)		6,495,556

				92,319,405

		Commercial Mortgage-Backed Securities – 14.8%
	1,780,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.634%, 4/10/2049(b)		2,037,687
	375,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		427,735
	1,445,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		1,555,215
	360,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		409,617
	1,500,000	Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.700%, 12/10/2049(b)		1,731,846
	1,470,000	Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.073%, 12/10/2049(b)		1,715,084
	3,200,500	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		3,554,853
	2,625,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		2,826,668
	5,270,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		5,652,096
	3,000,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.201%, 2/15/2041(b)		3,300,633
	1,140,000	CW Capital Cobalt Ltd., Series 2007-C2, Class A3, 5.484%, 4/15/2047		1,247,846


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

		Commercial Mortgage-Backed Securities – continued
$	1,500,000	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 5.874%, 7/10/2038(b)	$	1,709,742
	7,778,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		8,619,206
	5,000,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		5,546,645
	1,140,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		1,295,047
	6,075,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.790%, 8/10/2045(b)		6,742,120
	295,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043		329,237
	2,785,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		3,142,995
	5,000,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		5,594,355
	2,000,000	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040		2,232,530
	4,000,000	LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.866%, 9/15/2045		4,584,948
	1,173,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		1,269,703
	5,364,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		5,840,527
	5,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049		5,489,685
	1,500,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.880%, 6/11/2049(b)		1,699,352
	4,410,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048		4,889,151
	3,775,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		4,073,629

				87,518,152

		Government Guaranteed – 0.4%
	2,340,000	US Central Federal Credit Union, (FDIC insured), 1.900%, 10/19/2012		2,351,791

		Government Owned - No Guarantee – 4.5%
	17,970,000	Federal National Mortgage Association, 3.625%, 2/12/2013		18,336,732
	8,265,000	Federal National Mortgage Association, 4.750%, 11/19/2012		8,409,571

				26,746,303

		Hybrid ARMs – 24.5%
	3,119,729	FHLMC, 2.366%, 4/01/2036(b)		3,306,754
	3,982,882	FHLMC, 2.370%, 3/01/2036(b)		4,224,302
	5,351,348	FHLMC, 2.374%, 7/01/2033(b)		5,551,220
	1,293,181	FHLMC, 2.375%, 2/01/2035(b)		1,372,626


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

		Hybrid ARMs – continued
$	7,923,805	FHLMC, 2.392%, 2/01/2036(b)	$	8,399,342
	2,690,524	FHLMC, 2.398%, 4/01/2035(b)		2,866,469
	3,651,449	FHLMC, 2.420%, 2/01/2036(b)		3,874,448
	7,861,491	FHLMC, 2.506%, 5/01/2037(b)		8,361,137
	5,176,905	FHLMC, 2.525%, 9/01/2035(b)		5,493,988
	4,534,160	FHLMC, 2.999%, 4/01/2037(b)		4,869,254
	4,576,620	FHLMC, 3.005%, 11/01/2036(b)		4,871,747
	1,447,350	FHLMC, 3.016%, 4/01/2037(b)		1,547,028
	2,542,727	FHLMC, 4.323%, 11/01/2038(b)		2,710,102
	842,496	FHLMC, 5.247%, 12/01/2037(b)		910,022
	1,225,942	FHLMC, 5.665%, 9/01/2038(b)		1,317,244
	2,678,306	FHLMC, 5.710%, 6/01/2037(b)		2,857,971
	431,023	FNMA, 2.256%, 2/01/2037(b)		455,455
	1,521,331	FNMA, 2.272%, 9/01/2034(b)		1,610,465
	4,109,962	FNMA, 2.277%, 7/01/2035(b)		4,366,914
	890,325	FNMA, 2.310%, 12/01/2034(b)		941,773
	2,443,009	FNMA, 2.310%, 1/01/2036(b)		2,594,195
	913,211	FNMA, 2.319%, 4/01/2033(b)		969,835
	3,326,767	FNMA, 2.331%, 4/01/2034(b)		3,531,767
	3,672,253	FNMA, 2.343%, 6/01/2036(b)		3,877,203
	5,202,627	FNMA, 2.347%, 8/01/2035(b)		5,421,118
	12,585,259	FNMA, 2.371%, 10/01/2034(b)		13,316,460
	4,861,593	FNMA, 2.429%, 10/01/2033(b)		5,140,030
	2,084,633	FNMA, 2.430%, 8/01/2034(b)		2,209,965
	3,179,780	FNMA, 2.524%, 6/01/2033(b)		3,335,737
	872,922	FNMA, 2.568%, 8/01/2033(b)		923,736
	2,344,064	FNMA, 2.667%, 5/01/2035(b)		2,503,677
	866,933	FNMA, 2.780%, 8/01/2036(b)		926,002


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

		Hybrid ARMs – continued
$	3,581,413	FNMA, 2.825%, 4/01/2037(b)	$	3,835,629
	2,238,197	FNMA, 2.898%, 2/01/2047(b)		2,393,566
	4,967,951	FNMA, 3.420%, 6/01/2035(b)		5,269,787
	6,101,317	FNMA, 5.032%, 6/01/2037(b)		6,448,349
	11,807,575	FNMA, 5.771%, 9/01/2037(b)		12,762,309

				145,367,626

		Mortgage Related – 22.0%
	12,527,654	FHLMC, 2.427%, 3/01/2037(b)		13,219,762
	1,451,224	FHLMC, 4.000%, 12/01/2024		1,534,536
	3,945,838	FHLMC, 4.500%, with various maturities from 2025 to 2034(c)		4,197,828
	1,240,739	FHLMC, 5.500%, 10/01/2023		1,353,891
	78,279	FHLMC, 6.000%, 11/01/2019		86,005
	2,964,906	FHLMC, 6.500%, with various maturities from 2014 to 2034(c)		3,329,461
	92,657	FHLMC, 7.000%, 2/01/2016		98,958
	3,309	FHLMC, 7.500%, with various maturities from 2012 to 2026(c)		3,618
	5,137	FHLMC, 8.000%, 9/01/2015		5,543
	3,035	FHLMC, 10.000%, 7/01/2019		3,608
	72,954	FHLMC, 11.500%, with various maturities from 2015 to 2020(c)		86,482
	9,035,672	FNMA, 2.428%, 4/01/2037(b)		9,586,388
	7,395,543	FNMA, 2.501%, 7/01/2035(b)		7,857,455
	21,697,931	FNMA, 3.000%, with various maturities from 2026 to 2027(c)		22,762,901
	2,927,240	FNMA, 4.000%, with various maturities in 2019(c)		3,138,639
	5,335,192	FNMA, 4.500%, 1/01/2025		5,722,338
	9,134,655	FNMA, 5.000%, with various maturities from 2037 to 2038(c)		9,940,039
	2,159,249	FNMA, 5.500%, with various maturities from 2018 to 2033(c)		2,371,886
	7,316,791	FNMA, 6.000%, with various maturities from 2017 to 2022(c)		8,045,518
	2,090,064	FNMA, 6.500%, with various maturities from 2017 to 2037(c)		2,369,423
	35,320	FNMA, 7.000%, 12/01/2022		38,971
	246,161	FNMA, 7.500%, with various maturities from 2015 to 2032(c)		296,977


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

		Mortgage Related – continued
$	22,044	FNMA, 8.000%, with various maturities from 2015 to 2016(c)	$	23,779
	6,128,742	GNMA, 2.068%, 2/20/2061(b)		6,389,214
	4,829,531	GNMA, 4.479%, 2/20/2062		5,314,179
	2,609,340	GNMA, 4.528%, 3/20/2062		2,909,876
	2,538,396	GNMA, 4.560%, 3/20/2062		2,830,078
	1,542,460	GNMA, 4.616%, 8/20/2061		1,717,751
	8,715,570	GNMA, 4.659%, 2/20/2062		9,755,834
	4,465,000	GNMA, 4.700%, 5/01/2062		5,008,474
	50,313	GNMA, 6.000%, 12/15/2031		57,377
	187,522	GNMA, 6.500%, 5/15/2031		218,336
	204,924	GNMA, 7.000%, 10/15/2028		245,383
	628	GNMA, 12.500%, 6/15/2014		632

				130,521,140

		Treasuries – 15.4%
	15,060,000	U.S. Treasury Note, 0.625%, 7/15/2014		15,145,887
	16,040,000	U.S. Treasury Note, 0.875%, 4/30/2017		16,161,551
	14,135,000	U.S. Treasury Note, 1.375%, 9/15/2012		14,170,889
	45,445,000	U.S. Treasury Note, 1.750%, 4/15/2013		45,989,977

				91,468,304

		Total Bonds and Notes (Identified Cost $578,017,147)		590,860,742

	Short-Term Investments – 1.1%
	6,248,498	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $6,248,498 on 7/02/2012 collateralized by $6,370,000 Federal Home Loan Bank, 0.170% due 2/13/2013 valued at $6,376,886 including accrued interest(d) (Identified Cost $6,248,498)		6,248,498

		Total Investments – 100.8% (Identified Cost $584,265,645)(a)		597,109,240
		Other assets less liabilities – (0.8)%		(4,531,421	)

		Net Assets – 100.0%	$	592,577,819

(†)

(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, 2012, the net unrealized appreciation on investments based on a cost of $586,159,998 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	$	13,352,663
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,403,421	)

Net unrealized appreciation	$	10,949,242

(b)	Variable rate security. Rate as of June 30, 2012 is disclosed.

(c)

The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation and Federal 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)

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

144A

ABS	Asset-Backed Securities

ARMs	Adjustable Rate Mortgages

FDIC	Federal Deposit Insurance Corporation

FHLMC

Federal Home Loan Mortgage Corp.

FNMA	Federal National Mortgage Association

GNMA	Government National Mortgage Association

REMIC

Real Estate Mortgage Investment Conduit

Fair Value Measurements

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
ABS Car Loan	$	—	$	3,627,062	$	1,808,014	**	$	5,435,076
Mortgage Related		—		125,512,666		5,008,474	**		130,521,140
All Other Bonds and Notes*		—		454,904,526		—			454,904,526

Total Bonds and Notes		—		584,044,254		6,816,488			590,860,742

Short-Term Investments		—		6,248,498		—			6,248,498

Total	$	—	$	590,292,752	$	6,816,488		$	597,109,240

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

**	Valued using broker-dealer bid quotations.

For the period ended June 30, 2012, there were no transfers between Levels 1, 2 and 3.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
ABS Car Loan	$	—	$	—	$	—	$	3,164		$	1,804,850	$	—	$	—	$	—	$	1,808,014	$	3,164
Mortgage Related		—		—		—		(5,893	)		5,014,367		—		—		—		5,008,474		(5,893	)

Total	$	—	$	—	$	—	$	(2,729	)	$	6,819,217	$	—	$	—	$	—	$	6,816,488	$	(2,729	)

New Accounting Pronouncement

In December 2011, Accounting Standards Update (“ASU”) No. 2011-11, “Disclosures about Offsetting Assets and Liabilities,” was issued and is effective for interim and annual periods beginning after January 1, 2013. The ASU enhances disclosure requirements with respect to an entity’s rights of setoff and related arrangements associated with its financial and derivative instruments. Management is currently evaluating the impact the adoption of ASU 2011-11 may have on the Fund’s financial statement disclosures.

Industry Summary at June 30, 2012 (Unaudited)


Hybrid ARMs	24.5	%
Mortgage Related	22.0
Collateralized Mortgage Obligations	15.6
Treasuries	15.4
Commercial Mortgage-Backed Securities	14.8
Government Owned—No Guarantee	4.5
Other Investments, less than 2% each	2.9
Short-Term Investments	1.1

Total Investments	100.8
Other assets less liabilities	(0.8	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2012 (Unaudited)

Loomis Sayles Mid Cap Growth Fund


Shares		Description	Value (†)
	Common Stocks – 95.3% of Net Assets

		Aerospace & Defense – 2.7%
	20,337	TransDigm Group, Inc.(b)	$	2,731,259

		Beverages – 2.3%
	33,595	Monster Beverage Corp.(b)		2,391,964

		Biotechnology – 10.6%
	37,290	Alexion Pharmaceuticals, Inc.(b)		3,702,897
	82,415	ARIAD Pharmaceuticals, Inc.(b)		1,418,362
	44,157	Incyte Corp. Ltd.(b)		1,002,364
	19,750	Medivation, Inc.(b)		1,805,150
	11,548	Onyx Pharmaceuticals, Inc.(b)		767,365
	9,748	Regeneron Pharmaceuticals, Inc.(b)		1,113,416
	20,040	Vertex Pharmaceuticals, Inc.(b)		1,120,637

				10,930,191

		Capital Markets – 2.7%
	14,922	Affiliated Managers Group, Inc.(b)		1,633,213
	18,508	T. Rowe Price Group, Inc.		1,165,264

				2,798,477

		Chemicals – 3.0%
	30,384	Eastman Chemical Co.		1,530,442
	30,088	FMC Corp.		1,609,106

				3,139,548

		Energy Equipment & Services – 1.6%
	34,371	Oceaneering International, Inc.		1,644,996

		Food & Staples Retailing – 2.8%
	29,878	Whole Foods Market, Inc.		2,847,971

		Food Products – 3.2%
	37,907	McCormick & Co., Inc.		2,299,060
	11,893	Mead Johnson Nutrition Co.		957,505

				3,256,565

		Health Care Equipment & Supplies – 3.0%
	10,126	Edwards Lifesciences Corp.(b)		1,046,016
	3,757	Intuitive Surgical, Inc.(b)		2,080,589

				3,126,605

		Health Care Technology – 5.8%
	21,878	athenahealth, Inc.(b)		1,732,081
	20,285	Cerner Corp.(b)		1,676,758
	25,897	SXC Health Solutions Corp.(b)		2,569,242

				5,978,081

		Hotels, Restaurants & Leisure – 4.4%
	3,865	Chipotle Mexican Grill, Inc.(b)		1,468,507
	45,433	Dunkin’ Brands Group, Inc.		1,560,169


Shares		Description	Value (†)
Common Stocks – continued

		Hotels, Restaurants & Leisure – continued
	10,437	Panera Bread Co., Class A(b)	$	1,455,335

				4,484,011

		Internet Software & Services – 4.6%
	12,075	Equinix, Inc.(b)		2,120,974
	24,424	LinkedIn Corp., Class A(b)		2,595,538

				4,716,512

		IT Services – 2.0%
	28,867	Teradata Corp.(b)		2,078,713

		Life Sciences Tools & Services – 1.9%
	12,330	Mettler-Toledo International, Inc.(b)		1,921,630

		Machinery – 1.5%
	33,304	Timken Co. (The)		1,524,990

		Multiline Retail – 2.8%
	53,298	Dollar Tree, Inc.(b)		2,867,432

		Oil, Gas & Consumable Fuels – 3.5%
	33,944	Approach Resources, Inc.(b)		866,930
	30,187	Cabot Oil & Gas Corp.		1,189,368
	18,106	Concho Resources, Inc.(b)		1,541,182

				3,597,480

		Pharmaceuticals – 2.8%
	17,606	Perrigo Co.		2,076,276
	27,062	Vivus, Inc.(b)		772,349

				2,848,625

		Professional Services – 2.6%
	53,468	Verisk Analytics, Inc., Class A(b)		2,633,834

		REITs - Apartments – 1.5%
	10,342	Essex Property Trust, Inc.		1,591,841

		Road & Rail – 2.2%
	33,240	Kansas City Southern		2,312,174

		Semiconductors & Semiconductor Equipment – 4.2%
	15,484	Mellanox Technologies Ltd.(b)		1,096,887
	72,564	NXP Semiconductors NV(b)		1,687,113
	57,619	Skyworks Solutions, Inc.(b)		1,577,032

				4,361,032

		Software – 5.8%
	47,912	Fortinet, Inc.(b)		1,112,517
	22,439	NetSuite, Inc.(b)		1,228,984
	44,445	SolarWinds, Inc.(b)		1,936,024
	33,766	Sourcefire, Inc.(b)		1,735,572

				6,013,097

		Specialty Retail – 10.4%
	3,935	AutoZone, Inc.(b)		1,444,814
	34,395	PetSmart, Inc.		2,345,051


Shares		Description	Value (†)
	Common Stocks – continued

		Specialty Retail – continued
	36,640	Ross Stores, Inc.	$	2,288,901
	24,833	Tractor Supply Co.		2,062,629
	26,894	Ulta Salon, Cosmetics & Fragrance, Inc.(b)		2,511,362

				10,652,757

		Textiles, Apparel & Luxury Goods – 4.1%
	18,023	Lululemon Athletica, Inc.(b)		1,074,712
	36,012	Michael Kors Holdings Ltd.(b)		1,506,742
	17,207	Under Armour, Inc., Class A(b)		1,625,717

				4,207,171

		Trading Companies & Distributors – 1.6%
	47,672	United Rentals, Inc.(b)		1,622,755

		Wireless Telecommunication Services – 1.7%
	30,145	SBA Communications Corp., Class A(b)		1,719,772

		Total Common Stocks (Identified Cost $84,994,809)		97,999,483

	Purchased Options – 0.1%

		Options on Securities – 0.1%
	62,600	iShares Nasdaq Biotechnology Index Fund Put, expiring September 22, 2012 at 115(c) (Identified Cost $286,880)		97,030


Principal Amount
	Short-Term Investments – 5.4%
$	5,545,442	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $5,545,442 on 7/02/2012 collateralized by $5,660,000 Federal Home Loan Bank Discount Note, due 8/29/2012 valued at $5,657,170, including accrued interest(d) (Identified Cost $5,545,442)		5,545,442

		Total Investments – 100.8% (Identified Cost $90,827,131)(a)		103,641,955
		Other assets less liabilities – (0.8)%		(818,189	)

		Net Assets – 100.0%	$	102,823,766

(†)

Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Investments in other open-end investment companies are valued at their net asset value each day.

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

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

At June 30, 2012, the net unrealized appreciation on investments based on a cost of $90,827,131 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	$	15,090,037
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,275,213	)

Net unrealized appreciation	$	12,814,824

At September 30, 2011, the Fund had a short-term capital loss carryforward of $44,592,514 of which $26,022,721 expires on September 30, 2017 and $18,569,793 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

The Fund may enter into option contracts. When the 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. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised or closed are deducted from the cost or added to the proceeds on the underlying instrument or closing purchase transaction to determine the realized gain or 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 are standardized contracts and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. For the period ended June 30, 2012, the Fund was not party to any over-the-counter options.

(d)

REITs

Real Estate Investment Trusts

Fair Value Measurements

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	97,999,483	$	—	$	—	$	97,999,483
Purchased Options		97,030		—		—		97,030
Short-Term Investments		—		5,545,442		—		5,545,442

Total	$	98,096,513	$	5,545,442	$	—	$	103,641,955

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

For the period ended June 30, 2012, there were no transfers between Levels 1, 2 and 3.

Derivatives

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 and may use written put options to offset the cost of option contracts used for hedging purposes. The Fund may also use purchased call options to gain exposure to an equity security without committing the capital required to buy it, while also limiting the downside risk associated with owning it. During the period ended June 30, 2012, the Fund engaged in purchased put and written call options for hedging purposes, written put options to offset the cost of options used for hedging purposes and in purchased call options to gain exposure to equity securities.

The following is a summary of derivative instruments for the Fund as of June 30, 2012:


Asset Derivatives	Equity Contracts
Purchased Options (at value)	$	97,030

New Accounting Pronouncement

Industry Summary at June 30, 2012 (Unaudited)


Biotechnology	10.6	%
Specialty Retail	10.4
Software	5.8
Health Care Technology	5.8
Internet Software & Services	4.6
Hotels, Restaurants & Leisure	4.4
Semiconductors & Semiconductor Equipment	4.2
Textiles, Apparel & Luxury Goods	4.1
Oil, Gas & Consumable Fuels	3.5
Food Products	3.2
Chemicals	3.0
Health Care Equipment & Supplies	3.0
Multiline Retail	2.8
Pharmaceuticals	2.8
Food & Staples Retailing	2.8
Capital Markets	2.7
Aerospace & Defense	2.7
Professional Services	2.6
Beverages	2.3
Road & Rail	2.2
IT Services	2.0
Other Investments, less than 2% each	9.9
Short-Term Investments	5.4

Total Investments	100.8
Other assets less liabilities	(0.8	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2012 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)
	Common Stocks – 94.2% of Net Assets

		Aerospace & Defense – 2.2%
	304,186	Hexcel Corp.(b)	$	7,844,957
	125,541	Triumph Group, Inc.		7,064,192

				14,909,149

		Air Freight & Logistics – 0.8%
	144,553	HUB Group, Inc., Class A(b)		5,232,819

		Auto Components – 0.8%
	463,302	Amerigon, Inc.(b)		5,323,340

		Biotechnology – 5.9%
	243,253	Aegerion Pharmaceuticals, Inc.(b)		3,609,875
	420,034	Alkermes PLC(b)		7,127,977
	168,737	Cepheid, Inc.(b)		7,550,981
	164,442	Cubist Pharmaceuticals, Inc.(b)		6,233,996
	473,863	Exact Sciences Corp.(b)		5,079,811
	101,569	Genomic Health, Inc.(b)		3,392,405
	555,951	Neurocrine Biosciences, Inc.(b)		4,397,572
	137,101	Seattle Genetics, Inc.(b)		3,480,994

				40,873,611

		Building Products – 0.7%
	412,503	NCI Building Systems, Inc.(b)		4,467,407

		Capital Markets – 2.9%
	270,085	Evercore Partners, Inc., Class A		6,317,288
	359,147	Financial Engines, Inc.(b)		7,703,703
	196,015	Stifel Financial Corp.(b)		6,056,864

				20,077,855

		Chemicals – 0.9%
	644,661	Flotek Industries, Inc.(b)		6,021,134

		Commercial Banks – 4.1%
	688,374	Boston Private Financial Holdings, Inc.		6,147,180
	118,502	Signature Bank(b)		7,225,067
	112,760	SVB Financial Group(b)		6,621,267
	197,477	Texas Capital Bancshares, Inc.(b)		7,976,096

				27,969,610

		Communications Equipment – 1.5%
	457,501	Ciena Corp.(b)		7,489,291
	103,352	Procera Networks, Inc.(b)		2,512,487

				10,001,778

		Construction & Engineering – 0.6%
	288,739	MasTec, Inc.(b)		4,342,635

		Distributors – 0.8%
	138,934	Pool Corp.		5,621,270


Shares		Description	Value (†)
	Common Stocks – continued

		Diversified Consumer Services – 1.1%
	372,274	Grand Canyon Education, Inc.(b)	$	7,795,417

		Diversified Financial Services – 0.5%
	141,345	MarketAxess Holdings, Inc.		3,765,431

		Electrical Equipment – 0.6%
	188,634	Thermon Group Holdings, Inc.(b)		3,906,610

		Electronic Equipment, Instruments & Components – 2.0%
	71,515	FARO Technologies, Inc.(b)		3,009,351
	128,943	IPG Photonics Corp.(b)		5,620,626
	168,877	Measurement Specialties, Inc.(b)		5,490,191

				14,120,168

		Energy Equipment & Services – 3.2%
	96,875	Dril-Quip, Inc.(b)		6,354,031
	245,401	Forum Energy Technologies, Inc.(b)		4,831,946
	107,241	Lufkin Industries, Inc.		5,825,331
	101,582	Oceaneering International, Inc.		4,861,715

				21,873,023

		Food & Staples Retailing – 1.0%
	128,191	Fresh Market, Inc. (The)(b)		6,874,883

		Health Care Equipment & Supplies – 9.1%
	243,790	Abaxis, Inc.(b)		9,020,230
	194,060	ABIOMED, Inc.(b)		4,428,449
	242,930	Align Technology, Inc.(b)		8,128,438
	228,352	Conceptus, Inc.(b)		4,525,937
	154,475	Cyberonics, Inc.(b)		6,942,106
	305,119	Endologix, Inc.(b)		4,711,037
	283,592	Insulet Corp.(b)		6,060,361
	299,854	NxStage Medical, Inc.(b)		5,025,553
	340,703	Tornier NV(b)		7,638,561
	227,861	Volcano Corp.(b)		6,528,218

				63,008,890

		Health Care Providers & Services – 3.1%
	71,066	Catalyst Health Solutions, Inc.(b)		6,640,407
	321,714	Hanger Orthopedic Group, Inc.(b)		8,248,747
	282,835	Team Health Holdings, Inc.(b)		6,813,495

				21,702,649

		Hotels, Restaurants & Leisure – 6.2%
	333,927	Bravo Brio Restaurant Group, Inc.(b)		5,953,918
	182,600	Life Time Fitness, Inc.(b)		8,492,726
	32,179	Panera Bread Co., Class A(b)		4,487,040
	72,493	Peet’s Coffee & Tea, Inc.(b)		4,352,480
	497,410	Shuffle Master, Inc.(b)		6,864,258
	404,143	Texas Roadhouse, Inc.		7,448,355
	109,136	Vail Resorts, Inc.		5,465,531

				43,064,308


Shares		Description	Value (†)
	Common Stocks – continued

		Insurance – 0.7%
	159,556	Amtrust Financial Services, Inc.	$	4,740,409

		Internet Software & Services – 6.0%
	378,637	Angie’s List, Inc.(b)		5,997,610
	245,462	Brightcove, Inc.(b)		3,743,295
	214,823	Cornerstone OnDemand, Inc.(b)		5,114,936
	109,863	CoStar Group, Inc.(b)		8,920,876
	398,974	DealerTrack Holdings, Inc.(b)		12,013,107
	105,495	Liquidity Services, Inc.(b)		5,400,289

				41,190,113

		IT Services – 2.3%
	116,973	Heartland Payment Systems, Inc.		3,518,548
	375,499	InterXion Holding NV(b)		6,800,287
	381,790	ServiceSource International, Inc.(b)		5,287,791

				15,606,626

		Life Sciences Tools & Services – 1.0%
	288,164	Luminex Corp.(b)		7,057,136

		Machinery – 4.4%
	137,013	Chart Industries, Inc.(b)		9,421,014
	47,247	Middleby Corp. (The)(b)		4,706,273
	186,253	RBC Bearings, Inc.(b)		8,809,767
	182,428	Robbins & Myers, Inc.		7,629,139

				30,566,193

		Oil, Gas & Consumable Fuels – 3.8%
	191,207	Approach Resources, Inc.(b)		4,883,427
	573,801	Halcon Resources Corp.(b)		5,416,681
	28,170	Midstates Petroleum Co., Inc.(b)		273,531
	200,056	Oasis Petroleum, Inc.(b)		4,837,354
	134,681	Rosetta Resources, Inc.(b)		4,934,712
	158,629	World Fuel Services Corp.		6,032,661

				26,378,366

		Pharmaceuticals – 2.9%
	160,852	Medicis Pharmaceutical Corp., Class A		5,493,096
	280,302	Optimer Pharmaceuticals, Inc.(b)		4,350,287
	107,349	Questcor Pharmaceuticals, Inc.(b)		5,715,261
	159,451	Vivus, Inc.(b)		4,550,731

				20,109,375

		Professional Services – 3.2%
	165,053	Advisory Board Co. (The)(b)		8,184,978
	204,570	Corporate Executive Board Co. (The)		8,362,822
	181,596	Huron Consulting Group, Inc.(b)		5,747,513

				22,295,313

		Road & Rail – 0.9%
	115,595	Genesee & Wyoming, Inc., Class A(b)		6,108,040

		Semiconductors & Semiconductor Equipment – 5.5%
	208,155	Cavium, Inc.(b)		5,828,340
	145,776	Cymer, Inc.(b)		8,593,495


Shares		Description	Value (†)
	Common Stocks – continued

		Semiconductors & Semiconductor Equipment – continued
	156,262	EZchip Semiconductor Ltd.(b)	$	6,256,730
	122,106	Hittite Microwave Corp.(b)		6,242,059
	168,794	Silicon Laboratories, Inc.(b)		6,397,293
	196,773	Volterra Semiconductor Corp.(b)		4,614,327

				37,932,244

		Software – 8.8%
	311,915	Allot Communications Ltd.(b)		8,689,952
	184,900	Ariba, Inc.(b)		8,276,124
	122,112	CommVault Systems, Inc.(b)		6,053,092
	166,769	Ellie Mae, Inc.(b)		3,001,842
	223,399	Guidewire Software, Inc.(b)		6,281,980
	155,109	Imperva, Inc.(b)		4,470,241
	257,195	QLIK Technologies, Inc.(b)		5,689,153
	159,792	Sourcefire, Inc.(b)		8,213,309
	114,321	Ultimate Software Group, Inc.(The)(b)		10,188,288

				60,863,981

		Specialty Retail – 4.7%
	313,759	Asbury Automotive Group, Inc.(b)		7,432,951
	180,805	Francesca’s Holdings Corp.(b)		4,883,543
	101,661	Hibbett Sports, Inc.(b)		5,866,856
	200,561	Lumber Liquidators Holdings, Inc.(b)		6,776,956
	131,522	Vitamin Shoppe, Inc.(b)		7,224,504

				32,184,810

		Textiles, Apparel & Luxury Goods – 1.1%
	165,846	Oxford Industries, Inc.		7,413,316

		Trading Companies & Distributors – 0.9%
	194,751	Titan Machinery, Inc.(b)		5,914,588

		Total Common Stocks (Identified Cost $592,992,503)		649,312,497


Principal Amount
	Short-Term Investments – 5.2%
$	35,966,350	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $35,966,350 on 7/02/2012 collateralized by $36,705,000 Federal Home Loan Bank Discount Note, due 8/29/2012 valued at $36,686,648 including accrued interest(c) (Identified Cost $35,966,350)		35,966,350

		Total Investments – 99.4% (Identified Cost $628,958,853)(a)		685,278,847
		Other assets less liabilities – 0.6%		4,365,212

		Net Assets – 100.0%	$	689,644,059

(†)

Investments in other open-end investment companies are valued at their net asset value each day.

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

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

At June 30, 2012, the net unrealized appreciation on investments based on a cost of $628,958,853 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	$	74,852,404
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(18,532,410	)

Net unrealized appreciation	$	56,319,994

At September 30, 2011, the Fund had a short-term capital loss carryforward of $26,874,285 of which $14,995,800 expires on September 30, 2017 and $11,878,485 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)	Non-income producing security.

(c)

Fair Value Measurements

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

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

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	649,312,497	$	—	$	—	$	649,312,497
Short-Term Investments		—		35,966,350		—		35,966,350

Total	$	649,312,497	$	35,966,350	$	—	$	685,278,847

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

For the period ended June 30, 2012, there were no transfers between Levels 1, 2 and 3.

New Accounting Pronouncement

In December 2011, Accounting Standards Update (“ASU”) No. 2011-11, “Disclosures about Offsetting Assets and Liabilities,” was issued and is effective for interim and annual periods beginning after January 1, 2013. The ASU enhances disclosure requirements with respect to an entity’s rights of setoff and related arrangements associated with its financial and derivative instruments. Management is currently evaluating the impact the adoption of ASU 2011-11 may have on the Fund’s financial statement disclosures.

Industry Summary at June 30, 2012 (Unaudited)


Health Care Equipment & Supplies	9.1	%
Software	8.8
Hotels, Restaurants & Leisure	6.2
Internet Software & Services	6.0
Biotechnology	5.9
Semiconductors & Semiconductor Equipment	5.5
Specialty Retail	4.7
Machinery	4.4
Commercial Banks	4.1
Oil, Gas & Consumable Fuels	3.8
Professional Services	3.2
Energy Equipment & Services	3.2
Health Care Providers & Services	3.1
Pharmaceuticals	2.9
Capital Markets	2.9
IT Services	2.3
Aerospace & Defense	2.2
Electronic Equipment, Instruments & Components	2.0
Other Investments, less than 2% each	13.9
Short-Term Investments	5.2

Total Investments	99.4
Other assets less liabilities	0.6

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2012 (Unaudited)

Loomis Sayles Strategic Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes – 73.4% of Net Assets

	Non-Convertible Bonds – 63.8%

		ABS Car Loan – 0.1%
$	2,403,750	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.384%, 8/20/2013, 144A(b)	$	2,401,653
	4,093,750	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		4,380,595

				6,782,248

		Aerospace & Defense – 0.3%
	620,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		622,972
	11,800,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		11,859,000
	2,425,000	Ducommun, Inc., 9.750%, 7/15/2018		2,552,313
	8,236,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		7,304,895
	5,436,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		4,108,050
	20,755,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		16,827,386

				43,274,616

		Airlines – 2.7%
	35,455,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		33,779,933
	40,980	Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015		40,931
	1,727,536	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		1,749,130
	1,777,301	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		1,777,301
	1,992,872	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		1,992,872
	3,401,572	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		3,367,557
	2,268,645	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		2,268,645
	1,273,967	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		1,401,364
	1,473,632	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		1,602,575
	2,962,404	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		3,010,691
	1,860,333	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,999,858
	1,063,631	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,082,245
	10,866,506	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		11,790,159
	18,741,526	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		19,122,729


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

	Non-Convertible Bonds – continued

		Airlines – continued
$	17,695,010	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018	$	20,260,786
	15,712,916	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021		17,716,313
	3,980,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021		4,019,800
	1,328,076	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		1,427,682
	6,793,880	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		6,870,651
	22,077,666	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		22,519,219
	1,976,133	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		2,015,655
	1,500,000	Qantas Airways Ltd., 5.125%, 6/20/2013, 144A		1,524,512
	29,995,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		30,783,089
	18,156,248	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		18,973,279
	8,245,091	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		9,410,122
	16,831,237	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		17,252,018
	40,155,931	US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A		41,159,829
	51,235,705	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		53,797,490
	21,811,204	US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014		22,356,484
	14,095,000	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		14,429,756
	7,280,000	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		7,462,000
	5,680,000	US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015		5,694,200

				382,658,875

		Automotive – 0.9%
	265,000	ArvinMeritor, Inc., 8.125%, 9/15/2015		279,244
	3,800,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		3,904,500
	19,011,000	Ford Motor Co., 6.375%, 2/01/2029		20,626,365
	1,220,000	Ford Motor Co., 6.625%, 2/15/2028		1,354,726
	74,829,000	Ford Motor Co., 6.625%, 10/01/2028		84,155,537
	2,365,000	Ford Motor Co., 7.125%, 11/15/2025		2,684,275
	1,345,000	Ford Motor Co., 7.500%, 8/01/2026		1,560,200
	6,000,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		5,992,500


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

	Non-Convertible Bonds – continued

		Automotive – continued
	$ 4,977,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028	$	4,715,707

				125,273,054

		Banking – 5.3%
	1,175,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		1,519,014
	20,565,000	Associates Corp. of North America, 6.950%, 11/01/2018		23,187,243
	1,675,000	Bank of America Corp., 5.420%, 3/15/2017		1,734,354
	900,000	Bank of America Corp., 5.490%, 3/15/2019		916,558
	265,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		273,402
	1,000,000	Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD)		1,043,807
	1,500,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%, 12/29/2049		1,562,520
	8,020,000	Bank of America NA, 5.300%, 3/15/2017		8,349,863
	1,130,000	Barclays Bank PLC, (fixed rate to 12/15/2017, variable rate thereafter), 6.000%, 6/29/2049, (GBP)		1,061,850
	39,890,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		34,917,289
	7,320,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR)		4,891,104
	57,792,000,000	Barclays Financial LLC, EMTN, 3.500%, 11/29/2016, (KRW)		49,789,876
	3,336,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A		2,868,960
	4,000,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		3,245,575
	985,000	Citigroup, Inc., 5.850%, 12/11/2034		1,057,314
	24,610,000	Citigroup, Inc., 5.875%, 2/22/2033		23,803,309
	8,999,000	Citigroup, Inc., 6.000%, 10/31/2033		9,012,067
	6,060,000	Citigroup, Inc., 6.125%, 8/25/2036		5,960,477
	22,091,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		17,657,989
	3,350,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		3,592,910
	11,490,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.375%, 1/19/2017		11,825,359
	9,275,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.875%, 2/08/2022		9,434,836
	400,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		390,127
	34,060,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		33,380,605
	6,120,000	HBOS PLC, 6.000%, 11/01/2033, 144A		4,790,369


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

	Non-Convertible Bonds – continued

		Banking – continued
	$ 50,604,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A	$	47,742,546
	9,090,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		8,090,100
	260,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		26,912,111
	227,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		25,038,275
	7,300,000	Lloyds Banking Group PLC, (fixed rate to10/29/2015, variable rate thereafter), 5.920%, 9/29/2049, 144A		4,380,000
	27,555,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		27,140,352
	3,010,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		3,097,675
	1,900,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		1,964,389
	6,700,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		6,313,162
	51,500,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		26,410,256
	3,450,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		4,007,578
	5,410,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		6,053,444
	800,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		762,049
	1,235,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		1,343,371
	2,000,000	Morgan Stanley, 0.916%, 10/15/2015(b)		1,781,696
	13,400,000	Morgan Stanley, 5.500%, 7/24/2020		13,110,104
	3,300,000	Morgan Stanley, 5.750%, 1/25/2021		3,253,939
	100,265,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		106,781,137
	950,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		1,526,849
	1,000,000	Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR)		1,265,727
	79,700,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		84,720,813
	10,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		9,852,210
	6,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		6,532,020
	7,900,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		8,259,987
	12,100,000	Morgan Stanley, Series F, MTN, 0.916%, 10/18/2016(b)		10,545,489
	5,210,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		5,351,509
	4,100,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		6,545,624


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

	Non-Convertible Bonds – continued

		Banking – continued
	2,850,000	RBS Capital Trust A, 2.753%, 12/29/2049, (EUR)(b)	$	1,893,503
	1,905,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR)		1,229,496
	3,185,000	RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049		1,863,225
	4,050,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049		2,652,750
	2,085,000	RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, 9/29/2049		1,230,150
	2,705,000	Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR)		1,841,668
	1,990,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049		1,323,350
	850,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		920,934
	7,750,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		9,055,943
	2,150,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate 9/16/2016, variable rate therafter), 4.625%, 9/22/2021, (EUR)		1,960,081
	700,000	Santander Financial Issuances Ltd., 7.250%, 11/01/2015		681,787
	1,300,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		1,490,587
	1,800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		1,661,814
	1,500,000	Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A		1,297,803
	4,140,000	SG Capital Trust III, (fixed rate to 11/29/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR)		4,013,202
	8,750,000	Societe Generale S.A., (fixed rate to 5/22/2013, variable rate thereafter), 7.756%, 5/29/2049, (EUR)		8,581,667

				746,747,149

		Brokerage – 0.6%
	2,850,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		2,874,505
	13,425,000	Jefferies Group, Inc., 5.125%, 4/13/2018		13,022,250
	19,030,000	Jefferies Group, Inc., 6.250%, 1/15/2036		17,127,000
	15,440,000	Jefferies Group, Inc., 6.450%, 6/08/2027		14,668,000
	39,040,000	Jefferies Group, Inc., 6.875%, 4/15/2021		39,258,897
	2,995,000	Jefferies Group, Inc., 8.500%, 7/15/2019		3,249,575

				90,200,227

		Building Materials – 0.8%
	6,995,000	Masco Corp., 6.500%, 8/15/2032		6,724,007


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

	Non-Convertible Bonds – continued

		Building Materials – continued
	$ 5,510,000	Masco Corp., 7.125%, 3/15/2020	$	6,079,513
	2,630,000	Masco Corp., 7.750%, 8/01/2029		2,755,535
	35,980,000	Owens Corning, Inc., 7.000%, 12/01/2036		38,237,565
	46,412,000	USG Corp., 6.300%, 11/15/2016		44,439,490
	14,155,000	USG Corp., 9.750%, 1/15/2018		14,862,750

				113,098,860

		Chemicals – 0.4%
	20,070,000	Hercules, Inc., 6.500%, 6/30/2029		16,457,400
	5,200,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		5,304,000
	3,060,000	Methanex Corp., 5.250%, 3/01/2022		3,174,781
	23,584,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		18,395,520
	8,020,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		7,057,600
	8,757,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		7,443,450

				57,832,751

		Collateralized Mortgage Obligations – 0.1%
	4,993,951	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 6.403%, 4/25/2037(b)		3,452,942
	4,181,717	Banc of America Funding Corp., Series 2007-8, Class 4A1, 6.000%, 8/25/2037		3,576,121
	2,891,321	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.863%, 4/25/2035(b)		2,608,833
	6,105,484	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.390%, 7/25/2047(b)		3,712,738
	4,988,380	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.685%, 4/25/2035(b)		4,604,769

				17,955,403

		Commercial Mortgage-Backed Securities – 0.1%
	7,940,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class AM, 5.869%, 9/15/2040		6,738,352

		Construction Machinery – 0.2%
	1,425,000	Joy Global, Inc., 6.625%, 11/15/2036		1,537,847
	10,790,000	Terex Corp., 8.000%, 11/15/2017		11,194,625
	525,000	United Rentals North America, Inc., 8.375%, 9/15/2020		552,563
	13,630,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		14,277,425

				27,562,460


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

	Non-Convertible Bonds – continued

		Consumer Cyclical Services – 0.1%
$	670,000	ServiceMaster Co. (The), 7.100%, 3/01/2018	$	624,775
	5,500,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		4,565,000
	9,453,000	Western Union Co. (The), 6.200%, 11/17/2036		10,061,527
	1,048,000	Western Union Co. (The), 6.200%, 6/21/2040		1,139,892

				16,391,194

		Diversified Manufacturing – 0.3%
	6,100,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		6,313,500
	5,310,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		4,141,800
	16,040,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		27,625,382

				38,080,682

		Electric – 2.9%
	7,721,234	AES Ironwood LLC, 8.857%, 11/30/2025		8,898,722
	885,668	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		938,808
	49,210,138	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		55,318,100
	66,044,844	Bruce Mansfield Unit, 6.850%, 6/01/2034		69,144,989
	2,754,970	CE Generation LLC, 7.416%, 12/15/2018		2,758,413
	11,275,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018(d)		7,554,250
	10,185,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026(d)		6,823,950
	8,955,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019(d)		5,999,850
	95,200,000	Edison Mission Energy, 7.625%, 5/15/2027		51,884,000
	41,900,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		33,374,062
	15,100,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		13,135,777
	2,800,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		3,088,404
	500,000	EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		548,920
	100,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		117,313
	250,000	Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013		265,610
	4,070,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		5,011,521
	1,600,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		1,256,093


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

	Non-Convertible Bonds – continued

		Electric – continued
$	5,940,000	Energy Future Holdings Corp., 10.000%, 1/15/2020	$	6,340,950
	555,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		649,828
	31,035,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(d)		4,965,600
	25,230,000	RRI Energy, Inc., 7.875%, 6/15/2017		23,463,900
	16,670,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		11,377,275
	50,270,000	TXU Corp., Series P, 5.550%, 11/15/2014		36,068,725
	101,735,000	TXU Corp., Series Q, 6.500%, 11/15/2024		48,578,463
	6,675,000	TXU Corp., Series R, 6.550%, 11/15/2034		3,053,813
	7,300,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)(e)		5,767,000
	10,935,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)(e)		7,107,750
	4,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(c)(e)		960,000

				414,452,086

		Financial Other – 0.3%
	19,005,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		19,064,486
	20,000,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		26,631,780

				45,696,266

		Food & Beverage – 0.0%
	4,370,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		4,637,969

		Gaming – 0.3%
	810,000	MGM Resorts International, 6.625%, 7/15/2015		834,300
	865,000	MGM Resorts International, 6.875%, 4/01/2016		869,325
	710,000	MGM Resorts International, 7.500%, 6/01/2016		734,850
	1,770,000	MGM Resorts International, 7.625%, 1/15/2017		1,827,525
	37,005,000	MGM Resorts International, 8.625%, 2/01/2019, 144A		39,595,350

				43,861,350

		Government Guaranteed – 0.6%
	11,038,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		11,221,097
	72,695,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		66,491,442

				77,712,539


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

	Non-Convertible Bonds – continued

		Government Owned - No Guarantee – 0.6%
$	19,500,000	DP World Ltd., 6.850%, 7/02/2037, 144A	$	19,158,750
	70,300,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		7,375,419
	499,300,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		53,611,291
	8,935,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027		5,025,937

				85,171,397

		Government Sponsored – 0.1%
	10,807,000	Eksportfinans ASA, 2.000%, 9/15/2015		9,671,682
	9,005,000	Eksportfinans ASA, 2.375%, 5/25/2016		8,004,283
	1,000,000	Eksportfinans ASA, EMTN, 2.250%, 2/11/2021, (CHF)		811,252

				18,487,217

		Healthcare – 1.5%
	9,960,000	HCA, Inc., 5.875%, 3/15/2022		10,408,200
	14,620,000	HCA, Inc., 7.050%, 12/01/2027		13,158,000
	11,104,000	HCA, Inc., 7.190%, 11/15/2015		11,714,720
	20,447,000	HCA, Inc., 7.500%, 12/15/2023		19,654,679
	24,215,000	HCA, Inc., 7.500%, 11/06/2033		22,701,563
	46,148,000	HCA, Inc., 7.690%, 6/15/2025		44,417,450
	32,745,000	HCA, Inc., 8.360%, 4/15/2024		33,236,175
	15,815,000	HCA, Inc., MTN, 7.580%, 9/15/2025		15,103,325
	9,492,000	HCA, Inc., MTN, 7.750%, 7/15/2036		8,922,480
	32,559,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		27,593,752

				206,910,344

		Home Construction – 0.7%
	11,265,000	Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		11,433,975
	13,360,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A		9,318,600
	16,075,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		10,529,125
	6,290,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		4,119,950
	1,960,000	KB Home, 5.875%, 1/15/2015		1,940,400
	1,364,000	KB Home, 6.250%, 6/15/2015		1,350,360


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

	Non-Convertible Bonds – continued

		Home Construction – continued
$	11,315,000	KB Home, 7.250%, 6/15/2018	$	11,258,425
	47,260,000	Pulte Group, Inc., 6.000%, 2/15/2035		37,808,000
	13,190,000	Pulte Group, Inc., 6.375%, 5/15/2033		10,881,750

				98,640,585

		Independent Energy – 0.1%
	1,150,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		1,397,111
	1,375,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		1,361,250
	1,040,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,024,400
	635,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		539,750
	12,635,000	QEP Resources, Inc., 6.875%, 3/01/2021		14,024,850

				18,347,361

		Industrial Other – 0.1%
	10,000,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,078,050

		Life Insurance – 1.2%
	34,562,000	American International Group, Inc., 6.250%, 3/15/2087		31,969,850
	27,655,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		30,005,675
	19,625,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		21,695,889
	2,855,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		2,861,422
	23,200,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A		18,096,000
	1,000,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)		1,064,983
	1,350,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		1,361,733
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		15,461,325
	1,475,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		1,806,875
	15,930,000	MetLife, Inc., 6.400%, 12/15/2066		15,615,797
	8,145,000	MetLife, Inc., 10.750%, 8/01/2069		11,382,637
	8,920,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		9,151,331
	3,910,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		4,315,651

				164,789,168


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

	Non-Convertible Bonds – continued

			Local Authorities – 1.4%
	3,905,000		Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)	$	3,367,973
	82,840,000		New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		94,675,376
	66,305,000		New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		74,629,228
	26,730,000		Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		28,888,010

					201,560,587

			Media Cable – 0.2%
	25,270,000		Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		27,415,009

			Media Non-Cable – 0.6%
	2,660,000		Clear Channel Communications, Inc., 5.500%, 9/15/2014		2,274,300
	1,405,000		Clear Channel Communications, Inc., 5.750%, 1/15/2013		1,392,706
	64,250,000		Clear Channel Communications, Inc., 9.000%, 3/01/2021		55,897,500
	28,455,000		R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		27,885,900

					87,450,406

			Metals & Mining – 0.5%
	3,949,000		Alcoa, Inc., 5.870%, 2/23/2022		4,062,783
	1,405,000		Alcoa, Inc., 5.950%, 2/01/2037		1,354,563
	4,330,000		Alcoa, Inc., 6.750%, 1/15/2028		4,588,739
	4,485,000		ArcelorMittal, 6.750%, 3/01/2041		4,186,259
	18,565,000		Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A		15,733,838
	16,135,000		Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		15,623,263
	7,000,000		United States Steel Corp., 6.050%, 6/01/2017		6,807,500
	6,779,000		United States Steel Corp., 6.650%, 6/01/2037		5,287,620
	16,435,000		United States Steel Corp., 7.000%, 2/01/2018		16,229,562

					73,874,127

			Non-Captive Consumer – 4.1%
	63,088,000		Residential Capital LLC, 9.625%, 5/15/2015(d)		60,879,920
	109,950	(††)	SLM Corp., 6.000%, 12/15/2043		2,373,912
	20,970,000		SLM Corp., MTN, 5.050%, 11/14/2014		21,598,135
	17,600,000		SLM Corp., MTN, 7.250%, 1/25/2022		18,612,000


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

	Non-Convertible Bonds – continued

		Non-Captive Consumer – continued
$	2,160,000	SLM Corp., MTN, 8.000%, 3/25/2020	$	2,365,200
	3,750,000	SLM Corp., Series A, MTN, 0.766%, 1/27/2014(b)		3,582,202
	41,770,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		42,153,908
	14,465,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		13,777,884
	48,100,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		40,644,500
	95,060,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		106,467,200
	26,150,000	Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		31,616,865
	10,120,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		8,070,700
	6,900,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		6,839,625
	14,232,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		11,848,140
	14,430,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		13,852,800
	2,900,000	Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		2,889,125
	800,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		632,000
	248,290,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		198,165,215

				586,369,331

		Non-Captive Diversified – 4.5%
	7,855,000	Aircastle Ltd., 7.625%, 4/15/2020		7,972,825
	32,711,000	Ally Financial, Inc., 8.000%, 12/31/2018		36,227,432
	29,332,000	Ally Financial, Inc., 8.000%, 11/01/2031		34,391,770
	25,320,000	General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)		21,143,477
	79,035,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		67,980,638
	58,490,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		50,224,177
	15,305,000	General Electric Capital Corp., Series A, MTN, 0.767%, 5/13/2024(b)		12,735,765
	245,797,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		207,708,900
	1,710,000	International Lease Finance Corp., 5.875%, 4/01/2019		1,711,657
	2,950,000	International Lease Finance Corp., 6.250%, 5/15/2019		3,005,313
	20,610,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		22,722,525


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

	Non-Convertible Bonds – continued

		Non-Captive Diversified – continued
$	10,245,000	International Lease Finance Corp., 8.250%, 12/15/2020	$	11,732,297
	24,750,000	International Lease Finance Corp., 8.625%, 9/15/2015		27,348,750
	2,620,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		2,682,225
	2,547,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		2,610,675
	23,175,000	iStar Financial, Inc., 5.850%, 3/15/2017		20,451,938
	20,478,000	iStar Financial, Inc., 5.875%, 3/15/2016		18,481,395
	8,300,000	iStar Financial, Inc., 6.050%, 4/15/2015		7,739,750
	35,130,000	iStar Financial, Inc., 8.625%, 6/01/2013		35,130,000
	2,920,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		2,752,100
	44,610,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		43,104,412

				637,858,021

		Oil Field Services – 0.6%
	60,660,000	Nabors Industries, Inc., 9.250%, 1/15/2019		78,755,970
	7,275,000	Rowan Cos., Inc., 7.875%, 8/01/2019		8,782,118

				87,538,088

		Packaging – 0.1%
	9,261,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		10,545,964

		Paper – 1.0%
	14,715,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		18,047,138
	12,410,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		15,812,152
	47,875,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		62,192,785
	1,003,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		1,414,020
	14,520,000	Westvaco Corp., 7.950%, 2/15/2031		16,589,521
	25,210,000	Westvaco Corp., 8.200%, 1/15/2030		29,928,379
	2,840,000	Weyerhaeuser Co., 6.950%, 10/01/2027		3,074,030

				147,058,025

		Pipelines – 1.6%
	750,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		841,782
	9,115,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		9,683,576


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

	Non-Convertible Bonds – continued

		Pipelines – continued
$	13,175,000	Enterprise Products Operating LLC, 4.050%, 2/15/2022	$	13,971,640
	21,200,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		23,337,638
	41,557,104	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		44,455,296
	81,710,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		81,710,000
	3,870,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		3,695,850
	40,000,000	NiSource Finance Corp., 6.400%, 3/15/2018		46,723,920
	3,065,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		2,635,900
	4,168,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		2,896,760

				229,952,362

		Property & Casualty Insurance – 0.4%
	14,855,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		16,245,874
	3,405,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		3,950,035
	6,075,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		7,106,438
	11,865,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		6,407,100
	2,275,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		2,221,610
	11,200,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		11,853,990
	3,000,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		2,877,210
	1,425,000	XL Group PLC, 6.375%, 11/15/2024		1,588,586

				52,250,843

		Property Trust – 0.1%
	11,015,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		12,996,301

		Railroads – 0.0%
	1,153,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		945,460

		Retailers – 0.9%
	2,500,000	Dillard’s, Inc., 6.625%, 1/15/2018		2,603,125
	3,325,000	Dillard’s, Inc., 7.000%, 12/01/2028		3,200,313
	4,187,000	Dillard’s, Inc., 7.130%, 8/01/2018		4,464,389
	1,500,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,501,875


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

	Non-Convertible Bonds – continued

		Retailers – continued
$	425,000	Dillard’s, Inc., 7.875%, 1/01/2023	$	442,531
	10,270,000	Foot Locker, Inc., 8.500%, 1/15/2022		11,130,112
	3,685,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		3,339,531
	37,064,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		27,983,320
	635,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		589,756
	160,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		134,000
	3,985,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		2,904,069
	15,907,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		18,793,182
	12,275,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		13,495,589
	2,365,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,796,705
	6,365,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		6,727,137
	37,646,000	Toys R Us, Inc., 7.375%, 10/15/2018		30,587,375

				130,693,009

		Sovereigns – 1.8%
	47,935,000	Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF)		12,189,929
	64,132,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		8,746,758
	10,000,000,000	Indonesia Treasury Bond, Series FR47, 10.000%, 2/15/2028, (IDR)		1,379,408
	272,460,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		28,347,879
	166,250,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		90,222,803
	56,700,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		35,075,803
	49,120,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)		29,744,685
	18,400,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		18,468,448
	1,899,174,400	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		9,258,336
	3,178,700,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		16,108,256

				249,542,305

		Supermarkets – 0.7%
	8,336,000	American Stores Co., 7.900%, 5/01/2017		8,096,340
	73,686,000	New Albertson’s, Inc., 7.450%, 8/01/2029		54,159,210


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

	Non-Convertible Bonds – continued

		Supermarkets – continued
$	20,250,000	New Albertson’s, Inc., 7.750%, 6/15/2026	$	15,997,500
	10,950,000	New Albertson’s, Inc., 8.000%, 5/01/2031		8,486,250
	3,425,000	New Albertson’s, Inc., 8.700%, 5/01/2030		2,791,375
	13,707,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		9,457,830

				98,988,505

		Supranational – 1.7%
	108,310,000	European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL)		56,828,642
	20,250,000	European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL)		10,123,992
	16,375,000	European Investment Bank, 11.250%, 2/14/2013, (BRL)		8,368,086
	460,500,000,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		46,170,120
	60,665,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		65,451,750
	244,840,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		24,521,798
	24,450,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		21,748,614
	8,300,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		6,617,984

				239,830,986

		Technology – 0.9%
	21,155,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		25,403,728
	832,000	Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR)		1,068,689
	31,237,000	Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR)		38,542,139
	71,704,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		48,758,720
	5,845,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,945,375
	95,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		97,612
	475,000	Motorola Solutions, Inc., 6.000%, 11/15/2017		544,459
	2,562,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		2,714,646
	4,345,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		4,714,325
	240,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		290,914

				126,080,607


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

	Non-Convertible Bonds – continued

		Textile – 0.0%
$	2,595,000	Jones Group, Inc. (The), 6.125%, 11/15/2034	$	1,920,300
	3,450,000	Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		3,312,000

				5,232,300

		Tobacco – 0.1%
	6,175,000	Reynolds American, Inc., 7.250%, 6/15/2037		7,462,222

		Transportation Services – 0.3%
	10,503,000	APL Ltd., 8.000%, 1/15/2024(c)		7,194,555
	7,929,296	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		7,532,831
	6,862,758	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(f)(g)		5,490,206
	6,642,945	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020		6,642,945
	23,948	Atlas Air Pass Through Trust, Series 1999-1, Class A-2, 6.880%, 4/02/2014		23,948
	6,405,499	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		5,508,729
	4,744,556	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(f)		3,605,863
	2,895,838	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017		2,808,963
	3,970,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		4,785,593

				43,593,633

		Treasuries – 17.6%
	320,680,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		315,555,294
	153,560,000	Canadian Government, 2.500%, 6/01/2015, (CAD)		156,825,469
	89,045,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		92,786,622
	80,216,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		80,588,676
	171,980,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		194,193,309
	25,445,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		29,054,686
	118,375,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		137,100,134
	80,820,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		90,973,920
	24,400,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		28,113,842
	121,560,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		139,971,940
	1,440,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		1,559,030


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

	Non-Convertible Bonds – continued

			Treasuries – continued
	1,440,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)	$	1,660,216
	1,435,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		1,708,354
	18,686,981	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		169,371,314
	22,670,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		20,917,675
	127,612,000		New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		105,376,937
	457,420,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		86,621,944
	221,050,000		Norwegian Government, 5.000%, 5/15/2015, (NOK)		40,886,809
	1,520,540,000		Norwegian Government, 6.500%, 5/15/2013, (NOK)		266,423,280
	21,120,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		17,158,954
	1,995,000		Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		1,237,089
	6,225,000		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		5,470,455
	14,475,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		11,752,894
	5,226,139,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		26,408,573
	65,300,000		Singapore Government Bond, 1.375%, 10/01/2014, (SGD)		52,937,358
	419,985,000		U.S. Treasury Note, 0.250%, 6/30/2014		419,460,019

					2,494,114,793

			Wireless – 0.7%
	36,590,000		Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		36,635,737
	31,041,000		Sprint Capital Corp., 6.875%, 11/15/2028		24,988,005
	29,252,000		Sprint Capital Corp., 6.900%, 5/01/2019		27,496,880
	6,260,000		Sprint Capital Corp., 8.750%, 3/15/2032		5,696,600
	11,309,000		Sprint Nextel Corp., 6.000%, 12/01/2016		10,828,368

					105,645,590

			Wirelines – 3.7%
	5,650,000		Axtel SAB de CV, 9.000%, 9/22/2019, 144A		3,729,000
	4,370,000		Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,163,777
	21,480,000		Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		24,970,263
	2,715,000		BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		3,295,839


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

	Non-Convertible Bonds – continued

		Wirelines – continued
$	72,320,000	CenturyLink, Inc., 6.450%, 6/15/2021	$	75,254,456
	765,000	CenturyLink, Inc., 7.650%, 3/15/2042		742,479
	7,410,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		7,283,763
	2,965,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,863,333
	350,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		287,875
	155,000	Cincinnati Bell, Inc., 7.000%, 2/15/2015		156,937
	5,330,000	Embarq Corp., 7.995%, 6/01/2036		5,567,691
	38,336,000	Frontier Communications Corp., 7.875%, 1/15/2027		33,735,680
	1,120,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		1,940,251
	1,800,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		2,416,449
	5,965,000	Level 3 Financing, Inc., 8.625%, 7/15/2020		6,263,250
	50,080,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		52,083,200
	2,555,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		2,759,400
	500,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		380,915
	16,550,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		14,846,791
	29,750,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		30,694,905
	750,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		886,387
	800,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		870,765
	16,335,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		17,361,459
	42,460,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		40,936,578
	12,463,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		12,885,882
	32,395,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		31,899,454
	31,060,000	Qwest Corp., 6.875%, 9/15/2033		30,904,700
	3,075,000	Qwest Corp., 7.200%, 11/10/2026		3,105,750
	3,999,000	Qwest Corp., 7.250%, 9/15/2025		4,388,303
	2,288,000	Qwest Corp., 7.500%, 6/15/2023		2,300,584
	26,590,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		20,407,825


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

	Non-Convertible Bonds – continued

		Wirelines – continued
$	20,965,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033	$	16,457,525
	4,350,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		3,803,148
	31,690,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		34,151,492
	18,600,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		20,409,577
	5,600,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		5,795,737
	3,346,000	Verizon New England, Inc., 7.875%, 11/15/2029		4,096,123
	5,215,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		5,697,424

				530,794,967

		Total Non-Convertible Bonds (Identified Cost $8,670,385,962)		9,050,173,644

	Convertible Bonds – 8.5%
		Airlines – 0.0%
	1,255,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		1,205,616

		Automotive – 1.3%
	4,240,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h)		3,105,800
	125,580,000	Ford Motor Co., 4.250%, 11/15/2016		174,556,200
	8,460,000	Navistar International Corp., 3.000%, 10/15/2014		7,888,950

				185,550,950

		Brokerage – 0.0%
	5,025,000	Jefferies Group, Inc., 3.875%, 11/01/2029		4,541,344

		Diversified Manufacturing – 0.3%
	30,570,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		29,194,350
	16,727,000	Trinity Industries, Inc., 3.875%, 6/01/2036		16,497,004

				45,691,354

		Electric – 0.0%
	1,800,000	CMS Energy Corp., 5.500%, 6/15/2029		3,062,250

		Healthcare – 0.4%
	19,215,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(h)		18,782,662
	1,300,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)		1,204,125
	1,810,000	Illumina, Inc., 0.250%, 3/15/2016, 144A		1,615,425


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

	Convertible Bonds – continued

		Healthcare – continued
$	190,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025	$	191,188
	2,380,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,543,625
	3,780,000	Omnicare, Inc., 3.250%, 12/15/2035		3,595,725
	20,495,000	Omnicare, Inc., 3.750%, 12/15/2025		26,925,306

				54,858,056

		Home Construction – 0.6%
	52,005,000	Lennar Corp., 3.250%, 11/15/2021, 144A		78,332,531

		Independent Energy – 0.3%
	20,440,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		16,428,650
	24,655,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		21,110,844
	11,536,000	Chesapeake Energy Corp., 2.750%, 11/15/2035		10,541,020

				48,080,514

		Life Insurance – 0.5%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		65,623,500

		Media Non-Cable – 0.0%
	5,873,111	Liberty Media LLC, 3.500%, 1/15/2031		2,569,486

		Metals & Mining – 0.1%
	1,000,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,045,000
	11,270,000	United States Steel Corp., 4.000%, 5/15/2014		11,410,875

				12,455,875

		Pharmaceuticals – 1.0%
	36,950,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		36,950,000
	85,880,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		102,519,250
	3,065,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		4,003,656

				143,472,906

		REITs - Warehouse/Industrials – 0.2%
	19,445,000	ProLogis LP, 3.250%, 3/15/2015		21,365,194

		Technology – 3.0%
	4,320,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		4,260,600


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

	Convertible Bonds – continued

		Technology – continued
$	49,215,000	Ciena Corp., 0.875%, 6/15/2017	$	42,078,825
	7,185,000	Ciena Corp., 3.750%, 10/15/2018, 144A		7,993,312
	6,075,000	Ciena Corp., 4.000%, 3/15/2015, 144A		6,788,813
	11,463,000	Intel Corp., 2.950%, 12/15/2035		12,967,519
	220,000,000	Intel Corp., 3.250%, 8/01/2039		296,175,000
	1,055,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		1,040,494
	52,965,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		47,337,469
	8,550,000	Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A		7,876,687

				426,518,719

		Wirelines – 0.8%
	6,000,000	Level 3 Communications, Inc., 6.500%, 10/01/2016		8,377,500
	54,075,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		64,619,625
	32,895,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		39,309,525
	900,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		1,073,459

				113,380,109

		Total Convertible Bonds (Identified Cost $1,014,569,717)		1,206,708,404

	Municipals – 1.1%

		California – 0.1%
	4,170,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028		3,417,232
	1,530,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028		1,424,598

				4,841,830

		District of Columbia – 0.0%
	3,850,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047		4,772,691

		Illinois – 0.3%
	1,725,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		1,764,554
	47,285,000	State of Illinois, 5.100%, 6/01/2033		44,693,782

				46,458,336


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

	Municipals – continued

		Michigan – 0.1%
$	12,375,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)	$	9,169,504

		Virginia – 0.6%
	128,820,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		82,355,914

		Total Municipals (Identified Cost $186,922,933)		147,598,275

		Total Bonds and Notes (Identified Cost $9,871,878,612)		10,404,480,323

	Senior Loans – 1.3%

		Automotive – 0.1%
	17,955,000	TI Group Automotive Systems, LLC, New Term Loan, 6.750%, 3/14/2018(b)		17,521,028

		Electric – 0.0%
	4,788,467	Texas Competitive Electric Holdings Company, LLC, Non-Extended Term Loan, 3.741%, 10/10/2014(b)		2,996,766

		Food & Beverage – 0.1%
	13,736,403	DS Waters Enterprises, L.P., 1st Lien Term Loan, 10.500%, 8/29/2017(b)		13,770,744

		Media Non-Cable – 0.1%
	21,718,149	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)		12,318,317

		Non-Captive Consumer – 0.1%
	17,350,000	Chesapeake Energy Corporation, Unsecured Term Loan, 8.500%, 12/01/2017(b)		17,196,279

		Non-Captive Diversified – 0.6%
	84,000,000	Istar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b)		83,685,000

		Wireless – 0.1%
	19,725,000	Hawaiian Telcom Communications, Inc., Term Loan B, 7.000%, 2/28/2017(b)		19,601,719

		Wirelines – 0.2%
	25,089,021	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b)		22,184,967

		Total Senior Loans (Identified Cost $202,279,824)		189,274,820


Shares
	Common Stocks – 17.6%

		Biotechnology – 0.3%
	867,059	Vertex Pharmaceuticals, Inc.(f)		48,485,939

		Chemicals – 1.8%
	1,364,851	Dow Chemical Co. (The)		42,992,806


Shares		Description	Value (†)
	Common Stocks – continued

		Chemicals – continued
	2,000,000	PPG Industries, Inc.	$	212,240,000

				255,232,806

		Containers & Packaging – 0.1%
	460,656	Owens-Illinois, Inc.(f)		8,830,776
	1,675	Rock-Tenn Co., Class A		91,371

				8,922,147

		Diversified Financial Services – 0.2%
	3,979,932	Bank of America Corp.		32,555,844

		Diversified Telecommunication Services – 2.1%
	183,181	FairPoint Communications, Inc.(f)		1,126,563
	283,397	Hawaiian Telcom Holdco, Inc.(f)		5,529,076
	200,000	Telecom Italia SpA, Sponsored ADR		1,970,000
	3,871,339	Telecom Italia SpA, Sponsored ADR		31,086,852
	19,550,590	Telefonica S.A., Sponsored ADR		256,112,729

				295,825,220

		Electric Utilities – 0.1%
	282,500	Duke Energy Corp.		6,514,450

		Electronic Equipment, Instruments & Components – 2.9%
	32,000,000	Corning, Inc.		413,760,000

		Food Products – 0.4%
	2,309,175	ConAgra Foods, Inc.		59,876,908

		Household Durables – 0.2%
	477,725	KB Home		4,681,705
	549,450	Lennar Corp., Class A		16,983,499

				21,665,204

		Insurance – 0.4%
	1,013,347	Prudential Financial, Inc.		49,076,395

		Media – 0.0%
	4,701	Dex One Corp.(f)		4,395
	56,625	SuperMedia, Inc.(f)		141,563

				145,958

		Oil, Gas & Consumable Fuels – 1.7%
	846,398	Chesapeake Energy Corp.		15,743,003
	5,119,117	Repsol YPF S.A., Sponsored ADR		81,803,490
	2,134,173	Royal Dutch Shell PLC, ADR		143,907,285
	141,249	Spectra Energy Corp.		4,104,696

				245,558,474

		Pharmaceuticals – 3.0%
	8,514,190	Bristol-Myers Squibb Co.		306,085,130
	2,288	Teva Pharmaceutical Industries, Ltd., Sponsored ADR		90,239
	2,691,177	Valeant Pharmaceuticals International, Inc.(f)		120,537,818

				426,713,187


Shares		Description	Value (†)
	Common Stocks – continued

		REITs - Apartments – 0.4%
	290,904	Apartment Investment & Management Co., Class A	$	7,863,135
	889,730	Associated Estates Realty Corp.		13,301,464
	460,000	Equity Residential		28,685,600

				49,850,199

		REITs - Regional Malls – 0.1%
	123,159	Simon Property Group, Inc.		19,170,930

		REITs - Shopping Centers – 0.0%
	201,557	DDR Corp.		2,950,794

		Semiconductors & Semiconductor Equipment – 2.5%
	13,359,360	Intel Corp.		356,026,944

		Software – 1.4%
	6,568,091	Microsoft Corp.		200,917,904

		Total Common Stocks (Identified Cost $2,275,874,291)		2,493,249,303

	Preferred Stocks – 2.8%

	Convertible Preferred Stocks – 2.0%

		Automotive – 0.9%
	2,826,055	General Motors Co., Series B, 4.750%		93,825,026
	657,940	Goodyear Tire & Rubber Co. (The), 5.875%		28,423,008

				122,248,034

		Banking – 0.3%
	19,062	Bank of America Corp., Series L, 7.250%		18,585,450
	203,658	Sovereign Capital Trust IV, 4.375%		10,335,643
	8,533	Wells Fargo & Co., Series L, Class A, 7.500%		9,599,625

				38,520,718

		Construction Machinery – 0.1%
	145,110	United Rentals Trust I, 6.500%		7,364,333

		Consumer Products – 0.1%
	210,318	Newell Financial Trust I, 5.250%		10,568,480

		Electric – 0.1%
	380,577	AES Trust III, 6.750%		18,766,252

		Home Construction – 0.0%
	355,000	Hovnanian Enterprises, Inc., 7.250%		5,768,750

		Independent Energy – 0.1%
	52,020	Chesapeake Energy Corp., 4.500%		4,174,605


Shares		Description	Value (†)
	Preferred Stocks – continued

	Convertible Preferred Stocks – continued

		Independent Energy – continued
	99,800	SandRidge Energy, Inc., 8.500%	$	10,747,212

				14,921,817

		Pipelines – 0.1%
	242,297	El Paso Energy Capital Trust I, 4.750%		12,272,343

		REITs - Healthcare – 0.0%
	116,700	Health Care REIT, Inc., Series I, 6.500%		6,301,800

		Technology – 0.3%
	55,430	Lucent Technologies Capital Trust I, 7.750%		37,415,250

		Total Convertible Preferred Stocks (Identified Cost $314,246,008)		274,147,777

	Non-Convertible Preferred Stocks – 0.8%

		Banking – 0.2%
	35,000	Bank of America Corp., 6.375%		854,000
	847,800	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		23,136,462
	389,800	Countrywide Capital IV, 6.750%		9,573,488

				33,563,950

		Electric – 0.0%
	393	Entergy New Orleans, Inc., 4.750%		37,532

		Government Sponsored – 0.2%
	26,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(h)		27,202,500

		Home Construction – 0.0%
	208,246	Hovnanian Enterprises, Inc., 7.625%(f)		1,274,466

		Independent Energy – 0.0%
	9,650	Chesapeake Energy Corp., 5.000%		721,337

		Non-Captive Consumer – 0.0%
	101,175	SLM Corp., Series A, 6.970%		4,648,991

		Non-Captive Diversified – 0.3%
	45,861	Ally Financial, Inc., Series G, 7.000%, 144A		40,857,854

		REITs - Office Property – 0.0%
	1,596	Highwoods Properties, Inc., Series A, 8.625%		1,909,215


Shares		Description	Value (†)
	Preferred Stocks – continued

	Non-Convertible Preferred Stocks – continued

		REITs - Warehouse/Industrials – 0.1%
	116,192	ProLogis, Inc., Series Q, 8.540%	$	6,913,424

		Total Non-Convertible Preferred Stocks (Identified Cost $83,630,474)		117,129,269

		Total Preferred Stocks (Identified Cost $397,876,482)		391,277,046

	Closed End Investment Companies – 0.0%
	87,907	Morgan Stanley Emerging Markets Debt Fund, Inc.		973,130
	681,131	NexPoint Credit Strategies Fund		4,277,503

		Total Closed End Investment Companies (Identified Cost $11,036,948)		5,250,633


Principal Amount (‡)
	Short-Term Investments – 6.6%
$	1,484,664	Repurchase Agreement with State Street Bank and Trust Company, dated 6/29/2012 at 0.000% to be repurchased at $1,484,664 on 7/02/2012 collateralized by $1,475,000 U.S. Treasury Note, 1.750% due 3/31/2014 valued at $1,517,762 including accrued interest(i)		1,484,664
	941,435,429	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $941,435,429 on 7/02/2012 collateralized by $83,715,000 Federal Home Loan Mortgage Corp. Discount Note, due 9/04/2012 valued at $83,673,143; $70,000,000 Federal Home Loan Bank, 2.000% due 09/14/2012 valued at $70,700,000; $20,000,000 Federal Home Loan Bank, 1.625% due 11/21/2012 valued at $20,150,000; $50,000,000 Federal Home Loan Mortgage Corp., 2.125% due 9/21/2012 valued at $50,514,749; $7,345,000 Federal National Mortgage Association, 1.000% due 12/27/2012 valued at $7,381,725; $127,000,000 U.S. Treasury Bill, due 12/06/2012 valued at $126,873,000; $150,000,000 U.S Treasury Note, 1.125% due 12/15/2012 valued at $150,709,050; $5,810,000 Federal Home Loan Bank, 0.370% due 5/01/2013 valued at $5,817,263; $93,630,000 Federal Home Loan Bank, 0.170% due 2/13/2013 valued at $93,731,214; $56,000,000 Federal Home Loan Bank, 0.170% due 2/08/2013 valued at $56,000,000; $45,000,000 Federal Home Loan Bank, 0.190% due 2/22/2013 valued at $45,000,000; $4,640,000 Federal Home Loan Bank, 0.200% due 3/01/2013 valued at $4,645,800; $25,000,000 Federal National Mortgage Association Discount Note, due 1/03/2013 valued at $25,000,000; $35,000,000 Federal National Mortgage Association Discount Note, due 1/04/2013 valued at $35,000,000; $184,885,000 Federal National Mortgage Association, 0.375% due 12/28/2012 valued at $185,069,885 including accrued interest(i)		941,435,429

		Total Short-Term Investments (Identified Cost $942,920,093)		942,920,093

		Total Investments – 101.7% (Identified Cost $13,701,866,250)(a)		14,426,452,218
		Other assets less liabilities – (1.7)%		(244,470,210	)

		Net Assets – 100.0%	$	14,181,982,008



(‡)		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) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent 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. Senior loans are priced at bid prices supplied by an independent pricing service, if available. 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Investments in other open-end investment companies are valued at their net asset value each day. 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. 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 values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

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

(†††)		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, 2012, the net unrealized appreciation on investments based on a cost of $13,744,226,372 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	$	1,524,374,702
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(842,148,856	)

Net unrealized appreciation	$	682,225,846



		At September 30, 2011, the Fund had a short-term capital loss carryforward of $440,508,454 which expires on September 30, 2018. This amount 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, 2012 is disclosed.

(c)		Illiquid security. At June 30, 2012, the value of these securities amounted to $302,992,374 or 2.1% of net assets.

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

(e)		Fair valued security by the Fund’s investment adviser. At June 30, 2012, the value of this security amounted to $13,834,750 or 0.1% of net assets.

(f)		Non-income producing security.

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

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

(i)		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		All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2012, the value of Rule 144A holdings amounted to $1,362,926,539 or 9.6% of net assets.

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

ABS		Asset-Backed Securities

AGMC		Assured Guaranty Municipal 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
CHF		Swiss Franc
EUR		Euro
GBP		British Pound
IDR		Indonesian Rupiah
ISK		Icelandic Krona
KRW		South Korean Won
MXN		Mexican Peso
NOK		Norwegian Krone
NZD		New Zealand Dollar
SGD		Singapore Dollar

Fair Value Measurements

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	729,089,160	$	17,657,989	$	746,747,149
Construction Machinery		—		26,024,613		1,537,847		27,562,460
Electric		—		400,617,336		13,834,750		414,452,086
Non-Captive Consumer		2,373,912		583,995,419		—		586,369,331
Sovereigns		—		237,352,376		12,189,929		249,542,305
All Other Non-Convertible Bonds*		—		7,025,500,313		—		7,025,500,313

Total Non-Convertible Bonds		2,373,912		9,002,579,217		45,220,515		9,050,173,644

Convertible Bonds*		—		1,206,708,404		—		1,206,708,404
Municipals*		—		147,598,275		—		147,598,275

Total Bonds and Notes		2,373,912		10,356,885,896		45,220,515		10,404,480,323

Senior Loans*		—		189,274,820		—		189,274,820
Common Stocks*		2,493,249,303		—		—		2,493,249,303
Preferred Stocks
Convertible Preferred Stocks
Banking		28,185,075		10,335,643		—		38,520,718
Construction Machinery		—		7,364,333		—		7,364,333
Consumer Products		—		10,568,480		—		10,568,480
Independent Energy		4,174,605		10,747,212		—		14,921,817
All Other Convertible Preferred Stocks*		202,772,429		—		—		202,772,429

Total Convertible Preferred Stocks		235,132,109		39,015,668		—		274,147,777

Non-Convertible Preferred Stocks
Electric		—		37,532		—		37,532
Government Sponsored		—		27,202,500		—		27,202,500
Non-Captive Diversified		—		40,857,854		—		40,857,854


REITs - Office Property		—		1,909,215		—		1,909,215
All Other Non-Convertible Preferred Stocks*		47,122,168		—		—		47,122,168

Total Non-Convertible Preferred Stocks		47,122,168		70,007,101		—		117,129,269

Total Preferred Stocks		282,254,277		109,022,769		—		391,277,046

Closed End Investment Companies		5,250,633		—		—		5,250,633
Short-Term Investments		—		942,920,093		—		942,920,093

Total	$	2,783,128,125	$	11,598,103,578	$	45,220,515	$	14,426,452,218

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

A preferred stock valued at $9,179,640 was transferred from Level 1 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued at market price in accordance with the Fund’s valuation policies; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of June 30, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2012
Bonds and Notes
Non-Convertible Bonds
Banking	$	—	$	—	$	—		$	273,477		$	17,384,512	$	—		$	—	$	—		$	17,657,989	$	273,477
Construction Machinery		—		38		—			(125,532	)		—		—			1,663,341		—			1,537,847		(125,532	)
Consumer Cyclical Services		4,482,500		—		—			—			—		—			—		(4,482,500	)		—		—
Electric		—		—		—			(9,705,370	)		—		—			23,540,120		—			13,834,750		(9,705,370	)
Sovereigns		—		5,127,072		—			(26,903,486	)		16,686		—			33,949,657		—			12,189,929		(26,903,486	)
Technology		1,740,000		106,837		(3,925,024	)		4,358,575			—		(2,280,388	)		—		—			—		—
Treasuries		742,727		20,092		(926,054	)		581,248			—		(418,013	)		—		—			—		—
Preferred Stocks
Convertible Preferred Stocks
Electric		4,847,625		—		105,583			433,042			—		(5,386,250	)		—		—			—		—
Independent Energy		9,980,000		—		—			—			—		—			—		(9,980,000	)		—		—
Non-Convertible Preferred Stocks
Non-Captive Diversified		22,149,600		—		—			—			—		—			—		(22,149,600	)		—		—

Total	$	43,942,452	$	5,254,039	$	(4,745,495	)	$	(31,088,046	)	$	17,401,198	$	(8,084,651	)	$	59,153,118	$	(36,612,100	)	$	45,220,515	$	(36,460,911	)

Debt securities valued at $35,612,998 were transferred from Level 2 to Level 3 during the period ended June 30, 2012. At September 30, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies; at June 30, 2012, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the securities or did not provide reliable prices for the securities.

Debt securities valued at $23,540,120 were transferred from Level 2 to Level 3 during the period ended June 30, 2012. At September 30, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies; at June 30, 2012, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service either was unable to price the securities or did not provide reliable prices for the securities.

A debt security valued at $4,482,500 was transferred from Level 3 to Level 2 during the period ended June 30, 2012. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at June 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Preferred stocks valued at $32,129,600 were transferred from Level 3 to Level 2 during the period ended June 30, 2012. At September 30, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the securities or did not provide reliable prices for the securities; at June 30, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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

New Accounting Pronouncement

Industry Summary at June 30, 2012 (Unaudited)


Treasuries	17.6	%
Banking	5.8
Non-Captive Diversified	5.4
Wirelines	4.7
Non-Captive Consumer	4.2
Technology	4.2
Pharmaceuticals	4.0
Automotive	3.2
Electric	3.0
Electronic Equipment, Instruments & Components	2.9
Airlines	2.7
Semiconductors & Semiconductor Equipment	2.5
Chemicals	2.2
Diversified Telecommunication Services	2.1
Other Investments, less than 2% each	30.6
Short-Term Investments	6.6

Total Investments	101.7
Other assets less liabilities	(1.7	)

Net Assets	100.0	%

Currency Exposure Summary at June 30, 2012 (Unaudited)


United States Dollar	73.6	%
Canadian Dollar	7.3
Euro	4.3
New Zealand Dollar	4.1
Australian Dollar	3.3
Norwegian Krone	2.8
Other, less than 2% each	6.3

Total Investments	101.7
Other assets less liabilities	(1.7	)

Net Assets	100.0	%

PORTFOLIO OF INVESTMENTS – as of June 30, 2012 (Unaudited)

Loomis Sayles Value Fund


Shares		Description	Value (†)
	Common Stocks – 97.3% of Net Assets

		Aerospace & Defense – 2.8%
	309,143	Honeywell International, Inc.	$	17,262,545
	317,828	Northrop Grumman Corp.		20,274,248

				37,536,793

		Auto Components – 0.6%
	697,131	Goodyear Tire & Rubber Co. (The)(b)		8,233,117

		Automobiles – 0.8%
	555,732	General Motors Co.(b)		10,959,035

		Beverages – 3.2%
	704,874	Coca-Cola Enterprises, Inc.		19,764,667
	329,309	PepsiCo, Inc.		23,268,974

				43,033,641

		Capital Markets – 4.0%
	356,095	Ameriprise Financial, Inc.		18,609,524
	494,848	Legg Mason, Inc.		13,049,142
	500,306	State Street Corp.		22,333,660

				53,992,326

		Chemicals – 0.9%
	152,902	Air Products & Chemicals, Inc.		12,343,779

		Commercial Banks – 6.4%
	1,379,621	Fifth Third Bancorp		18,486,921
	369,794	PNC Financial Services Group, Inc.		22,598,111
	462,311	U.S. Bancorp		14,867,922
	886,299	Wells Fargo & Co.		29,637,839

				85,590,793

		Communications Equipment – 2.3%
	769,468	Cisco Systems, Inc.		13,211,765
	368,399	Motorola Solutions, Inc.		17,723,676

				30,935,441

		Computers & Peripherals – 1.2%
	27,315	Apple, Inc.(b)		15,951,960

		Construction Materials – 0.7%
	249,492	Vulcan Materials Co.		9,907,327

		Consumer Finance – 1.7%
	647,252	Discover Financial Services		22,381,974

		Diversified Financial Services – 4.7%
	1,521,931	Bank of America Corp.		12,449,395
	667,614	Citigroup, Inc.		18,299,300
	883,185	JPMorgan Chase & Co.		31,556,200

				62,304,895


Shares		Description	Value (†)
	Common Stocks – continued

		Diversified Telecommunication Services – 3.4%
	725,387	AT&T, Inc.	$	25,867,300
	503,544	CenturyLink, Inc.		19,884,953

				45,752,253

		Electric Utilities – 3.7%
	421,637	Edison International		19,479,629
	405,683	Exelon Corp.		15,261,795
	521,601	PPL Corp.		14,505,724

				49,247,148

		Electrical Equipment – 1.4%
	268,972	Cooper Industries PLC		18,338,511

		Energy Equipment & Services – 2.5%
	277,191	Schlumberger Ltd.		17,992,468
	349,764	Transocean Ltd.		15,644,944

				33,637,412

		Food & Staples Retailing – 1.6%
	470,754	CVS Caremark Corp.		21,998,334

		Food Products – 1.3%
	502,329	Unilever NV		16,752,672

		Health Care Equipment & Supplies – 2.6%
	303,795	Baxter International, Inc.		16,146,704
	349,699	Covidien PLC		18,708,897

				34,855,601

		Health Care Providers & Services – 3.1%
	465,541	HCA Holdings, Inc.		14,166,413
	461,375	UnitedHealth Group, Inc.		26,990,437

				41,156,850

		Independent Power Producers & Energy Traders – 1.4%
	1,090,242	Calpine Corp.(b)		17,999,895

		Industrial Conglomerates – 2.0%
	1,266,233	General Electric Co.		26,388,296

		Insurance – 3.6%
	591,155	MetLife, Inc.		18,237,132
	255,127	Travelers Cos., Inc. (The)		16,287,308
	705,340	Unum Group		13,493,154

				48,017,594

		Internet & Catalog Retail – 1.2%
	913,488	Liberty Interactive Corp., Class A(b)		16,250,952

		Internet Software & Services – 2.5%
	395,081	AOL, Inc.(b)		11,093,874
	389,003	eBay, Inc.(b)		16,342,016
	10,626	Google, Inc., Class A(b)		6,163,824

				33,599,714


Shares		Description	Value (†)
	Common Stocks – continued

		Machinery – 2.4%
	352,532	Eaton Corp.	$	13,970,843
	273,722	Stanley Black & Decker, Inc.		17,616,748

				31,587,591

		Media – 7.0%
	392,725	CBS Corp., Class B		12,873,526
	1,109,690	Comcast Corp., Class A		35,476,789
	243,523	DIRECTV, Class A(b)		11,888,793
	306,199	Omnicom Group, Inc.		14,881,271
	382,480	Viacom, Inc., Class B		17,984,210

				93,104,589

		Multiline Retail – 1.2%
	273,493	Target Corp.		15,914,558

		Oil, Gas & Consumable Fuels – 10.1%
	258,007	Chevron Corp.		27,219,739
	247,018	CONSOL Energy, Inc.		7,469,824
	153,116	EOG Resources, Inc.		13,797,283
	507,503	ExxonMobil Corp.		43,427,032
	357,356	Hess Corp.		15,527,118
	245,617	Noble Energy, Inc.		20,833,234
	144,057	SM Energy Co.		7,074,639

				135,348,869

		Pharmaceuticals – 7.8%
	295,381	Bristol-Myers Squibb Co.		10,618,947
	455,004	Forest Laboratories, Inc.(b)		15,920,590
	747,607	Merck & Co., Inc.		31,212,592
	1,139,394	Pfizer, Inc.		26,206,062
	542,951	Sanofi, ADR		20,512,689

				104,470,880

		REITs - Diversified – 1.4%
	824,427	Weyerhaeuser Co.		18,434,188

		Road & Rail – 1.4%
	267,730	Norfolk Southern Corp.		19,214,982

		Semiconductors & Semiconductor Equipment – 2.0%
	899,631	Applied Materials, Inc.		10,309,771
	550,222	Texas Instruments, Inc.		15,785,869

				26,095,640

		Software – 2.8%
	512,099	Microsoft Corp.		15,665,108
	734,485	Oracle Corp.		21,814,205

				37,479,313

		Wireless Telecommunication Services – 1.6%
	735,456	Vodafone Group PLC, Sponsored ADR		20,725,150

		Total Common Stocks (Identified Cost $1,142,842,818)		1,299,542,073


Principal Amount		Description	Value (†)
	Short-Term Investments – 4.1%
$	55,233,505	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/29/2012 at 0.000% to be repurchased at $55,233,505 on 7/02/2012 collateralized by $56,370,000 Federal Home Loan Mortgage Corp. Discount Note, due 9/04/2012 valued at $56,341,815 including accrued interest(c) (Identified Cost $55,233,505)	$	55,233,505

		Total Investments – 101.4% (Identified Cost $1,198,076,323)(a)		1,354,775,578
		Other assets less liabilities – (1.4)%		(18,426,670	)

		Net Assets – 100.0%	$	1,336,348,908


(†)		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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Investments in other open-end investment companies are valued at their net asset value each day. 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. 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 values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(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, 2012, the net unrealized appreciation on investments based on a cost of $1,198,076,323 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	$	213,769,417
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(57,070,162	)

Net unrealized appreciation	$	156,699,255


		At September 30, 2011, the Fund had a short-term capital loss carryforward of $55,601,112 of which $1,676,396 expires on September 30, 2017 and $53,924,716 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)		Non-income producing security.

(c)		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 may be significantly influenced by trading on exchanges not located in the United States.

REITs		Real Estate Investment Trusts

Fair Value Measurements

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

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

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks*	$	1,299,542,073	$	—	$	—	$	1,299,542,073
Short-Term Investments		—		55,233,505		—		55,233,505

Total	$	1,299,542,073	$	55,233,505	$	—	$	1,354,775,578

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

For the period ended June 30, 2012, there were no transfers between Levels 1, 2 and 3.

New Accounting Pronouncement

In December 2011, Accounting Standards Update (“ASU”) No. 2011-11, “Disclosures about Offsetting Assets and Liabilities,” was issued and is effective for interim and annual periods beginning after January 1, 2013. The ASU enhances disclosure requirements with respect to an entity’s rights of setoff and related arrangements associated with its financial and derivative instruments. Management is currently evaluating the impact the adoption of ASU 2011-11 may have on the Fund’s financial statement disclosures.

Industry Summary at June 30, 2012 (Unaudited)


Oil, Gas & Consumable Fuels	10.1	%
Pharmaceuticals	7.8
Media	7.0
Commercial Banks	6.4
Diversified Financial Services	4.7
Capital Markets	4.0
Electric Utilities	3.7
Insurance	3.6
Diversified Telecommunication Services	3.4
Beverages	3.2
Health Care Providers & Services	3.1
Aerospace & Defense	2.8
Software	2.8
Health Care Equipment & Supplies	2.6
Energy Equipment & Services	2.5
Internet Software & Services	2.5
Machinery	2.4
Communications Equipment	2.3
Industrial Conglomerates	2.0
Semiconductors & Semiconductor Equipment	2.0
Other Investments, less than 2% each	18.4
Short-Term Investments	4.1

Total Investments	101.4
Other assets less liabilities	(1.4	)

Net Assets	100.0	%

ITEM 2. CONTROLS AND PROCEDURES.

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

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

ITEM 3. EXHIBITS

(a)(1)

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

(a)(2)

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

SIGNATURES

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


Loomis Sayles Funds II

By:		/s/ Robert J. Blanding
Name:		Robert J. Blanding
Title:		Chief Executive Officer
Date:		August 21, 2012

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


By:		/s/ Robert J. Blanding
Name:		Robert J. Blanding
Title:		Chief Executive Officer
Date:		August 21, 2012


By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		August 21, 2012