N-Q 1 d569303dnq.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, 2013

 

 

 


ITEM 1. SCHEDULE OF INVESTMENTS


PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Global Equity and Income Fund

 

Shares

    

Description

   Value (†)  

Common Stocks – 68.4% of Net Assets

  
      Belgium – 1.4%   
     177,107      

Anheuser-Busch InBev NV

   $ 15,945,495   
        

 

 

 
      Brazil – 0.6%   
     527,700      

Mills Estruturas e Servicos de Engenharia S.A.

     7,144,472   
        

 

 

 
      Canada – 1.0%   
     282,938      

Potash Corp. of Saskatchewan, Inc.

     10,788,426   
        

 

 

 
      Chile – 0.7%   
     759,310      

S.A.C.I. Falabella

     8,220,067   
        

 

 

 
      China – 2.1%   
     960,000      

China Mobile Ltd.

     9,967,128   
     1,300,000      

Hengan International Group Co. Ltd.

     14,041,050   
        

 

 

 
           24,008,178   
        

 

 

 
      France – 2.0%   
     210,918      

Sanofi

     21,804,811   
        

 

 

 
      Germany – 2.5%   
     168,622      

Adidas AG

     18,227,835   
     97,867      

Siemens AG, (Registered)

     9,910,355   
        

 

 

 
           28,138,190   
        

 

 

 
      Japan – 0.9%   
     419,900      

Asahi Group Holdings Ltd.

     10,401,651   
        

 

 

 
      Mexico – 1.2%   
     6,913,900      

Genomma Lab Internacional S.A. de CV, Class B(b)

     13,654,438   
        

 

 

 
      Russia – 0.8%   
     291,891      

Mail.ru Group Ltd., GDR, 144A(c)

     8,351,002   
        

 

 

 
      Sweden – 1.1%   
     527,029      

Atlas Copco AB, Class A

     12,702,356   
        

 

 

 
      Switzerland – 2.1%   
     96,848      

Roche Holding AG

     24,037,395   
        

 

 

 
      Thailand – 1.1%   
     900,400      

Bangkok Bank PCL

     5,996,939   
     413,700      

Siam Cement PCL

     6,070,408   
        

 

 

 
           12,067,347   
        

 

 

 
      United Kingdom – 10.0%   
     1,603,471      

Aberdeen Asset Management PLC

     9,331,621   
     2,535,930      

Barclays PLC

     10,799,869   
     221,349      

British American Tobacco PLC

     11,352,885   


Shares

    

Description

   Value (†)  

Common Stocks – continued

  
     

United Kingdom – continued

  
     343,076      

Burberry Group PLC

   $ 7,057,924   
     758,263      

Diageo PLC

     21,744,167   
     388,891      

Hikma Pharmaceuticals PLC

     5,627,827   
     1,255,684      

HSBC Holdings PLC

     12,999,016   
     540,672      

Shire PLC

     17,133,988   
     721,999      

Standard Chartered PLC

     15,674,868   
        

 

 

 
           111,722,165   
        

 

 

 
     

United States – 40.9%

  
     191,393      

ACE Ltd.

     17,125,846   
     261,114      

American Express Co.

     19,520,883   
     44,993      

Apple, Inc.

     17,820,827   
     25,486      

AutoZone, Inc.(b)

     10,798,163   
     154,118      

Cabot Oil & Gas Corp.

     10,945,460   
     547,062      

Citigroup, Inc.

     26,242,564   
     46,194      

Core Laboratories NV

     7,005,782   
     317,906      

CVS Caremark Corp.

     18,177,865   
     152,522      

Deere & Co.

     12,392,413   
     109,641      

EOG Resources, Inc.

     14,437,527   
     162,164      

Genesee & Wyoming, Inc., Class A(b)

     13,757,994   
     103,803      

Gilead Sciences, Inc.(b)

     5,315,752   
     27,005      

Google, Inc., Class A(b)

     23,774,392   
     955      

Hawaiian Telcom Holdco, Inc.(b)

     24,028   
     116,223      

Jones Lang LaSalle, Inc.

     10,592,564   
     384,401      

Lowe’s Cos., Inc.

     15,722,001   
     82,795      

M&T Bank Corp.

     9,252,341   
     376,248      

Microsoft Corp.

     12,991,843   
     224,048      

National Fuel Gas Co.

     12,983,582   
     144,516      

National Oilwell Varco, Inc.

     9,957,152   
     21,652      

NewMarket Corp.

     5,684,949   
     331,664      

Noble Energy, Inc.

     19,913,107   
     116,121      

PNC Financial Services Group, Inc. (The)

     8,467,543   
     150,071      

Praxair, Inc.

     17,282,176   
     64,383      

Precision Castparts Corp.

     14,551,202   
     21,972      

Priceline.com, Inc.(b)

     18,173,700   
     234,181      

QUALCOMM, Inc.

     14,303,776   
     221,911      

Schlumberger Ltd.

     15,902,142   
     115,451      

Signet Jewelers Ltd.

     7,784,861   
     432,433      

Texas Instruments, Inc.

     15,078,939   
     96,492      

TransDigm Group, Inc.

     15,127,051   
     152,180      

UnitedHealth Group, Inc.

     9,964,746   
     160,948      

Valspar Corp. (The)

     10,408,507   
     26,818      

Vertex Pharmaceuticals, Inc.(b)

     2,141,954   
     274,710      

Wyndham Worldwide Corp.

     15,721,653   
        

 

 

 
           459,345,285   
        

 

 

 
     

Total Common Stocks

(Identified Cost $696,463,544)

     768,331,278   
        

 

 

 


Principal

Amount (‡)

   

Description

   Value (†)  
Bonds and Notes – 28.2%   
Non-Convertible Bonds – 27.4%   
     Argentina – 0.1%   
$      170,000     

Pan American Energy LLC/Argentine Branch,

7.875%, 5/07/2021, 144A

   $ 163,625   
     500,000     

Transportadora de Gas del Sur S.A.,

7.875%, 5/14/2017, 144A

     436,200   
       

 

 

 
          599,825   
       

 

 

 
     Australia – 0.2%   
     1,200,000     

Macquarie Bank Ltd.,

5.000%, 2/22/2017, 144A

     1,285,787   
     500,000     

Macquarie Bank Ltd.,

6.625%, 4/07/2021, 144A

     529,055   
     235,000     

New South Wales Treasury Corp.,

6.000%, 2/01/2018, (AUD)

     237,186   
     155,000     

Sydney Airport Finance Co.,

5.125%, 2/22/2021, 144A

     162,436   
       

 

 

 
          2,214,464   
       

 

 

 
     Belgium – 0.1%   
     350,000     

Anheuser-Busch InBev NV, EMTN,

6.500%, 6/23/2017, (GBP)

     623,435   
       

 

 

 
     Brazil – 1.1%   
     600,000     

Banco BTG Pactual S.A.,

5.750%, 9/28/2022, 144A

     519,000   
     800,000     

Banco do Brasil S.A.,

3.875%, 10/10/2022

     701,040   
     400,000     

Banco Santander Brasil S.A.,

4.500%, 4/06/2015, 144A

     402,000   
     600,000     

Banco Santander Brasil S.A.,

4.625%, 2/13/2017, 144A

     609,000   
     1,909,834     

Banco Votorantim S.A.,

6.250%, 5/16/2016, 144A, (BRL)

     831,438   
     800,000     

Braskem Finance Ltd.,

5.750%, 4/15/2021, 144A

     780,000   
     689,626 (††)   

Brazil Notas do Tesouro Nacional, Series B,

6.000%, 8/15/2014, (BRL)

     316,389   
     551,701 (††)   

Brazil Notas do Tesouro Nacional, Series B,

6.000%, 5/15/2015, (BRL)

     255,212   
     1,115 (†††)   

Brazil Notas do Tesouro Nacional, Series F,

10.000%, 1/01/2021, (BRL)

     476,229   
     1,700,000     

BRF S.A.,

3.950%, 5/22/2023, 144A

     1,496,000   
     600,000     

BRF S.A.,

5.875%, 6/06/2022, 144A

     615,780   
     2,300,000     

BRF S.A.,

7.750%, 5/22/2018, 144A, (BRL)

     891,613   
     400,000     

CSN Resources S.A.,

6.500%, 7/21/2020, 144A

     389,500   
     450,000     

Fibria Overseas Finance Ltd.,

6.750%, 3/03/2021, 144A

     482,175   
     300,000     

Itau Unibanco Holding S.A.,

6.200%, 12/21/2021, 144A

     303,750   
     100,000     

LPG International, Inc.,

7.250%, 12/20/2015

     108,250   


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

Brazil – continued

  
$      185,000      

Odebrecht Drilling Norbe VIII/IX Ltd.,

6.350%, 6/30/2021, 144A

   $ 186,850   
     2,400,000      

Oi S.A.,

9.750%, 9/15/2016, 144A, (BRL)

     994,913   
     320,000      

Petrobras International Finance Co.,

5.375%, 1/27/2021

     321,502   
     300,000      

Petrobras International Finance Co.,

6.875%, 1/20/2040

     302,843   
     800,000      

Samarco Mineracao S.A.,

4.125%, 11/01/2022, 144A

     716,000   
     129,000      

Telemar Norte Leste S.A.,

5.500%, 10/23/2020, 144A

     119,970   
     536,000      

Vale Overseas Ltd.,

6.875%, 11/21/2036

     542,694   
        

 

 

 
           12,362,148   
        

 

 

 
     

Canada – 0.8%

  

     1,570,000      

Bank of Nova Scotia,

1.375%, 12/18/2017

     1,524,235   
     650,000      

Canadian Government,

1.000%, 8/01/2016, (CAD)

     609,660   
     2,880,000      

Canadian Government,

3.000%, 12/01/2015, (CAD)(d)

     2,847,495   
     2,695,000      

Canadian Government,

4.250%, 6/01/2018, (CAD)

     2,853,620   
     875,000      

Pacific Rubiales Energy Corp.,

5.125%, 3/28/2023, 144A

     826,875   
     100,000      

Shaw Communications, Inc.,

5.650%, 10/01/2019, (CAD)

     105,447   
     600,000      

Telus Corp., Series CG,

5.050%, 12/04/2019, (CAD)

     624,908   
        

 

 

 
           9,392,240   
        

 

 

 
     

Cayman Islands – 0.1%

  
     1,000,000      

Parkson Retail Group Ltd.,

4.500%, 5/03/2018

     895,000   
        

 

 

 
     

Chile – 0.4%

  
     1,450,000      

Banco de Credito e Inversiones,

3.000%, 9/13/2017, 144A

     1,421,197   
     850,000,000      

Banco Santander Chile,

6.500%, 9/22/2020, 144A, (CLP)

     1,647,968   
     200,000      

Celulosa Arauco y Constitucion S.A.,

4.750%, 1/11/2022

     198,640   
     250,000      

E.CL S.A.,

5.625%, 1/15/2021, 144A

     259,572   
     800,000      

Inversiones CMPC S.A.,

4.375%, 5/15/2023, 144A

     765,700   
        

 

 

 
           4,293,077   
        

 

 

 
     

China – 0.1%

  
     800,000      

Baidu, Inc.,

2.250%, 11/28/2017

     778,233   


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

China – continued

  
$      400,000      

China Resources Gas Group Ltd.,

4.500%, 4/05/2022, 144A

   $ 392,086   
        

 

 

 
           1,170,319   
        

 

 

 
     

Colombia – 0.3%

  
     400,000      

Banco Davivienda S.A.,

5.875%, 7/09/2022, 144A

     396,000   
     555,000      

Colombia Telecomunicaciones S.A., E.S.P.,

5.375%, 9/27/2022, 144A

     524,475   
     1,265,000,000      

Emgesa S.A. E.S.P.,

8.750%, 1/25/2021, 144A, (COP)

     724,104   
     2,140,000,000      

Empresas Publicas de Medellin E.S.P.,

8.375%, 2/01/2021, 144A, (COP)

     1,191,559   
     200,000,000      

Republic of Colombia,

7.750%, 4/14/2021, (COP)

     116,949   
     40,000      

Republic of Colombia,

8.125%, 5/21/2024

     53,000   
        

 

 

 
           3,006,087   
        

 

 

 
     

Costa Rica – 0.1%

  
     600,000      

Costa Rica Government International Bond,

4.250%, 1/26/2023, 144A

     555,000   
     800,000      

Costa Rica Government International Bond,

4.375%, 4/30/2025, 144A

     734,000   
        

 

 

 
           1,289,000   
        

 

 

 
     

Curacao – 0.1%

  
     1,580,000      

Teva Pharmaceutical Finance Co. BV,

2.950%, 12/18/2022

     1,480,324   
        

 

 

 
     

Czech Republic – 0.0%

  
     400,000      

CEZ AS,

4.250%, 4/03/2022, 144A

     396,920   
        

 

 

 
     

France – 0.0%

  
     200,000      

AXA S.A.,

7.125%, 12/15/2020, (GBP)

     341,360   
        

 

 

 
     

Hong Kong – 0.1%

  
     600,000      

Bank of East Asia Ltd., EMTN, (fixed rate to 5/04/2017, variable rate thereafter),

6.375%, 5/04/2022

     639,577   
     400,000      

Hutchison Whampoa International 11 Ltd.,

3.500%, 1/13/2017, 144A

     412,158   
     400,000      

Noble Group Ltd.,

6.750%, 1/29/2020, 144A

     406,000   
        

 

 

 
           1,457,735   
        

 

 

 
     

Hungary – 0.0%

  
     200,000      

Hungary Government International Bond,

6.375%, 3/29/2021

     208,000   
        

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

Iceland – 0.1%

  
$      1,000,000      

Republic of Iceland,

5.875%, 5/11/2022, 144A

   $ 1,060,000   
        

 

 

 
     

India – 0.2%

  
     200,000      

Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter),

6.365%, 11/28/2021

     192,396   
     1,400,000      

ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter),

6.375%, 4/30/2022, 144A

     1,337,000   
     700,000      

State Bank of India/London,

4.125%, 8/01/2017, 144A

     693,568   
        

 

 

 
           2,222,964   
        

 

 

 
     

Indonesia – 0.4%

  
     200,000      

Adaro Indonesia PT,

7.625%, 10/22/2019, 144A

     210,000   
     800,000      

Gajah Tunggal Tbk PT,

7.750%, 2/06/2018, 144A

     794,000   
     3,500,000,000      

Indonesia Government International Bond,

9.500%, 7/15/2023, (IDR)

     407,938   
     781,000,000      

Indonesia Government International Bond,

11.500%, 9/15/2019, (IDR)

     96,421   
     2,800,000      

Pertamina Persero PT,

4.300%, 5/20/2023, 144A

     2,590,000   
        

 

 

 
           4,098,359   
        

 

 

 
     

Ireland – 0.0%

  
     100,000      

WPP 2008 Ltd.,

6.000%, 4/04/2017, (GBP)

     171,846   
        

 

 

 
     

Italy – 0.7%

  
     500,000      

Italy Buoni Poliennali Del Tesoro,

4.000%, 2/01/2037, (EUR)

     581,953   
     4,295,000      

Italy Buoni Poliennali Del Tesoro,

4.500%, 8/01/2018, (EUR)(d)

     5,857,099   
     400,000      

Italy Buoni Poliennali Del Tesoro,

5.000%, 3/01/2022, (EUR)

     547,193   
     125,000      

Telecom Italia Capital S.A.,

6.000%, 9/30/2034

     113,351   
     10,000      

Telecom Italia Capital S.A.,

6.375%, 11/15/2033

     9,339   
     100,000      

Telecom Italia SpA, EMTN,

5.375%, 1/29/2019, (EUR)

     135,851   
        

 

 

 
           7,244,786   
        

 

 

 
     

Japan – 0.2%

  
     1,700,000      

Softbank Corp.,

4.500%, 4/15/2020, 144A

     1,638,375   
        

 

 

 
     

Korea – 1.0%

  
     3,700,000      

Export-Import Bank of Korea,

3.000%, 5/22/2018, 144A, (NOK)

     585,607   
     8,000,000      

Export-Import Bank of Korea,

4.000%, 11/26/2015, 144A, (PHP)

     189,296   
     400,000      

Hana Bank,

4.000%, 11/03/2016, 144A

     420,478   


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

Korea – continued

  
$      600,000      

Hyundai Capital Services, Inc.,

3.500%, 9/13/2017, 144A

   $ 610,948   
     600,000      

Hyundai Steel Co.,

4.625%, 4/21/2016, 144A

     635,219   
     600,000      

Industrial Bank of Korea,

2.375%, 7/17/2017, 144A

     582,653   
     400,000      

Kia Motors Corp.,

3.625%, 6/14/2016, 144A

     414,734   
     400,000      

Korea Finance Corp.,

4.625%, 11/16/2021

     406,555   
     400,000      

Korea National Oil Corp.,

3.125%, 4/03/2017, 144A

     402,277   
     3,784,140,000      

Korea Treasury Bond,

2.750%, 9/10/2017, (KRW)

     3,261,840   
     970,000,000      

Korea Treasury Bond,

4.000%, 3/10/2016, (KRW)

     872,695   
     2,700,000,000      

Korea Treasury Bond,

5.000%, 9/10/2014, (KRW)

     2,426,141   
     250,000      

Lotte Shopping Co. Ltd.,

3.375%, 5/09/2017, 144A

     250,552   
     140,000      

SK Telecom Co. Ltd.,

6.625%, 7/20/2027, 144A

     164,810   
     200,000      

Woori Bank,

5.875%, 4/13/2021, 144A

     213,291   
        

 

 

 
           11,437,096   
        

 

 

 
     

Luxembourg – 0.2%

  
     400,000      

Altice Financing S.A.,

7.875%, 12/15/2019, 144A

     418,000   
     400,000      

ArcelorMittal,

7.250%, 3/01/2041

     374,000   
     400,000      

Cosan Luxembourg S.A.,

5.000%, 3/14/2023, 144A

     380,000   
     500,000      

INEOS Group Holdings S.A.,

6.125%, 8/15/2018, 144A

     477,500   
     500,000      

Millicom International Cellular S.A.,

4.750%, 5/22/2020, 144A

     475,130   
     400,000      

VTB Bank OJSC,

6.000%, 4/12/2017, 144A

     414,272   
        

 

 

 
           2,538,902   
        

 

 

 
     

Malaysia – 0.6%

  
     1,750,000      

Malaysia Government Bond,

3.434%, 8/15/2014, (MYR)

     555,847   
     18,220,000      

Malaysia Government Bond,

4.012%, 9/15/2017, (MYR)

     5,883,148   
     1,000,000      

Malaysia Government Bond,

4.262%, 9/15/2016, (MYR)

     324,646   
        

 

 

 
           6,763,641   
        

 

 

 
     

Mexico – 1.6%

  
     7,000,000      

America Movil SAB de CV,

3.500%, 2/08/2015, (CNY)

     1,108,413   
     10,000,000      

America Movil SAB de CV,

6.450%, 12/05/2022, (MXN)

     747,406   


Principal

Amount (‡)

   

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
    

Mexico – continued

  
$      300,000     

Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander,

4.125%, 11/09/2022, 144A

   $ 281,250   
     600,000     

BBVA Bancomer S.A.,

6.750%, 9/30/2022, 144A

     648,000   
     10,000,000     

Grupo Televisa SAB, EMTN,

7.250%, 5/14/2043, (MXN)

     654,546   
     264,500 (††††)   

Mexican Fixed Rate Bonds, Series M,

6.500%, 6/10/2021, (MXN)

     2,152,343   
     616,200 (††††)   

Mexican Fixed Rate Bonds, Series M,

6.500%, 6/09/2022, (MXN)

     4,998,532   
     424,200 (††††)   

Mexican Fixed Rate Bonds, Series M-10,

7.750%, 12/14/2017, (MXN)(d)

     3,609,900   
     74,000 (††††)   

Mexican Fixed Rate Bonds, Series M-10,

8.000%, 12/17/2015, (MXN)

     617,576   
     300,000 (††††)   

Mexican Fixed Rate Bonds, Series M-10,

8.500%, 12/13/2018, (MXN)

     2,650,140   
       

 

 

 
          17,468,106   
       

 

 

 
    

Netherlands – 0.3%

  
     525,000     

Bharti Airtel International Netherlands BV,

5.125%, 3/11/2023, 144A

     477,120   
     200,000     

Indosat Palapa Co. BV,

7.375%, 7/29/2020, 144A

     214,000   
     400,000     

Listrindo Capital BV,

6.950%, 2/21/2019, 144A

     408,000   
     100,000     

Myriad International Holding BV,

6.375%, 7/28/2017, 144A

     109,500   
     850,000     

Petrobras Global Finance BV,

3.000%, 1/15/2019

     789,553   
     1,750,000     

Petrobras Global Finance BV,

4.375%, 5/20/2023

     1,605,349   
       

 

 

 
          3,603,522   
       

 

 

 
    

New Zealand – 0.1%

  
     1,000,000     

New Zealand Government Bond,

6.000%, 5/15/2021, (NZD)

     881,598   
       

 

 

 
    

Norway – 0.3%

  
     475,000     

Eksportfinans ASA,

2.000%, 9/15/2015

     456,000   
     13,760,000     

Norwegian Government Bond,

4.500%, 5/22/2019, (NOK)

     2,571,300   
       

 

 

 
          3,027,300   
       

 

 

 
    

Panama – 0.0%

  
     300,000     

Banco Latinoamericano de Comercio Exterior S.A.,

3.750%, 4/04/2017, 144A

     303,750   
       

 

 

 
    

Peru – 0.0%

  
     400,000     

Transportadora de Gas del Peru S.A.,

4.250%, 4/30/2028, 144A

     354,000   
       

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

Philippines – 0.1%

  
     40,000,000      

Philippine Government International Bond,

3.900%, 11/26/2022, (PHP)

   $ 880,222   
     30,000,000      

Philippine Government International Bond,

4.950%, 1/15/2021, (PHP)

     707,021   
        

 

 

 
           1,587,243   
        

 

 

 
     

Poland – 0.1%

  
     2,200,000      

Poland Government Bond,

4.750%, 4/25/2017, (PLN)

     690,351   
     95,000      

Poland Government International Bond,

3.000%, 9/23/2014, (CHF)

     103,605   
     800,000      

Poland Government International Bond,

3.000%, 3/17/2023

     722,000   
        

 

 

 
           1,515,956   
        

 

 

 
     

Portugal – 0.1%

  
     440,000      

Portugal Obrigacoes do Tesouro OT,

4.100%, 4/15/2037, (EUR)

     398,941   
     715,000      

Portugal Obrigacoes do Tesouro OT,

4.950%, 10/25/2023, (EUR)

     830,073   
        

 

 

 
           1,229,014   
        

 

 

 
     

Romania – 0.1%

  
     2,600,000      

Romania Government Bond,

5.750%, 1/27/2016, (RON)

     766,640   
        

 

 

 
     

Russia – 0.0%

  
     200,000      

Gazprom OAO Via Gaz Capital S.A.,

4.950%, 5/23/2016, 144A

     207,666   
        

 

 

 
     

Singapore – 0.7%

  
     2,000,000      

DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter),

3.625%, 9/21/2022, 144A

     2,002,434   
     950,000      

Singapore Government Bond,

2.250%, 6/01/2021, (SGD)

     755,052   
     2,470,000      

Singapore Government Bond,

2.500%, 6/01/2019, (SGD)

     2,034,805   
     3,100,000      

Singapore Government Bond,

3.250%, 9/01/2020, (SGD)

     2,641,572   
     500,000      

TBG Global Pte Ltd.,

4.625%, 4/03/2018, 144A

     477,500   
        

 

 

 
           7,911,363   
        

 

 

 
     

South Africa – 0.1%

  
     650,000      

AngloGold Ashanti Holdings PLC,

5.125%, 8/01/2022

     574,758   
     285,000      

Republic of South Africa, EMTN,

4.500%, 4/05/2016, (EUR)

     395,269   
     700,000      

Transnet SOC Ltd.,

4.000%, 7/26/2022, 144A

     612,080   
        

 

 

 
           1,582,107   
        

 

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

Spain – 0.4%

  
     820,000      

Autonomous Community of Madrid Spain,

4.300%, 9/15/2026, 144A, (EUR)

   $ 865,119   
     1,270,000      

Spain Government Bond,

4.200%, 1/31/2037, (EUR)

     1,418,190   
     645,000      

Spain Government Bond,

4.300%, 10/31/2019, (EUR)

     849,958   
     1,250,000      

Spain Government Bond,

5.850%, 1/31/2022, (EUR)

     1,769,104   
        

 

 

 
           4,902,371   
        

 

 

 
     

Supranationals – 0.2%

  
     840,000      

Central American Bank for Economic Integration,

3.875%, 2/09/2017, 144A

     872,963   
     1,115,000      

Corp Andina de Fomento,

4.375%, 6/15/2022

     1,135,392   
        

 

 

 
           2,008,355   
        

 

 

 
     

Sweden – 0.3%

  
     400,000      

Eileme 2 AB,

11.625%, 1/31/2020

     452,000   
     1,000,000      

PKO Finance AB,

4.630%, 9/26/2022, 144A

     971,600   
     9,195,000      

Sweden Government Bond,

4.500%, 8/12/2015, (SEK)

     1,466,297   
     2,450,000      

Sweden Government Bond,

5.000%, 12/01/2020, (SEK)

     441,645   
        

 

 

 
           3,331,542   
        

 

 

 
     

Thailand – 0.4%

  
     950,000      

Thai Oil PCL,

3.625%, 1/23/2023, 144A

     866,716   
     93,000,000      

Thailand Government Bond,

3.250%, 6/16/2017, (THB)

     3,002,486   
        

 

 

 
           3,869,202   
        

 

 

 
     

Turkey – 0.5%

  
     800,000      

Arcelik AS,

5.000%, 4/03/2023, 144A

     716,000   
     600,000      

Export Credit Bank of Turkey,

5.375%, 11/04/2016, 144A

     623,250   
     1,600,000      

Turkey Government International Bond,

3.250%, 3/23/2023

     1,396,000   
     1,200,000      

Turkey Government International Bond,

5.125%, 3/25/2022

     1,230,000   
     600,000      

Turkiye Garanti Bankasi A.S.,

4.000%, 9/13/2017, 144A

     585,000   
     800,000      

Turkiye Is Bankasi,

3.875%, 11/07/2017, 144A

     780,000   
     600,000      

Yapi ve Kredi Bankasi Via Unicredit Luxembourg S.A.,

5.188%, 10/13/2015, 144A

     612,000   
        

 

 

 
           5,942,250   
        

 

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

United Arab Emirates – 0.1%

  
$      600,000      

Dubai Electricity & Water Authority,

6.375%, 10/21/2016, 144A

   $ 655,500   
     200,000      

Dubai Electricity & Water Authority,

8.500%, 4/22/2015, 144A

     217,000   
        

 

 

 
           872,500   
        

 

 

 
     

United Kingdom – 0.5%

  
     600,000      

Anglo American Capital PLC,

2.625%, 9/27/2017, 144A

     584,971   
     410,000,000      

Barclays Bank PLC, EMTN,

3.680%, 8/20/2015, (KRW)

     374,344   
     250,000      

BAT International Finance PLC,

3.250%, 6/07/2022, 144A

     244,708   
     150,000      

British Telecommunications PLC,

5.750%, 12/07/2028, (GBP)

     255,615   
     60,000      

BSKYB Finance UK PLC,

5.750%, 10/20/2017, (GBP)

     104,152   
     150,000      

Imperial Tobacco Finance PLC, EMTN,

6.250%, 12/04/2018, (GBP)

     266,682   
     400,000      

Old Mutual PLC, EMTN,

8.000%, 6/03/2021, (GBP)

     625,974   
     250,000      

Standard Chartered Bank, Series 17, EMTN,

5.875%, 9/26/2017, (EUR)

     366,340   
     705,000      

United Kingdom Treasury,

1.750%, 1/22/2017, (GBP)

     1,103,033   
     250,000      

United Kingdom Treasury,

4.250%, 3/07/2036, (GBP)

     432,762   
     1,150,000      

Vedanta Resources PLC,

6.000%, 1/31/2019, 144A

     1,092,500   
        

 

 

 
           5,451,081   
        

 

 

 
     

United States – 14.6%

  
     425,000      

Alcatel-Lucent USA, Inc.,

6.450%, 3/15/2029

     321,938   
     15,000      

Alcatel-Lucent USA, Inc.,

6.500%, 1/15/2028

     11,250   
     975,000      

Alcoa, Inc.,

5.900%, 2/01/2027

     912,011   
     1,325,000      

Ally Financial, Inc.,

5.500%, 2/15/2017

     1,384,373   
     257,000      

Ally Financial, Inc.,

6.750%, 12/01/2014

     270,171   
     55,000      

Ally Financial, Inc.,

7.500%, 12/31/2013

     56,375   
     129,000      

Ally Financial, Inc.,

8.000%, 12/31/2018

     146,093   
     1,728,000      

Ally Financial, Inc.,

8.000%, 11/01/2031

     2,077,920   
     200,000      

American Airlines Pass Through Trust, Series 2013-1, Class A,

4.000%, 1/15/2027, 144A

     189,000   
     720,000      

American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter),

8.175%, 5/15/2068

     878,400   
     16,197      

Atlas Air Pass Through Trust, Series 1998-1, Class B,

7.680%, 7/02/2015

     16,359   


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

United States – continued

  
$      925,000      

Aviation Capital Group Corp.,

6.750%, 4/06/2021, 144A

   $ 974,171   
     145,000      

Avnet, Inc.,

6.000%, 9/01/2015

     156,140   
     1,820,000      

Ball Corp.,

5.000%, 3/15/2022

     1,810,900   
     200,000      

Bank of America Corp.,

5.490%, 3/15/2019

     215,648   
     450,000      

Bank of America Corp., (fixed rate to 5/06/2014, variable rate thereafter),

4.750%, 5/06/2019, (EUR)

     579,885   
     115,000      

Bank of America Corp., MTN,

5.000%, 5/13/2021

     122,620   
     50,000      

Beazer Homes USA, Inc.,

7.250%, 2/01/2023, 144A

     50,500   
     15,000      

Boston Scientific Corp.,

5.125%, 1/12/2017

     16,293   
     15,000      

Boston Scientific Corp.,

6.400%, 6/15/2016

     16,870   
     1,415,000      

Cantor Fitzgerald LP,

6.375%, 6/26/2015, 144A

     1,422,337   
     1,995,000      

CenturyLink, Inc.,

6.450%, 6/15/2021

     2,079,787   
     510,000      

CenturyLink, Inc.,

7.650%, 3/15/2042

     484,500   
     55,000      

CenturyLink, Inc., Series G,

6.875%, 1/15/2028

     53,625   
     605,000      

CenturyLink, Inc., Series P,

7.600%, 9/15/2039

     574,750   
     20,000      

Chesapeake Energy Corp.,

6.625%, 8/15/2020

     21,500   
     95,000      

Chesapeake Energy Corp.,

6.875%, 11/15/2020

     103,075   
     2,300,000      

Chrysler Group LLC/CG Co-Issuer, Inc.,

8.250%, 6/15/2021

     2,538,625   
     750,000      

Citigroup, Inc.,

6.250%, 6/29/2017, (NZD)

     606,326   
     1,470,000      

Clear Channel Worldwide Holdings, Inc.,

7.625%, 3/15/2020

     1,521,450   
     155,000      

Cleaver-Brooks, Inc.,

8.750%, 12/15/2019, 144A

     162,750   
     1,005,000      

Continental Airlines Pass Through Certificates, Series 2012-3, Class C,

6.125%, 4/29/2018

     1,015,050   
     423,606      

Continental Airlines Pass Through Trust, Series 1999-1, Class B,

6.795%, 2/02/2020

     437,373   
     235,000      

Cummins, Inc.,

5.650%, 3/01/2098

     222,579   
     233,314      

Delta Air Lines Pass Through Trust, Series 2007-1, Class B,

8.021%, 2/10/2024

     254,896   
     217,731      

Delta Air Lines Pass Through Trust, Series 2007-1, Class C,

8.954%, 8/10/2014

     219,909   
     42,000      

Dillard’s, Inc.,

6.625%, 1/15/2018

     46,200   
     50,000      

Dillard’s, Inc.,

7.000%, 12/01/2028

     52,500   


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

United States – continued

  
$      8,000      

Dillard’s, Inc.,

7.750%, 7/15/2026

   $ 8,780   
     310,000      

DR Horton, Inc.,

4.375%, 9/15/2022

     294,500   
     4,214,118      

Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.,

11.250%, 12/01/2018, 144A(e)

     3,560,930   
     250,000      

Exelon Corp.,

4.900%, 6/15/2015

     267,562   
     1,725,000      

First Data Corp.,

10.625%, 6/15/2021, 144A

     1,703,437   
     150,000      

Foot Locker, Inc.,

8.500%, 1/15/2022(c)

     168,316   
     25,000      

Ford Motor Co.,

6.375%, 2/01/2029

     26,494   
     50,000      

Ford Motor Co.,

6.625%, 2/15/2028

     53,118   
     2,105,000      

Ford Motor Co.,

6.625%, 10/01/2028

     2,294,983   
     40,000      

Ford Motor Co.,

7.125%, 11/15/2025

     45,471   
     835,000      

Ford Motor Co.,

7.400%, 11/01/2046

     983,815   
     5,000      

Ford Motor Co.,

7.500%, 8/01/2026

     5,782   
     1,000,000      

Ford Motor Credit Co. LLC,

5.000%, 5/15/2018

     1,066,424   
     845,000      

Ford Motor Credit Co. LLC,

7.000%, 4/15/2015

     916,074   
     905,000      

Forethought Financial Group, Inc.,

8.625%, 4/15/2021, 144A

     1,043,081   
     28,000      

Freescale Semiconductor, Inc.,

10.125%, 12/15/2016

     28,735   
     50,000      

General Electric Capital Corp., GMTN,

3.100%, 1/09/2023

     47,233   
     600,000      

General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter),

7.125%, 12/29/2049

     678,000   
     900,000      

General Electric Capital Corp., Series A, GMTN,

7.625%, 12/10/2014, (NZD)

     732,840   
     3,435,000      

Georgia-Pacific LLC,

7.250%, 6/01/2028

     4,290,861   
     105,000      

Georgia-Pacific LLC,

7.375%, 12/01/2025

     133,714   
     180,000      

Georgia-Pacific LLC,

7.750%, 11/15/2029

     232,092   
     315,000      

Georgia-Pacific LLC,

8.875%, 5/15/2031

     440,021   
     200,000      

Gerdau Holdings, Inc.,

7.000%, 1/20/2020, 144A

     211,000   
     800,000      

Goldman Sachs Group, Inc. (The),

3.375%, 2/01/2018, (CAD)

     750,556   
     2,295,000      

Goldman Sachs Group, Inc. (The),

6.750%, 10/01/2037

     2,350,915   
     50,000      

Goldman Sachs Group, Inc. (The),

6.875%, 1/18/2038, (GBP)

     83,177   


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

United States – continued

  
$      3,045,000      

Goodyear Tire & Rubber Co. (The),

7.000%, 5/15/2022

   $ 3,121,125   
     165,000      

Goodyear Tire & Rubber Co. (The),

7.000%, 3/15/2028

     163,144   
     70,000      

GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM,

5.982%, 8/10/2045(f)

     67,295   
     425,000      

Halcon Resources Corp.,

8.875%, 5/15/2021

     412,250   
     410,000      

Hanover Insurance Group, Inc. (The),

6.375%, 6/15/2021

     455,158   
     1,000,000      

HCA Holdings, Inc.,

6.250%, 2/15/2021

     1,020,000   
     20,000      

HCA, Inc.,

5.750%, 3/15/2014

     20,400   
     90,000      

HCA, Inc.,

6.375%, 1/15/2015

     94,275   
     225,000      

HCA, Inc.,

7.050%, 12/01/2027

     220,500   
     245,000      

HCA, Inc.,

7.190%, 11/15/2015

     264,600   
     90,000      

HCA, Inc.,

7.500%, 12/15/2023

     93,600   
     820,000      

HCA, Inc.,

7.500%, 11/06/2033

     844,600   
     1,500,000      

HCA, Inc.,

7.690%, 6/15/2025

     1,620,000   
     395,000      

HCA, Inc.,

8.360%, 4/15/2024

     446,350   
     195,000      

HCA, Inc., MTN,

7.580%, 9/15/2025

     206,700   
     75,000      

HCA, Inc., MTN,

7.750%, 7/15/2036

     75,375   
     855,000      

Hecla Mining Co.,

6.875%, 5/01/2021, 144A

     793,013   
     585,000      

Hercules, Inc.,

6.500%, 6/30/2029

     508,950   
     470,000      

Highwoods Properties, Inc.,

5.850%, 3/15/2017

     513,751   
     110,000      

Incitec Pivot Finance LLC,

6.000%, 12/10/2019, 144A

     120,525   
     80,000      

International Lease Finance Corp.,

5.875%, 4/01/2019

     80,800   
     1,620,000      

International Lease Finance Corp.,

6.250%, 5/15/2019

     1,664,550   
     1,370,000      

International Lease Finance Corp., Series R, MTN,

5.625%, 9/20/2013

     1,379,590   
     45,000      

iStar Financial, Inc.,

3.875%, 7/01/2016

     43,200   
     145,000      

iStar Financial, Inc.,

4.875%, 7/01/2018

     136,300   
     70,000      

iStar Financial, Inc.,

5.850%, 3/15/2017

     71,400   
     405,000      

iStar Financial, Inc.,

5.875%, 3/15/2016

     413,100   


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

United States – continued

  
$      145,000      

iStar Financial, Inc.,

6.050%, 4/15/2015

   $ 147,900   
     200,000      

iStar Financial, Inc.,

7.125%, 2/15/2018

     207,500   
     35,000      

iStar Financial, Inc., Series B,

5.700%, 3/01/2014

     35,525   
     5,000      

J.C. Penney Corp., Inc.,

5.750%, 2/15/2018

     4,388   
     64,000      

J.C. Penney Corp., Inc.,

6.375%, 10/15/2036

     49,920   
     10,000      

J.C. Penney Corp., Inc.,

7.400%, 4/01/2037

     8,125   
     5,000      

J.C. Penney Corp., Inc.,

7.625%, 3/01/2097

     3,700   
     2,995,000      

Jack Cooper Holdings Corp.,

9.250%, 6/01/2020, 144A

     2,995,000   
     370,000      

Jefferies Group LLC,

3.875%, 11/09/2015

     382,950   
     665,000      

Jefferies Group LLC,

5.125%, 4/13/2018

     694,926   
     30,000      

Jefferies Group LLC,

5.125%, 1/20/2023

     29,769   
     1,070,000      

Jefferies Group LLC,

6.250%, 1/15/2036

     1,032,550   
     685,000      

Jefferies Group LLC,

6.450%, 6/08/2027

     674,725   
     1,410,000      

Jefferies Group LLC,

6.875%, 4/15/2021

     1,550,707   
     15,000      

K. Hovnanian Enterprises, Inc.,

5.000%, 11/01/2021

     13,500   
     260,000      

K. Hovnanian Enterprises, Inc.,

6.250%, 1/15/2016

     263,900   
     1,665,000      

KB Home,

8.000%, 3/15/2020

     1,848,150   
     190,000      

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,

7.375%, 10/01/2017, 144A

     193,800   
     15,000      

Lennar Corp., Series B,

5.500%, 9/01/2014

     15,488   
     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

     59,400   
     135,000      

Level 3 Financing, Inc.,

7.000%, 6/01/2020

     134,663   
     1,435,000      

Level 3 Financing, Inc.,

8.625%, 7/15/2020

     1,528,275   
     30,000      

Level 3 Financing, Inc.,

9.375%, 4/01/2019

     32,400   
     165,000      

Masco Corp.,

6.500%, 8/15/2032

     164,175   
     865,000      

Masco Corp.,

7.750%, 8/01/2029

     954,909   
     600,000      

Merrill Lynch & Co., Inc.,

6.050%, 5/16/2016

     649,684   


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

United States – continued

  
$      2,700,000      

Merrill Lynch & Co., Inc.,

6.110%, 1/29/2037

   $ 2,657,780   
     310,000      

Momentive Specialty Chemicals, Inc.,

7.875%, 2/15/2023(g)

     223,200   
     398,000      

Momentive Specialty Chemicals, Inc.,

8.375%, 4/15/2016(g)

     342,280   
     1,270,000      

Morgan Stanley,

2.125%, 4/25/2018

     1,215,429   
     1,125,000      

Morgan Stanley,

4.875%, 11/01/2022

     1,111,389   
     230,000      

Morgan Stanley,

5.375%, 11/14/2013, (GBP)

     354,541   
     2,500,000      

Morgan Stanley,

5.750%, 1/25/2021

     2,713,630   
     500,000      

Morgan Stanley, GMTN,

7.625%, 3/03/2016, (AUD)

     487,102   
     475,000      

Morgan Stanley, MTN,

4.100%, 5/22/2023

     438,862   
     600,000      

Morgan Stanley, MTN,

6.250%, 8/09/2026

     657,583   
     100,000      

Morgan Stanley, Series F, MTN,

0.727%, 10/18/2016(f)

     96,807   
     440,000      

Neenah Paper, Inc.,

5.250%, 5/15/2021, 144A

     429,000   
     1,552,000      

New Albertson’s, Inc.,

7.450%, 8/01/2029

     1,218,320   
     245,000      

New Albertson’s, Inc.,

7.750%, 6/15/2026

     193,244   
     3,605,000      

New Albertson’s, Inc.,

8.000%, 5/01/2031

     2,865,975   
     2,110,000      

New Albertson’s, Inc.,

8.700%, 5/01/2030

     1,735,475   
     315,000      

New Albertson’s, Inc., Series C, MTN,

6.625%, 6/01/2028

     217,350   
     15,000      

News America, Inc.,

6.400%, 12/15/2035

     16,755   
     155,000      

NGPL PipeCo LLC,

7.768%, 12/15/2037, 144A

     136,400   
     115,000      

Owens Corning, Inc.,

6.500%, 12/01/2016

     128,373   
     535,000      

Owens Corning, Inc.,

7.000%, 12/01/2036

     572,482   
     40,000      

Owens-Illinois, Inc.,

7.800%, 5/15/2018

     45,800   
     540,000      

Pulte Group, Inc.,

6.000%, 2/15/2035

     496,800   
     785,000      

Pulte Group, Inc.,

6.375%, 5/15/2033

     733,975   
     220,000      

Pulte Group, Inc.,

7.875%, 6/15/2032

     242,000   
     1,335,000      

Qwest Capital Funding, Inc.,

6.500%, 11/15/2018

     1,475,175   
     650,000      

Qwest Capital Funding, Inc.,

6.875%, 7/15/2028

     624,000   


Principal

Amount (‡)

   

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
    

United States – continued

  
$      400,000     

Qwest Capital Funding, Inc.,

7.625%, 8/03/2021

   $ 440,000   
     60,000     

Qwest Capital Funding, Inc.,

7.750%, 2/15/2031

     59,100   
     560,000     

Qwest Corp.,

6.875%, 9/15/2033

     541,800   
     115,000     

Qwest Corp.,

7.250%, 9/15/2025

     128,586   
     1,155,000     

R.R. Donnelley & Sons Co.,

8.250%, 3/15/2019

     1,212,750   
     200,000     

Rain CII Carbon LLC/CII Carbon Corp.,

8.250%, 1/15/2021, 144A

     200,000   
     500,000     

Range Resources Corp.,

5.000%, 8/15/2022

     488,750   
     750,000     

Reliance Holdings USA, Inc.,

5.400%, 2/14/2022, 144A

     761,917   
     80,000     

Reynolds American, Inc.,

6.750%, 6/15/2017

     92,703   
     400,000     

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer

(Luxembourg) S.A.,

9.875%, 8/15/2019

     428,000   
     655,000     

Rockies Express Pipeline LLC,

3.900%, 4/15/2015, 144A

     648,450   
     855,000     

Rockies Express Pipeline LLC,

6.875%, 4/15/2040, 144A

     735,300   
     1,970,000     

Rosetta Resources, Inc.,

5.625%, 5/01/2021

     1,923,212   
     760,000     

Shearer’s Foods LLC/Chip Finance Corp.,

9.000%, 11/01/2019, 144A

     803,700   
     915,000     

SLM Corp.,

5.500%, 1/25/2023

     871,267   
     1,600 (†††††)   

SLM Corp.,

6.000%, 12/15/2043

     36,529   
     141,000     

SLM Corp., MTN,

3.875%, 9/10/2015

     142,417   
     40,000     

SLM Corp., MTN,

4.625%, 9/25/2017

     39,400   
     1,130,000     

SLM Corp., MTN,

7.250%, 1/25/2022

     1,186,500   
     10,000     

SLM Corp., Series A, MTN,

0.576%, 1/27/2014(f)

     9,912   
     10,000     

SLM Corp., Series A, MTN,

5.000%, 6/15/2018

     9,699   
     2,560,000     

SLM Corp., Series A, MTN,

5.625%, 8/01/2033

     2,124,800   
     595,000     

SLM Corp., Series A, MTN,

8.450%, 6/15/2018

     660,450   
     400,000     

Springleaf Finance Corp., MTN,

5.750%, 9/15/2016

     391,000   
     300,000     

Springleaf Finance Corp., Series I, MTN,

5.400%, 12/01/2015

     299,250   
     595,000     

Springleaf Finance Corp., Series J, MTN,

6.900%, 12/15/2017

     583,844   


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

United States – continued

  
$      294,000      

Sprint Capital Corp.,

6.875%, 11/15/2028

   $ 282,240   
     420,000      

Sprint Capital Corp.,

6.900%, 5/01/2019

     436,800   
     110,000      

Sprint Capital Corp.,

8.750%, 3/15/2032

     121,000   
     26,000      

Sprint Nextel Corp.,

6.000%, 12/01/2016

     27,430   
     2,910,000      

SUPERVALU, Inc.,

6.750%, 6/01/2021, 144A

     2,706,300   
     1,360,000      

Tenet Healthcare Corp.,

6.875%, 11/15/2031

     1,169,600   
     820,000      

Textron, Inc.,

5.950%, 9/21/2021

     903,565   
     1,431,000      

Toys R Us, Inc.,

7.375%, 10/15/2018

     1,291,478   
     2,425,000      

U.S. Treasury Note,

0.125%, 12/31/2014

     2,420,642   
     21,000,000      

U.S. Treasury Note,

0.250%, 5/31/2014

     21,012,306   
     2,420,000      

U.S. Treasury Note,

0.250%, 10/31/2014

     2,420,946   
     6,595,000      

U.S. Treasury Note,

0.250%, 2/15/2015(d)

     6,591,135   
     2,735,000      

U.S. Treasury Note,

0.250%, 12/15/2015

     2,718,546   
     2,420,000      

U.S. Treasury Note,

0.375%, 11/15/2015

     2,414,705   
     3,230,000      

U.S. Treasury Note,

1.625%, 11/15/2022

     3,015,257   
     33,418      

UAL Pass Through Trust, Series 2009-1,

10.400%, 05/01/2018

     38,431   
     630,000      

United Continental Holdings, Inc.,

6.375%, 6/01/2018

     618,975   
     295,000      

United Rentals North America, Inc.,

7.625%, 4/15/2022

     319,338   
     1,735,000      

United States Steel Corp.,

6.650%, 6/01/2037

     1,461,737   
     770,000      

United States Steel Corp.,

7.500%, 3/15/2022

     754,600   
     139,748      

US Airways Pass Through Trust, Series 2012-1A, Class A,

5.900%, 4/01/2026

     146,735   
     74,946      

US Airways Pass Through Trust, Series 2012-1B, Class B,

8.000%, 4/01/2021

     81,316   
     530,000      

US Airways Pass Through Trust, Series 2012-2A, Class A ,

4.625%, 12/03/2026

     524,700   
     50,000      

USG Corp.,

6.300%, 11/15/2016

     51,000   
     230,000      

USG Corp.,

9.750%, 1/15/2018

     261,050   
     525,000      

Valeant Pharmaceuticals International,

6.375%, 10/15/2020, 144A

     519,094   
     110,000      

Verizon Pennsylvania, Inc.,

6.000%, 12/01/2028

     115,330   


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

United States – continued

  
$      260,000      

Visant Corp.,

10.000%, 10/01/2017

   $ 239,850   
     85,000      

Wells Fargo & Co.,

4.625%, 11/02/2035, (GBP)

     127,672   
     100,000      

Wells Fargo & Co., Series F, EMTN,

4.875%, 11/29/2035, (GBP)

     145,769   
     60,000      

Weyerhaeuser Co.,

6.950%, 10/01/2027

     68,648   
     315,000      

Weyerhaeuser Co.,

7.375%, 3/15/2032

     378,148   
     125,000      

Xerox Corp.,

6.750%, 2/01/2017

     141,409   
     20,000      

Xerox Corp., MTN,

7.200%, 4/01/2016

     22,651   
     250,000      

Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter),

4.500%, 6/15/2025, (EUR)

     335,988   
        

 

 

 
           164,246,594   
        

 

 

 
     

Total Non-Convertible Bonds

(Identified Cost $304,227,225)

     307,968,063   
        

 

 

 

Convertible Bonds – 0.7%

  
     

United States – 0.7%

  
     350,000      

ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019),

4.000%, 2/15/2027(h)

     309,313   
     390,000      

Chesapeake Energy Corp.,

2.500%, 5/15/2037

     367,331   
     175,000      

Chesapeake Energy Corp.,

2.750%, 11/15/2035

     173,688   
     185,000      

Ciena Corp.,

3.750%, 10/15/2018, 144A

     231,481   
     125,000      

Ford Motor Co.,

4.250%, 11/15/2016

     225,859   
     420,000      

Hologic, Inc., (accretes to principal after 12/15/2013),

2.000%, 12/15/2037(h)

     421,312   
     325,000      

Hologic, Inc., (accretes to principal after 3/01/2018),

2.000%, 3/01/2042(h)

     321,547   
     1,125,000      

Intel Corp.,

3.250%, 8/01/2039

     1,433,672   
     215,000      

Level 3 Communications, Inc.,

7.000%, 3/15/2015, 144A(g)

     250,206   
     2,200,000      

Old Republic International Corp.,

3.750%, 3/15/2018

     2,475,000   
     375,000      

Omnicare, Inc.,

3.750%, 12/15/2025

     693,750   
     610,000      

Owens-Brockway Glass Container, Inc.,

3.000%, 6/01/2015, 144A

     617,625   
     90,000      

Trinity Industries, Inc.,

3.875%, 6/01/2036

     105,525   
     265,000      

United States Steel Corp.,

2.750%, 4/01/2019

     261,522   
        

 

 

 
     

Total Convertible Bonds

(Identified Cost $6,637,500)

     7,887,831   
        

 

 

 

 


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

   $ 385,104   
     130,000      

Virginia Tobacco Settlement Financing Corp., Series A-1,

6.706%, 6/01/2046

     97,614   
        

 

 

 
     

Total Municipals

(Identified Cost $447,084)

     482,718   
        

 

 

 
     

Total Bonds and Notes

(Identified Cost $311,311,809)

     316,338,612   
        

 

 

 

Senior Loans – 0.5%

  
     

United States – 0.5%

  
     310,000      

Apria Healthcare Group I, Term Loan,

6.750%, 4/05/2020(f)

     309,904   
     1,870,313      

Fairpoint Communications, Inc., Refi Term Loan,

7.500%, 2/14/2019(f)

     1,828,230   
     1,065,000      

Flying Fortress, Inc., New Term Loan,

3.500%, 6/30/2017(f)

     1,062,337   
     435,000      

Power Team Services LLC, 1st Lien Term Loan,

4.250%, 5/06/2020(f)

     429,563   
     120,000      

Power Team Services LLC, 2nd Lien Term Loan,

8.250%, 11/06/2020(f)

     117,900   
     44,015      

SuperMedia, Inc., Exit Term Loan,

11.600%, 12/31/2015(f)

     34,525   
     923,316      

Supervalu, Inc., Refi Term Loan B,

5.000%, 3/21/2019(f)

     916,262   
     344,138      

TI Group Automotive Systems LLC, Term Loan B,

5.500%, 3/27/2019(f)

     347,366   
     814,000      

US Airways Group, Inc., Term Loan B1,

4.250%, 5/23/2019(f)

     803,483   
        

 

 

 
     

Total Senior Loans

(Identified Cost $5,907,641)

     5,849,570   
        

 

 

 

Shares

             

Preferred Stocks – 0.5%

  

Convertible Preferred Stocks – 0.4%

  
     

United States – 0.4%

  
     460      

Chesapeake Energy Corp.,

5.000%

     39,822   
     100      

Chesapeake Energy Corp., Series A,

5.750% 144A

     102,563   
     71,820      

General Motors Co., Series B,

4.750%

     3,458,851   
     820      

Lucent Technologies Capital Trust I,

7.750%

     783,100   
        

 

 

 
     

Total Convertible Preferred Stocks

(Identified Cost $4,105,301)

     4,384,336   
        

 

 

 


Shares

    

Description

   Value (†)  

Preferred Stocks – continued

  

Non-Convertible Preferred Stock – 0.1%

  
     

United States – 0.1%

  
     682      

Ally Financial, Inc., Series G,

7.000% 144A

(Identified Cost $145,366)

   $ 648,220   
        

 

 

 
     

Total Preferred Stocks

(Identified Cost $4,250,667)

     5,032,556   
        

 

 

 

Principal

Amount (‡)

             

Short-Term Investments – 3.7%

  
$      28,626      

Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $28,626 on 7/01/2013 collateralized by $35,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $32,969 including accrued interest(i)

     28,626   
     41,928,976      

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $41,928,976 on 7/01/2013 collateralized by $44,320,000 Federal Home Loan Mortgage Corp., 1.650% due 11/15/2019 valued at $42,768,800 including accrued interest(i)

     41,928,976   
        

 

 

 
     

Total Short-Term Investments

(Identified Cost $41,957,602)

     41,957,602   
        

 

 

 
     

Total Investments – 101.3%

(Identified Cost $1,059,891,263)(a)

     1,137,509,618   
     

Other assets less liabilities – (1.3)%

     (14,362,358
        

 

 

 
     

Net Assets – 100.0%

   $ 1,123,147,260   
        

 

 

 


(‡) 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 prices 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 under the general supervision of the Board of Trustees.

 

     The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing 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 on a daily basis 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, 2013, approximately 23% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees. as events occurring after the close of the foreign market were believed to materially affect the value of those securities.

 

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

 

(††) 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, 2013, the net unrealized appreciation on investments based on a cost of $1,060,506,899 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

   $ 103,134,163   

Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value

     (26,131,444
  

 

 

 

Net unrealized appreciation

   $ 77,002,719   
  

 

 

 

 

     At September 30, 2012, the Fund had a short-term capital loss carryforward of $25,714,481 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) Non-income producing security.
(c) Fair valued by the Fund’s investment adviser. At June 30, 2013, the value of these securities amounted to $8,519,318 or 0.8% of net assets.
(d) All of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts.
(e) All or a portion of interest payment is paid-in-kind.
(f) Variable rate security. Rate as of June 30, 2013 is disclosed.
(g) Illiquid security. At June 30, 2013, the value of these securities amounted to $815,686 or 0.1% of net assets.
(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, 2013, the value of Rule 144A holdings amounted to $83,869,845 or 7.5% of net assets.
GDR A Global Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of 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
OJSC Open Joint-Stock Company

 

AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
CNY Chinese Yuan 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
PLN Polish Zloty
RON Romanian Leu
SEK Swedish Krona
SGD Singapore Dollar
THB Thailand Baht

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, 2013, the Fund had the following open forward foreign currency contracts:

 

Contract to

Buy/Sell

   Delivery
Date
    

Currency

   Units
of
Currency
     Notional
Value
     Unrealized
Appreciation
(Depreciation)
 

Sell1

     9/18/2013       Australian Dollar      700,000       $ 636,567       $ 30,883   

Buy1

     8/02/2013       Brazilian Real      1,980,000         881,155         (97,202

Sell1

     8/02/2013       Brazilian Real      1,980,000         881,155         89,052   

Sell1

     7/08/2013       Brazilian Real      1,610,000         720,555         71,534   

Sell1

     9/05/2013       Canadian Dollar      6,610,000         6,275,378         96,198   

Buy2

     9/20/2013       Malaysian Ringgit      1,250,000         393,602         903   

Buy3

     7/31/2013       New Zealand Dollar      3,165,000         2,447,623         (36,624

Sell3

     7/31/2013       New Zealand Dollar      3,165,000         2,447,623         195,215   

Buy3

     9/11/2013       South Korean Won      780,000,000         680,737         (12,812

Buy1

     9/11/2013       South Korean Won      1,488,000,000         1,298,636         (24,383
                 

 

 

 

Total

  

   $ 312,764   
                 

 

 

 

 


At June 30, 2013, the Fund had the following open forward foreign cross currency contracts:

 

Settlement Date

   Deliver/Units of Currency      Receive4/Units of  Currency      Unrealized
Appreciation
(Depreciation)
 

9/12/2013

     Norwegian Krone         5,600,000         Euro         730,768       $ 31,920   
              

 

 

 

1Counterparty is Credit Suisse International.

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

3Counterparty is Barclays Bank PLC.

4 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, 2013, at value:

Asset Valuation Inputs

 

Description

   Level 1      Level 2      Level 3      Total  

Common Stocks

           

Belgium

   $ —         $ 15,945,495       $ —         $ 15,945,495   

China

     —           24,008,178         —           24,008,178   

France

     —           21,804,811         —           21,804,811   

Germany

     —           28,138,190         —           28,138,190   

Japan

     —           10,401,651         —           10,401,651   

Russia

     —           8,351,002         —           8,351,002   

Sweden

     —           12,702,356         —           12,702,356   

Switzerland

     —           24,037,395         —           24,037,395   

Thailand

     —           12,067,347         —           12,067,347   

United Kingdom

     —           111,722,165         —           111,722,165   

All Other Common Stocks*

     499,152,688         —           —           499,152,688   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Common Stocks

     499,152,688         269,178,590         —           768,331,278   
  

 

 

    

 

 

    

 

 

    

 

 

 

Bonds and Notes

           

Non-Convertible Bonds

           

Korea

     —           4,876,420         6,560,676         11,437,096   

United States

     36,529         161,117,980         3,092,085         164,246,594   

All Other Non-Convertible Bonds*

     —           132,284,373         —           132,284,373   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Non-Convertible Bonds

     36,529         298,278,773         9,652,761         307,968,063   
  

 

 

    

 

 

    

 

 

    

 

 

 

Convertible Bonds*

     —           7,887,831         —           7,887,831   

Municipals*

     —           482,718         —           482,718   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Bonds and Notes

     36,529         306,649,322         9,652,761         316,338,612   
  

 

 

    

 

 

    

 

 

    

 

 

 

Senior Loans*

     —           5,849,570         —           5,849,570   

Preferred Stocks

           

Convertible Preferred Stocks*

     4,384,336         —           —           4,384,336   

Non-Convertible Preferred Stock*

     —           648,220         —           648,220   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Preferred Stocks

     4,384,336         648,220         —           5,032,556   
  

 

 

    

 

 

    

 

 

    

 

 

 

Short-Term Investments

     —           41,957,602         —           41,957,602   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

     503,573,553         624,283,304         9,652,761         1,137,509,618   
  

 

 

    

 

 

    

 

 

    

 

 

 

Forward Foreign Currency Contracts (unrealized appreciation)

     —           515,705         —           515,705   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 503,573,553       $ 624,799,009       $ 9,652,761       $ 1,138,025,323   
  

 

 

    

 

 

    

 

 

    

 

 

 

 


Liability Valuation Inputs

 

Description

   Level 1      Level 2     Level 3      Total  

Forward Foreign Currency Contracts (unrealized depreciation)

   $ —         $ (171,021   $ —         $ (171,021
  

 

 

    

 

 

   

 

 

    

 

 

 

 

* 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 September 30, 2012 and/or June 30, 2013:

Asset Valuation Inputs

Investments in
Securities

   Balance as of
September 30,
2012
     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,
2013
     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30, 2013
 

Bonds and Notes

                         

Non-Convertible Bonds

                         

Korea

   $ 2,528,229       $ (23,619   $ —         $ (316,876   $ 4,372,942       $ —        $ —         $ —        $ 6,560,676       $ (316,876

United States

     638,272         1,168        48,721         (82,472     1,735,000         (535,664     1,925,332         (638,272     3,092,085         (82,472
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 3,166,501       $ (22,451   $ 48,721       $ (399,348   $ 6,107,942       $ (535,664   $ 1,925,332       $ (638,272   $ 9,652,761       $ (399,348
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Debt securities valued at $1,925,332 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.

A debt valued at $638,272 was transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

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, 2013, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of June 30, 2013, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Fund’s claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of June 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $515,705 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $344,684.


The following is a summary of derivative instruments for the Fund, as of June 30, 2013:

 

Asset Derivatives

   Foreign Exchange
Contracts
 

Forwards (unrealized appreciation)

   $ 515,705   

Liability Derivatives

   Foreign Exchange
Contracts
 

Forwards (unrealized depreciation)

   $ (171,021

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.

Unfunded Loan Commitments

The Fund may enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments are marked-to-market daily with the resulting unrealized appreciation (depreciation) recorded on the Fund’s books and records. As of June 30, 2013, the Fund had one unfunded loan commitment which could be funded at the option of the following Borrower, pursuant to the loan agreement:

 

Borrower

   Unfunded Loan Commitment  

Power Team Services LLC

   $ 55,000   

Industry Summary at June 30, 2013 (Unaudited)

 

Treasuries

     9.3

Pharmaceuticals

     7.5   

Commercial Banks

     5.7   

Beverages

     4.3   

Chemicals

     4.2   

Oil, Gas & Consumable Fuels

     4.1   

Banking

     3.5   

Specialty Retail

     3.1   

Energy Equipment & Services

     2.9   

Internet Software & Services

     2.9   

Aerospace & Defense

     2.8   

Diversified Financial Services

     2.3   

Textiles, Apparel & Luxury Goods

     2.2   

Machinery

     2.2   

Other Investments, less than 2% each

     40.6   

Short-Term Investments

     3.7   
  

 

 

 

Total Investments

     101.3   

Other assets less liabilities (including open forward foreign currency contracts)

     (1.3
  

 

 

 

Net Assets

     100.0
  

 

 

 

Currency Exposure Summary at June 30, 2013 (Unaudited)

 

United States Dollar

     67.9

British Pound

     10.4   

Euro

     7.2   

Mexican Peso

     2.6   

Swiss Franc

     2.1   

Hong Kong Dollar

     2.1   

Other, less than 2% each

     9.0   
  

 

 

 

Total Investments

     101.3   

Other assets less liabilities (including open forward foreign currency contracts)

     (1.3
  

 

 

 

Net Assets

     100.0
  

 

 

 


PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Growth Fund

 

Shares

    

Description

   Value (†)  

Common Stocks – 97.8% of Net Assets

  
     

Air Freight & Logistics – 6.6%

  

     167,217      

Expeditors International of Washington, Inc.

   $ 6,355,918   
     87,311      

United Parcel Service, Inc., Class B

     7,550,655   
        

 

 

 
     13,906,573   
        

 

 

 
     

Beverages – 7.4%

  

     121,016      

Coca-Cola Co. (The)

     4,853,952   
     6,779      

Diageo PLC, Sponsored ADR

     779,246   
     80,451      

Monster Beverage Corp.(b)

     4,889,007   
     105,305      

SABMiller PLC, Sponsored ADR

     5,074,648   
        

 

 

 
     15,596,853   
        

 

 

 
     

Biotechnology – 2.4%

  

     51,524      

Amgen, Inc.

     5,083,358   
        

 

 

 
     

Capital Markets – 6.6%

  

     21,657      

Franklin Resources, Inc.

     2,945,785   
     57,603      

Greenhill & Co., Inc.

     2,634,761   
     106,125      

Legg Mason, Inc.

     3,290,937   
     178,656      

SEI Investments Co.

     5,079,190   
        

 

 

 
     13,950,673   
        

 

 

 
     

Communications Equipment – 9.9%

  

     495,532      

Cisco Systems, Inc.

     12,046,383   
     142,639      

QUALCOMM, Inc.

     8,712,390   
        

 

 

 
     20,758,773   
        

 

 

 
     

Consumer Finance – 2.8%

  

     77,867      

American Express Co.

     5,821,337   
        

 

 

 
     

Energy Equipment & Services – 3.0%

  

     87,928      

Schlumberger Ltd.

     6,300,920   
        

 

 

 
     

Food Products – 3.9%

  

     551,247      

Danone S.A., Sponsored ADR

     8,268,705   
        

 

 

 
     

Health Care Equipment & Supplies – 6.3%

  

     72,398      

Varian Medical Systems, Inc.(b)

     4,883,245   
     112,656      

Zimmer Holdings, Inc.

     8,442,441   
        

 

 

 
     13,325,686   
        

 

 

 
     

Household Products – 4.5%

  

     35,286      

Clorox Co. (The)

     2,933,678   
     84,692      

Procter & Gamble Co. (The)

     6,520,437   
        

 

 

 
     9,454,115   
        

 

 

 
     

Internet & Catalog Retail – 5.7%

  

     43,033      

Amazon.com, Inc.(b)

     11,949,834   
        

 

 

 
     

Internet Software & Services – 8.7%

  

     230,237      

Facebook, Inc., Class A(b)

     5,723,692   


Shares

    

Description

   Value (†)  

Common Stocks – continued

  
     

Internet Software & Services – continued

  

     14,218      

Google, Inc., Class A(b)

   $ 12,517,100   
        

 

 

 
           18,240,792   
        

 

 

 
     

IT Services – 6.7%

  

     48,028      

Automatic Data Processing, Inc.

     3,307,208   
     58,707      

Visa, Inc., Class A

     10,728,704   
        

 

 

 
           14,035,912   
        

 

 

 
     

Pharmaceuticals – 5.0%

  

     77,441      

Merck & Co., Inc.

     3,597,134   
     98,850      

Novartis AG, ADR

     6,989,684   
        

 

 

 
           10,586,818   
        

 

 

 
     

Semiconductors & Semiconductor Equipment – 3.3%

  

     19,302      

Altera Corp.

     636,773   
     23,037      

Analog Devices, Inc.

     1,038,047   
     148,364      

ARM Holdings PLC, Sponsored ADR

     5,367,810   
        

 

 

 
           7,042,630   
        

 

 

 
     

Software – 11.2%

  

     149,416      

Autodesk, Inc.(b)

     5,071,179   
     45,017      

FactSet Research Systems, Inc.

     4,589,033   
     154,248      

Microsoft Corp.

     5,326,184   
     282,896      

Oracle Corp.

     8,690,565   
        

 

 

 
           23,676,961   
        

 

 

 
     

Specialty Retail – 3.8%

  

     195,159      

Lowe’s Cos., Inc.

     7,982,003   
        

 

 

 
     

Total Common Stocks

(Identified Cost $162,773,913)

     205,981,943   
        

 

 

 

Principal

Amount

             

Short-Term Investments – 3.7%

  
$      7,785,563      

Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $7,785,563 on 7/01/2013 collateralized by $8,095,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $7,943,219 including accrued interest(c)
(Identified Cost $7,785,563)

     7,785,563   
        

 

 

 
     

Total Investments – 101.5%

(Identified Cost $170,559,476)(a)

     213,767,506   
     

Other assets less liabilities – (1.5)%

     (3,142,949
        

 

 

 
     

Net Assets – 100.0%

   $ 210,624,557   
        

 

 

 

 


(†) 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 prices 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 under the general supervision of the Board of Trustees.

 

     The Fund may hold securities traded in foreign markets. Foreign securities are valued at the closing 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 on a daily basis 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, 2013, the net unrealized appreciation on investments based on a cost of $170,559,476 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

   $ 44,347,025   

Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value

     (1,138,995
  

 

 

 

Net unrealized appreciation

   $ 43,208,030   
  

 

 

 

 

     At September 30, 2012, the Fund had a short-term capital loss carryforward of $87,460,109 of which $52,780,165 expires on September 30, 2017 and $34,679,944 expires on September 30, 2018. At September 30, 2012, late-year ordinary and post-October capital loss deferrals were $63,747. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.

 

(b) Non-income producing security.

 

(c) 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.


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, 2013, at value:

Asset Valuation Inputs

 

Description

   Level 1      Level 2      Level 3      Total  

Common Stocks*

   $ 205,981,943       $ —         $ —         $ 205,981,943   

Short-Term Investments

     —           7,785,563         —           7,785,563   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 205,981,943       $ 7,785,563       $ —         $ 213,767,506   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

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

For the period ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.

Industry Summary at June 30, 2013 (Unaudited)

 

Software

     11.2

Communications Equipment

     9.9   

Internet Software & Services

     8.7   

Beverages

     7.4   

IT Services

     6.7   

Capital Markets

     6.6   

Air Freight & Logistics

     6.6   

Health Care Equipment & Supplies

     6.3   

Internet & Catalog Retail

     5.7   

Pharmaceuticals

     5.0   

Household Products

     4.5   

Food Products

     3.9   

Specialty Retail

     3.8   

Semiconductors & Semiconductor Equipment

     3.3   

Energy Equipment & Services

     3.0   

Consumer Finance

     2.8   

Biotechnology

     2.4   

Short-Term Investments

     3.7   
  

 

 

 

Total Investments

     101.5   

Other assets less liabilities

     (1.5
  

 

 

 

Net Assets

     100.0
  

 

 

 


PORTFOLIO OF INVESTMENTS – as of June 30, 2013 (Unaudited)

Loomis Sayles Institutional High Income Fund

 

Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – 79.5% of Net Assets

  

Non-Convertible Bonds – 64.6%

  
     

Aerospace & Defense – 2.4%

  
     135,000      

Bombardier, Inc.,

7.350%, 12/22/2026, 144A, (CAD)

   $ 132,837   
     2,175,000      

Bombardier, Inc.,

7.450%, 5/01/2034, 144A

     2,175,000   
     500,000      

Ducommun, Inc.,

9.750%, 7/15/2018

     546,250   
     3,220,000      

GenCorp, Inc.,

7.125%, 3/15/2021, 144A

     3,332,700   
     900,000      

Meccanica Holdings USA, Inc.,

6.250%, 1/15/2040, 144A

     745,498   
     5,200,000      

Meccanica Holdings USA, Inc.,

7.375%, 7/15/2039, 144A

     4,722,110   
     2,610,000      

Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter),

6.000%, 2/15/2067, 144A

     2,270,700   
     1,580,000      

TransDigm, Inc.,

7.500%, 7/15/2021, 144A

     1,615,550   
        

 

 

 
           15,540,645   
        

 

 

 
     

Airlines – 2.5%

  
     985,000      

Air Canada,

10.125%, 8/01/2015, 144A, (CAD)

     985,749   
     435,000      

Air Canada Pass Through Trust, Series 2013-1, Class B,

5.375%, 11/15/2022, 144A

     433,912   
     327,905      

Continental Airlines Pass Through Trust, Series 2000-2, Class A-1,

7.707%, 10/02/2022

     357,416   
     82,057      

Continental Airlines Pass Through Trust, Series 2000-2, Class B,

8.307%, 10/02/2019

     86,980   
     62,825      

Continental Airlines Pass Through Trust, Series 2001-1, Class B,

7.373%, 6/15/2017

     65,966   
     306,992      

Delta Air Lines Pass Through Trust, Series 2007-1, Class B,

8.021%, 2/10/2024

     335,389   
     343,786      

Delta Air Lines Pass Through Trust, Series 2007-1, Class C,

8.954%, 8/10/2014

     347,224   
     1,150,000      

United Continental Holdings, Inc.,

6.375%, 6/01/2018

     1,129,875   
     443,877      

US Airways Pass Through Trust, Series 2010-1B, Class B,

8.500%, 10/22/2018

     468,290   
     3,419,660      

US Airways Pass Through Trust, Series 2010-1C, Class C,

11.000%, 10/22/2014, 144A

     3,607,742   
     1,538,132      

US Airways Pass Through Trust, Series 2011-1B, Class B,

9.750%, 4/22/2020

     1,718,863   
     464,716      

US Airways Pass Through Trust, Series 2011-1C, Class C,

10.875%, 10/22/2014

     490,275   
     309,777      

US Airways Pass Through Trust, Series 2012-1B, Class B,

8.000%, 4/01/2021

     336,107   
     3,482,356      

US Airways Pass Through Trust, Series 2012-1C, Class C,

9.125%, 10/01/2015

     3,691,298   
     2,250,000      

US Airways Pass Through Trust, Series 2013-1, Class B,

5.375%, 5/15/2023

     2,227,500   
        

 

 

 
           16,282,586   
        

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  

Bonds and Notes – continued

  

Non-Convertible Bonds – continued

  
     

Automotive – 0.5%

  

$      1,000,000      

American Axle & Manufacturing, Inc.,

6.625%, 10/15/2022

   $ 1,015,000   
     15,000      

Ford Motor Co.,

6.375%, 2/01/2029